• 20242023202220212020201920182017Prior years

There are no upcoming publications at this time.

Authors:

ALLBenerramiCharpentierChassagneuxCouperierDarollesDerumignyElieFermanianFrancqGourierouxGrislain-LetremyHajjejHeamHillairetHuLe FolLescourretLeutscher De Las NievesLionMeroMonfortPegoraroPhamPoignardReyRobertRomboutsRoyerTankovTinsiVahid DastgerdiViolanteYangZakoianZerbib

Type:

ALLJournal/magazine articlePaper in conference proceedingsBookEditorialBook chapter

2022

• J. Royer, “Conditional asymmetry in power arch($\infty$) models,” Journal of econometrics, 2022.
  [Bibtex]

  @article{ROYER2022,
  title={Conditional asymmetry in Power ARCH($\infty$) models},
  journal={Journal of Econometrics},
  year={2022},
  issn={0304-4076},
  doi={https://doi.org/10.1016/j.jeconom.2021.10.013},
  url={https://www.sciencedirect.com/science/article/pii/S0304407621003031},
  author={Julien Royer},
  keywords={Quasi Maximum Likelihood Estimation, Moderate memory, Testing parameters on the boundary, Recursive design bootstrap},
  abstract={We consider an extension of ARCH(infty) models to account for conditional asymmetry in the presence of high persistence. After stating existence and stationarity conditions, this paper develops the statistical inference of such models and proves the consistency and asymptotic distribution of a Quasi Maximum Likelihood estimator. Some particular specifications are studied and we introduce a Portmanteau goodness-of-fit test. Additionally, test procedures for asymmetry and GARCH validity are derived. Finally, we present an application on a set of equity indices to reexamine the preeminence of GARCH(1,1) specifications. We find strong evidence that the short memory feature of such models is not suitable for peripheral assets.},
  }

2021

• R. Aid, R. Dumitrescu, and P. Tankov, “The entry and exit game in the electricity markets: a mean-field game approach,” Journal of dynamics and games, 2021.
  [Bibtex]

  @article{aid:hal-03215763,
  author={Aid, René and Dumitrescu, Roxana and Tankov, Peter},
  title={The entry and exit game in the electricity markets: A mean-field game approach},
  journal={Journal of Dynamics and Games},
  year={2021},
  }

• B. Schmutz, S. Modibo, and V. Elie, “Why are low-skilled workers less mobile? the role of mobility costs and spatial frictions,” Annals of economics and statistics, iss. 142, pp. 283-304, 2021.
  [Bibtex]

  @article{10.15609/annaeconstat2009.142.0283,
  issn={21154430, 19683863},
  url={https://www.jstor.org/stable/10.15609/annaeconstat2009.142.0283},
  author={Schmutz, Benoit and Modibo, Sidibe and Elie, Vidal-Naquet},
  journal={Annals of Economics and Statistics},
  number={142},
  pages={283-304},
  publisher={[GENES, ADRES]},
  title={Why Are Low-Skilled Workers Less Mobile? The Role of Mobility Costs and Spatial Frictions},
  volume={},
  year={2021},
  url={https://www.jstor.org/stable/10.15609/annaeconstat2009.142.0283#metadata_info_tab_contents},
  }

• V. E. Brunel, J. M. Klusowski, and D. Yang, “Estimation of convex supports from noisy measurements,” Bernoulli, vol. 27, iss. 2, pp. 772-793, 2021.
  [Bibtex]

  @ARTICLE{Brunel2021EstimationMeasurements,
  author={Victor Emmanuel Brunel and Jason M. Klusowski and Dana Yang},
  title={Estimation of convex supports from noisy measurements},
  journal={Bernoulli},
  year={2021},
  volume={27},
  number={2},
  pages={772-793},
  doi={10.3150/20-BEJ1229},
  }

• C. Gourieroux and A. Monfort, “Model risk management: valuation and governance of pseudo-models,” Econometrics and statistics, vol. 17, pp. 1-22, 2021.
  [Bibtex]

  @ARTICLE{Gourieroux20211,
  author={Gourieroux, C. and Monfort, A.},
  title={Model risk management: Valuation and governance of pseudo-models},
  journal={Econometrics and Statistics},
  year={2021},
  volume={17},
  pages={1-22},
  doi={10.1016/j.ecosta.2020.08.001},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090560723&doi=10.1016%2fj.ecosta.2020.08.001&partnerID=40&md5=7a713cc7d6af50cdfa3db8e10bc00d97},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, J. Jasiak, and M. Tong, “Convolution-based filtering and forecasting: an application to wti crude oil prices,” Journal of forecasting, 2021.
  [Bibtex]

  @ARTICLE{Gourieroux2021,
  author={Gourieroux, C. and Jasiak, J. and Tong, M.},
  title={Convolution-based filtering and forecasting: An application to WTI crude oil prices},
  journal={Journal of Forecasting},
  year={2021},
  doi={10.1002/for.2757},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85101111511&doi=10.1002%2ffor.2757&partnerID=40&md5=2374277071658eb0abdc90eee671dcde},
  document_type={Article},
  source={Scopus},
  }

• Z. Grbac, D. Krief, and P. Tankov, “Long-time trajectorial large deviations and importance sampling for affine stochastic volatility models,” Advances in applied probability, vol. 53, iss. 1, pp. 220-250, 2021.
  [Bibtex]

  @ARTICLE{Grbac2021Long-TimeModels,
  author={Zorana Grbac and David Krief and Peter Tankov},
  title={Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models},
  journal={Advances in Applied Probability},
  year={2021},
  volume={53},
  number={1},
  pages={220-250},
  doi={10.1017/apr.2020.58},
  }

• C. Hillairet and O. Lopez, “Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models,” Scandinavian actuarial journal, 2021.
  [Bibtex]

  @ARTICLE{Hillairet2021,
  author={Hillairet, C. and Lopez, O.},
  title={Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models},
  journal={Scandinavian Actuarial Journal},
  year={2021},
  doi={10.1080/03461238.2021.1872694},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85100214393&doi=10.1080%2f03461238.2021.1872694&partnerID=40&md5=9f11a5064a8308861b23a7e576439145},
  document_type={Article},
  source={Scopus},
  }

• B. Poignard and J. D. Fermanian, “The finite sample properties of sparse m-estimators with pseudo-observations,” Annals of the institute of statistical mathematics, vol. None, iss. None, p. -, 2021.
  [Bibtex]

  @ARTICLE{Poignard2021ThePseudo-Observations,
  author={Benjamin Poignard and Jean David Fermanian},
  title={The finite sample properties of sparse M-estimators with pseudo-observations},
  journal={Annals of the Institute of Statistical Mathematics},
  year={2021},
  volume={None},
  number={None},
  pages={-},
  doi={10.1007/s10463-021-00785-4},
  }

• M. Allain, C. Chambolle, P. Rey, and S. Teyssier, “Vertical integration as a source of hold-up: an experiment,” European economic review, p. 103783, 2021.
  [Bibtex]

  @article{allain2021vertical,
  title={Vertical Integration as a Source of Hold-up: an Experiment},
  author={Allain, Marie-Laure and Chambolle, Claire and Rey, Patrick and Teyssier, Sabrina},
  journal={European Economic Review},
  pages={103783},
  year={2021},
  publisher={Elsevier},
  url={https://doi.org/10.1016/j.euroecorev.2021.103783},
  }

2020

• A. Dupre, P. Drobinski, J. Badosa, C. Briard, and P. Tankov, “The economic value of wind energy nowcasting,” Energies, 2020.
  [Bibtex]

  @article{dupre:hal-03011328,
  author={Dupre, Aurore and Drobinski, Philippe and Badosa, Jordi and Briard, Christian and Tankov, Peter},
  title={The Economic Value of Wind Energy Nowcasting},
  journal={Energies},
  year={2020},
  }

• A. Aknouche and C. Francq, “Count and duration time series with equal conditional stochastic and mean orders,” Econometric theory, 2020.
  [Bibtex]

  @ARTICLE{Aknouche2020,
  author={Aknouche, A. and Francq, C.},
  title={Count and duration time series with equal conditional stochastic and mean orders},
  journal={Econometric Theory},
  year={2020},
  doi={10.1017/S0266466620000134},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85082704310&doi=10.1017%2fS0266466620000134&partnerID=40&md5=eb53f8beb986b27908789a53300d8297},
  document_type={Article},
  source={Scopus},
  }

• B. Alonzo, P. Drobinski, R. Plougonven, and P. Tankov, “Measuring the risk of supply and demand imbalance at the monthly to seasonal scale in france,” Energies, vol. 13, iss. 18, 2020.
  [Bibtex]

  @ARTICLE{Alonzo2020,
  author={Alonzo, B. and Drobinski, P. and Plougonven, R. and Tankov, P.},
  title={Measuring the risk of supply and demand imbalance at the monthly to seasonal scale in France},
  journal={Energies},
  year={2020},
  volume={13},
  number={18},
  doi={10.3390/en13184888},
  art_number={4888},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85091849057&doi=10.3390%2fen13184888&partnerID=40&md5=39de49e5285faa8ab27e4fd16b133347},
  document_type={Article},
  source={Scopus},
  }

• B. Alonzo, P. Tankov, P. Drobinski, and R. Plougonven, “Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height,” International journal of forecasting, vol. 36, iss. 2, pp. 515-530, 2020.
  [Bibtex]

  @ARTICLE{Alonzo2020515,
  author={Alonzo, B. and Tankov, P. and Drobinski, P. and Plougonven, R.},
  title={Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height},
  journal={International Journal of Forecasting},
  year={2020},
  volume={36},
  number={2},
  pages={515-530},
  doi={10.1016/j.ijforecast.2019.07.005},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076201219&doi=10.1016%2fj.ijforecast.2019.07.005&partnerID=40&md5=056a41c1d6ceb8f15ce082a0f6a87470},
  document_type={Article},
  source={Scopus},
  }

• Y. Bessy-Roland, A. Boumezoued, and C. Hillairet, “Multivariate hawkes process for cyber insurance,” Annals of actuarial science, 2020.
  [Bibtex]

  @ARTICLE{Bessy-Roland2020,
  author={Bessy-Roland, Y. and Boumezoued, A. and Hillairet, C.},
  title={Multivariate Hawkes process for cyber insurance},
  journal={Annals of Actuarial Science},
  year={2020},
  doi={10.1017/S1748499520000093},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090495205&doi=10.1017%2fS1748499520000093&partnerID=40&md5=bbbcd0890f4ef4535b1aa6277b58d5df},
  document_type={Article},
  source={Scopus},
  }

• A. Boloorforoosh, P. Christoffersen, M. Fournier, and C. Gourieroux, “Beta risk in the cross-section of equities,” Review of financial studies, vol. 33, iss. 9, pp. 4318-4366, 2020.
  [Bibtex]

  @ARTICLE{Boloorforoosh20204318,
  author={Boloorforoosh, A. and Christoffersen, P. and Fournier, M. and Gourieroux, C.},
  title={Beta risk in the cross-section of equities},
  journal={Review of Financial Studies},
  year={2020},
  volume={33},
  number={9},
  pages={4318-4366},
  doi={10.1093/rfs/hhz139},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85096716095&doi=10.1093%2frfs%2fhhz139&partnerID=40&md5=ee777ce5790a936dd1a49bcc7087d525},
  document_type={Article},
  source={Scopus},
  }

• G. Bouveret, R. Dumitrescu, and P. Tankov, “Mean-field games of optimal stopping: a relaxed solution approach,” Siam journal on control and optimization, vol. 58, iss. 4, pp. 1795-1821, 2020.
  [Bibtex]

  @ARTICLE{Bouveret20201795,
  author={Bouveret, G. and Dumitrescu, R. and Tankov, P.},
  title={Mean-field games of optimal stopping: A relaxed solution approach},
  journal={SIAM Journal on Control and Optimization},
  year={2020},
  volume={58},
  number={4},
  pages={1795-1821},
  doi={10.1137/18M1233480},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85088965171&doi=10.1137%2f18M1233480&partnerID=40&md5=efcfc7eb48c642c56c47f264adf33eef},
  document_type={Article},
  source={Scopus},
  }

• A. Derumigny and J. -D. Fermanian, “On kendall’s regression,” Journal of multivariate analysis, vol. 178, 2020.
  [Bibtex]

  @ARTICLE{Derumigny2020,
  author={Derumigny, A. and Fermanian, J.-D.},
  title={On Kendall's regression},
  journal={Journal of Multivariate Analysis},
  year={2020},
  volume={178},
  doi={10.1016/j.jmva.2020.104610},
  art_number={104610},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85082534817&doi=10.1016%2fj.jmva.2020.104610&partnerID=40&md5=3c6806ffa4571bd1b66284f37491c428},
  document_type={Article},
  source={Scopus},
  }

• A. Dupre, P. Drobinski, J. Badosa, C. Briard, and P. Tankov, “The economic value of wind energy nowcasting,” Energies, vol. 13, iss. 20, 2020.
  [Bibtex]

  @ARTICLE{Dupre2020,
  author={Dupre, A. and Drobinski, P. and Badosa, J. and Briard, C. and Tankov, P.},
  title={The economic value of wind energy nowcasting},
  journal={Energies},
  year={2020},
  volume={13},
  number={20},
  doi={10.3390/en13205266},
  art_number={5266},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85092892529&doi=10.3390%2fen13205266&partnerID=40&md5=b2dee29601475f81260d8265e69d0fe4},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Virtual historical simulation for estimating the conditional var of large portfolios,” Journal of econometrics, vol. 217, iss. 2, pp. 356-380, 2020.
  [Bibtex]

  @ARTICLE{Francq2020356,
  author={Francq, C. and Zakoian, J.-M.},
  title={Virtual Historical Simulation for estimating the conditional VaR of large portfolios},
  journal={Journal of Econometrics},
  year={2020},
  volume={217},
  number={2},
  pages={356-380},
  doi={10.1016/j.jeconom.2019.12.008},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076861554&doi=10.1016%2fj.jeconom.2019.12.008&partnerID=40&md5=b98abefb643f2a72ec3bf83559542bfc},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Testing the existence of moments for garch processes,” Journal of econometrics, 2020.
  [Bibtex]

  @ARTICLE{Francq2020,
  author={Francq, C. and Zakoian, J.-M.},
  title={Testing the existence of moments for GARCH processes},
  journal={Journal of Econometrics},
  year={2020},
  doi={10.1016/j.jeconom.2020.05.009},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089738496&doi=10.1016%2fj.jeconom.2020.05.009&partnerID=40&md5=5923fdca7d6399821b600257fbaabdd6},
  document_type={Article},
  source={Scopus},
  }

• O. Feron, P. Tankov, and L. Tinsi, “Price formation and optimal trading in intraday electricity markets with a major player,” Risks, vol. 8, iss. 4, pp. 1-21, 2020.
  [Bibtex]

  @ARTICLE{Feron20201,
  author={Feron, O. and Tankov, P. and Tinsi, L.},
  title={Price formation and optimal trading in intraday electricity markets with a major player},
  journal={Risks},
  year={2020},
  volume={8},
  number={4},
  pages={1-21},
  doi={10.3390/risks8040133},
  art_number={133},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85097553301&doi=10.3390%2frisks8040133&partnerID=40&md5=3ae667c2ea9eb8ca42e02f251daa0320},
  document_type={Article},
  source={Scopus},
  }

• A. Genin and P. Tankov, “Optimal importance sampling for levy processes,” Stochastic processes and their applications, vol. 130, iss. 1, pp. 20-46, 2020.
  [Bibtex]

  @ARTICLE{Genin202020,
  author={Genin, A. and Tankov, P.},
  title={Optimal importance sampling for Levy processes},
  journal={Stochastic Processes and their Applications},
  year={2020},
  volume={130},
  number={1},
  pages={20-46},
  doi={10.1016/j.spa.2018.12.019},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85059779944&doi=10.1016%2fj.spa.2018.12.019&partnerID=40&md5=47e9b4e7a46cee964eb7cdbba91b1919},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, J. Jasiak, and A. Monfort, “Stationary bubble equilibria in rational expectation models,” Journal of econometrics, vol. 218, iss. 2, pp. 714-735, 2020.
  [Bibtex]

  @ARTICLE{Gourieroux2020714,
  author={Gourieroux, C. and Jasiak, J. and Monfort, A.},
  title={Stationary bubble equilibria in rational expectation models},
  journal={Journal of Econometrics},
  year={2020},
  volume={218},
  number={2},
  pages={714-735},
  doi={10.1016/j.jeconom.2020.04.035},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85084479427&doi=10.1016%2fj.jeconom.2020.04.035&partnerID=40&md5=818f4b1129fb9dee19a7590892b39213},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Time varying markov process with partially observed aggregate data: an application to coronavirus,” Journal of econometrics, 2020.
  [Bibtex]

  @ARTICLE{Gourieroux2020,
  author={Gourieroux, C. and Jasiak, J.},
  title={Time varying Markov process with partially observed aggregate data: An application to coronavirus},
  journal={Journal of Econometrics},
  year={2020},
  doi={10.1016/j.jeconom.2020.09.007},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85097770631&doi=10.1016%2fj.jeconom.2020.09.007&partnerID=40&md5=0bcfe350b7fb90b22dc22b8dc96cd0fd},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Hencic, and J. Jasiak, “Forecast performance and bubble analysis in noncausal mar(1, 1) processes,” Journal of forecasting, 2020.
  [Bibtex]

  @ARTICLE{Gourieroux2020,
  author={Gourieroux, C. and Hencic, A. and Jasiak, J.},
  title={Forecast performance and bubble analysis in noncausal MAR(1, 1) processes},
  journal={Journal of Forecasting},
  year={2020},
  doi={10.1002/for.2716},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089560296&doi=10.1002%2ffor.2716&partnerID=40&md5=2da1849e8df5c36e86afd16a80826af9},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and J. -P. Renne, “Identification and estimation in non-fundamental structural varma models,” Review of economic studies, vol. 87, iss. 4, pp. 1915-1953, 2020.
  [Bibtex]

  @ARTICLE{Gourieroux20201915,
  author={Gourieroux, C. and Monfort, A. and Renne, J.-P.},
  title={Identification and Estimation in Non-Fundamental Structural VARMA Models},
  journal={Review of Economic Studies},
  year={2020},
  volume={87},
  number={4},
  pages={1915-1953},
  doi={10.1093/restud/rdz028},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089421211&doi=10.1093%2frestud%2frdz028&partnerID=40&md5=9762f4996ab46f25d83fa9e41ea5a954},
  document_type={Article},
  source={Scopus},
  }

• B. Horvath, A. Jacquier, and P. Tankov, “Volatility options in rough volatility models,” Siam journal on financial mathematics, vol. 11, iss. 2, pp. 437-469, 2020.
  [Bibtex]

  @ARTICLE{Horvath2020437,
  author={Horvath, B. and Jacquier, A. and Tankov, P.},
  title={Volatility options in rough volatility models},
  journal={SIAM Journal on Financial Mathematics},
  year={2020},
  volume={11},
  number={2},
  pages={437-469},
  doi={10.1137/18M1169242},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85086104933&doi=10.1137%2f18M1169242&partnerID=40&md5=5b3ba6e410ce71129387b784ea24929a},
  document_type={Article},
  source={Scopus},
  }

• M. Lorig, P. Tankov, A. Antonov, and A. B. Guerrero, “Interviews with researchers who started their career in physics but moved to finance,” Journal of derivatives, vol. 28, iss. 1, pp. 143-159, 2020.
  [Bibtex]

  @ARTICLE{Lorig2020143,
  author={Lorig, M. and Tankov, P. and Antonov, A. and Guerrero, A.B.},
  title={Interviews with researchers who started their career in physics but moved to finance},
  journal={Journal of Derivatives},
  year={2020},
  volume={28},
  number={1},
  pages={143-159},
  doi={10.3905/jod.2020.1.112},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85100121097&doi=10.3905%2fjod.2020.1.112&partnerID=40&md5=5a1183e0f71ff8effbe850d33d260608},
  document_type={Note},
  source={Scopus},
  }

• B. Poignard and J. -D. Fermanian, “High-dimensional penalized arch processes,” Econometric reviews, 2020.
  [Bibtex]

  @ARTICLE{Poignard2020,
  author={Poignard, B. and Fermanian, J.-D.},
  title={High-dimensional penalized arch processes},
  journal={Econometric Reviews},
  year={2020},
  doi={10.1080/07474938.2020.1761153},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85084839880&doi=10.1080%2f07474938.2020.1761153&partnerID=40&md5=0ef7e42a56b5a299d088e34d0f219231},
  document_type={Article},
  source={Scopus},
  }

• J. V. K. Rombouts, L. Stentoft, and F. Violante, “Dynamics of variance risk premia: a new model for disentangling the price of risk,” Journal of econometrics, vol. 217, iss. 2, pp. 312-334, 2020.
  [Bibtex]

  @ARTICLE{Rombouts2020312,
  author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
  title={Dynamics of variance risk premia: A new model for disentangling the price of risk},
  journal={Journal of Econometrics},
  year={2020},
  volume={217},
  number={2},
  pages={312-334},
  doi={10.1016/j.jeconom.2019.12.006},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076853471&doi=10.1016%2fj.jeconom.2019.12.006&partnerID=40&md5=bf1b4723a0c7e7676f60edf4b05e382b},
  document_type={Article},
  source={Scopus},
  }

• J. V. K. Rombouts, L. Stentoft, and F. Violante, “Pricing individual stock options using both stock and market index information,” Journal of banking and finance, vol. 111, 2020.
  [Bibtex]

  @ARTICLE{Rombouts2020,
  author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
  title={Pricing individual stock options using both stock and market index information},
  journal={Journal of Banking and Finance},
  year={2020},
  volume={111},
  doi={10.1016/j.jbankfin.2019.105727},
  art_number={105727},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076827272&doi=10.1016%2fj.jbankfin.2019.105727&partnerID=40&md5=bce213a531596495a52f2059c11320c7},
  document_type={Article},
  source={Scopus},
  }

• J. V. K. Rombouts, L. Stentoft, and F. Violante, “Variance swap payoffs, risk premia and extreme market conditions,” Econometrics and statistics, vol. 13, pp. 106-124, 2020.
  [Bibtex]

  @ARTICLE{Rombouts2020106,
  author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
  title={Variance swap payoffs, risk premia and extreme market conditions},
  journal={Econometrics and Statistics},
  year={2020},
  volume={13},
  pages={106-124},
  doi={10.1016/j.ecosta.2019.05.003},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85068093458&doi=10.1016%2fj.ecosta.2019.05.003&partnerID=40&md5=80d32ecdc375592021fc41838ea7ec99},
  document_type={Article},
  source={Scopus},
  }

• J. V. K. Rombouts, O. Scaillet, D. Veredas, and J. -M. Zakoian, “Nonlinear financial econometrics joe special issue introduction,” Journal of econometrics, vol. 217, iss. 2, pp. 203-206, 2020.
  [Bibtex]

  @EDITORIAL{Rombouts2020203,
  author={Rombouts, J.V.K. and Scaillet, O. and Veredas, D. and Zakoian, J.-M.},
  title={Nonlinear financial econometrics JoE special issue introduction},
  journal={Journal of Econometrics},
  year={2020},
  volume={217},
  number={2},
  pages={203-206},
  doi={10.1016/j.jeconom.2019.12.001},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076844074&doi=10.1016%2fj.jeconom.2019.12.001&partnerID=40&md5=286636c540ad1ebfc8d91327f1affa2f},
  document_type={Editorial},
  source={Scopus},
  }

2019

• N. El Karoui, C. Hillairet, S. Loisel, and Y. Salhi, “Le prix du risque de longevite,” Revue d’economie financiere, 2019.
  [Bibtex]

  @article{elkaroui:hal-02471990,
  author={El Karoui, Nicole and Hillairet, Caroline and Loisel, Stephane and Salhi, Yahia},
  title={Le prix du risque de longevite},
  journal={Revue d'economie financiere},
  year={2019},
  }

• J. Florens, C. Gourieroux, and A. Monfort, “Model risk management: limits and future of bayesian approaches,” Annals of economics and statistics, 2019.
  [Bibtex]

  @article{florens:hal-02952910,
  author={Florens, Jean-Pierre and Gourieroux, Christian and Monfort, Alain},
  title={Model Risk Management: Limits and Future of Bayesian Approaches},
  journal={Annals of Economics and Statistics},
  year={2019},
  }

• A. Tantet, M. Stefanon, P. Drobinski, J. Badosa, S. Concettini, A. Creti, C. D’Ambrosio, D. Thomopulos, and P. Tankov, “E4clim 1.0 : the energy for climate integrated model: description and application to italy,” Energies, 2019.
  [Bibtex]

  @article{tantet:hal-01962044,
  author={Tantet, Alexis and Stefanon, Marc and Drobinski, Philippe and Badosa, Jordi and Concettini, Silvia and Creti, Anna and D'Ambrosio, Claudia and Thomopulos, Dimitri and Tankov, Peter},
  title={e4clim 1.0 : The Energy for CLimate Integrated Model: Description and Application to Italy},
  journal={Energies},
  year={2019},
  }

• A. Alfonsi, D. Krief, and P. Tankov, “Long-time large deviations for the multiasset wishart stochastic volatility model and option pricing,” Siam journal on financial mathematics, vol. 10, iss. 4, pp. 942-976, 2019.
  [Bibtex]

  @ARTICLE{Alfonsi2019942,
  author={Alfonsi, A. and Krief, D. and Tankov, P.},
  title={Long-time large deviations for the Multiasset Wishart stochastic volatility model and option pricing},
  journal={SIAM Journal on Financial Mathematics},
  year={2019},
  volume={10},
  number={4},
  pages={942-976},
  doi={10.1137/18M1197588},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85077556862&doi=10.1137%2f18M1197588&partnerID=40&md5=97b5c21554c5e37be66e7a8ac118b7b7},
  document_type={Article},
  source={Scopus},
  }

• A. Barletta, P. Santucci de Magistris, and F. Violante, “A non-structural investigation of vix risk neutral density,” Journal of banking and finance, vol. 99, pp. 1-20, 2019.
  [Bibtex]

  @ARTICLE{Barletta20191,
  author={Barletta, A. and Santucci de Magistris, P. and Violante, F.},
  title={A non-structural investigation of VIX risk neutral density},
  journal={Journal of Banking and Finance},
  year={2019},
  volume={99},
  pages={1-20},
  doi={10.1016/j.jbankfin.2018.11.012},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85056771545&doi=10.1016%2fj.jbankfin.2018.11.012&partnerID=40&md5=e9cf42f3258f7a8807cd790b0b2e11e5},
  document_type={Article},
  source={Scopus},
  }

• J. -M. Beacco, C. Lubochinsky, M. Briere, A. Monfort, C. Hillairet, and S. Benoit, “Invited editorial -the challenges imposed by low interest rates-,” Journal of asset management, vol. 20, iss. 6, pp. 413-420, 2019.
  [Bibtex]

  @EDITORIAL{Beacco2019413,
  author={Beacco, J.-M. and Lubochinsky, C. and Briere, M. and Monfort, A. and Hillairet, C. and Benoit, S.},
  title={Invited Editorial -The challenges imposed by low interest rates-},
  journal={Journal of Asset Management},
  year={2019},
  volume={20},
  number={6},
  pages={413-420},
  doi={10.1057/s41260-019-00124-6},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85067235762&doi=10.1057%2fs41260-019-00124-6&partnerID=40&md5=2cfc42aaf4bd03a60ab20b64429c65ce},
  document_type={Editorial},
  source={Scopus},
  }

• A. Bucher, J. -D. Fermanian, and I. Kojadinovic, “Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series,” Journal of time series analysis, vol. 40, iss. 1, pp. 124-150, 2019.
  [Bibtex]

  @ARTICLE{Bucher2019124,
  author={Bucher, A. and Fermanian, J.-D. and Kojadinovic, I.},
  title={Combining Cumulative Sum Change-Point Detection Tests for Assessing the Stationarity of Univariate Time Series},
  journal={Journal of Time Series Analysis},
  year={2019},
  volume={40},
  number={1},
  pages={124-150},
  doi={10.1111/jtsa.12431},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85055475735&doi=10.1111%2fjtsa.12431&partnerID=40&md5=a7d43969e6cff1bff8d5ce8e98a770d4},
  document_type={Article},
  source={Scopus},
  }

• C. Cerovecki, C. Francq, S. Hormann, and J. -M. Zakoian, “Functional garch models: the quasi-likelihood approach and its applications,” Journal of econometrics, vol. 209, iss. 2, pp. 353-375, 2019.
  [Bibtex]

  @ARTICLE{Cerovecki2019353,
  author={Cerovecki, C. and Francq, C. and Hormann, S. and Zakoian, J.-M.},
  title={Functional GARCH models: The quasi-likelihood approach and its applications},
  journal={Journal of Econometrics},
  year={2019},
  volume={209},
  number={2},
  pages={353-375},
  doi={10.1016/j.jeconom.2019.01.006},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85061362787&doi=10.1016%2fj.jeconom.2019.01.006&partnerID=40&md5=45fafc096d5eb14a95eba9052ec5824f},
  document_type={Article},
  source={Scopus},
  }

• A. Derumigny and J. -D. Fermanian, “A classification point-of-view about conditional kendall’s tau,” Computational statistics and data analysis, vol. 135, pp. 70-94, 2019.
  [Bibtex]

  @ARTICLE{Derumigny201970,
  author={Derumigny, A. and Fermanian, J.-D.},
  title={A classification point-of-view about conditional Kendall's tau},
  journal={Computational Statistics and Data Analysis},
  year={2019},
  volume={135},
  pages={70-94},
  doi={10.1016/j.csda.2019.01.013},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85061642376&doi=10.1016%2fj.csda.2019.01.013&partnerID=40&md5=65f068ee02cf453e7fc6a41eeb64dbfc},
  document_type={Article},
  source={Scopus},
  }

• A. Derumigny and J. -D. Fermanian, “On kernel-based estimation of conditional kendall’s tau: finite-distance bounds and asymptotic behavior,” Dependence modeling, vol. 7, iss. 1, pp. 292-321, 2019.
  [Bibtex]

  @ARTICLE{Derumigny2019292,
  author={Derumigny, A. and Fermanian, J.-D.},
  title={On kernel-based estimation of conditional Kendall's tau: Finite-distance bounds and asymptotic behavior},
  journal={Dependence Modeling},
  year={2019},
  volume={7},
  number={1},
  pages={292-321},
  doi={10.1515/demo-2019-0016},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85073830106&doi=10.1515%2fdemo-2019-0016&partnerID=40&md5=3dbd3a5264044440e5434b87e0850412},
  document_type={Article},
  source={Scopus},
  }

• J. P. Florens, C. Gourieroux, and A. Monfort, “Model risk management: limits and future of bayesian approaches,” Annals of economics and statistics, iss. 136, pp. 1-26, 2019.
  [Bibtex]

  @ARTICLE{Florens20191,
  author={Florens, J.P. and Gourieroux, C. and Monfort, A.},
  title={Model risk management: Limits and future of Bayesian approaches},
  journal={Annals of Economics and Statistics},
  year={2019},
  number={136},
  pages={1-26},
  doi={10.15609/annaeconstat2009.136.0001},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079370522&doi=10.15609%2fannaeconstat2009.136.0001&partnerID=40&md5=04947ebd017088f3405cc2985fc5d294},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and L. Q. Thieu, “Qml inference for volatility models with covariates,” Econometric theory, vol. 35, iss. 1, pp. 37-72, 2019.
  [Bibtex]

  @ARTICLE{Francq201937,
  author={Francq, C. and Thieu, L.Q.},
  title={QML Inference for volatility models with covariates},
  journal={Econometric Theory},
  year={2019},
  volume={35},
  number={1},
  pages={37-72},
  doi={10.1017/S0266466617000512},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060781936&doi=10.1017%2fS0266466617000512&partnerID=40&md5=54af50d50b78418b742909d9c09b8503},
  document_type={Article},
  source={Scopus},
  }

• S. Fries and J. -M. Zakoian, “Mixed causal-noncausal ar processes and the modelling of explosive bubbles,” Econometric theory, vol. 35, iss. 6, pp. 1234-1270, 2019.
  [Bibtex]

  @ARTICLE{Fries20191234,
  author={Fries, S. and Zakoian, J.-M.},
  title={MIXED CAUSAL-NONCAUSAL AR PROCESSES and the MODELLING of EXPLOSIVE BUBBLES},
  journal={Econometric Theory},
  year={2019},
  volume={35},
  number={6},
  pages={1234-1270},
  doi={10.1017/S0266466618000452},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079505607&doi=10.1017%2fS0266466618000452&partnerID=40&md5=44923d48e5b18208c481320bcbe978e0},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “Identification by laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects,” Journal of econometrics, vol. 208, iss. 2, pp. 613-637, 2019.
  [Bibtex]

  @ARTICLE{Gagliardini2019613,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects},
  journal={Journal of Econometrics},
  year={2019},
  volume={208},
  number={2},
  pages={613-637},
  doi={10.1016/j.jeconom.2018.01.012},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85058045129&doi=10.1016%2fj.jeconom.2018.01.012&partnerID=40&md5=4dfeb390a409c8c4766d286b9c0ba8f9},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and Y. LU, “Least impulse response estimator for stress test exercises,” Journal of banking and finance, vol. 103, pp. 62-77, 2019.
  [Bibtex]

  @ARTICLE{Gourieroux201962,
  author={Gourieroux, C. and LU, Y.},
  title={Least impulse response estimator for stress test exercises},
  journal={Journal of Banking and Finance},
  year={2019},
  volume={103},
  pages={62-77},
  doi={10.1016/j.jbankfin.2019.03.021},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85064254501&doi=10.1016%2fj.jbankfin.2019.03.021&partnerID=40&md5=646267b3f97b6ebd4e1f963484ab9405},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Robust analysis of the martingale hypothesis,” Econometrics and statistics, vol. 9, pp. 17-41, 2019.
  [Bibtex]

  @ARTICLE{Gourieroux201917,
  author={Gourieroux, C. and Jasiak, J.},
  title={Robust analysis of the martingale hypothesis},
  journal={Econometrics and Statistics},
  year={2019},
  volume={9},
  pages={17-41},
  doi={10.1016/j.ecosta.2018.07.001},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85051735657&doi=10.1016%2fj.ecosta.2018.07.001&partnerID=40&md5=828386d6156d90b9e2efc5144768bc5f},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and Y. Lu, “Negative binomial autoregressive process with stochastic intensity,” Journal of time series analysis, vol. 40, iss. 2, pp. 225-247, 2019.
  [Bibtex]

  @ARTICLE{Gourieroux2019225,
  author={Gourieroux, C. and Lu, Y.},
  title={Negative Binomial Autoregressive Process with Stochastic Intensity},
  journal={Journal of Time Series Analysis},
  year={2019},
  volume={40},
  number={2},
  pages={225-247},
  doi={10.1111/jtsa.12441},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85058155086&doi=10.1111%2fjtsa.12441&partnerID=40&md5=31582469e443ed5239914862b0dabc49},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and J. -M. Zakoian, “Consistent pseudo-maximum likelihood estimators and groups of transformations,” Econometrica, vol. 87, iss. 1, pp. 327-345, 2019.
  [Bibtex]

  @ARTICLE{Gourieroux2019327,
  author={Gourieroux, C. and Monfort, A. and Zakoian, J.-M.},
  title={Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations},
  journal={Econometrica},
  year={2019},
  volume={87},
  number={1},
  pages={327-345},
  doi={10.3982/ECTA14727},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060941030&doi=10.3982%2fECTA14727&partnerID=40&md5=84db0982ba3299f9e96a04cdb695d80d},
  document_type={Article},
  source={Scopus},
  }

• B. Poignard and J. -D. Fermanian, “Dynamic asset correlations based on vines,” Econometric theory, vol. 35, iss. 1, pp. 167-197, 2019.
  [Bibtex]

  @ARTICLE{Poignard2019167,
  author={Poignard, B. and Fermanian, J.-D.},
  title={Dynamic asset correlations based on vines},
  journal={Econometric Theory},
  year={2019},
  volume={35},
  number={1},
  pages={167-197},
  doi={10.1017/S026646661800004X},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045649269&doi=10.1017%2fS026646661800004X&partnerID=40&md5=369a73e08887ad00bd79709fce0dc33b},
  document_type={Article},
  source={Scopus},
  }

• A. Tantet, M. Stefanon, P. Drobinski, J. Badosa, S. Concettini, A. Cretì, C. D’Ambrosio, D. Thomopulos, and P. Tankov, “E4clim 1.0: the energy for a climate integrated model: description and application to italy,” Energies, vol. 12, iss. 22, 2019.
  [Bibtex]

  @ARTICLE{Tantet2019,
  author={Tantet, A. and Stefanon, M. and Drobinski, P. and Badosa, J. and Concettini, S. and Cretì, A. and D'Ambrosio, C. and Thomopulos, D. and Tankov, P.},
  title={E4CLIM 1.0: The energy for a climate integrated model: Description and application to Italy},
  journal={Energies},
  year={2019},
  volume={12},
  number={22},
  doi={10.3390/en12224299},
  art_number={4299},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85075970117&doi=10.3390%2fen12224299&partnerID=40&md5=41c2b8be9ad6cc7bb985d87bb151889d},
  document_type={Article},
  source={Scopus},
  }

2018

• S. Darolles, C. Francq, and S. Laurent, “Asymptotics of cholesky garch models and time-varying conditional betas,” Journal of econometrics, 2018.
  [Bibtex]

  @article{darolles:hal-01980815,
  author={Darolles, Serge and Francq, Christian and Laurent, Sebastien},
  title={Asymptotics of Cholesky GARCH models and time-varying conditional betas},
  journal={Journal of Econometrics},
  year={2018},
  }

• C. Hillairet, Y. Jiao, and A. Reveillac, “Pricing formulae for derivatives in insurance using the malliavin calculus *,” Probability, uncertainty and quantitative risk, 2018.
  [Bibtex]

  @article{hillairet:hal-01561987,
  author={Hillairet, Caroline and Jiao, Ying and Reveillac, Anthony},
  title={Pricing formulae for derivatives in insurance using the Malliavin calculus *},
  journal={Probability, Uncertainty and Quantitative Risk},
  year={2018},
  }

• T. J. Armstrong, A. Burdorf, A. Descatha, A. Farioli, M. Graf, S. Horie, W. S. Marras, J. R. Potvin, D. M. Rempel, G. Spatari, E. Takala, J. Verbeek, and F. S. Violante, “Scientific basis of iso standards on biomechanical risk factors,” Scandinavian journal of work, environment and health, 2018.
  [Bibtex]

  @article{armstrong:inserm-02468263,
  author={Armstrong, Tom J and Burdorf, Alex and Descatha, Alexis and Farioli, Andrea and Graf, Maggie and Horie, Seichi and Marras, William S and Potvin, Jim R and Rempel, David M and Spatari, Giovanna and Takala, Esa-Pekka and Verbeek, Jos and Violante, Francesco S},
  title={Scientific basis of ISO standards on biomechanical risk factors},
  journal={Scandinavian Journal of Work, Environment and Health},
  year={2018},
  }

• T. J. Armstrong, A. Burdorf, A. Descatha, A. Farioli, M. Graf, S. Horie, W. S. Marras, J. R. Potvin, D. Rempel, G. Spatari, E. Takala, J. Verbeek, and F. S. Violante, “Authors’ response: letter to the editor concerning ocra as preferred method in iso standards on biomechanical risk factors,” Scandinavian journal of work, environment and health, 2018.
  [Bibtex]

  @article{armstrong:inserm-02468270,
  author={Armstrong, Tom J and Burdorf, Alex and Descatha, Alexis and Farioli, Andrea and Graf, Maggie and Horie, Seichi and Marras, William S and Potvin, Jim R and Rempel, David and Spatari, Giovanna and Takala, Esa-Pekka and Verbeek, Jos and Violante, Francesco S},
  title={Authors' response: Letter to the Editor concerning OCRA as preferred method in ISO standards on biomechanical risk factors},
  journal={Scandinavian Journal of Work, Environment and Health},
  year={2018},
  }

• H. N. Chau, W. J. Runggaldier, and P. Tankov, “Arbitrage and utility maximization in market models with an insider,” Mathematics and financial economics, vol. 12, iss. 4, pp. 589-614, 2018.
  [Bibtex]

  @ARTICLE{Chau2018589,
  author={Chau, H.N. and Runggaldier, W.J. and Tankov, P.},
  title={Arbitrage and utility maximization in market models with an insider},
  journal={Mathematics and Financial Economics},
  year={2018},
  volume={12},
  number={4},
  pages={589-614},
  doi={10.1007/s11579-018-0217-4},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046487113&doi=10.1007%2fs11579-018-0217-4&partnerID=40&md5=edbfb038f78ce909c1783026a1a04db6},
  document_type={Article},
  source={Scopus},
  }

• S. Darolles, C. Francq, and S. Laurent, “Asymptotics of cholesky garch models and time-varying conditional betas,” Journal of econometrics, vol. 204, iss. 2, pp. 223-247, 2018.
  [Bibtex]

  @ARTICLE{Darolles2018223,
  author={Darolles, S. and Francq, C. and Laurent, S.},
  title={Asymptotics of Cholesky GARCH models and time-varying conditional betas},
  journal={Journal of Econometrics},
  year={2018},
  volume={204},
  number={2},
  pages={223-247},
  doi={10.1016/j.jeconom.2018.02.003},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85044334104&doi=10.1016%2fj.jeconom.2018.02.003&partnerID=40&md5=720daa8f6afd21a266e1d41e21505542},
  document_type={Article},
  source={Scopus},
  }

• G. Dupin, E. Koenig, P. Le Moine, A. Monfort, and E. Ratiarison, “Coherent incurred paid (cip) models for claims reserving,” Astin bulletin, vol. 48, iss. 2, pp. 749-777, 2018.
  [Bibtex]

  @ARTICLE{Dupin2018749,
  author={Dupin, G. and Koenig, E. and Le Moine, P. and Monfort, A. and Ratiarison, E.},
  title={Coherent incurred paid (CIP) models for claims reserving},
  journal={ASTIN Bulletin},
  year={2018},
  volume={48},
  number={2},
  pages={749-777},
  doi={10.1017/asb.2017.36},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85042211328&doi=10.1017%2fasb.2017.36&partnerID=40&md5=80b3f598599ec03312dd666353e74a07},
  document_type={Article},
  source={Scopus},
  }

• N. El Karoui, C. Hillairet, and M. Mrad, “Consistent utility of investment and consumption: a forward/backward spde viewpoint,” Stochastics, vol. 90, iss. 6, pp. 927-954, 2018.
  [Bibtex]

  @ARTICLE{ElKaroui2018927,
  author={El Karoui, N. and Hillairet, C. and Mrad, M.},
  title={Consistent utility of investment and consumption: a forward/backward SPDE viewpoint},
  journal={Stochastics},
  year={2018},
  volume={90},
  number={6},
  pages={927-954},
  doi={10.1080/17442508.2018.1457676},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045480681&doi=10.1080%2f17442508.2018.1457676&partnerID=40&md5=a640fef52d73e31e7c0aa1a32c305886},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian and H. Malongo, “On the link between volatilities, regime switching probabilities and correlation dynamics,” Annals of economics and statistics, iss. 131, pp. 1-24, 2018.
  [Bibtex]

  @ARTICLE{Fermanian20181,
  author={Fermanian, J.-D. and Malongo, H.},
  title={On the link between volatilities, regime switching probabilities and correlation dynamics},
  journal={Annals of Economics and Statistics},
  year={2018},
  number={131},
  pages={1-24},
  doi={10.15609/annaeconstat2009.131.0001},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85057817857&doi=10.15609%2fannaeconstat2009.131.0001&partnerID=40&md5=0ecdeed0d7ad163accfc4ee23c95d514},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian and C. Florentin, “Multifactor granularity adjustments for market and counterparty risks,” Journal of risk, vol. 20, iss. 6, pp. 1-27, 2018.
  [Bibtex]

  @ARTICLE{Fermanian20181,
  author={Fermanian, J.-D. and Florentin, C.},
  title={Multifactor granularity adjustments for market and counterparty risks},
  journal={Journal of Risk},
  year={2018},
  volume={20},
  number={6},
  pages={1-27},
  doi={10.21314/JOR.2018.387},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85052737415&doi=10.21314%2fJOR.2018.387&partnerID=40&md5=ca9ec9d894eba32d0957910e909542f7},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian and O. Lopez, “Single-index copulas,” Journal of multivariate analysis, vol. 165, pp. 27-55, 2018.
  [Bibtex]

  @ARTICLE{Fermanian201827,
  author={Fermanian, J.-D. and Lopez, O.},
  title={Single-index copulas},
  journal={Journal of Multivariate Analysis},
  year={2018},
  volume={165},
  pages={27-55},
  doi={10.1016/j.jmva.2017.11.004},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85038244683&doi=10.1016%2fj.jmva.2017.11.004&partnerID=40&md5=970c2a0e84ba8be0d2c70c9b13906205},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and G. Sucarrat, “An exponential chi-squared qmle for log-garch models via the arma representation,” Journal of financial econometrics, vol. 16, iss. 1, pp. 129-154, 2018.
  [Bibtex]

  @ARTICLE{Francq2018129,
  author={Francq, C. and Sucarrat, G.},
  title={An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation},
  journal={Journal of Financial Econometrics},
  year={2018},
  volume={16},
  number={1},
  pages={129-154},
  doi={10.1093/jjfinec/nbx032},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85040767519&doi=10.1093%2fjjfinec%2fnbx032&partnerID=40&md5=76b4631663a58c5a7394cf1bb67c25ac},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Estimation risk for the var of portfolios driven by semi-parametric multivariate models,” Journal of econometrics, vol. 205, iss. 2, pp. 381-401, 2018.
  [Bibtex]

  @ARTICLE{Francq2018381,
  author={Francq, C. and Zakoian, J.-M.},
  title={Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models},
  journal={Journal of Econometrics},
  year={2018},
  volume={205},
  number={2},
  pages={381-401},
  doi={10.1016/j.jeconom.2018.03.018},
  note={cited By 10},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046132506&doi=10.1016%2fj.jeconom.2018.03.018&partnerID=40&md5=c8c256d2e8ec683db241cd47538e6d0b},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, O. Wintenberger, and J. -M. Zakoian, “Goodness-of-fit tests for log-garch and egarch models,” Test, vol. 27, iss. 1, pp. 27-51, 2018.
  [Bibtex]

  @ARTICLE{Francq201827,
  author={Francq, C. and Wintenberger, O. and Zakoian, J.-M.},
  title={Goodness-of-fit tests for Log-GARCH and EGARCH models},
  journal={Test},
  year={2018},
  volume={27},
  number={1},
  pages={27-51},
  doi={10.1007/s11749-016-0506-2},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84990855985&doi=10.1007%2fs11749-016-0506-2&partnerID=40&md5=31c1ece34f27106017a7cfa17e9272d4},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Misspecification of noncausal order in autoregressive processes,” Journal of econometrics, vol. 205, iss. 1, pp. 226-248, 2018.
  [Bibtex]

  @ARTICLE{Gourieroux2018226,
  author={Gourieroux, C. and Jasiak, J.},
  title={Misspecification of noncausal order in autoregressive processes},
  journal={Journal of Econometrics},
  year={2018},
  volume={205},
  number={1},
  pages={226-248},
  doi={10.1016/j.jeconom.2018.03.012},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046169005&doi=10.1016%2fj.jeconom.2018.03.012&partnerID=40&md5=64633fa93675c64ae76a9aae07f20bde},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Composite indirect inference with application to corporate risks,” Econometrics and statistics, vol. 7, pp. 30-45, 2018.
  [Bibtex]

  @ARTICLE{Gourieroux201830,
  author={Gourieroux, C. and Monfort, A.},
  title={Composite indirect inference with application to corporate risks},
  journal={Econometrics and Statistics},
  year={2018},
  volume={7},
  pages={30-45},
  doi={10.1016/j.ecosta.2017.09.003},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85044762324&doi=10.1016%2fj.ecosta.2017.09.003&partnerID=40&md5=8ead36afa2921ff50b2b7449fd35f907},
  document_type={Article},
  source={Scopus},
  }

• G. Stupfler and F. Yang, “Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling,” Astin bulletin, vol. 48, iss. 1, pp. 375-411, 2018.
  [Bibtex]

  @ARTICLE{Stupfler2018375,
  author={Stupfler, G. and Yang, F.},
  title={Analyzing and predicting cat bond premiums: A financial loss premium principle and extreme value modeling},
  journal={ASTIN Bulletin},
  year={2018},
  volume={48},
  number={1},
  pages={375-411},
  doi={10.1017/asb.2017.32},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85033375336&doi=10.1017%2fasb.2017.32&partnerID=40&md5=12fa15da64f5d9b9599d7de1a3cfbc98},
  document_type={Article},
  source={Scopus},
  }

• Z. Tan and P. Tankov, “Optimal trading policies for wind energy producer,” Siam journal on financial mathematics, vol. 9, iss. 1, pp. 315-346, 2018.
  [Bibtex]

  @ARTICLE{Tan2018315,
  author={Tan, Z. and Tankov, P.},
  title={Optimal trading policies for wind energy producer},
  journal={SIAM Journal on Financial Mathematics},
  year={2018},
  volume={9},
  number={1},
  pages={315-346},
  doi={10.1137/16M1093069},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85049663311&doi=10.1137%2f16M1093069&partnerID=40&md5=86ddd9a995a840e80f8b6ba2a69432f5},
  document_type={Article},
  source={Scopus},
  }

2017

• I. Hajjej, C. Hillairet, M. Mnif, and M. Pontier, “Optimal contract with moral hazard for public private partnerships,” Stochastics: an international journal of probability and stochastic processes, 2017.
  [Bibtex]

  @article{hajjej:hal-01978178,
  author={Hajjej, Ishak and Hillairet, Caroline and Mnif, Mohamed and Pontier, Monique},
  title={Optimal contract with moral hazard for Public Private Partnerships},
  journal={Stochastics: An International Journal of Probability and Stochastic Processes},
  year={2017},
  }

• C. Blanchet-Scalliet, C. Hillairet, and Y. Jiao, “Successive enlargement of filtrations and application to insider information *,” Advances in applied probability, 2017.
  [Bibtex]

  @article{blanchetscalliet:hal-01259711,
  author={Blanchet-Scalliet, Christophette and Hillairet, Caroline and Jiao, Ying},
  title={Successive enlargement of filtrations and application to insider information *},
  journal={Advances in Applied Probability},
  year={2017},
  }

• C. M. Hafner, S. Laurent, and F. Violante, “Weak diffusion limits of dynamic conditional correlation models,” Econometric theory, 2017.
  [Bibtex]

  @article{hafner:hal-01590010,
  author={Hafner, Christian M. and Laurent, Sebastien and Violante, Francesco},
  title={Weak Diffusion Limits of Dynamic Conditional Correlation Models},
  journal={Econometric Theory},
  year={2017},
  }

• B. Alonzo, H. -K. Ringkjob, B. Jourdier, P. Drobinski, R. Plougonven, and P. Tankov, “Modelling the variability of the wind energy resource on monthly and seasonal timescales,” Renewable energy, vol. 113, pp. 1434-1446, 2017.
  [Bibtex]

  @ARTICLE{Alonzo20171434,
  author={Alonzo, B. and Ringkjob, H.-K. and Jourdier, B. and Drobinski, P. and Plougonven, R. and Tankov, P.},
  title={Modelling the variability of the wind energy resource on monthly and seasonal timescales},
  journal={Renewable Energy},
  year={2017},
  volume={113},
  pages={1434-1446},
  doi={10.1016/j.renene.2017.07.019},
  note={cited By 12},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85021936116&doi=10.1016%2fj.renene.2017.07.019&partnerID=40&md5=9531c78d81adf486a27aa2affa6e1e5c},
  document_type={Review},
  source={Scopus},
  }

• C. Blanchet-Scalliet, C. Hillairet, and Y. Jiao, “Successive enlargement of filtrations and application to insider information,” Advances in applied probability, vol. 49, iss. 3, pp. 653-685, 2017.
  [Bibtex]

  @ARTICLE{Blanchet-Scalliet2017653,
  author={Blanchet-Scalliet, C. and Hillairet, C. and Jiao, Y.},
  title={Successive enlargement of filtrations and application to insider information},
  journal={Advances in Applied Probability},
  year={2017},
  volume={49},
  number={3},
  pages={653-685},
  doi={10.1017/apr.2017.17},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029657837&doi=10.1017%2fapr.2017.17&partnerID=40&md5=dd1600198ca0d2ed8ff7080c0be84692},
  document_type={Article},
  source={Scopus},
  }

• J. Cai, M. Rosenbaum, and P. Tankov, “Asymptotic optimal tracking: feedback strategies,” Stochastics, vol. 89, iss. 6-7, pp. 943-966, 2017.
  [Bibtex]

  @ARTICLE{Cai2017943,
  author={Cai, J. and Rosenbaum, M. and Tankov, P.},
  title={Asymptotic optimal tracking: feedback strategies},
  journal={Stochastics},
  year={2017},
  volume={89},
  number={6-7},
  pages={943-966},
  doi={10.1080/17442508.2017.1285304},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013070402&doi=10.1080%2f17442508.2017.1285304&partnerID=40&md5=a32e1780cf57531d4deea348dc7b3bd4},
  document_type={Article},
  source={Scopus},
  }

• J. Cai, M. Rosenbaum, and P. Tankov, “Asymptotic lower bounds for optimal tracking: a linear programming approach,” Annals of applied probability, vol. 27, iss. 4, pp. 2455-2514, 2017.
  [Bibtex]

  @ARTICLE{Cai20172455,
  author={Cai, J. and Rosenbaum, M. and Tankov, P.},
  title={Asymptotic lower bounds for optimal tracking: A linear programming approach},
  journal={Annals of Applied Probability},
  year={2017},
  volume={27},
  number={4},
  pages={2455-2514},
  doi={10.1214/16-AAP1264},
  note={cited By 9},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85028704366&doi=10.1214%2f16-AAP1264&partnerID=40&md5=5473e325f6e4c57cb126fae61f0553d9},
  document_type={Article},
  source={Scopus},
  }

• S. Darolles, A. Monfort, and E. Renault, “Editors’ introduction,” Journal of econometrics, vol. 201, iss. 2, pp. 173-175, 2017.
  [Bibtex]

  @EDITORIAL{Darolles2017173,
  author={Darolles, S. and Monfort, A. and Renault, E.},
  title={Editors' introduction},
  journal={Journal of Econometrics},
  year={2017},
  volume={201},
  number={2},
  pages={173-175},
  doi={10.1016/j.jeconom.2017.08.001},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85030626790&doi=10.1016%2fj.jeconom.2017.08.001&partnerID=40&md5=491ca071d1523b7d804e1ef01a0a9a44},
  document_type={Editorial},
  source={Scopus},
  }

• S. De Marco, C. Hillairet, and A. Jacquier, “Shapes of implied volatility with positive mass at zero,” Siam journal on financial mathematics, vol. 8, iss. 1, pp. 709-737, 2017.
  [Bibtex]

  @ARTICLE{DeMarco2017709,
  author={De Marco, S. and Hillairet, C. and Jacquier, A.},
  title={Shapes of implied volatility with positive mass at zero},
  journal={SIAM Journal on Financial Mathematics},
  year={2017},
  volume={8},
  number={1},
  pages={709-737},
  doi={10.1137/14098065X},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85041608356&doi=10.1137%2f14098065X&partnerID=40&md5=3ae20c8ed55c5057b4314b2024f099e8},
  document_type={Article},
  source={Scopus},
  }

• A. Derumigny and J. -D. Fermanian, “About tests of the simplifying assumption for conditional copulas,” Dependence modeling, vol. 5, iss. 1, pp. 154-197, 2017.
  [Bibtex]

  @ARTICLE{Derumigny2017154,
  author={Derumigny, A. and Fermanian, J.-D.},
  title={About tests of the simplifying assumption for conditional copulas},
  journal={Dependence Modeling},
  year={2017},
  volume={5},
  number={1},
  pages={154-197},
  doi={10.1515/demo-2017-0011},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85041531185&doi=10.1515%2fdemo-2017-0011&partnerID=40&md5=6cf045ac59b773d543c3aa1a2062320d},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian, “Recent developments in copula models,” Econometrics, vol. 5, iss. 3, 2017.
  [Bibtex]

  @EDITORIAL{Fermanian2017,
  author={Fermanian, J.-D.},
  title={Recent developments in copula models},
  journal={Econometrics},
  year={2017},
  volume={5},
  number={3},
  doi={10.3390/econometrics5030034},
  art_number={34},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85030448832&doi=10.3390%2feconometrics5030034&partnerID=40&md5=6ec7ff5999684393449bcd5d14656e7c},
  document_type={Editorial},
  source={Scopus},
  }

• J. -D. Fermanian and H. Malongo, “On the stationarity of dynamic conditional correlation models,” Econometric theory, vol. 33, iss. 3, pp. 636-663, 2017.
  [Bibtex]

  @ARTICLE{Fermanian2017636,
  author={Fermanian, J.-D. and Malongo, H.},
  title={ON the STATIONARITY of DYNAMIC CONDITIONAL CORRELATION MODELS},
  journal={Econometric Theory},
  year={2017},
  volume={33},
  number={3},
  pages={636-663},
  doi={10.1017/S0266466616000116},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84965053045&doi=10.1017%2fS0266466616000116&partnerID=40&md5=e3cc478c5e1b4b6aa8a2b20693f22e62},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, M. D. Jimenez-Gamero, and S. G. Meintanis, “Tests for conditional ellipticity in multivariate garch models,” Journal of econometrics, vol. 196, iss. 2, pp. 305-319, 2017.
  [Bibtex]

  @ARTICLE{Francq2017305,
  author={Francq, C. and Jimenez-Gamero, M.D. and Meintanis, S.G.},
  title={Tests for conditional ellipticity in multivariate GARCH models},
  journal={Journal of Econometrics},
  year={2017},
  volume={196},
  number={2},
  pages={305-319},
  doi={10.1016/j.jeconom.2016.10.001},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85006084794&doi=10.1016%2fj.jeconom.2016.10.001&partnerID=40&md5=d14436131be98b77487cde1223c0b4b9},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and G. Sucarrat, “An equation-by-equation estimator of a multivariate log-garch-x model of financial returns,” Journal of multivariate analysis, vol. 153, pp. 16-32, 2017.
  [Bibtex]

  @ARTICLE{Francq201716,
  author={Francq, C. and Sucarrat, G.},
  title={An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns},
  journal={Journal of Multivariate Analysis},
  year={2017},
  volume={153},
  pages={16-32},
  doi={10.1016/j.jmva.2016.09.010},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84988974131&doi=10.1016%2fj.jmva.2016.09.010&partnerID=40&md5=a9f5cee4051c6563641855955df5b54b},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “Double instrumental variable estimation of interaction models with big data,” Journal of econometrics, vol. 201, iss. 2, pp. 176-197, 2017.
  [Bibtex]

  @ARTICLE{Gagliardini2017176,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Double instrumental variable estimation of interaction models with big data},
  journal={Journal of Econometrics},
  year={2017},
  volume={201},
  number={2},
  pages={176-197},
  doi={10.1016/j.jeconom.2017.08.002},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029772236&doi=10.1016%2fj.jeconom.2017.08.002&partnerID=40&md5=4549b46a51170a9b928941503247d33e},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Noncausal vector autoregressive process: representation, identification and semi-parametric estimation,” Journal of econometrics, vol. 200, iss. 1, pp. 118-134, 2017.
  [Bibtex]

  @ARTICLE{Gourieroux2017118,
  author={Gourieroux, C. and Jasiak, J.},
  title={Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation},
  journal={Journal of Econometrics},
  year={2017},
  volume={200},
  number={1},
  pages={118-134},
  doi={10.1016/j.jeconom.2017.01.011},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85025835857&doi=10.1016%2fj.jeconom.2017.01.011&partnerID=40&md5=6e6539abda6b946cf95564837aa433e4},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, H. T. Nguyen, and S. Sriboonchitta, “Nonparametric estimation of a scalar diffusion model from discrete time data: a survey,” Annals of operations research, vol. 256, iss. 2, pp. 203-219, 2017.
  [Bibtex]

  @ARTICLE{Gourieroux2017203,
  author={Gourieroux, C. and Nguyen, H.T. and Sriboonchitta, S.},
  title={Nonparametric estimation of a scalar diffusion model from discrete time data: a survey},
  journal={Annals of Operations Research},
  year={2017},
  volume={256},
  number={2},
  pages={203-219},
  doi={10.1007/s10479-016-2273-6},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84979266131&doi=10.1007%2fs10479-016-2273-6&partnerID=40&md5=000056f2875ab567146443313ba01549},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and J. -P. Renne, “Statistical inference for independent component analysis: application to structural var models,” Journal of econometrics, vol. 196, iss. 1, pp. 111-126, 2017.
  [Bibtex]

  @ARTICLE{Gourieroux2017111,
  author={Gourieroux, C. and Monfort, A. and Renne, J.-P.},
  title={Statistical inference for independent component analysis: Application to structural VAR models},
  journal={Journal of Econometrics},
  year={2017},
  volume={196},
  number={1},
  pages={111-126},
  doi={10.1016/j.jeconom.2016.09.007},
  note={cited By 19},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84995684270&doi=10.1016%2fj.jeconom.2016.09.007&partnerID=40&md5=de26355805da30478535e93bc1ef15ac},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. -M. Zakoian, “Local explosion modelling by non-causal process,” Journal of the royal statistical society. series b: statistical methodology, vol. 79, iss. 3, pp. 737-756, 2017.
  [Bibtex]

  @ARTICLE{Gourieroux2017737,
  author={Gourieroux, C. and Zakoian, J.-M.},
  title={Local explosion modelling by non-causal process},
  journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
  year={2017},
  volume={79},
  number={3},
  pages={737-756},
  doi={10.1111/rssb.12193},
  note={cited By 16},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85018858670&doi=10.1111%2frssb.12193&partnerID=40&md5=3cc5d31fe3eb89fe8e882b8ad52b01bd},
  document_type={Article},
  source={Scopus},
  }

• C. M. Hafner, S. Laurent, and F. Violante, “Weak diffusion limits of dynamic conditional correlation models,” Econometric theory, vol. 33, iss. 3, pp. 691-716, 2017.
  [Bibtex]

  @ARTICLE{Hafner2017691,
  author={Hafner, C.M. and Laurent, S. and Violante, F.},
  title={WEAK DIFFUSION LIMITS of DYNAMIC CONDITIONAL CORRELATION MODELS},
  journal={Econometric Theory},
  year={2017},
  volume={33},
  number={3},
  pages={691-716},
  doi={10.1017/S0266466616000128},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84976539282&doi=10.1017%2fS0266466616000128&partnerID=40&md5=39e3459240628b8b602522a016a6cb2e},
  document_type={Article},
  source={Scopus},
  }

• I. Hajjej, C. Hillairet, M. Mnif, and M. Pontier, “Optimal contract with moral hazard for public private partnerships,” Stochastics, vol. 89, iss. 6-7, pp. 1015-1038, 2017.
  [Bibtex]

  @ARTICLE{Hajjej20171015,
  author={Hajjej, I. and Hillairet, C. and Mnif, M. and Pontier, M.},
  title={Optimal contract with moral hazard for Public Private Partnerships},
  journal={Stochastics},
  year={2017},
  volume={89},
  number={6-7},
  pages={1015-1038},
  doi={10.1080/17442508.2017.1303068},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85016117099&doi=10.1080%2f17442508.2017.1303068&partnerID=40&md5=59315c937b8f39df15e7eae0dc93be98},
  document_type={Article},
  source={Scopus},
  }

• Y. Jiao, O. Klopfenstein, and P. Tankov, “Hedging under multiple risk constraints,” Finance and stochastics, vol. 21, iss. 2, pp. 361-396, 2017.
  [Bibtex]

  @ARTICLE{Jiao2017361,
  author={Jiao, Y. and Klopfenstein, O. and Tankov, P.},
  title={Hedging under multiple risk constraints},
  journal={Finance and Stochastics},
  year={2017},
  volume={21},
  number={2},
  pages={361-396},
  doi={10.1007/s00780-017-0326-6},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85015018541&doi=10.1007%2fs00780-017-0326-6&partnerID=40&md5=329ee5d4ac74053416611cac05198f30},
  document_type={Article},
  source={Scopus},
  }

• A. Monfort, F. Pegoraro, J. -P. Renne, and G. Roussellet, “Staying at zero with affine processes: an application to term structure modelling,” Journal of econometrics, vol. 201, iss. 2, pp. 348-366, 2017.
  [Bibtex]

  @ARTICLE{Monfort2017348,
  author={Monfort, A. and Pegoraro, F. and Renne, J.-P. and Roussellet, G.},
  title={Staying at zero with affine processes: An application to term structure modelling},
  journal={Journal of Econometrics},
  year={2017},
  volume={201},
  number={2},
  pages={348-366},
  doi={10.1016/j.jeconom.2017.08.013},
  note={cited By 12},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029574651&doi=10.1016%2fj.jeconom.2017.08.013&partnerID=40&md5=43c832f1a9aaa31262be596b3bdef7b5},
  document_type={Article},
  source={Scopus},
  }

2016

• S. Darolles, C. Francq, G. Le Fol, and J. Zakoian, “Intrinsic liquidity in conditional volatility models,” Annals of economics and statistics, 2016.
  [Bibtex]

  @article{darolles:hal-01500747,
  author={Darolles, Serge and Francq, Christian and Le Fol, Gaelle and Zakoian, Jean-Michel},
  title={Intrinsic Liquidity in Conditional Volatility Models},
  journal={Annals of Economics and Statistics},
  year={2016},
  }

• S. Darolles, C. Gourieroux, and S. Laurent, “Introduction to the special issue on recent developments in financial econometrics,” Annals of economics and statistics, 2016.
  [Bibtex]

  @article{darolles:hal-01448240,
  author={Darolles, Serge and Gourieroux, Christian and Laurent, Sebastien},
  title={Introduction to the special issue on recent developments in Financial Econometrics},
  journal={Annals of Economics and Statistics},
  year={2016},
  }

• G. E. Espinosa, C. Hillairet, B. Jourdain, and M. Pontier, “Reducing the debt : is it optimal to outsource an investment?,” Mathematics and financial economics, 2016.
  [Bibtex]

  @article{espinosa:hal-00824390,
  author={Espinosa, Gilles Edouard and Hillairet, Caroline and Jourdain, Benjamin and Pontier, Monique},
  title={Reducing the debt : is it optimal to outsource an investment?},
  journal={Mathematics and Financial Economics},
  year={2016},
  }

• Z. Grbac, D. Krief, and P. Tankov, “Approximate option pricing in the levy libor model..” , 2016.
  [Bibtex]

  @incollection{grbac:hal-01485687,
  author={Grbac, Zorana and Krief, David and Tankov, Peter},
  title={Approximate option pricing in the Levy Libor model.},
  journal={},
  year={2016},
  }

• J. Cai, M. Fukasawa, M. Rosenbaum, and P. Tankov, “Optimal discretization of hedging strategies with directional views,” Siam journal on financial mathematics, 2016.
  [Bibtex]

  @article{cai:hal-01367756,
  author={Cai, Jiatu and Fukasawa, Masaaki and Rosenbaum, Mathieu and Tankov, Peter},
  title={Optimal discretization of hedging strategies with directional views},
  journal={SIAM Journal on Financial Mathematics},
  year={2016},
  }

• A. Ahmad and C. Francq, “Poisson qmle of count time series models,” Journal of time series analysis, vol. 37, iss. 3, pp. 291-314, 2016.
  [Bibtex]

  @ARTICLE{Ahmad2016291,
  author={Ahmad, A. and Francq, C.},
  title={Poisson QMLE of Count Time Series Models},
  journal={Journal of Time Series Analysis},
  year={2016},
  volume={37},
  number={3},
  pages={291-314},
  doi={10.1111/jtsa.12167},
  note={cited By 30},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84949238424&doi=10.1111%2fjtsa.12167&partnerID=40&md5=3ea5013d7bbfe6dc8578971672ff827c},
  document_type={Article},
  source={Scopus},
  }

• M. -L. Allain, C. Chambolle, and P. Rey, “Vertical integration as a source of hold-up,” Review of economic studies, vol. 83, iss. 1, pp. 1-25, 2016.
  [Bibtex]

  @ARTICLE{Allain20161,
  author={Allain, M.-L. and Chambolle, C. and Rey, P.},
  title={Vertical integration as a source of hold-up},
  journal={Review of Economic Studies},
  year={2016},
  volume={83},
  number={1},
  pages={1-25},
  doi={10.1093/restud/rdv035},
  note={cited By 9},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84962883671&doi=10.1093%2frestud%2frdv035&partnerID=40&md5=360ad31529551bba7d6f50d83bc88db9},
  document_type={Article},
  source={Scopus},
  }

• H. P. Boswijk, C. Francq, M. Hallin, and R. Taylor, “Special issue on time series econometrics,” Computational statistics and data analysis, vol. 100, pp. 631-632, 2016.
  [Bibtex]

  @EDITORIAL{Boswijk2016631,
  author={Boswijk, H.P. and Francq, C. and Hallin, M. and Taylor, R.},
  title={Special issue on Time Series Econometrics},
  journal={Computational Statistics and Data Analysis},
  year={2016},
  volume={100},
  pages={631-632},
  doi={10.1016/j.csda.2016.02.006},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84960968330&doi=10.1016%2fj.csda.2016.02.006&partnerID=40&md5=7d20fb045d272a072827dade939de01c},
  document_type={Editorial},
  source={Scopus},
  }

• J. Cai, M. Fukasawa, M. Rosenbaum, and P. Tankov, “Optimal discretization of hedging strategies with directional views,” Siam journal on financial mathematics, vol. 7, iss. 1, pp. 34-69, 2016.
  [Bibtex]

  @ARTICLE{Cai201634,
  author={Cai, J. and Fukasawa, M. and Rosenbaum, M. and Tankov, P.},
  title={Optimal discretization of hedging strategies with directional views},
  journal={SIAM Journal on Financial Mathematics},
  year={2016},
  volume={7},
  number={1},
  pages={34-69},
  doi={10.1137/151004306},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85007326753&doi=10.1137%2f151004306&partnerID=40&md5=782123603d47959fe50bfabcbdbe1ea3},
  document_type={Article},
  source={Scopus},
  }

• S. Dubecq, A. Monfort, J. -P. Renne, and G. Roussellet, “Credit and liquidity in interbank rates: a quadratic approach,” Journal of banking and finance, vol. 68, pp. 29-46, 2016.
  [Bibtex]

  @ARTICLE{Dubecq201629,
  author={Dubecq, S. and Monfort, A. and Renne, J.-P. and Roussellet, G.},
  title={Credit and liquidity in interbank rates: A quadratic approach},
  journal={Journal of Banking and Finance},
  year={2016},
  volume={68},
  pages={29-46},
  doi={10.1016/j.jbankfin.2016.03.014},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84963768344&doi=10.1016%2fj.jbankfin.2016.03.014&partnerID=40&md5=bab329e97fe2487078a5ffb5ebe43954},
  document_type={Article},
  source={Scopus},
  }

• M. El Ghourabi, C. Francq, and F. Telmoudi, “Consistent estimation of the value at risk when the error distribution of the volatility model is misspecified,” Journal of time series analysis, vol. 37, iss. 1, pp. 46-76, 2016.
  [Bibtex]

  @ARTICLE{ElGhourabi201646,
  author={El Ghourabi, M. and Francq, C. and Telmoudi, F.},
  title={Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified},
  journal={Journal of Time Series Analysis},
  year={2016},
  volume={37},
  number={1},
  pages={46-76},
  doi={10.1111/jtsa.12136},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929179245&doi=10.1111%2fjtsa.12136&partnerID=40&md5=8fe921b933d6281cfcb31c6b3371816c},
  document_type={Article},
  source={Scopus},
  }

• G. E. Espinosa, C. Hillairet, B. Jourdain, and M. Pontier, “Reducing the debt: is it optimal to outsource an investment?,” Mathematics and financial economics, vol. 10, iss. 4, pp. 457-493, 2016.
  [Bibtex]

  @ARTICLE{Espinosa2016457,
  author={Espinosa, G.E. and Hillairet, C. and Jourdain, B. and Pontier, M.},
  title={Reducing the debt: is it optimal to outsource an investment?},
  journal={Mathematics and Financial Economics},
  year={2016},
  volume={10},
  number={4},
  pages={457-493},
  doi={10.1007/s11579-016-0166-8},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84961200638&doi=10.1007%2fs11579-016-0166-8&partnerID=40&md5=dc292abffa87a9aa669744d3b01b69ae},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Estimating multivariate volatility models equation by equation,” Journal of the royal statistical society. series b: statistical methodology, vol. 78, iss. 3, pp. 613-635, 2016.
  [Bibtex]

  @ARTICLE{Francq2016613,
  author={Francq, C. and Zakoian, J.-M.},
  title={Estimating multivariate volatility models equation by equation},
  journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
  year={2016},
  volume={78},
  number={3},
  pages={613-635},
  doi={10.1111/rssb.12126},
  note={cited By 16},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84948170163&doi=10.1111%2frssb.12126&partnerID=40&md5=b2089e4aeb12332e319116a1c57d930a},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and S. G. Meintanis, “Fourier-type estimation of the power garch model with stable-paretian innovations,” Metrika, vol. 79, iss. 4, pp. 389-424, 2016.
  [Bibtex]

  @ARTICLE{Francq2016389,
  author={Francq, C. and Meintanis, S.G.},
  title={Fourier-type estimation of the power GARCH model with stable-Paretian innovations},
  journal={Metrika},
  year={2016},
  volume={79},
  number={4},
  pages={389-424},
  doi={10.1007/s00184-015-0560-x},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84942060541&doi=10.1007%2fs00184-015-0560-x&partnerID=40&md5=64a5891cfa6dbaa269d25f2910405e9e},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, L. Hrváth, and J. -M. Zakoian, “Variance targeting estimation of multivariate garch models,” Journal of financial econometrics, vol. 14, iss. 2, pp. 353-382, 2016.
  [Bibtex]

  @ARTICLE{Francq2016353,
  author={Francq, C. and Hrváth, L. and Zakoian, J.-M.},
  title={Variance targeting estimation of multivariate GARCH models},
  journal={Journal of Financial Econometrics},
  year={2016},
  volume={14},
  number={2},
  pages={353-382},
  doi={10.1093/jjfinec/nbu030},
  art_number={nbu030},
  note={cited By 10},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84964327203&doi=10.1093%2fjjfinec%2fnbu030&partnerID=40&md5=727520bbfaafd903c9eaa7be9f864614},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “The double default value-of-the-firm model,” Journal of credit risk, vol. 12, iss. 2, pp. 47-76, 2016.
  [Bibtex]

  @ARTICLE{Gourieroux201647,
  author={Gourieroux, C. and Monfort, A.},
  title={The double default value-of-the-firm model},
  journal={Journal of Credit Risk},
  year={2016},
  volume={12},
  number={2},
  pages={47-76},
  doi={10.21314/JCR.2016.207},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973454169&doi=10.21314%2fJCR.2016.207&partnerID=40&md5=da3c0fef401dcdd24dca3cf0c02de72a},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Filtering, prediction and simulation methods for noncausal processes,” Journal of time series analysis, vol. 37, iss. 3, pp. 405-430, 2016.
  [Bibtex]

  @ARTICLE{Gourieroux2016405,
  author={Gourieroux, C. and Jasiak, J.},
  title={Filtering, Prediction and Simulation Methods for Noncausal Processes},
  journal={Journal of Time Series Analysis},
  year={2016},
  volume={37},
  number={3},
  pages={405-430},
  doi={10.1111/jtsa.12165},
  note={cited By 18},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84948151840&doi=10.1111%2fjtsa.12165&partnerID=40&md5=bb223e962a3802634b1848fb001f313c},
  document_type={Article},
  source={Scopus},
  }

• A. Gulisashvili and P. Tankov, “Tail behavior of sums and differences of log-normal random variables,” Bernoulli, vol. 22, iss. 1, pp. 444-493, 2016.
  [Bibtex]

  @ARTICLE{Gulisashvili2016444,
  author={Gulisashvili, A. and Tankov, P.},
  title={Tail behavior of sums and differences of log-normal random variables},
  journal={Bernoulli},
  year={2016},
  volume={22},
  number={1},
  pages={444-493},
  doi={10.3150/14-BEJ665},
  note={cited By 18},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013963774&doi=10.3150%2f14-BEJ665&partnerID=40&md5=98d31717ea90cd99eb4ffba032ba3e55},
  document_type={Article},
  source={Scopus},
  }

• L. Hatton, P. Charpentier, and E. Matzner-Lober, “Statistical estimation of the residential baseline,” Ieee transactions on power systems, vol. 31, iss. 3, pp. 1752-1759, 2016.
  [Bibtex]

  @ARTICLE{Hatton20161752,
  author={Hatton, L. and Charpentier, P. and Matzner-Lober, E.},
  title={Statistical Estimation of the Residential Baseline},
  journal={IEEE Transactions on Power Systems},
  year={2016},
  volume={31},
  number={3},
  pages={1752-1759},
  doi={10.1109/TPWRS.2015.2453889},
  art_number={7225189},
  note={cited By 32},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940702161&doi=10.1109%2fTPWRS.2015.2453889&partnerID=40&md5=e87f72a022f5b68b2379e39fee40811e},
  document_type={Article},
  source={Scopus},
  }

• D. Mehta, F. C. Tropf, J. Gratten, A. Bakshi, Z. Zhu, S. -A. Bacanu, G. Hemani, P. K. E. Magnusson, N. Barban, T. Esko, A. Metspalu, H. Snieder, B. J. Mowry, K. S. Kendler, J. Yang, P. M. Visscher, J. J. McGrath, M. C. Mills, N. R. Wray, and S. H. Lee, “Evidence for genetic overlap between schizophrenia and age at first birth in women,” Jama psychiatry, vol. 73, iss. 5, pp. 497-505, 2016.
  [Bibtex]

  @ARTICLE{Mehta2016497,
  author={Mehta, D. and Tropf, F.C. and Gratten, J. and Bakshi, A. and Zhu, Z. and Bacanu, S.-A. and Hemani, G. and Magnusson, P.K.E. and Barban, N. and Esko, T. and Metspalu, A. and Snieder, H. and Mowry, B.J. and Kendler, K.S. and Yang, J. and Visscher, P.M. and McGrath, J.J. and Mills, M.C. and Wray, N.R. and Lee, S.H.},
  title={Evidence for genetic overlap between schizophrenia and age at first birth in women},
  journal={JAMA Psychiatry},
  year={2016},
  volume={73},
  number={5},
  pages={497-505},
  doi={10.1001/jamapsychiatry.2016.0129},
  note={cited By 21},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973332881&doi=10.1001%2fjamapsychiatry.2016.0129&partnerID=40&md5=cdcdfebfac159c5fcdb262087503ddbb},
  document_type={Article},
  source={Scopus},
  }

• A. Mijatović and P. Tankov, “A new look at short-term implied volatility in asset price models with jumps,” Mathematical finance, vol. 26, iss. 1, pp. 149-183, 2016.
  [Bibtex]

  @ARTICLE{Mijatović2016149,
  author={Mijatović, A. and Tankov, P.},
  title={A new look at short-term implied volatility in asset price models with jumps},
  journal={Mathematical Finance},
  year={2016},
  volume={26},
  number={1},
  pages={149-183},
  doi={10.1111/mafi.12055},
  note={cited By 25},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84954028341&doi=10.1111%2fmafi.12055&partnerID=40&md5=eac747900b6c9bb0b3bca6abd9cfc842},
  document_type={Article},
  source={Scopus},
  }

• C. Menasse and P. Tankov, “Approximate indifference pricing in exponential levy models,” Applied mathematical finance, vol. 23, iss. 3, pp. 197-235, 2016.
  [Bibtex]

  @ARTICLE{Menasse2016197,
  author={Menasse, C. and Tankov, P.},
  title={Approximate indifference pricing in exponential Levy models},
  journal={Applied Mathematical Finance},
  year={2016},
  volume={23},
  number={3},
  pages={197-235},
  doi={10.1080/1350486X.2016.1227270},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986189978&doi=10.1080%2f1350486X.2016.1227270&partnerID=40&md5=87bd28e7133c8f3794f4e3e4de02a108},
  document_type={Article},
  source={Scopus},
  }

• G. Otto, A. Lamote, E. Deckers, V. Dumont, P. Delahaut, M. -L. Scippo, J. Pleck, C. Hillairet, and N. Gillard, “A flow-cytometry-based method for detecting simultaneously five allergens in a complex food matrix,” Journal of food science and technology, vol. 53, iss. 12, pp. 4179-4186, 2016.
  [Bibtex]

  @ARTICLE{Otto20164179,
  author={Otto, G. and Lamote, A. and Deckers, E. and Dumont, V. and Delahaut, P. and Scippo, M.-L. and Pleck, J. and Hillairet, C. and Gillard, N.},
  title={A flow-cytometry-based method for detecting simultaneously five allergens in a complex food matrix},
  journal={Journal of Food Science and Technology},
  year={2016},
  volume={53},
  number={12},
  pages={4179-4186},
  doi={10.1007/s13197-016-2402-x},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85000997227&doi=10.1007%2fs13197-016-2402-x&partnerID=40&md5=4678713e995a16b6b11c3c8205fc55d6},
  document_type={Article},
  source={Scopus},
  }

• P. Tankov, “Tails of weakly dependent random vectors,” Journal of multivariate analysis, vol. 145, pp. 73-86, 2016.
  [Bibtex]

  @ARTICLE{Tankov201673,
  author={Tankov, P.},
  title={Tails of weakly dependent random vectors},
  journal={Journal of Multivariate Analysis},
  year={2016},
  volume={145},
  pages={73-86},
  doi={10.1016/j.jmva.2015.12.008},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84952918512&doi=10.1016%2fj.jmva.2015.12.008&partnerID=40&md5=c0cb0140f0813a372259afb209d5aee6},
  document_type={Article},
  source={Scopus},
  }

2015

• A. Ahmad and C. Francq, “Poisson qmle of count time series models,” Journal of time series analysis, 2015.
  [Bibtex]

  @article{ahmad:hal-01533548,
  author={Ahmad, Ali and Francq, Christian},
  title={Poisson QMLE of Count Time Series Models},
  journal={Journal of Time Series Analysis},
  year={2015},
  }

• S. Darolles and C. Gourieroux, Contagion phenomena with applications in finance, , 2015.
  [Bibtex]

  @book{darolles:hal-02571861,
  author={Darolles, Serge and Gourieroux, Christian},
  title={Contagion phenomena with applications in finance},
  journal={},
  year={2015},
  }

• M. E. Sanin, F. Violante, and M. Mansanet-Bataller, “Understanding volatility dynamics in the eu-ets market,” Energy policy, 2015.
  [Bibtex]

  @article{sanin:hal-02878047,
  author={Sanin, Maria Eugenia and Violante, Francesco and Mansanet-Bataller, Maria},
  title={Understanding volatility dynamics in the EU-ETS market},
  journal={Energy Policy},
  year={2015},
  }

• H. N. Chau and P. Tankov, “Market models with optimal arbitrage,” Siam journal on financial mathematics, vol. 6, iss. 1, pp. 66-85, 2015.
  [Bibtex]

  @ARTICLE{Chau201566,
  author={Chau, H.N. and Tankov, P.},
  title={Market models with optimal arbitrage},
  journal={SIAM Journal on Financial Mathematics},
  year={2015},
  volume={6},
  number={1},
  pages={66-85},
  doi={10.1137/140953666},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925349149&doi=10.1137%2f140953666&partnerID=40&md5=fdc2721e37038d6a2c3dc25725dd3be3},
  document_type={Article},
  source={Scopus},
  }

• S. Darolles and C. Gourieroux, “Performance fees and hedge fund return dynamics,” International journal of approximate reasoning, vol. 65, pp. 45-58, 2015.
  [Bibtex]

  @ARTICLE{Darolles201545,
  author={Darolles, S. and Gourieroux, C.},
  title={Performance fees and hedge fund return dynamics},
  journal={International Journal of Approximate Reasoning},
  year={2015},
  volume={65},
  pages={45-58},
  doi={10.1016/j.ijar.2015.03.006},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84941316799&doi=10.1016%2fj.ijar.2015.03.006&partnerID=40&md5=fdf61ccae69796627e48881b1df06077},
  document_type={Article},
  source={Scopus},
  }

• S. Darolles, C. Gourieroux, and J. Teiletche, “The dynamics of hedge fund performance,” Studies in computational intelligence, vol. 583, pp. 85-113, 2015.
  [Bibtex]

  @ARTICLE{Darolles201585,
  author={Darolles, S. and Gourieroux, C. and Teiletche, J.},
  title={The dynamics of hedge fund performance},
  journal={Studies in Computational Intelligence},
  year={2015},
  volume={583},
  pages={85-113},
  doi={10.1007/978-3-319-13449-9_7},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84919341506&doi=10.1007%2f978-3-319-13449-9_7&partnerID=40&md5=53277ee5359d8bcd9772d8325166882e},
  document_type={Article},
  source={Scopus},
  }

• C. De Franco, P. Tankov, and X. Warin, “Numerical methods for the quadratic hedging problem in markov models with jumps,” Journal of computational finance, vol. 19, iss. 2, pp. 29-67, 2015.
  [Bibtex]

  @ARTICLE{DeFranco201529,
  author={De Franco, C. and Tankov, P. and Warin, X.},
  title={Numerical methods for the quadratic hedging problem in Markov models with jumps},
  journal={Journal of Computational Finance},
  year={2015},
  volume={19},
  number={2},
  pages={29-67},
  doi={10.21314/JCF.2015.294},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973597959&doi=10.21314%2fJCF.2015.294&partnerID=40&md5=2bd66dd89ce316fed17bb4cfada300a4},
  document_type={Article},
  source={Scopus},
  }

• P. Duchesne and C. Francq, “Multivariate hypothesis testing using generalized and 2-inverses – with applications,” Statistics, vol. 49, iss. 3, pp. 475-496, 2015.
  [Bibtex]

  @ARTICLE{Duchesne2015475,
  author={Duchesne, P. and Francq, C.},
  title={Multivariate hypothesis testing using generalized and {2}-inverses - with applications},
  journal={Statistics},
  year={2015},
  volume={49},
  number={3},
  pages={475-496},
  doi={10.1080/02331888.2014.896917},
  note={cited By 10},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929842568&doi=10.1080%2f02331888.2014.896917&partnerID=40&md5=29ed49ae255aa03c77e68b5656cc655b},
  document_type={Article},
  source={Scopus},
  }

• M. Eugenia Sanin, F. Violante, and M. Mansanet-Bataller, “Understanding volatility dynamics in the eu-ets market,” Energy policy, vol. 82, iss. 1, pp. 321-331, 2015.
  [Bibtex]

  @ARTICLE{EugeniaSanin2015321,
  author={Eugenia Sanin, M. and Violante, F. and Mansanet-Bataller, M.},
  title={Understanding volatility dynamics in the EU-ETS market},
  journal={Energy Policy},
  year={2015},
  volume={82},
  number={1},
  pages={321-331},
  doi={10.1016/j.enpol.2015.02.024},
  note={cited By 36},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84933178798&doi=10.1016%2fj.enpol.2015.02.024&partnerID=40&md5=100e00e969834c94099970a6c767019d},
  document_type={Article},
  source={Scopus},
  }

• S. Federico and P. Tankov, “Finite-dimensional representations for controlled diffusions with delay,” Applied mathematics and optimization, vol. 71, iss. 1, pp. 165-194, 2015.
  [Bibtex]

  @ARTICLE{Federico2015165,
  author={Federico, S. and Tankov, P.},
  title={Finite-Dimensional Representations for Controlled Diffusions with Delay},
  journal={Applied Mathematics and Optimization},
  year={2015},
  volume={71},
  number={1},
  pages={165-194},
  doi={10.1007/s00245-014-9256-2},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84922337834&doi=10.1007%2fs00245-014-9256-2&partnerID=40&md5=a0c08c349729b6c867330ca5ad77e989},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian and O. Vigneron, “On break-even correlation: the way to price structured credit derivatives by replication,” Quantitative finance, vol. 15, iss. 5, pp. 829-840, 2015.
  [Bibtex]

  @ARTICLE{Fermanian2015829,
  author={Fermanian, J.-D. and Vigneron, O.},
  title={On break-even correlation: the way to price structured credit derivatives by replication},
  journal={Quantitative Finance},
  year={2015},
  volume={15},
  number={5},
  pages={829-840},
  doi={10.1080/14697688.2013.812233},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84927174055&doi=10.1080%2f14697688.2013.812233&partnerID=40&md5=29d8b4f27fab8bf14785d2b9e3bf5e17},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian, D. Radulović, and M. Wegkamp, “Asymptotic total variation tests for copulas,” Bernoulli, vol. 21, iss. 3, pp. 1911-1945, 2015.
  [Bibtex]

  @ARTICLE{Fermanian20151911,
  author={Fermanian, J.-D. and Radulović, D. and Wegkamp, M.},
  title={Asymptotic total variation tests for copulas},
  journal={Bernoulli},
  year={2015},
  volume={21},
  number={3},
  pages={1911-1945},
  doi={10.3150/14-BEJ632},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84938563757&doi=10.3150%2f14-BEJ632&partnerID=40&md5=66051faa5458ca7e22ad6d5598d6410a},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Risk-parameter estimation in volatility models,” Journal of econometrics, vol. 184, iss. 1, pp. 158-173, 2015.
  [Bibtex]

  @ARTICLE{Francq2015158,
  author={Francq, C. and Zakoian, J.-M.},
  title={Risk-parameter estimation in volatility models},
  journal={Journal of Econometrics},
  year={2015},
  volume={184},
  number={1},
  pages={158-173},
  doi={10.1016/j.jeconom.2014.06.019},
  note={cited By 15},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84913590668&doi=10.1016%2fj.jeconom.2014.06.019&partnerID=40&md5=ae9a1aef10b2c73b059c7b7abaf688f7},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and S. Darolles, Contagion phenomena with applications in finance, , 2015.
  [Bibtex]

  @BOOK{Gourieroux20151,
  author={Gourieroux, C. and Darolles, S.},
  title={Contagion Phenomena with Applications in Finance},
  journal={Contagion Phenomena with Applications in Finance},
  year={2015},
  pages={1-154},
  doi={10.1016/C2014-0-04736-3},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84980396127&doi=10.1016%2fC2014-0-04736-3&partnerID=40&md5=b2623e5c4cb83ee0a65b27a4ca66040f},
  document_type={Book},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Pricing with finite dimensional dependence,” Journal of econometrics, vol. 187, iss. 2, pp. 408-417, 2015.
  [Bibtex]

  @ARTICLE{Gourieroux2015408,
  author={Gourieroux, C. and Monfort, A.},
  title={Pricing with finite dimensional dependence},
  journal={Journal of Econometrics},
  year={2015},
  volume={187},
  number={2},
  pages={408-417},
  doi={10.1016/j.jeconom.2015.02.027},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84945459025&doi=10.1016%2fj.jeconom.2015.02.027&partnerID=40&md5=644ea4f2aa31a12080164ea208115f50},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and Y. Lu, “Love and death: a freund model with frailty,” Insurance: mathematics and economics, vol. 63, pp. 191-203, 2015.
  [Bibtex]

  @ARTICLE{Gourieroux2015191,
  author={Gourieroux, C. and Lu, Y.},
  title={Love and death: A Freund model with frailty},
  journal={Insurance: Mathematics and Economics},
  year={2015},
  volume={63},
  pages={191-203},
  doi={10.1016/j.insmatheco.2015.03.016},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84937970893&doi=10.1016%2fj.insmatheco.2015.03.016&partnerID=40&md5=3cfe7279c38acd308bb0e34431f88c54},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. -M. Zakoian, “On uniqueness of moving average representations of heavy-tailed stationary processes,” Journal of time series analysis, vol. 36, iss. 6, pp. 876-887, 2015.
  [Bibtex]

  @ARTICLE{Gourieroux2015876,
  author={Gourieroux, C. and Zakoian, J.-M.},
  title={On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes},
  journal={Journal of Time Series Analysis},
  year={2015},
  volume={36},
  number={6},
  pages={876-887},
  doi={10.1111/jtsa.12139},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84944441178&doi=10.1111%2fjtsa.12139&partnerID=40&md5=d5c80f7c680632e11ae78788baa54d7c},
  document_type={Article},
  source={Scopus},
  }

• A. Hencic and C. Gourieroux, “Noncausal autoregressive model in application to bitcoin/usd exchange rates,” Studies in computational intelligence, vol. 583, pp. 17-40, 2015.
  [Bibtex]

  @ARTICLE{Hencic201517,
  author={Hencic, A. and Gourieroux, C.},
  title={Noncausal autoregressive model in application to bitcoin/USD exchange rates},
  journal={Studies in Computational Intelligence},
  year={2015},
  volume={583},
  pages={17-40},
  doi={10.1007/978-3-319-13449-9_2},
  note={cited By 29},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84919341625&doi=10.1007%2f978-3-319-13449-9_2&partnerID=40&md5=61928c223aec25683d7c3346ffd8f16b},
  document_type={Article},
  source={Scopus},
  }

• C. Hillairet and Y. Jiao, “Portfolio optimization with insider’s initial information and counterparty risk,” Finance and stochastics, vol. 19, iss. 1, pp. 109-134, 2015.
  [Bibtex]

  @ARTICLE{Hillairet2015109,
  author={Hillairet, C. and Jiao, Y.},
  title={Portfolio optimization with insider's initial information and counterparty risk},
  journal={Finance and Stochastics},
  year={2015},
  volume={19},
  number={1},
  pages={109-134},
  doi={10.1007/s00780-014-0246-7},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84919475917&doi=10.1007%2fs00780-014-0246-7&partnerID=40&md5=6782b93587f1c085c934e50f0cfcbf95},
  document_type={Article},
  source={Scopus},
  }

• D. Li, S. Ling, and J. -M. Zakoian, “Asymptotic inference in multiple-threshold double autoregressive models,” Journal of econometrics, vol. 189, iss. 2, pp. 415-427, 2015.
  [Bibtex]

  @ARTICLE{Li2015415,
  author={Li, D. and Ling, S. and Zakoian, J.-M.},
  title={Asymptotic inference in multiple-threshold double autoregressive models},
  journal={Journal of Econometrics},
  year={2015},
  volume={189},
  number={2},
  pages={415-427},
  doi={10.1016/j.jeconom.2015.03.033},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84945475841&doi=10.1016%2fj.jeconom.2015.03.033&partnerID=40&md5=2400668b81e4ef3b90a107220e404a2b},
  document_type={Article},
  source={Scopus},
  }

• A. Monfort, J. -P. Renne, and G. Roussellet, “A quadratic kalman filter,” Journal of econometrics, vol. 187, iss. 1, pp. 43-56, 2015.
  [Bibtex]

  @ARTICLE{Monfort201543,
  author={Monfort, A. and Renne, J.-P. and Roussellet, G.},
  title={A Quadratic Kalman Filter},
  journal={Journal of Econometrics},
  year={2015},
  volume={187},
  number={1},
  pages={43-56},
  doi={10.1016/j.jeconom.2015.01.003},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929615719&doi=10.1016%2fj.jeconom.2015.01.003&partnerID=40&md5=2171d359aea7d4b643a15fc46eae34a2},
  document_type={Article},
  source={Scopus},
  }

• F. C. Tropf, G. Stulp, N. Barban, P. M. Visscher, J. Yang, H. Snieder, and M. C. Mills, “Human fertility, molecular genetics, and natural selection in modern societies,” Plos one, vol. 10, iss. 6, 2015.
  [Bibtex]

  @ARTICLE{Tropf2015,
  author={Tropf, F.C. and Stulp, G. and Barban, N. and Visscher, P.M. and Yang, J. and Snieder, H. and Mills, M.C.},
  title={Human fertility, molecular genetics, and natural selection in modern societies},
  journal={PLoS ONE},
  year={2015},
  volume={10},
  number={6},
  doi={10.1371/journal.pone.0126821},
  art_number={e0126821},
  note={cited By 39},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84935873143&doi=10.1371%2fjournal.pone.0126821&partnerID=40&md5=c632d43c54ce2fbab717e97284c5da13},
  document_type={Article},
  source={Scopus},
  }

2014

• S. Darolles and C. Gourieroux, “The effects of management and provision accounts on hedge fund returns – part i: the high water mark scheme,” Advances in intelligent systems and computing, vol. 251, pp. 23-43, 2014.
  [Bibtex]

  @ARTICLE{Darolles201423,
  author={Darolles, S. and Gourieroux, C.},
  title={The effects of management and provision accounts on hedge fund returns - Part I: The High Water Mark Scheme},
  journal={Advances in Intelligent Systems and Computing},
  year={2014},
  volume={251},
  pages={23-43},
  doi={10.1007/978-3-319-03395-2_2},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84897870137&doi=10.1007%2f978-3-319-03395-2_2&partnerID=40&md5=8d12cfb00d574be7760c487cce18e493},
  document_type={Conference Paper},
  source={Scopus},
  }

• S. Darolles and C. Gourieroux, “The effects of management and provision accounts on hedge fund returns – part ii: the loss carry forward scheme,” Advances in intelligent systems and computing, vol. 251, pp. 47-61, 2014.
  [Bibtex]

  @ARTICLE{Darolles201447,
  author={Darolles, S. and Gourieroux, C.},
  title={The effects of management and provision accounts on hedge fund returns - Part II: The Loss Carry Forward scheme},
  journal={Advances in Intelligent Systems and Computing},
  year={2014},
  volume={251},
  pages={47-61},
  doi={10.1007/978-3-319-03395-2_3},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84897835299&doi=10.1007%2f978-3-319-03395-2_3&partnerID=40&md5=f87ea9ff0f4ef10fe193d8e80e5fb9ab},
  document_type={Conference Paper},
  source={Scopus},
  }

• J. -D. Fermanian, “The limits of granularity adjustments,” Journal of banking and finance, vol. 45, iss. 1, pp. 9-25, 2014.
  [Bibtex]

  @ARTICLE{Fermanian20149,
  author={Fermanian, J.-D.},
  title={The limits of granularity adjustments},
  journal={Journal of Banking and Finance},
  year={2014},
  volume={45},
  number={1},
  pages={9-25},
  doi={10.1016/j.jbankfin.2014.04.023},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901660604&doi=10.1016%2fj.jbankfin.2014.04.023&partnerID=40&md5=025da4ed354dc530ff29b3e60d442ade},
  document_type={Article},
  source={Scopus},
  }

• J. E. Figueroa-López and P. Tankov, “Small-time asymptotics of stopped levy bridges and simulation schemes with controlled bias,” Bernoulli, vol. 20, iss. 3, pp. 1126-1164, 2014.
  [Bibtex]

  @ARTICLE{Figueroa-López20141126,
  author={Figueroa-López, J.E. and Tankov, P.},
  title={Small-time asymptotics of stopped Levy bridges and simulation schemes with controlled bias},
  journal={Bernoulli},
  year={2014},
  volume={20},
  number={3},
  pages={1126-1164},
  doi={10.3150/13-BEJ517},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84903947542&doi=10.3150%2f13-BEJ517&partnerID=40&md5=cf54049902a984a06e095b3df17dd39d},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Comment,” Journal of business and economic statistics, vol. 32, iss. 2, pp. 198-201, 2014.
  [Bibtex]

  @ARTICLE{Francq2014198,
  author={Francq, C. and Zakoian, J.-M.},
  title={Comment},
  journal={Journal of Business and Economic Statistics},
  year={2014},
  volume={32},
  number={2},
  pages={198-201},
  doi={10.1080/07350015.2013.879829},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925940270&doi=10.1080%2f07350015.2013.879829&partnerID=40&md5=350b7b3de2fa85a007343e91ab9d1a0e},
  document_type={Note},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Multi-level conditional var estimation in dynamic models,” Advances in intelligent systems and computing, vol. 251, pp. 3-19, 2014.
  [Bibtex]

  @ARTICLE{Francq20143,
  author={Francq, C. and Zakoian, J.-M.},
  title={Multi-level conditional VaR estimation in dynamic models},
  journal={Advances in Intelligent Systems and Computing},
  year={2014},
  volume={251},
  pages={3-19},
  doi={10.1007/978-3-319-03395-2_1},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84897873310&doi=10.1007%2f978-3-319-03395-2_1&partnerID=40&md5=f335bdbdee6d69c2e7cd72aba863b667},
  document_type={Conference Paper},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “Efficiency in large dynamic panel models with common factors,” Econometric theory, vol. 30, iss. 5, pp. 961-1020, 2014.
  [Bibtex]

  @ARTICLE{Gagliardini2014961,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Efficiency in large dynamic panel models with common factors},
  journal={Econometric Theory},
  year={2014},
  volume={30},
  number={5},
  pages={961-1020},
  doi={10.1017/S0266466614000024},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901567879&doi=10.1017%2fS0266466614000024&partnerID=40&md5=6665634c64a454266daca6e8e5bff063},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, Granularity theory with applications to finance and insurance, , 2014.
  [Bibtex]

  @BOOK{Gagliardini20141,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Granularity theory with applications to finance and insurance},
  journal={Granularity Theory with Applications to Finance and Insurance},
  year={2014},
  pages={1-186},
  doi={10.1017/CBO9781107709393},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84953374545&doi=10.1017%2fCBO9781107709393&partnerID=40&md5=6621d7cca59f3abb14d920ad055c10cd},
  document_type={Book},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, F. Pegoraro, and J. -P. Renne, “Regime switching and bond pricing,” Journal of financial econometrics, vol. 12, iss. 2, pp. 237-277, 2014.
  [Bibtex]

  @ARTICLE{Gourieroux2014237,
  author={Gourieroux, C. and Monfort, A. and Pegoraro, F. and Renne, J.-P.},
  title={Regime switching and bond pricing},
  journal={Journal of Financial Econometrics},
  year={2014},
  volume={12},
  number={2},
  pages={237-277},
  doi={10.1093/jjfinec/nbt019},
  art_number={nbt019},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940248130&doi=10.1093%2fjjfinec%2fnbt019&partnerID=40&md5=239f464b75f1d998f307edf5c944264b},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and J. P. Renne, “Erratum: pricing default events: surprise, exogeneity and contagion (journal of econometrics (2014) 182:2 (397-411)),” Journal of econometrics, vol. 183, iss. 2, p. 150, 2014.
  [Bibtex]

  @ARTICLE{Gourieroux2014150,
  author={Gourieroux, C. and Monfort, A. and Renne, J.P.},
  title={Erratum: Pricing default events: Surprise, exogeneity and contagion (Journal of Econometrics (2014) 182:2 (397-411))},
  journal={Journal of Econometrics},
  year={2014},
  volume={183},
  number={2},
  pages={150},
  doi={10.1016/j.jeconom.2014.10.001},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84922655528&doi=10.1016%2fj.jeconom.2014.10.001&partnerID=40&md5=796f47cfa496f9b5dc64b0992068ac35},
  document_type={Erratum},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and J. P. Renne, “Pricing default events: surprise, exogeneity and contagion,” Journal of econometrics, vol. 182, iss. 2, pp. 397-411, 2014.
  [Bibtex]

  @ARTICLE{Gourieroux2014397,
  author={Gourieroux, C. and Monfort, A. and Renne, J.P.},
  title={Pricing default events: Surprise, exogeneity and contagion},
  journal={Journal of Econometrics},
  year={2014},
  volume={182},
  number={2},
  pages={397-411},
  doi={10.1016/j.jeconom.2014.05.005},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904968834&doi=10.1016%2fj.jeconom.2014.05.005&partnerID=40&md5=b0421a667620f0c6de257e9c81aeee1a},
  document_type={Article},
  source={Scopus},
  }

• A. Kohatsu-Higa, S. Ortiz-Latorre, and P. Tankov, “Optimal simulation schemes for ä¹evy driven stochastic differential equations,” Mathematics of computation, vol. 83, iss. 289, pp. 2293-2324, 2014.
  [Bibtex]

  @ARTICLE{Kohatsu-Higa20142293,
  author={Kohatsu-Higa, A. and Ortiz-Latorre, S. and Tankov, P.},
  title={Optimal Simulation Schemes For Ĺevy driven stochastic differential equations},
  journal={Mathematics of Computation},
  year={2014},
  volume={83},
  number={289},
  pages={2293-2324},
  doi={10.1090/s0025-5718-2013-02786-x},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84909989563&doi=10.1090%2fs0025-5718-2013-02786-x&partnerID=40&md5=4037a319aff3fe3ffffca35e6474384b},
  document_type={Article},
  source={Scopus},
  }

• E. J. Kontoghiorghes, H. K. Van Dijk, D. A. Belsley, T. Bollerslev, F. X. Diebold, J. -M. Dufour, R. Engle, A. Harvey, S. J. Koopman, H. Pesaran, P. C. B. Phillips, R. J. Smith, M. West, Q. Yao, A. Amendola, M. Billio, C. W. S. Chen, C. Chiarella, A. Colubi, M. Deistler, C. Francq, M. Hallin, E. Jacquier, K. Judd, G. Koop, H. Lutkepohl, J. G. MacKinnon, S. Mittnik, Y. Omori, D. S. G. Pollock, T. Proietti, J. V. K. Rombouts, O. Scaillet, W. Semmler, M. K. P. So, M. Steel, R. Taylor, E. Tzavalis, J. -M. Zakoian, H. Peter Boswijk, A. Luati, and J. Maheu, “Cfenetwork: the annals of computational and financial econometrics: 2nd issue,” Computational statistics and data analysis, vol. 76, pp. 1-3, 2014.
  [Bibtex]

  @EDITORIAL{Kontoghiorghes20141,
  author={Kontoghiorghes, E.J. and Van Dijk, H.K. and Belsley, D.A. and Bollerslev, T. and Diebold, F.X. and Dufour, J.-M. and Engle, R. and Harvey, A. and Koopman, S.J. and Pesaran, H. and Phillips, P.C.B. and Smith, R.J. and West, M. and Yao, Q. and Amendola, A. and Billio, M. and Chen, C.W.S. and Chiarella, C. and Colubi, A. and Deistler, M. and Francq, C. and Hallin, M. and Jacquier, E. and Judd, K. and Koop, G. and Lutkepohl, H. and MacKinnon, J.G. and Mittnik, S. and Omori, Y. and Pollock, D.S.G. and Proietti, T. and Rombouts, J.V.K. and Scaillet, O. and Semmler, W. and So, M.K.P. and Steel, M. and Taylor, R. and Tzavalis, E. and Zakoian, J.-M. and Peter Boswijk, H. and Luati, A. and Maheu, J.},
  title={CFEnetwork: The Annals of computational and financial econometrics: 2nd issue},
  journal={Computational Statistics and Data Analysis},
  year={2014},
  volume={76},
  pages={1-3},
  doi={10.1016/j.csda.2014.04.006},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901451542&doi=10.1016%2fj.csda.2014.04.006&partnerID=40&md5=74f8e8ce1c760e8a1f879dfd8dce5089},
  document_type={Editorial},
  source={Scopus},
  }

• A. Monfort and J. -P. Renne, “Decomposing euro-area sovereign spreads: credit and liquidity risks,” Review of finance, vol. 18, iss. 6, pp. 2103-2115, 2014.
  [Bibtex]

  @ARTICLE{Monfort20142103,
  author={Monfort, A. and Renne, J.-P.},
  title={Decomposing Euro-area sovereign spreads: Credit and liquidity risks},
  journal={Review of Finance},
  year={2014},
  volume={18},
  number={6},
  pages={2103-2115},
  doi={10.1093/rof/rft049},
  note={cited By 39},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84927159898&doi=10.1093%2frof%2frft049&partnerID=40&md5=87f9cffc1aba2b80b94999be533f0e59},
  document_type={Article},
  source={Scopus},
  }

• P. Rey and T. Verge, “Vertical restraints in european competition policy,” Concurrences, vol. None, iss. 4, pp. 44-53, 2014.
  [Bibtex]

  @ARTICLE{Rey2014VerticalPolicy,
  author={Patrick Rey and Thibaud Verge},
  title={Vertical restraints in European competition policy},
  journal={Concurrences},
  year={2014},
  volume={None},
  number={4},
  pages={44-53},
  }

• P. Rey and T. Verge, “Vertical restraints in european competition policy,” Concurrences, iss. 4, pp. 44-53, 2014.
  [Bibtex]

  @ARTICLE{Rey201444,
  author={Rey, P. and Verge, T.},
  title={Vertical restraints in European competition policy},
  journal={Concurrences},
  year={2014},
  number={4},
  pages={44-53},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85037361250&partnerID=40&md5=42d1978365f873acd7ecceb70d33ff17},
  document_type={Article},
  source={Scopus},
  }

• J. Rombouts, L. Stentoft, and F. Violante, “The value of multivariate model sophistication: an application to pricing dow jones industrial average options,” International journal of forecasting, vol. 30, iss. 1, pp. 78-98, 2014.
  [Bibtex]

  @ARTICLE{Rombouts201478,
  author={Rombouts, J. and Stentoft, L. and Violante, F.},
  title={The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options},
  journal={International Journal of Forecasting},
  year={2014},
  volume={30},
  number={1},
  pages={78-98},
  doi={10.1016/j.ijforecast.2013.07.006},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84886830438&doi=10.1016%2fj.ijforecast.2013.07.006&partnerID=40&md5=c1e737e108270980c81fd68d2e095f28},
  document_type={Article},
  source={Scopus},
  }

• M. Rosenbaum and P. Tankov, “Asymptotically optimal discretization of hedging strategies with jumps,” Annals of applied probability, vol. 24, iss. 3, pp. 1002-1048, 2014.
  [Bibtex]

  @ARTICLE{Rosenbaum20141002,
  author={Rosenbaum, M. and Tankov, P.},
  title={Asymptotically optimal discretization of hedging strategies with jumps},
  journal={Annals of Applied Probability},
  year={2014},
  volume={24},
  number={3},
  pages={1002-1048},
  doi={10.1214/13-AAP940},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84899538558&doi=10.1214%2f13-AAP940&partnerID=40&md5=6077021a4076cac3d81238aa5b541c9c},
  document_type={Article},
  source={Scopus},
  }

2013

• L. Broze, C. Gourieroux, and A. Szafarz, Reduced forms of rational expectations models, , 2013.
  [Bibtex]

  @BOOK{Broze20131,
  author={Broze, L. and Gourieroux, C. and Szafarz, A.},
  title={Reduced forms of rational expectations models},
  journal={Reduced Forms of Rational Expectations Models},
  year={2013},
  pages={1-120},
  doi={10.4324/9781315014685},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079526721&doi=10.4324%2f9781315014685&partnerID=40&md5=003796c2946567a13510a137fbdede7d},
  document_type={Book},
  source={Scopus},
  }

• J. -D. Fermanian, “A top-down approach for asset-backed securities: a consistent way of managing prepayment, default and interest rate risks,” Journal of real estate finance and economics, vol. 46, iss. 3, pp. 480-515, 2013.
  [Bibtex]

  @ARTICLE{Fermanian2013480,
  author={Fermanian, J.-D.},
  title={A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks},
  journal={Journal of Real Estate Finance and Economics},
  year={2013},
  volume={46},
  number={3},
  pages={480-515},
  doi={10.1007/s11146-011-9331-2},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874956562&doi=10.1007%2fs11146-011-9331-2&partnerID=40&md5=c56b3a65c78944d22f7cf74421406be6},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Optimal predictions of powers of conditionally heteroscedastic processes,” Journal of the royal statistical society. series b: statistical methodology, vol. 75, iss. 2, pp. 345-367, 2013.
  [Bibtex]

  @ARTICLE{Francq2013345,
  author={Francq, C. and Zakoian, J.-M.},
  title={Optimal predictions of powers of conditionally heteroscedastic processes},
  journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
  year={2013},
  volume={75},
  number={2},
  pages={345-367},
  doi={10.1111/j.1467-9868.2012.01045.x},
  note={cited By 24},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84873303984&doi=10.1111%2fj.1467-9868.2012.01045.x&partnerID=40&md5=9bafacbc3f3b1884cb8d4f7f72df6f67},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Estimating the marginal law of a time series with applications to heavy-tailed distributions,” Journal of business and economic statistics, vol. 31, iss. 4, pp. 412-425, 2013.
  [Bibtex]

  @ARTICLE{Francq2013412,
  author={Francq, C. and Zakoian, J.-M.},
  title={Estimating the marginal law of a time series with applications to heavy-tailed distributions},
  journal={Journal of Business and Economic Statistics},
  year={2013},
  volume={31},
  number={4},
  pages={412-425},
  doi={10.1080/07350015.2013.801776},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901624855&doi=10.1080%2f07350015.2013.801776&partnerID=40&md5=83222dfc5db5d733d094bccdcd6fff51},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Inference in nonstationary asymmetric garch models,” Annals of statistics, vol. 41, iss. 4, pp. 1970-1998, 2013.
  [Bibtex]

  @ARTICLE{Francq20131970,
  author={Francq, C. and Zakoian, J.-M.},
  title={Inference in nonstationary asymmetric GARCH models},
  journal={Annals of Statistics},
  year={2013},
  volume={41},
  number={4},
  pages={1970-1998},
  doi={10.1214/13-AOS1132},
  note={cited By 21},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84899888886&doi=10.1214%2f13-AOS1132&partnerID=40&md5=90a782f8e1136c16384c3436040ea950},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, O. Wintenberger, and J. -M. Zakoian, “Garch models without positivity constraints: exponential or log garch?,” Journal of econometrics, vol. 177, iss. 1, pp. 34-46, 2013.
  [Bibtex]

  @ARTICLE{Francq201334,
  author={Francq, C. and Wintenberger, O. and Zakoian, J.-M.},
  title={GARCH models without positivity constraints: Exponential or log GARCH?},
  journal={Journal of Econometrics},
  year={2013},
  volume={177},
  number={1},
  pages={34-46},
  doi={10.1016/j.jeconom.2013.05.004},
  note={cited By 25},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883460405&doi=10.1016%2fj.jeconom.2013.05.004&partnerID=40&md5=8b0aa2c212edb9ba90c588ba223c16fd},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “Correlated risks vs contagion in stochastic transition models,” Journal of economic dynamics and control, vol. 37, iss. 11, pp. 2241-2269, 2013.
  [Bibtex]

  @ARTICLE{Gagliardini20132241,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Correlated risks vs contagion in stochastic transition models},
  journal={Journal of Economic Dynamics and Control},
  year={2013},
  volume={37},
  number={11},
  pages={2241-2269},
  doi={10.1016/j.jedc.2013.05.016},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883144469&doi=10.1016%2fj.jedc.2013.05.016&partnerID=40&md5=33d45bff128a24f694d7fadf47869ac0},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “Granularity adjustment for risk measures: systematic vs unsystematic risks,” International journal of approximate reasoning, vol. 54, iss. 6, pp. 717-747, 2013.
  [Bibtex]

  @ARTICLE{Gagliardini2013717,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Granularity adjustment for risk measures: Systematic vs unsystematic risks},
  journal={International Journal of Approximate Reasoning},
  year={2013},
  volume={54},
  number={6},
  pages={717-747},
  doi={10.1016/j.ijar.2013.01.003},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84877818007&doi=10.1016%2fj.ijar.2013.01.003&partnerID=40&md5=87a6852f0d96d31c857a22eb4df230f5},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Linear-price term structure models,” Journal of empirical finance, vol. 24, pp. 24-41, 2013.
  [Bibtex]

  @ARTICLE{Gourieroux201324,
  author={Gourieroux, C. and Monfort, A.},
  title={Linear-price term structure models},
  journal={Journal of Empirical Finance},
  year={2013},
  volume={24},
  pages={24-41},
  doi={10.1016/j.jempfin.2013.07.004},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883523553&doi=10.1016%2fj.jempfin.2013.07.004&partnerID=40&md5=b0356ea49f8debecd7691d0e27fb4f0a},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, J. C. Heam, and A. Monfort, “Liquidation equilibrium with seniority and hidden cdo,” Journal of banking and finance, vol. 37, iss. 12, pp. 5261-5274, 2013.
  [Bibtex]

  @ARTICLE{Gourieroux20135261,
  author={Gourieroux, C. and Heam, J.C. and Monfort, A.},
  title={Liquidation equilibrium with seniority and hidden CDO},
  journal={Journal of Banking and Finance},
  year={2013},
  volume={37},
  number={12},
  pages={5261-5274},
  doi={10.1016/j.jbankfin.2013.04.016},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84886089497&doi=10.1016%2fj.jbankfin.2013.04.016&partnerID=40&md5=a455d2662f09ce950e360277779f36b5},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Allocating systemic risk in a regulatory perspective,” International journal of theoretical and applied finance, vol. 16, iss. 7, 2013.
  [Bibtex]

  @ARTICLE{Gourieroux2013,
  author={Gourieroux, C. and Monfort, A.},
  title={Allocating systemic risk in a regulatory perspective},
  journal={International Journal of Theoretical and Applied Finance},
  year={2013},
  volume={16},
  number={7},
  doi={10.1142/S0219024913500416},
  art_number={1350041},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84894115970&doi=10.1142%2fS0219024913500416&partnerID=40&md5=7457e05c1b98493400f9a7db5a40fff2},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. -M. Zakoian, “Estimation-adjusted var,” Econometric theory, vol. 29, iss. 4, pp. 735-770, 2013.
  [Bibtex]

  @ARTICLE{Gourieroux2013735,
  author={Gourieroux, C. and Zakoian, J.-M.},
  title={Estimation-adjusted var},
  journal={Econometric Theory},
  year={2013},
  volume={29},
  number={4},
  pages={735-770},
  doi={10.1017/S0266466612000680},
  note={cited By 14},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84880857098&doi=10.1017%2fS0266466612000680&partnerID=40&md5=c5331251732ba03a591180c9bf8b02e6},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Granularity adjustment for efficient portfolios,” Econometric reviews, vol. 32, iss. 4, pp. 449-468, 2013.
  [Bibtex]

  @ARTICLE{Gourieroux2013449,
  author={Gourieroux, C. and Monfort, A.},
  title={Granularity Adjustment for Efficient Portfolios},
  journal={Econometric Reviews},
  year={2013},
  volume={32},
  number={4},
  pages={449-468},
  doi={10.1080/07474938.2012.690667},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84873112825&doi=10.1080%2f07474938.2012.690667&partnerID=40&md5=adc39ff027a7d3f74d42f707bfd802a1},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Size distortion in the analysis of volatility and covolatility effects,” Advances in intelligent systems and computing, vol. 200 AISC, pp. 91-118, 2013.
  [Bibtex]

  @ARTICLE{Gourieroux201391,
  author={Gourieroux, C. and Jasiak, J.},
  title={Size distortion in the analysis of volatility and covolatility effects},
  journal={Advances in Intelligent Systems and Computing},
  year={2013},
  volume={200 AISC},
  pages={91-118},
  doi={10.1007/978-3-642-35443-4_7},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84872816344&doi=10.1007%2f978-3-642-35443-4_7&partnerID=40&md5=c2295e210bc3c5225c918f3bf9c3c8be},
  document_type={Conference Paper},
  source={Scopus},
  }

• C. Jardet, A. Monfort, and F. Pegoraro, “No-arbitrage near-cointegrated var(p) term structure models, term premia and gdp growth,” Journal of banking and finance, vol. 37, iss. 2, pp. 389-402, 2013.
  [Bibtex]

  @ARTICLE{Jardet2013389,
  author={Jardet, C. and Monfort, A. and Pegoraro, F.},
  title={No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth},
  journal={Journal of Banking and Finance},
  year={2013},
  volume={37},
  number={2},
  pages={389-402},
  doi={10.1016/j.jbankfin.2012.09.003},
  note={cited By 18},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84869871533&doi=10.1016%2fj.jbankfin.2012.09.003&partnerID=40&md5=24b51c8dc2cab95af0b842884e067521},
  document_type={Article},
  source={Scopus},
  }

• S. Laurent, J. V. K. Rombouts, and F. Violante, “On loss functions and ranking forecasting performances of multivariate volatility models,” Journal of econometrics, vol. 173, iss. 1, pp. 1-10, 2013.
  [Bibtex]

  @ARTICLE{Laurent20131,
  author={Laurent, S. and Rombouts, J.V.K. and Violante, F.},
  title={On loss functions and ranking forecasting performances of multivariate volatility models},
  journal={Journal of Econometrics},
  year={2013},
  volume={173},
  number={1},
  pages={1-10},
  doi={10.1016/j.jeconom.2012.08.004},
  note={cited By 56},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84872978263&doi=10.1016%2fj.jeconom.2012.08.004&partnerID=40&md5=fa167deddf1e0821f7ee805e56ce0a91},
  document_type={Article},
  source={Scopus},
  }

• A. Monfort and J. -P. Renne, “Default, liquidity, and crises: an econometric framework,” Journal of financial econometrics, vol. 11, iss. 2, pp. 221-262, 2013.
  [Bibtex]

  @ARTICLE{Monfort2013221,
  author={Monfort, A. and Renne, J.-P.},
  title={Default, liquidity, and crises: An econometric framework},
  journal={Journal of Financial Econometrics},
  year={2013},
  volume={11},
  number={2},
  pages={221-262},
  doi={10.1093/jjfinec/nbs020},
  art_number={nbs020},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84875255758&doi=10.1093%2fjjfinec%2fnbs020&partnerID=40&md5=15a0f8aa4ce0742ad76f2b29b8b5e3c3},
  document_type={Article},
  source={Scopus},
  }

2012

• P. Barrieu, H. Bensusan, N. El Karoui, C. Hillairet, S. Loisel, C. Ravanelli, and Y. Salhi, “Understanding, modeling and managing longevity risk: key issues and main challenges,” Scandinavian actuarial journal, 2012.
  [Bibtex]

  @article{barrieu:hal-00417800,
  author={Barrieu, Pauline and Bensusan, Harry and El Karoui, Nicole and Hillairet, Caroline and Loisel, Stephane and Ravanelli, Claudia and Salhi, Yahia},
  title={Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges},
  journal={Scandinavian Actuarial Journal},
  year={2012},
  }

• C. Hillairet and Y. Jiao, “Credit risk with asymmetric information on the default threshold,” Stochastics: an international journal of probability and stochastic processes, 2012.
  [Bibtex]

  @article{hillairet:hal-00663136,
  author={Hillairet, Caroline and Jiao, Ying},
  title={Credit Risk with asymmetric information on the default threshold},
  journal={Stochastics: An International Journal of Probability and Stochastic Processes},
  year={2012},
  }

• D. A. Belsley, C. W. S. Chen, C. Francq, G. Gallo, L. Khalaf, E. J. Kontoghiorghes, and H. K. Van Dijk, “The sixth special issue on computational econometrics,” Computational statistics and data analysis, vol. 56, iss. 11, pp. 3307-3308, 2012.
  [Bibtex]

  @EDITORIAL{Belsley20123307,
  author={Belsley, D.A. and Chen, C.W.S. and Francq, C. and Gallo, G. and Khalaf, L. and Kontoghiorghes, E.J. and Van Dijk, H.K.},
  title={The sixth special issue on computational econometrics},
  journal={Computational Statistics and Data Analysis},
  year={2012},
  volume={56},
  number={11},
  pages={3307-3308},
  doi={10.1016/j.csda.2012.04.005},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84862011172&doi=10.1016%2fj.csda.2012.04.005&partnerID=40&md5=e0e71f264e334e299fadd578e36d4743},
  document_type={Editorial},
  source={Scopus},
  }

• D. A. Belsley, E. J. Kontoghiorghes, H. K. Van Dijk, L. Bauwens, S. J. Koopman, M. McAleer, A. Amendola, M. Billio, C. Croux, C. W. S. Chen, R. Davidson, P. Duchesne, P. Foschi, C. Francq, A. -M. Fuertes, G. Koop, L. Khalaf, M. Paolella, D. S. G. Pollock, E. Ruiz, R. Paap, T. Proietti, P. Winker, P. L. H. Yu, J. -M. Zakoian, and A. Zeileis, “The annals of computational and financial econometrics, first issue,” Computational statistics and data analysis, vol. 56, iss. 11, pp. 2991-2992, 2012.
  [Bibtex]

  @EDITORIAL{Belsley20122991,
  author={Belsley, D.A. and Kontoghiorghes, E.J. and Van Dijk, H.K. and Bauwens, L. and Koopman, S.J. and McAleer, M. and Amendola, A. and Billio, M. and Croux, C. and Chen, C.W.S. and Davidson, R. and Duchesne, P. and Foschi, P. and Francq, C. and Fuertes, A.-M. and Koop, G. and Khalaf, L. and Paolella, M. and Pollock, D.S.G. and Ruiz, E. and Paap, R. and Proietti, T. and Winker, P. and Yu, P.L.H. and Zakoian, J.-M. and Zeileis, A.},
  title={The Annals of Computational and Financial Econometrics, first issue},
  journal={Computational Statistics and Data Analysis},
  year={2012},
  volume={56},
  number={11},
  pages={2991-2992},
  doi={10.1016/j.csda.2012.04.004},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84862016370&doi=10.1016%2fj.csda.2012.04.004&partnerID=40&md5=6eae9ea60f78c95ca6aed5b122c7a3fe},
  document_type={Editorial},
  source={Scopus},
  }

• Y. Boubacar Mainassara, M. Carbon, and C. Francq, “Computing and estimating information matrices of weak arma models,” Computational statistics and data analysis, vol. 56, iss. 2, pp. 345-361, 2012.
  [Bibtex]

  @ARTICLE{BoubacarMainassara2012345,
  author={Boubacar Mainassara, Y. and Carbon, M. and Francq, C.},
  title={Computing and estimating information matrices of weak ARMA models},
  journal={Computational Statistics and Data Analysis},
  year={2012},
  volume={56},
  number={2},
  pages={345-361},
  doi={10.1016/j.csda.2011.07.006},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053238453&doi=10.1016%2fj.csda.2011.07.006&partnerID=40&md5=17e7ba584a2ee34cdf3271ba13e2adc4},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian and M. H. Wegkamp, “Time-dependent copulas,” Journal of multivariate analysis, vol. 110, pp. 19-29, 2012.
  [Bibtex]

  @ARTICLE{Fermanian201219,
  author={Fermanian, J.-D. and Wegkamp, M.H.},
  title={Time-dependent copulas},
  journal={Journal of Multivariate Analysis},
  year={2012},
  volume={110},
  pages={19-29},
  doi={10.1016/j.jmva.2012.02.018},
  note={cited By 33},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84862000228&doi=10.1016%2fj.jmva.2012.02.018&partnerID=40&md5=2b196ecc700bbf80c85802e389a6fea9},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models,” Econometrica, vol. 80, iss. 2, pp. 821-861, 2012.
  [Bibtex]

  @ARTICLE{Francq2012821,
  author={Francq, C. and Zakoian, J.-M.},
  title={Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models},
  journal={Econometrica},
  year={2012},
  volume={80},
  number={2},
  pages={821-861},
  doi={10.3982/ECTA9405},
  note={cited By 40},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84858599878&doi=10.3982%2fECTA9405&partnerID=40&md5=bd3c453094b5230e1687f09f947e7ee0},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Qml estimation of a class of multivariate asymmetric garch models,” Econometric theory, vol. 28, iss. 1, pp. 179-206, 2012.
  [Bibtex]

  @ARTICLE{Francq2012179,
  author={Francq, C. and Zakoian, J.-M.},
  title={QML estimation of a class of multivariate asymmetric GARCH models},
  journal={Econometric Theory},
  year={2012},
  volume={28},
  number={1},
  pages={179-206},
  doi={10.1017/S0266466611000156},
  note={cited By 26},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84857335523&doi=10.1017%2fS0266466611000156&partnerID=40&md5=6cc87e92302bf6597e03e8d56653d47a},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini, C. Gourieroux, and A. Monfort, “Microinformation, nonlinear filtering, and granularity,” Journal of financial econometrics, vol. 10, iss. 1, pp. 1-53, 2012.
  [Bibtex]

  @ARTICLE{Gagliardini20121,
  author={Gagliardini, P. and Gourieroux, C. and Monfort, A.},
  title={Microinformation, nonlinear filtering, and granularity},
  journal={Journal of Financial Econometrics},
  year={2012},
  volume={10},
  number={1},
  pages={1-53},
  doi={10.1093/jjfinec/nbr010},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84855407558&doi=10.1093%2fjjfinec%2fnbr010&partnerID=40&md5=f42ab724122e9f76025dd47b0c30e14d},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Granularity adjustment for default risk factor model with cohorts,” Journal of banking and finance, vol. 36, iss. 5, pp. 1464-1477, 2012.
  [Bibtex]

  @ARTICLE{Gourieroux20121464,
  author={Gourieroux, C. and Jasiak, J.},
  title={Granularity adjustment for default risk factor model with cohorts},
  journal={Journal of Banking and Finance},
  year={2012},
  volume={36},
  number={5},
  pages={1464-1477},
  doi={10.1016/j.jbankfin.2011.12.013},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84858284581&doi=10.1016%2fj.jbankfin.2011.12.013&partnerID=40&md5=6c71ce91b07878e7bc2ba72d1eaa0323},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and W. Liu, “Converting tail-var to var: an econometric study,” Journal of financial econometrics, vol. 10, iss. 2, pp. 233-264, 2012.
  [Bibtex]

  @ARTICLE{Gourieroux2012233,
  author={Gourieroux, C. and Liu, W.},
  title={Converting Tail-VaR to VaR: An econometric study},
  journal={Journal of Financial Econometrics},
  year={2012},
  volume={10},
  number={2},
  pages={233-264},
  doi={10.1093/jjfinec/nbs001},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84863270762&doi=10.1093%2fjjfinec%2fnbs001&partnerID=40&md5=88877fa1ef5a88626c8f78e00f25d831},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, J. -C. Heam, and A. Monfort, “Bilateral exposures and systemic solvency risk,” Canadian journal of economics, vol. 45, iss. 4, pp. 1273-1309, 2012.
  [Bibtex]

  @ARTICLE{Gourieroux20121273,
  author={Gourieroux, C. and Heam, J.-C. and Monfort, A.},
  title={Bilateral exposures and systemic solvency risk},
  journal={Canadian Journal of Economics},
  year={2012},
  volume={45},
  number={4},
  pages={1273-1309},
  doi={10.1111/j.1540-5982.2012.01750.x},
  note={cited By 19},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874746866&doi=10.1111%2fj.1540-5982.2012.01750.x&partnerID=40&md5=022cdb902fd0990deabf57622b1e6494},
  document_type={Article},
  source={Scopus},
  }

• C. Hillairet and Y. Jiao, “Credit risk with asymmetric information on the default threshold,” Stochastics, vol. 84, iss. 2-3, pp. 183-198, 2012.
  [Bibtex]

  @ARTICLE{Hillairet2012183,
  author={Hillairet, C. and Jiao, Y.},
  title={Credit risk with asymmetric information on the default threshold},
  journal={Stochastics},
  year={2012},
  volume={84},
  number={2-3},
  pages={183-198},
  doi={10.1080/17442508.2011.575944},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84860345837&doi=10.1080%2f17442508.2011.575944&partnerID=40&md5=4d5136f760efbfe83c6aae39bb10e92e},
  document_type={Article},
  source={Scopus},
  }

• S. Laurent, J. V. K. Rombouts, and F. Violante, “On the forecasting accuracy of multivariate garch models,” Journal of applied econometrics, vol. 27, iss. 6, pp. 934-955, 2012.
  [Bibtex]

  @ARTICLE{Laurent2012934,
  author={Laurent, S. and Rombouts, J.V.K. and Violante, F.},
  title={On the forecasting accuracy of multivariate GARCH models},
  journal={Journal of Applied Econometrics},
  year={2012},
  volume={27},
  number={6},
  pages={934-955},
  doi={10.1002/jae.1248},
  note={cited By 102},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84866454518&doi=10.1002%2fjae.1248&partnerID=40&md5=ff943be5bcc8fbe318bee31470de1514},
  document_type={Article},
  source={Scopus},
  }

• S. Laurent and F. Violante, “Volatility forecasts evaluation and comparison,” Wiley interdisciplinary reviews: computational statistics, vol. 4, iss. 1, pp. 1-12, 2012.
  [Bibtex]

  @ARTICLE{Laurent20121,
  author={Laurent, S. and Violante, F.},
  title={Volatility forecasts evaluation and comparison},
  journal={Wiley Interdisciplinary Reviews: Computational Statistics},
  year={2012},
  volume={4},
  number={1},
  pages={1-12},
  doi={10.1002/wics.190},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84860397641&doi=10.1002%2fwics.190&partnerID=40&md5=6aecd124c73c52fb801b766013112acd},
  document_type={Review},
  source={Scopus},
  }

• A. Monfort and O. Feron, “Joint econometric modeling of spot electricity prices, forwards and options,” Review of derivatives research, vol. 15, iss. 3, pp. 217-256, 2012.
  [Bibtex]

  @ARTICLE{Monfort2012217,
  author={Monfort, A. and Feron, O.},
  title={Joint econometric modeling of spot electricity prices, forwards and options},
  journal={Review of Derivatives Research},
  year={2012},
  volume={15},
  number={3},
  pages={217-256},
  doi={10.1007/s11147-012-9075-z},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84866441766&doi=10.1007%2fs11147-012-9075-z&partnerID=40&md5=88e77488e8b6d93d8e28191b25583842},
  document_type={Article},
  source={Scopus},
  }

• A. Monfort and F. Pegoraro, “Asset pricing with second-order esscher transforms,” Journal of banking and finance, vol. 36, iss. 6, pp. 1678-1687, 2012.
  [Bibtex]

  @ARTICLE{Monfort20121678,
  author={Monfort, A. and Pegoraro, F.},
  title={Asset pricing with Second-Order Esscher Transforms},
  journal={Journal of Banking and Finance},
  year={2012},
  volume={36},
  number={6},
  pages={1678-1687},
  doi={10.1016/j.jbankfin.2012.01.014},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859636881&doi=10.1016%2fj.jbankfin.2012.01.014&partnerID=40&md5=cb2e55c1f285c01cacd4790ee6d50811},
  document_type={Article},
  source={Scopus},
  }

2011

• A. Holly, A. Monfort, and M. Rockinger, “Fourth order pseudo maximum likelihood methods,” Econometrics, 2011.
  [Bibtex]

  @article{holly:hal-00815562,
  author={Holly, Alberto and Monfort, Alain and Rockinger, Michael},
  title={Fourth order pseudo maximum likelihood methods},
  journal={Econometrics},
  year={2011},
  }

• M. Bernhart, P. Tankov, and X. Warin, “A finite-dimensional approximation for pricing moving average options,” Siam journal on financial mathematics, vol. 2, iss. 1, pp. 989-1013, 2011.
  [Bibtex]

  @ARTICLE{Bernhart2011989,
  author={Bernhart, M. and Tankov, P. and Warin, X.},
  title={A finite-dimensional approximation for pricing moving average options},
  journal={SIAM Journal on Financial Mathematics},
  year={2011},
  volume={2},
  number={1},
  pages={989-1013},
  doi={10.1137/100815566},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871069787&doi=10.1137%2f100815566&partnerID=40&md5=ce1f17736b5e33294f0f39f2fc1ce55b},
  document_type={Article},
  source={Scopus},
  }

• Y. Boubacar Mainassara and C. Francq, “Estimating structural varma models with uncorrelated but non-independent error terms,” Journal of multivariate analysis, vol. 102, iss. 3, pp. 496-505, 2011.
  [Bibtex]

  @ARTICLE{BoubacarMainassara2011496,
  author={Boubacar Mainassara, Y. and Francq, C.},
  title={Estimating structural VARMA models with uncorrelated but non-independent error terms},
  journal={Journal of Multivariate Analysis},
  year={2011},
  volume={102},
  number={3},
  pages={496-505},
  doi={10.1016/j.jmva.2010.10.009},
  note={cited By 23},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651257946&doi=10.1016%2fj.jmva.2010.10.009&partnerID=40&md5=28e194e550090631f049ab96a5593145},
  document_type={Article},
  source={Scopus},
  }

• M. Broden and P. Tankov, “Tracking errors from discrete hedging in exponential levy models,” International journal of theoretical and applied finance, vol. 14, iss. 6, pp. 803-837, 2011.
  [Bibtex]

  @ARTICLE{Broden2011803,
  author={Broden, M. and Tankov, P.},
  title={Tracking errors from discrete hedging in exponential Levy models},
  journal={International Journal of Theoretical and Applied Finance},
  year={2011},
  volume={14},
  number={6},
  pages={803-837},
  doi={10.1142/S0219024911006760},
  note={cited By 12},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053418772&doi=10.1142%2fS0219024911006760&partnerID=40&md5=33503f2971d7b474b878f06bc1c2a5ce},
  document_type={Article},
  source={Scopus},
  }

• A. Cousin, J. -M. Lasry, S. Crepey, J. -P. Laurent, O. Gueant, P. -L. Lions, D. Hobson, P. Tankov, and M. Jeanblanc, “Preface,” Lecture notes in mathematics, vol. 2003, p. v-vi, 2011.
  [Bibtex]

  @EDITORIAL{Cousin2011v,
  author={Cousin, A. and Lasry, J.-M. and Crepey, S. and Laurent, J.-P. and Gueant, O. and Lions, P.-L. and Hobson, D. and Tankov, P. and Jeanblanc, M.},
  title={Preface},
  journal={Lecture Notes in Mathematics},
  year={2011},
  volume={2003},
  pages={v-vi},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85072856742&partnerID=40&md5=22fea6d80f6db2247e6e16f386cbab51},
  document_type={Editorial},
  source={Scopus},
  }

• A. Cretarola, F. Gozzi, H. Pham, and P. Tankov, “Optimal consumption policies in illiquid markets,” Finance and stochastics, vol. 15, iss. 1, pp. 85-115, 2011.
  [Bibtex]

  @ARTICLE{Cretarola201185,
  author={Cretarola, A. and Gozzi, F. and Pham, H. and Tankov, P.},
  title={Optimal consumption policies in illiquid markets},
  journal={Finance and Stochastics},
  year={2011},
  volume={15},
  number={1},
  pages={85-115},
  doi={10.1007/s00780-010-0123-y},
  note={cited By 9},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651447545&doi=10.1007%2fs00780-010-0123-y&partnerID=40&md5=d33a1f2b00fa395e5f42d2e2ba30be4e},
  document_type={Article},
  source={Scopus},
  }

• C. De Franco and P. Tankov, “Portfolio insurance under a risk-measure constraint,” Insurance: mathematics and economics, vol. 49, iss. 3, pp. 361-370, 2011.
  [Bibtex]

  @ARTICLE{DeFranco2011361,
  author={De Franco, C. and Tankov, P.},
  title={Portfolio insurance under a risk-measure constraint},
  journal={Insurance: Mathematics and Economics},
  year={2011},
  volume={49},
  number={3},
  pages={361-370},
  doi={10.1016/j.insmatheco.2011.05.009},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79959663154&doi=10.1016%2fj.insmatheco.2011.05.009&partnerID=40&md5=96db70397b76537222bc52b29658289a},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, R. Roy, and A. Saidi, “Asymptotic properties of weighted least squares estimation in weak parma models,” Journal of time series analysis, vol. 32, iss. 6, pp. 699-723, 2011.
  [Bibtex]

  @ARTICLE{Francq2011699,
  author={Francq, C. and Roy, R. and Saidi, A.},
  title={Asymptotic properties of weighted least squares estimation in weak PARMA models},
  journal={Journal of Time Series Analysis},
  year={2011},
  volume={32},
  number={6},
  pages={699-723},
  doi={10.1111/j.1467-9892.2011.00728.x},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053927899&doi=10.1111%2fj.1467-9892.2011.00728.x&partnerID=40&md5=496cf0b44d7a68783fa01a3e828e6b3a},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, L. Horváth, and J. -M. Zakoian, “Merits and drawbacks of variance targeting in garch models,” Journal of financial econometrics, vol. 9, iss. 4, pp. 619-656, 2011.
  [Bibtex]

  @ARTICLE{Francq2011619,
  author={Francq, C. and Horváth, L. and Zakoian, J.-M.},
  title={Merits and drawbacks of variance targeting in GARCH models},
  journal={Journal of Financial Econometrics},
  year={2011},
  volume={9},
  number={4},
  pages={619-656},
  doi={10.1093/jjfinec/nbr004},
  note={cited By 34},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053192102&doi=10.1093%2fjjfinec%2fnbr004&partnerID=40&md5=3397fbfa50ac0f898dc6754378ff5637},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, G. Lepage, and J. -M. Zakoan, “Two-stage non gaussian qml estimation of garch models and testing the efficiency of the gaussian qmle,” Journal of econometrics, vol. 165, iss. 2, pp. 246-257, 2011.
  [Bibtex]

  @ARTICLE{Francq2011246,
  author={Francq, C. and Lepage, G. and Zakoan, J.-M.},
  title={Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE},
  journal={Journal of Econometrics},
  year={2011},
  volume={165},
  number={2},
  pages={246-257},
  doi={10.1016/j.jeconom.2011.08.001},
  note={cited By 23},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80054701924&doi=10.1016%2fj.jeconom.2011.08.001&partnerID=40&md5=01e040097824302f9891ace1151486bc},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini, C. Gourieroux, and E. Renault, “Efficient derivative pricing by the extended method of moments,” Econometrica, vol. 79, iss. 4, pp. 1181-1232, 2011.
  [Bibtex]

  @ARTICLE{Gagliardini20111181,
  author={Gagliardini, P. and Gourieroux, C. and Renault, E.},
  title={Efficient derivative pricing by the extended method of moments},
  journal={Econometrica},
  year={2011},
  volume={79},
  number={4},
  pages={1181-1232},
  doi={10.3982/ECTA7192},
  note={cited By 26},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79959908854&doi=10.3982%2fECTA7192&partnerID=40&md5=51c2ed18e884180c85caf03d302063c0},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “Approximate derivative pricing for large classes of homogeneous assets with systematic risk,” Journal of financial econometrics, vol. 9, iss. 2, pp. 237-280, 2011.
  [Bibtex]

  @ARTICLE{Gagliardini2011237,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Approximate derivative pricing for large classes of homogeneous assets with systematic risk},
  journal={Journal of Financial Econometrics},
  year={2011},
  volume={9},
  number={2},
  pages={237-280},
  doi={10.1093/jjfinec/nbr001},
  art_number={nbr001},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79954624861&doi=10.1093%2fjjfinec%2fnbr001&partnerID=40&md5=f4325c05c93ac15ba5999e56f74e652c},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, The econometrics of individual risk: credit, insurance, and marketing, , 2011.
  [Bibtex]

  @BOOK{Gourieroux20111,
  author={Gourieroux, C. and Jasiak, J.},
  title={The econometrics of individual risk: Credit, insurance, and marketing},
  journal={The Econometrics of Individual Risk: Credit, Insurance, and Marketing},
  year={2011},
  pages={1-241},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84923990963&partnerID=40&md5=50349a43b2c896890eacdbfd234fbfc4},
  document_type={Book},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, The econometrics of individual risk: credit, insurance, and marketing, , 2011.
  [Bibtex]

  @BOOK{Gourieroux2011,
  author={Gourieroux, C. and Jasiak, J.},
  title={The econometrics of individual risk: Credit, insurance, and marketing},
  journal={The Econometrics of Individual Risk: Credit, Insurance, and Marketing},
  year={2011},
  page_count={241},
  note={cited By 9},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-37049032289&partnerID=40&md5=4670907f82292e24183701c88225ed8e},
  document_type={Book},
  source={Scopus},
  }

• C. Gourieroux and R. Sufana, “Discrete time wishart term structure models,” Journal of economic dynamics and control, vol. 35, iss. 6, pp. 815-824, 2011.
  [Bibtex]

  @ARTICLE{Gourieroux2011815,
  author={Gourieroux, C. and Sufana, R.},
  title={Discrete time Wishart term structure models},
  journal={Journal of Economic Dynamics and Control},
  year={2011},
  volume={35},
  number={6},
  pages={815-824},
  doi={10.1016/j.jedc.2011.01.007},
  note={cited By 14},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79953287012&doi=10.1016%2fj.jedc.2011.01.007&partnerID=40&md5=0c4d47699031a3192521e0d0d8fc5a94},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Domain restrictions on interest rates implied by no arbitrage,” Mathematical finance, vol. 21, iss. 2, pp. 281-291, 2011.
  [Bibtex]

  @ARTICLE{Gourieroux2011281,
  author={Gourieroux, C. and Monfort, A.},
  title={Domain Restrictions On Interest Rates Implied By No Arbitrage},
  journal={Mathematical Finance},
  year={2011},
  volume={21},
  number={2},
  pages={281-291},
  doi={10.1111/j.1467-9965.2010.00429.x},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79851479819&doi=10.1111%2fj.1467-9965.2010.00429.x&partnerID=40&md5=afb2ffc5120593c972007f35f3eef4c7},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Bilinear term structure model,” Mathematical finance, vol. 21, iss. 1, pp. 1-19, 2011.
  [Bibtex]

  @ARTICLE{Gourieroux20111,
  author={Gourieroux, C. and Monfort, A.},
  title={Bilinear term structure model},
  journal={Mathematical Finance},
  year={2011},
  volume={21},
  number={1},
  pages={1-19},
  doi={10.1111/j.1467-9965.2010.00424.x},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78650116712&doi=10.1111%2fj.1467-9965.2010.00424.x&partnerID=40&md5=ced5c242c2cd906f82f820d655a1ffef},
  document_type={Article},
  source={Scopus},
  }

• T. Hamadeh and J. -M. Zakoian, “Asymptotic properties of ls and qml estimators for a class of nonlinear garch processes,” Journal of statistical planning and inference, vol. 141, iss. 1, pp. 488-507, 2011.
  [Bibtex]

  @ARTICLE{Hamadeh2011488,
  author={Hamadeh, T. and Zakoian, J.-M.},
  title={Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes},
  journal={Journal of Statistical Planning and Inference},
  year={2011},
  volume={141},
  number={1},
  pages={488-507},
  doi={10.1016/j.jspi.2010.06.026},
  note={cited By 26},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77956278644&doi=10.1016%2fj.jspi.2010.06.026&partnerID=40&md5=c6f875ef23276400b005baa86db60d90},
  document_type={Article},
  source={Scopus},
  }

• C. Hillairet and Y. Jiao, “Information asymmetry in pricing of credit derivatives,” International journal of theoretical and applied finance, vol. 14, iss. 5, pp. 611-633, 2011.
  [Bibtex]

  @ARTICLE{Hillairet2011611,
  author={Hillairet, C. and Jiao, Y.},
  title={Information asymmetry in pricing of credit derivatives},
  journal={International Journal of Theoretical and Applied Finance},
  year={2011},
  volume={14},
  number={5},
  pages={611-633},
  doi={10.1142/S0219024911006413},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84860400360&doi=10.1142%2fS0219024911006413&partnerID=40&md5=5f68d185c963aca137ab6bb2fd7ed09b},
  document_type={Article},
  source={Scopus},
  }

• A. Holly, A. Monfort, and M. Rockinger, “Fourth order pseudo maximum likelihood methods,” Journal of econometrics, vol. 162, iss. 2, pp. 278-293, 2011.
  [Bibtex]

  @ARTICLE{Holly2011278,
  author={Holly, A. and Monfort, A. and Rockinger, M.},
  title={Fourth order pseudo maximum likelihood methods},
  journal={Journal of Econometrics},
  year={2011},
  volume={162},
  number={2},
  pages={278-293},
  doi={10.1016/j.jeconom.2011.01.004},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79955072472&doi=10.1016%2fj.jeconom.2011.01.004&partnerID=40&md5=a0301cdef77c05af178b5854e8cce7bf},
  document_type={Article},
  source={Scopus},
  }

• R. P. Jena and P. Tankov, “Arbitrage opportunities in misspecified stochastic volatility models,” Siam journal on financial mathematics, vol. 2, iss. 1, pp. 317-341, 2011.
  [Bibtex]

  @ARTICLE{Jena2011317,
  author={Jena, R.P. and Tankov, P.},
  title={Arbitrage opportunities in misspecified stochastic volatility models},
  journal={SIAM Journal on Financial Mathematics},
  year={2011},
  volume={2},
  number={1},
  pages={317-341},
  doi={10.1137/100786678},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871081161&doi=10.1137%2f100786678&partnerID=40&md5=b5e05f30658fc7244094e3217a6f9679},
  document_type={Article},
  source={Scopus},
  }

• J. -P. Laurent, A. Cousin, and J. -D. Fermanian, “Hedging default risks of cdos in markovian contagion models,” Quantitative finance, vol. 11, iss. 12, pp. 1773-1791, 2011.
  [Bibtex]

  @ARTICLE{Laurent20111773,
  author={Laurent, J.-P. and Cousin, A. and Fermanian, J.-D.},
  title={Hedging default risks of CDOs in Markovian contagion models},
  journal={Quantitative Finance},
  year={2011},
  volume={11},
  number={12},
  pages={1773-1791},
  doi={10.1080/14697680903390126},
  note={cited By 13},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859224548&doi=10.1080%2f14697680903390126&partnerID=40&md5=ca8f162361e75f8624dc819072d85617},
  document_type={Article},
  source={Scopus},
  }

• J. Miklós-Thal, P. Rey, and T. Verge, “Buyer power and intrabrand coordination,” Journal of the european economic association, vol. 9, iss. 4, pp. 721-741, 2011.
  [Bibtex]

  @ARTICLE{Miklós-Thal2011721,
  author={Miklós-Thal, J. and Rey, P. and Verge, T.},
  title={Buyer power and intrabrand coordination},
  journal={Journal of the European Economic Association},
  year={2011},
  volume={9},
  number={4},
  pages={721-741},
  doi={10.1111/j.1542-4774.2011.01019.x},
  note={cited By 36},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79960046194&doi=10.1111%2fj.1542-4774.2011.01019.x&partnerID=40&md5=68b17e12248a47f03c2898aa0c6d1875},
  document_type={Article},
  source={Scopus},
  }

• N. Regnard and J. -M. Zakoian, “A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices,” Energy economics, vol. 33, iss. 6, pp. 1240-1251, 2011.
  [Bibtex]

  @ARTICLE{Regnard20111240,
  author={Regnard, N. and Zakoian, J.-M.},
  title={A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices},
  journal={Energy Economics},
  year={2011},
  volume={33},
  number={6},
  pages={1240-1251},
  doi={10.1016/j.eneco.2011.02.004},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80755189038&doi=10.1016%2fj.eneco.2011.02.004&partnerID=40&md5=e70491f2220cf6cb6b845308a2be8a35},
  document_type={Article},
  source={Scopus},
  }

• M. Rosenbaum and P. Tankov, “Asymptotic results for time-changed levy processes sampled at hitting times,” Stochastic processes and their applications, vol. 121, iss. 7, pp. 1607-1632, 2011.
  [Bibtex]

  @ARTICLE{Rosenbaum20111607,
  author={Rosenbaum, M. and Tankov, P.},
  title={Asymptotic results for time-changed Levy processes sampled at hitting times},
  journal={Stochastic Processes and their Applications},
  year={2011},
  volume={121},
  number={7},
  pages={1607-1632},
  doi={10.1016/j.spa.2011.03.013},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79956199041&doi=10.1016%2fj.spa.2011.03.013&partnerID=40&md5=ca139cd3069425d9cd23cb0a85b13690},
  document_type={Article},
  source={Scopus},
  }

• P. Tankov, “Improved frechet bounds and model-free pricing of multi-asset options,” Journal of applied probability, vol. 48, iss. 2, pp. 389-403, 2011.
  [Bibtex]

  @ARTICLE{Tankov2011389,
  author={Tankov, P.},
  title={Improved frechet bounds and model-free pricing of multi-asset options},
  journal={Journal of Applied Probability},
  year={2011},
  volume={48},
  number={2},
  pages={389-403},
  doi={10.1239/jap/1308662634},
  note={cited By 40},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80054875295&doi=10.1239%2fjap%2f1308662634&partnerID=40&md5=733e0144953d58ad7893b759c1abffb0},
  document_type={Article},
  source={Scopus},
  }

• P. Tankov, “Pricing and hedging in exponential levy models: review of recent results,” Lecture notes in mathematics, vol. 2003, pp. 319-359, 2011.
  [Bibtex]

  @ARTICLE{Tankov2011319,
  author={Tankov, P.},
  title={Pricing and hedging in exponential Levy models: Review of recent results},
  journal={Lecture Notes in Mathematics},
  year={2011},
  volume={2003},
  pages={319-359},
  doi={10.1007/978-3-642-14660-2_5},
  note={cited By 34},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77958474311&doi=10.1007%2f978-3-642-14660-2_5&partnerID=40&md5=af89646af6661ac0b04b5a83aa2bec57},
  document_type={Article},
  source={Scopus},
  }

2010

• N. Chopin and C. R. Robert, “Properties of nested sampling,” Biometrika, 2010.
  [Bibtex]

  @article{chopin:hal-02403316,
  author={Chopin, Nicolas and Robert, Cedric Robert},
  title={Properties of nested sampling},
  journal={Biometrika},
  year={2010},
  }

• C. Francq and J. Zakoian, “Inconsistency of the mle and inference based on weighted ls for larch models,” Econometrics, 2010.
  [Bibtex]

  @article{francq:hal-00732536,
  author={Francq, Christian and Zakoian, Jean-Michel},
  title={Inconsistency of the MLE and inference based on weighted LS for LARCH models},
  journal={Econometrics},
  year={2010},
  }

• M. Carbon, C. Francq, and L. Tat Tran, “Asymptotic normality of frequency polygons for random fields,” Journal of statistical planning and inference, 2010.
  [Bibtex]

  @article{carbon:hal-00632201,
  author={Carbon, Michel and Francq, Christian and Tat Tran, Lanh},
  title={Asymptotic normality of frequency polygons for random fields},
  journal={Journal of Statistical Planning and Inference},
  year={2010},
  }

• S. Darolles and C. Gourieroux, “Conditionally fitted sharpe performance with an application to hedge fund rating,” Journal of banking and finance, 2010.
  [Bibtex]

  @article{darolles:halshs-00677727,
  author={Darolles, Serge and Gourieroux, Christian},
  title={Conditionally fitted Sharpe performance with an application to hedge fund rating},
  journal={Journal of Banking and Finance},
  year={2010},
  }

• M. Carbon, C. Francq, and L. Tat Tran, “Asymptotic normality of frequency polygons for random fields,” Journal of statistical planning and inference, vol. 140, iss. 2, pp. 502-514, 2010.
  [Bibtex]

  @ARTICLE{Carbon2010502,
  author={Carbon, M. and Francq, C. and Tat Tran, L.},
  title={Asymptotic normality of frequency polygons for random fields},
  journal={Journal of Statistical Planning and Inference},
  year={2010},
  volume={140},
  number={2},
  pages={502-514},
  doi={10.1016/j.jspi.2009.07.028},
  note={cited By 12},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350621611&doi=10.1016%2fj.jspi.2009.07.028&partnerID=40&md5=c6f396a0e8c1d5ab758be9fdae4693dd},
  document_type={Article},
  source={Scopus},
  }

• N. Chopin and C. P. Robert, “Properties of nested sampling,” Biometrika, vol. 97, iss. 3, pp. 741-755, 2010.
  [Bibtex]

  @ARTICLE{Chopin2010741,
  author={Chopin, N. and Robert, C.P.},
  title={Properties of nested sampling},
  journal={Biometrika},
  year={2010},
  volume={97},
  number={3},
  pages={741-755},
  doi={10.1093/biomet/asq021},
  note={cited By 49},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955861158&doi=10.1093%2fbiomet%2fasq021&partnerID=40&md5=cc05fc1a85b552e1b5c326d62949bd07},
  document_type={Article},
  source={Scopus},
  }

• S. Dabo-Niang, C. Francq, and J. -M. Zakoian, “Combining nonparametric and optimal linear time series predictions,” Journal of the american statistical association, vol. 105, iss. 492, pp. 1554-1565, 2010.
  [Bibtex]

  @ARTICLE{Dabo-Niang20101554,
  author={Dabo-Niang, S. and Francq, C. and Zakoian, J.-M.},
  title={Combining nonparametric and optimal linear time series predictions},
  journal={Journal of the American Statistical Association},
  year={2010},
  volume={105},
  number={492},
  pages={1554-1565},
  doi={10.1198/jasa.2010.tm09549},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651311765&doi=10.1198%2fjasa.2010.tm09549&partnerID=40&md5=8a270f33c2d3bdfbfd4b6614eed50b3c},
  document_type={Article},
  source={Scopus},
  }

• S. Darolles and C. Gourieroux, “Conditionally fitted sharpe performance with an application to hedge fund rating,” Journal of banking and finance, vol. 34, iss. 3, pp. 578-593, 2010.
  [Bibtex]

  @ARTICLE{Darolles2010578,
  author={Darolles, S. and Gourieroux, C.},
  title={Conditionally fitted Sharpe performance with an application to hedge fund rating},
  journal={Journal of Banking and Finance},
  year={2010},
  volume={34},
  number={3},
  pages={578-593},
  doi={10.1016/j.jbankfin.2009.08.025},
  note={cited By 16},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-74149085975&doi=10.1016%2fj.jbankfin.2009.08.025&partnerID=40&md5=70305da2f0efd1c5bcd819d50a19af64},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Inconsistency of the mle and inference based on weighted ls for larch models,” Journal of econometrics, vol. 159, iss. 1, pp. 151-165, 2010.
  [Bibtex]

  @ARTICLE{Francq2010151,
  author={Francq, C. and Zakoian, J.-M.},
  title={Inconsistency of the MLE and inference based on weighted LS for LARCH models},
  journal={Journal of Econometrics},
  year={2010},
  volume={159},
  number={1},
  pages={151-165},
  doi={10.1016/j.jeconom.2010.05.003},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84755161373&doi=10.1016%2fj.jeconom.2010.05.003&partnerID=40&md5=ca67daa17c496f52bd7020991e29526e},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, L. Horvath, and J. -M. Zakoian, “Sup-tests for linearity in a general nonlinear ar(1) model,” Econometric theory, vol. 26, iss. 4, pp. 965-993, 2010.
  [Bibtex]

  @ARTICLE{Francq2010965,
  author={Francq, C. and Horvath, L. and Zakoian, J.-M.},
  title={Sup-tests for linearity in a general nonlinear AR(1) model},
  journal={Econometric Theory},
  year={2010},
  volume={26},
  number={4},
  pages={965-993},
  doi={10.1017/S0266466609990430},
  note={cited By 10},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77957283222&doi=10.1017%2fS0266466609990430&partnerID=40&md5=3e60a015551f06d06bc511f58705bc61},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, Garch models: structure, statistical inference and financial applications, , 2010.
  [Bibtex]

  @BOOK{Francq2010,
  author={Francq, C. and Zakoian, J.-M.},
  title={GARCH Models: Structure, Statistical Inference and Financial Applications},
  journal={GARCH Models: Structure, Statistical Inference and Financial Applications},
  year={2010},
  page_count={489},
  doi={10.1002/9780470670057},
  note={cited By 335},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84891583720&doi=10.1002%2f9780470670057&partnerID=40&md5=1cda1ba18505c20762a76ca00db3d950},
  document_type={Book},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Local likelihood density estimation and value-at-risk,” Journal of probability and statistics, 2010.
  [Bibtex]

  @ARTICLE{Gourieroux2010,
  author={Gourieroux, C. and Jasiak, J.},
  title={Local likelihood density estimation and value-at-risk},
  journal={Journal of Probability and Statistics},
  year={2010},
  doi={10.1155/2010/754851},
  art_number={754851},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859199027&doi=10.1155%2f2010%2f754851&partnerID=40&md5=b42a299e8251e09cff0f94225313e6f8},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and R. Sufana, “International money and stock market contingent claims,” Journal of international money and finance, vol. 29, iss. 8, pp. 1727-1751, 2010.
  [Bibtex]

  @ARTICLE{Gourieroux20101727,
  author={Gourieroux, C. and Monfort, A. and Sufana, R.},
  title={International money and stock market contingent claims},
  journal={Journal of International Money and Finance},
  year={2010},
  volume={29},
  number={8},
  pages={1727-1751},
  doi={10.1016/j.jimonfin.2010.06.001},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78149470599&doi=10.1016%2fj.jimonfin.2010.06.001&partnerID=40&md5=a46527c1997904d4f4bcd7b6a50e2168},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and R. Sufana, “Derivative pricing with wishart multivariate stochastic volatility,” Journal of business and economic statistics, vol. 28, iss. 3, pp. 438-451, 2010.
  [Bibtex]

  @ARTICLE{Gourieroux2010438,
  author={Gourieroux, C. and Sufana, R.},
  title={Derivative pricing with wishart multivariate stochastic volatility},
  journal={Journal of Business and Economic Statistics},
  year={2010},
  volume={28},
  number={3},
  pages={438-451},
  doi={10.1198/jbes.2009.08105},
  note={cited By 47},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78649406765&doi=10.1198%2fjbes.2009.08105&partnerID=40&md5=9b92bed4862305dd376c01fab9acbbc6},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, P. C. B. Phillips, and J. Yu, “Indirect inference for dynamic panel models,” Journal of econometrics, vol. 157, iss. 1, pp. 68-77, 2010.
  [Bibtex]

  @ARTICLE{Gourieroux201068,
  author={Gourieroux, C. and Phillips, P.C.B. and Yu, J.},
  title={Indirect inference for dynamic panel models},
  journal={Journal of Econometrics},
  year={2010},
  volume={157},
  number={1},
  pages={68-77},
  doi={10.1016/j.jeconom.2009.10.024},
  note={cited By 51},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79951935104&doi=10.1016%2fj.jeconom.2009.10.024&partnerID=40&md5=49f8d0f445d40323731ada6694c22458},
  document_type={Conference Paper},
  source={Scopus},
  }

• A. Kohatsu-Higa and P. Tankov, “Jump-adapted discretization schemes for levy-driven sdes,” Stochastic processes and their applications, vol. 120, iss. 11, pp. 2258-2285, 2010.
  [Bibtex]

  @ARTICLE{Kohatsu-Higa20102258,
  author={Kohatsu-Higa, A. and Tankov, P.},
  title={Jump-adapted discretization schemes for Levy-driven SDEs},
  journal={Stochastic Processes and their Applications},
  year={2010},
  volume={120},
  number={11},
  pages={2258-2285},
  doi={10.1016/j.spa.2010.07.001},
  note={cited By 27},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77956393590&doi=10.1016%2fj.spa.2010.07.001&partnerID=40&md5=06a7d8cfcfd8eeb3cc2a9c7c5595bfaa},
  document_type={Article},
  source={Scopus},
  }

• J. Miklós-Thal, P. Rey, and T. Verge, “Vertical relations,” International journal of industrial organization, vol. 28, iss. 4, pp. 345-349, 2010.
  [Bibtex]

  @ARTICLE{Miklós-Thal2010345,
  author={Miklós-Thal, J. and Rey, P. and Verge, T.},
  title={Vertical relations},
  journal={International Journal of Industrial Organization},
  year={2010},
  volume={28},
  number={4},
  pages={345-349},
  doi={10.1016/j.ijindorg.2010.02.007},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955663783&doi=10.1016%2fj.ijindorg.2010.02.007&partnerID=40&md5=e18583ea8b2cf584a955d611f1ea8220},
  document_type={Article},
  source={Scopus},
  }

• N. Regnard and J. Zakoian, “Structure and estimation of a class of nonstationary yet nonexplosive garch models,” Journal of time series analysis, vol. 31, iss. 5, pp. 348-364, 2010.
  [Bibtex]

  @ARTICLE{Regnard2010348,
  author={Regnard, N. and Zakoian, J.},
  title={Structure and estimation of a class of nonstationary yet nonexplosive GARCH models},
  journal={Journal of Time Series Analysis},
  year={2010},
  volume={31},
  number={5},
  pages={348-364},
  doi={10.1111/j.1467-9892.2010.00669.x},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955736170&doi=10.1111%2fj.1467-9892.2010.00669.x&partnerID=40&md5=bcce1bca736e36dd9b672aede4b8621d},
  document_type={Article},
  source={Scopus},
  }

• P. Rey and T. Verge, “Resale price maintenance and interlocking relationships,” Journal of industrial economics, vol. 58, iss. 4, pp. 928-961, 2010.
  [Bibtex]

  @ARTICLE{Rey2010928,
  author={Rey, P. and Verge, T.},
  title={Resale price maintenance and interlocking relationships},
  journal={Journal of Industrial Economics},
  year={2010},
  volume={58},
  number={4},
  pages={928-961},
  doi={10.1111/j.1467-6451.2010.00439.x},
  note={cited By 53},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78650545201&doi=10.1111%2fj.1467-6451.2010.00439.x&partnerID=40&md5=ed5f81fcae599944f0f68de5faf5d44c},
  document_type={Article},
  source={Scopus},
  }

2009

• C. Robert, N. Chopin, and J. Rousseau, “Harold jeffreys’s theory of probability revisited,” Statistical science, 2009.
  [Bibtex]

  @article{robert:hal-02403322,
  author={Robert, Christian and Chopin, Nicolas and Rousseau, Judith},
  title={Harold Jeffreys's Theory of Probability Revisited},
  journal={Statistical Science},
  year={2009},
  }

• C. Robert, N. Chopin, and J. Rousseau, “Harold jeffreys’ theory of probability revisited: a reply,” Statistical science, 2009.
  [Bibtex]

  @article{robert:hal-00415936,
  author={Robert, Christian and Chopin, Nicolas and Rousseau, Judith},
  title={Harold Jeffreys' Theory of Probability revisited: a reply},
  journal={Statistical Science},
  year={2009},
  }

• S. Darolles, C. Gourieroux, and J. Jasiak, “L-performance with an application to hedge funds,” Journal of empirical finance, 2009.
  [Bibtex]

  @article{darolles:halshs-00677730,
  author={Darolles, Serge and Gourieroux, Christian and Jasiak, Joann},
  title={L-performance with an application to hedge funds},
  journal={Journal of Empirical Finance},
  year={2009},
  }

• R. Cont and P. Tankov, “Constant proportion portfolio insurance in presence of jumps in asset prices,” Mathematical finance, 2009.
  [Bibtex]

  @article{cont:hal-00445646,
  author={Cont, Rama and Tankov, Peter},
  title={Constant proportion portfolio insurance in presence of jumps in asset prices},
  journal={Mathematical Finance},
  year={2009},
  }

• R. Cont and P. Tankov, “Constant proportion portfolio insurance in the presence of jumps in asset prices,” Mathematical finance, vol. 19, iss. 3, pp. 379-401, 2009.
  [Bibtex]

  @ARTICLE{Cont2009379,
  author={Cont, R. and Tankov, P.},
  title={Constant proportion portfolio insurance in the presence of jumps in asset prices},
  journal={Mathematical Finance},
  year={2009},
  volume={19},
  number={3},
  pages={379-401},
  doi={10.1111/j.1467-9965.2009.00377.x},
  note={cited By 35},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650851506&doi=10.1111%2fj.1467-9965.2009.00377.x&partnerID=40&md5=d6f8d48eec2d54c7c882e15f775ccf3e},
  document_type={Article},
  source={Scopus},
  }

• S. Darolles, C. Gourieroux, and J. Jasiak, “L-performance with an application to hedge funds,” Journal of empirical finance, vol. 16, iss. 4, pp. 671-685, 2009.
  [Bibtex]

  @ARTICLE{Darolles2009671,
  author={Darolles, S. and Gourieroux, C. and Jasiak, J.},
  title={L-performance with an application to hedge funds},
  journal={Journal of Empirical Finance},
  year={2009},
  volume={16},
  number={4},
  pages={671-685},
  doi={10.1016/j.jempfin.2009.05.003},
  note={cited By 18},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650471821&doi=10.1016%2fj.jempfin.2009.05.003&partnerID=40&md5=be6565cc230fac03468bc3e0c784bc99},
  document_type={Article},
  source={Scopus},
  }

• P. Doukhan, J. -D. Fermanian, and G. Lang, “An empirical central limit theorem with applications to copulas under weak dependence,” Statistical inference for stochastic processes, vol. 12, iss. 1, pp. 65-87, 2009.
  [Bibtex]

  @ARTICLE{Doukhan200965,
  author={Doukhan, P. and Fermanian, J.-D. and Lang, G.},
  title={An empirical central limit theorem with applications to copulas under weak dependence},
  journal={Statistical Inference for Stochastic Processes},
  year={2009},
  volume={12},
  number={1},
  pages={65-87},
  doi={10.1007/s11203-008-9026-3},
  note={cited By 16},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-61849161751&doi=10.1007%2fs11203-008-9026-3&partnerID=40&md5=9d025fd825745c06fd937b5093ca0c8e},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Bartlett’s formula for a general class of nonlinear processes,” Journal of time series analysis, vol. 30, iss. 4, pp. 449-465, 2009.
  [Bibtex]

  @ARTICLE{Francq2009449,
  author={Francq, C. and Zakoian, J.-M.},
  title={Bartlett's formula for a general class of nonlinear processes},
  journal={Journal of Time Series Analysis},
  year={2009},
  volume={30},
  number={4},
  pages={449-465},
  doi={10.1111/j.1467-9892.2009.00623.x},
  note={cited By 23},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650677380&doi=10.1111%2fj.1467-9892.2009.00623.x&partnerID=40&md5=fa1f1300ddcb866a59c8249014b93cef},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Testing the nullity of garch coefficients: correction of the standard tests and relative efficiency comparisons,” Journal of the american statistical association, vol. 104, iss. 485, pp. 313-324, 2009.
  [Bibtex]

  @ARTICLE{Francq2009313,
  author={Francq, C. and Zakoian, J.-M.},
  title={Testing the nullity of GARCH coefficients: Correction of the standard tests and relative efficiency comparisons},
  journal={Journal of the American Statistical Association},
  year={2009},
  volume={104},
  number={485},
  pages={313-324},
  doi={10.1198/jasa.2009.0117},
  note={cited By 25},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350335991&doi=10.1198%2fjasa.2009.0117&partnerID=40&md5=f820ade5311fbdf0dd0a5f4ccb58061c},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and W. Liu, “Control and out-of-sample validation of dependent risks,” Journal of risk and insurance, vol. 76, iss. 3, pp. 683-707, 2009.
  [Bibtex]

  @ARTICLE{Gourieroux2009683,
  author={Gourieroux, C. and Liu, W.},
  title={Control and out-of-sample validation of dependent risks},
  journal={Journal of Risk and Insurance},
  year={2009},
  volume={76},
  number={3},
  pages={683-707},
  doi={10.1111/j.1539-6975.2009.01309.x},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-69449105404&doi=10.1111%2fj.1539-6975.2009.01309.x&partnerID=40&md5=f1307fbb7399bc77496e1394f7da4117},
  document_type={Conference Paper},
  source={Scopus},
  }

• C. Gourieroux, J. Jasiak, and R. Sufana, “The wishart autoregressive process of multivariate stochastic volatility,” Journal of econometrics, vol. 150, iss. 2, pp. 167-181, 2009.
  [Bibtex]

  @ARTICLE{Gourieroux2009167,
  author={Gourieroux, C. and Jasiak, J. and Sufana, R.},
  title={The Wishart Autoregressive process of multivariate stochastic volatility},
  journal={Journal of Econometrics},
  year={2009},
  volume={150},
  number={2},
  pages={167-181},
  doi={10.1016/j.jeconom.2008.12.016},
  note={cited By 122},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67349083871&doi=10.1016%2fj.jeconom.2008.12.016&partnerID=40&md5=8cb3e18bd53f6e8ffb393bf933692114},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Laferrere, “Managing hedonic housing price indexes: the french experience,” Journal of housing economics, vol. 18, iss. 3, pp. 206-213, 2009.
  [Bibtex]

  @ARTICLE{Gourieroux2009206,
  author={Gourieroux, C. and Laferrere, A.},
  title={Managing hedonic housing price indexes: The French experience},
  journal={Journal of Housing Economics},
  year={2009},
  volume={18},
  number={3},
  pages={206-213},
  doi={10.1016/j.jhe.2009.07.012},
  note={cited By 34},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70349844862&doi=10.1016%2fj.jhe.2009.07.012&partnerID=40&md5=8d8bb8042525137258d3275e9e41641a},
  document_type={Article},
  source={Scopus},
  }

• H. Pham and P. Tankov, “A coupled system of integrodifferential equations arising in liquidity risk model,” Applied mathematics and optimization, vol. 59, iss. 2, pp. 147-173, 2009.
  [Bibtex]

  @ARTICLE{Pham2009147,
  author={Pham, H. and Tankov, P.},
  title={A Coupled System of Integrodifferential Equations Arising in Liquidity Risk Model},
  journal={Applied Mathematics and Optimization},
  year={2009},
  volume={59},
  number={2},
  pages={147-173},
  doi={10.1007/s00245-008-9046-9},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-60349123439&doi=10.1007%2fs00245-008-9046-9&partnerID=40&md5=6e69e4bb92fc9fd81b5fe42a47bad41a},
  document_type={Article},
  source={Scopus},
  }

• C. P. Robert, N. Chopin, and J. Rousseau, “Harold jeffreys’s theory of probability revisited,” Statistical science, vol. 24, iss. 2, pp. 141-172, 2009.
  [Bibtex]

  @ARTICLE{Robert2009141,
  author={Robert, C.P. and Chopin, N. and Rousseau, J.},
  title={Harold Jeffreys's theory of probability revisited},
  journal={Statistical Science},
  year={2009},
  volume={24},
  number={2},
  pages={141-172},
  doi={10.1214/09-STS284},
  note={cited By 63},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955125911&doi=10.1214%2f09-STS284&partnerID=40&md5=99b149c49998619659c3edf9995d63a2},
  document_type={Article},
  source={Scopus},
  }

• C. P. Robert, N. Chopin, and J. Rousseau, “Rejoinder: harold jeffreys’s theory of probability revisited,” Statistical science, vol. 24, iss. 2, pp. 191-194, 2009.
  [Bibtex]

  @ARTICLE{Robert2009191,
  author={Robert, C.P. and Chopin, N. and Rousseau, J.},
  title={Rejoinder: Harold Jeffreys's theory of probability revisited},
  journal={Statistical Science},
  year={2009},
  volume={24},
  number={2},
  pages={191-194},
  doi={10.1214/09-STS284REJ},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955137079&doi=10.1214%2f09-STS284REJ&partnerID=40&md5=de5f5deb12cc0822e852fec52b5cb610},
  document_type={Article},
  source={Scopus},
  }

• P. Tankov and E. Voltchkova, “Asymptotic analysis of hedging errors in models with jumps,” Stochastic processes and their applications, vol. 119, iss. 6, pp. 2004-2027, 2009.
  [Bibtex]

  @ARTICLE{Tankov20092004,
  author={Tankov, P. and Voltchkova, E.},
  title={Asymptotic analysis of hedging errors in models with jumps},
  journal={Stochastic Processes and their Applications},
  year={2009},
  volume={119},
  number={6},
  pages={2004-2027},
  doi={10.1016/j.spa.2008.10.002},
  note={cited By 23},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-64549129187&doi=10.1016%2fj.spa.2008.10.002&partnerID=40&md5=5db670d871913648206ce0f232eb9c03},
  document_type={Article},
  source={Scopus},
  }

2008

• J. Idier, C. Jardet, G. Le Fol, A. Monfort, and F. Pegoraro, “Taking into account extreme events in european option pricing,” Financial stability review, 2008.
  [Bibtex]

  @article{idier:halshs-00638450,
  author={Idier, Julien and Jardet, Caroline and Le Fol, Gaelle and Monfort, Alain and Pegoraro, Fulvio},
  title={Taking into account extreme events in European option pricing},
  journal={Financial Stability Review},
  year={2008},
  }

• H. Bertholon, A. Monfort, and F. Pegoraro, “Econometric asset pricing modelling,” Journal of financial econometrics, vol. 6, iss. 4, pp. 407-458, 2008.
  [Bibtex]

  @ARTICLE{Bertholon2008407,
  author={Bertholon, H. and Monfort, A. and Pegoraro, F.},
  title={Econometric asset pricing modelling},
  journal={Journal of Financial Econometrics},
  year={2008},
  volume={6},
  number={4},
  pages={407-458},
  doi={10.1093/jjfinec/nbn011},
  note={cited By 29},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-53849147903&doi=10.1093%2fjjfinec%2fnbn011&partnerID=40&md5=b1f916ddb71abeac3603d7a77d161d30},
  document_type={Article},
  source={Scopus},
  }

• D. Feng, C. Gourieroux, and J. Jasiak, “The ordered qualitative model for credit rating transitions,” Journal of empirical finance, vol. 15, iss. 1, pp. 111-130, 2008.
  [Bibtex]

  @ARTICLE{Feng2008111,
  author={Feng, D. and Gourieroux, C. and Jasiak, J.},
  title={The ordered qualitative model for credit rating transitions},
  journal={Journal of Empirical Finance},
  year={2008},
  volume={15},
  number={1},
  pages={111-130},
  doi={10.1016/j.jempfin.2006.12.003},
  note={cited By 33},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-37049018465&doi=10.1016%2fj.jempfin.2006.12.003&partnerID=40&md5=0ebe7a35d0700db015ba8e6ce2d131b7},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Deriving the autocovariances of powers of markov-switching garch models, with applications to statistical inference,” Computational statistics and data analysis, vol. 52, iss. 6, pp. 3027-3046, 2008.
  [Bibtex]

  @ARTICLE{Francq20083027,
  author={Francq, C. and Zakoian, J.-M.},
  title={Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference},
  journal={Computational Statistics and Data Analysis},
  year={2008},
  volume={52},
  number={6},
  pages={3027-3046},
  doi={10.1016/j.csda.2007.08.003},
  note={cited By 27},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-39049146619&doi=10.1016%2fj.csda.2007.08.003&partnerID=40&md5=65c3c99cecc593cabe3c1aefdc2a492c},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, S. Makarova, and J. -M. Zakoian, “A class of stochastic unit-root bilinear processes: mixing properties and unit-root test,” Journal of econometrics, vol. 142, iss. 1, pp. 312-326, 2008.
  [Bibtex]

  @ARTICLE{Francq2008312,
  author={Francq, C. and Makarova, S. and Zakoian, J.-M.},
  title={A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test},
  journal={Journal of Econometrics},
  year={2008},
  volume={142},
  number={1},
  pages={312-326},
  doi={10.1016/j.jeconom.2007.04.003},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-36148967680&doi=10.1016%2fj.jeconom.2007.04.003&partnerID=40&md5=9968e93dcecd26ab9f73462a042f730e},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “Duration time-series models with proportional hazard,” Journal of time series analysis, vol. 29, iss. 1, pp. 74-124, 2008.
  [Bibtex]

  @ARTICLE{Gagliardini200874,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Duration time-series models with proportional hazard},
  journal={Journal of Time Series Analysis},
  year={2008},
  volume={29},
  number={1},
  pages={74-124},
  doi={10.1111/j.1467-9892.2007.00546.x},
  note={cited By 9},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-36849089165&doi=10.1111%2fj.1467-9892.2007.00546.x&partnerID=40&md5=06c1104c763a1ba05b269b7ad17bfb32},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Dynamic quantile models,” Journal of econometrics, vol. 147, iss. 1, pp. 198-205, 2008.
  [Bibtex]

  @ARTICLE{Gourieroux2008198,
  author={Gourieroux, C. and Jasiak, J.},
  title={Dynamic quantile models},
  journal={Journal of Econometrics},
  year={2008},
  volume={147},
  number={1},
  pages={198-205},
  doi={10.1016/j.jeconom.2008.09.028},
  note={cited By 39},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-55349121814&doi=10.1016%2fj.jeconom.2008.09.028&partnerID=40&md5=700d472fd6804b137a31acaf2aac3e43},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Quadratic stochastic intensity and prospective mortality tables,” Insurance: mathematics and economics, vol. 43, iss. 1, pp. 174-184, 2008.
  [Bibtex]

  @ARTICLE{Gourieroux2008174,
  author={Gourieroux, C. and Monfort, A.},
  title={Quadratic stochastic intensity and prospective mortality tables},
  journal={Insurance: Mathematics and Economics},
  year={2008},
  volume={43},
  number={1},
  pages={174-184},
  doi={10.1016/j.insmatheco.2008.05.010},
  note={cited By 17},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-47249103759&doi=10.1016%2fj.insmatheco.2008.05.010&partnerID=40&md5=ec26f6e565bce13a6da5eb57a746cc0d},
  document_type={Article},
  source={Scopus},
  }

• T. Meyer-Brandis and P. Tankov, “Multi-factor jump-diffusion models of electricity prices,” International journal of theoretical and applied finance, vol. 11, iss. 5, pp. 503-528, 2008.
  [Bibtex]

  @ARTICLE{Meyer-Brandis2008503,
  author={Meyer-Brandis, T. and Tankov, P.},
  title={Multi-factor jump-diffusion models of electricity prices},
  journal={International Journal of Theoretical and Applied Finance},
  year={2008},
  volume={11},
  number={5},
  pages={503-528},
  doi={10.1142/S0219024908004907},
  note={cited By 45},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-50949104370&doi=10.1142%2fS0219024908004907&partnerID=40&md5=f6261ffbd798860f928aa82225ffba69},
  document_type={Article},
  source={Scopus},
  }

• H. Pham and P. Tankov, “A model of optimal consumption under liquidity risk with random trading times,” Mathematical finance, vol. 18, iss. 4, pp. 613-627, 2008.
  [Bibtex]

  @ARTICLE{Pham2008613,
  author={Pham, H. and Tankov, P.},
  title={A model of optimal consumption under liquidity risk with random trading times},
  journal={Mathematical Finance},
  year={2008},
  volume={18},
  number={4},
  pages={613-627},
  doi={10.1111/j.1467-9965.2008.00350.x},
  note={cited By 20},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-52249122631&doi=10.1111%2fj.1467-9965.2008.00350.x&partnerID=40&md5=04afd320f7497e8bf243573bad11e79a},
  document_type={Conference Paper},
  source={Scopus},
  }

2007

• C. Francq, S. Makarova, and J. Zakoian, “A class of stochastic unit-root bilinear processes: mixing properties and unit-root test,” Econometrics, 2007.
  [Bibtex]

  @article{francq:hal-00501792,
  author={Francq, Christian and Makarova, Svetlana and Zakoian, Jean-Michel},
  title={A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test},
  journal={Econometrics},
  year={2007},
  }

• C. Francq and H. Raissi, “Multivariate portmanteau test for autoregressive models with uncorrelated but nonindependent errors,” Journal of time series analysis, 2007.
  [Bibtex]

  @article{francq:hal-00517078,
  author={Francq, Christian and Raissi, Hamdi},
  title={Multivariate Portmanteau test for Autoregressive models with uncorrelated but nonindependent errors},
  journal={Journal of Time Series Analysis},
  year={2007},
  }

• M. Carbon, C. Francq, and L. T. Tran, “Kernel regression estimation for random fields,” Journal of statistical planning and inference, vol. 137, iss. 3, pp. 778-798, 2007.
  [Bibtex]

  @ARTICLE{Carbon2007778,
  author={Carbon, M. and Francq, C. and Tran, L.T.},
  title={Kernel regression estimation for random fields},
  journal={Journal of Statistical Planning and Inference},
  year={2007},
  volume={137},
  number={3},
  pages={778-798},
  doi={10.1016/j.jspi.2006.06.008},
  note={cited By 35},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750576929&doi=10.1016%2fj.jspi.2006.06.008&partnerID=40&md5=3ef610902ae2f91f10abfad3e1f55ae6},
  document_type={Article},
  source={Scopus},
  }

• R. Elie, J. -D. Fermanian, and N. Touzi, “Kernel estimation of greek weights by parameter randomization,” Annals of applied probability, vol. 17, iss. 4, pp. 1399-1423, 2007.
  [Bibtex]

  @ARTICLE{Elie20071399,
  author={Elie, R. and Fermanian, J.-D. and Touzi, N.},
  title={Kernel estimation of Greek weights by parameter randomization},
  journal={Annals of Applied Probability},
  year={2007},
  volume={17},
  number={4},
  pages={1399-1423},
  doi={10.1214/105051607000000186},
  note={cited By 10},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-52949086846&doi=10.1214%2f105051607000000186&partnerID=40&md5=26b184c651f1380cbc7f9043c6a64212},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Quasi-maximum likelihood estimation in garch processes when some coefficients are equal to zero,” Stochastic processes and their applications, vol. 117, iss. 9, pp. 1265-1284, 2007.
  [Bibtex]

  @ARTICLE{Francq20071265,
  author={Francq, C. and Zakoian, J.-M.},
  title={Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero},
  journal={Stochastic Processes and their Applications},
  year={2007},
  volume={117},
  number={9},
  pages={1265-1284},
  doi={10.1016/j.spa.2007.01.001},
  note={cited By 37},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34447535241&doi=10.1016%2fj.spa.2007.01.001&partnerID=40&md5=4329adf26fc0c503c5cf0a56c46f5df1},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and H. Raissi, “Multivariate portmanteau test for autoregressive models with uncorrelated but nonindependent errors,” Journal of time series analysis, vol. 28, iss. 3, pp. 454-470, 2007.
  [Bibtex]

  @ARTICLE{Francq2007454,
  author={Francq, C. and Raissi, H.},
  title={Multivariate portmanteau test for autoregressive models with uncorrelated but nonindependent errors},
  journal={Journal of Time Series Analysis},
  year={2007},
  volume={28},
  number={3},
  pages={454-470},
  doi={10.1111/j.1467-9892.2006.00521.x},
  note={cited By 24},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34247343354&doi=10.1111%2fj.1467-9892.2006.00521.x&partnerID=40&md5=dd39a7d0d986c4396adff68a0588f4a7},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Hac estimation and strong linearity testing in weak arma models,” Journal of multivariate analysis, vol. 98, iss. 1, pp. 114-144, 2007.
  [Bibtex]

  @ARTICLE{Francq2007114,
  author={Francq, C. and Zakoian, J.-M.},
  title={HAC estimation and strong linearity testing in weak ARMA models},
  journal={Journal of Multivariate Analysis},
  year={2007},
  volume={98},
  number={1},
  pages={114-144},
  doi={10.1016/j.jmva.2006.02.003},
  note={cited By 12},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750213990&doi=10.1016%2fj.jmva.2006.02.003&partnerID=40&md5=5bf638f8c40af14dac3d443556df5ead},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “An efficient nonparametric estimator for models with nonlinear dependence,” Journal of econometrics, vol. 137, iss. 1, pp. 189-229, 2007.
  [Bibtex]

  @ARTICLE{Gagliardini2007189,
  author={Gagliardini, P. and Gourieroux, C.},
  title={An efficient nonparametric estimator for models with nonlinear dependence},
  journal={Journal of Econometrics},
  year={2007},
  volume={137},
  number={1},
  pages={189-229},
  doi={10.1016/j.jeconom.2006.03.011},
  note={cited By 10},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846544404&doi=10.1016%2fj.jeconom.2006.03.011&partnerID=40&md5=8d71c47e17a687baab168379fdb3fd9f},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, “Positivity conditions for a bivariate autoregressive volatility specification,” Journal of financial econometrics, vol. 5, iss. 4, pp. 624-636, 2007.
  [Bibtex]

  @ARTICLE{Gourieroux2007624,
  author={Gourieroux, C.},
  title={Positivity conditions for a bivariate autoregressive volatility specification},
  journal={Journal of Financial Econometrics},
  year={2007},
  volume={5},
  number={4},
  pages={624-636},
  doi={10.1093/jjfinec/nbm010},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-43449093808&doi=10.1093%2fjjfinec%2fnbm010&partnerID=40&md5=a591bbb42255284b4f77a55c71696fdf},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and R. Sufana, “Chapter 4 pricing with wishart risk factors,” Handbooks in operations research and management science, vol. 15, iss. C, pp. 163-182, 2007.
  [Bibtex]

  @ARTICLE{Gourieroux2007163,
  author={Gourieroux, C. and Sufana, R.},
  title={Chapter 4 Pricing with Wishart Risk Factors},
  journal={Handbooks in Operations Research and Management Science},
  year={2007},
  volume={15},
  number={C},
  pages={163-182},
  doi={10.1016/S0927-0507(07)15004-0},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77950625309&doi=10.1016%2fS0927-0507%2807%2915004-0&partnerID=40&md5=22545914438492fd99e4c2bf64f7d8ab},
  document_type={Review},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Econometric specification of stochastic discount factor models,” Journal of econometrics, vol. 136, iss. 2, pp. 509-530, 2007.
  [Bibtex]

  @ARTICLE{Gourieroux2007509,
  author={Gourieroux, C. and Monfort, A.},
  title={Econometric specification of stochastic discount factor models},
  journal={Journal of Econometrics},
  year={2007},
  volume={136},
  number={2},
  pages={509-530},
  doi={10.1016/j.jeconom.2005.11.015},
  note={cited By 39},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845313926&doi=10.1016%2fj.jeconom.2005.11.015&partnerID=40&md5=43804ae8bf71dc8681004c25e067c582},
  document_type={Article},
  source={Scopus},
  }

• A. Monfort and F. Pegoraro, “Switching varma term structure models,” Journal of financial econometrics, vol. 5, iss. 1, pp. 105-153, 2007.
  [Bibtex]

  @ARTICLE{Monfort2007105,
  author={Monfort, A. and Pegoraro, F.},
  title={Switching VARMA term structure models},
  journal={Journal of Financial Econometrics},
  year={2007},
  volume={5},
  number={1},
  pages={105-153},
  doi={10.1093/jjfinec/nbl009},
  note={cited By 28},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846688166&doi=10.1093%2fjjfinec%2fnbl009&partnerID=40&md5=aa1f6668db1a0b9448ad7ad71107b07b},
  document_type={Article},
  source={Scopus},
  }

2006

• S. Darolles, C. Gourieroux, and J. Jasiak, “Structural laplace transform and compound autoregressive models,” Joural of time series analysis, 2006.
  [Bibtex]

  @article{darolles:halshs-00678240,
  author={Darolles, Serge and Gourieroux, Christian and Jasiak, Joann},
  title={Structural Laplace Transform and Compound Autoregressive Models},
  journal={Joural of Time Series Analysis},
  year={2006},
  }

• A. Amendola, C. Francq, and S. J. Koopman, “Special issue on nonlinear modelling and financial econometrics,” Computational statistics and data analysis, vol. 51, iss. 4, pp. 2115-2117, 2006.
  [Bibtex]

  @EDITORIAL{Amendola20062115,
  author={Amendola, A. and Francq, C. and Koopman, S.J.},
  title={Special Issue on Nonlinear Modelling and Financial Econometrics},
  journal={Computational Statistics and Data Analysis},
  year={2006},
  volume={51},
  number={4},
  pages={2115-2117},
  doi={10.1016/j.csda.2006.09.022},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750999916&doi=10.1016%2fj.csda.2006.09.022&partnerID=40&md5=2b0dfca630058f357b6d7e35521bbddc},
  document_type={Editorial},
  source={Scopus},
  }

• R. Cont and P. Tankov, “Retrieving levy processes from option prices: regularization of an ill-posed inverse problem,” Siam journal on control and optimization, vol. 45, iss. 1, pp. 1-25, 2006.
  [Bibtex]

  @ARTICLE{Cont20061,
  author={Cont, R. and Tankov, P.},
  title={Retrieving levy processes from option prices: Regularization of an ill-posed inverse problem},
  journal={SIAM Journal on Control and Optimization},
  year={2006},
  volume={45},
  number={1},
  pages={1-25},
  doi={10.1137/040616267},
  note={cited By 35},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33847071261&doi=10.1137%2f040616267&partnerID=40&md5=7a58c28a80a8817c3577557e6d15265b},
  document_type={Article},
  source={Scopus},
  }

• S. Darolles, C. Gourieroux, and J. Jasiak, “Structural laplace transform and compound autoregressive models,” Journal of time series analysis, vol. 27, iss. 4, pp. 477-503, 2006.
  [Bibtex]

  @ARTICLE{Darolles2006477,
  author={Darolles, S. and Gourieroux, C. and Jasiak, J.},
  title={Structural laplace transform and compound autoregressive models},
  journal={Journal of Time Series Analysis},
  year={2006},
  volume={27},
  number={4},
  pages={477-503},
  doi={10.1111/j.1467-9892.2006.00479.x},
  note={cited By 45},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33745302681&doi=10.1111%2fj.1467-9892.2006.00479.x&partnerID=40&md5=063f5ed038ef136ae3d134745090d448},
  document_type={Article},
  source={Scopus},
  }

• C. Franco and J. -M. Zakoian, “Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process,” Econometric theory, vol. 22, iss. 5, pp. 815-834, 2006.
  [Bibtex]

  @ARTICLE{Franco2006815,
  author={Franco, C. and Zakoian, J.-M.},
  title={Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process},
  journal={Econometric Theory},
  year={2006},
  volume={22},
  number={5},
  pages={815-834},
  doi={10.1017/S0266466606060373},
  note={cited By 55},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33749368377&doi=10.1017%2fS0266466606060373&partnerID=40&md5=678f2017dfc982c99cbfa4b9c3195b8f},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Linear-representation based estimation of stochastic volatility models,” Scandinavian journal of statistics, vol. 33, iss. 4, pp. 785-806, 2006.
  [Bibtex]

  @ARTICLE{Francq2006785,
  author={Francq, C. and Zakoian, J.-M.},
  title={Linear-representation based estimation of stochastic volatility models},
  journal={Scandinavian Journal of Statistics},
  year={2006},
  volume={33},
  number={4},
  pages={785-806},
  doi={10.1111/j.1467-9469.2006.00495.x},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750995253&doi=10.1111%2fj.1467-9469.2006.00495.x&partnerID=40&md5=f5dadd2e55a74b0ddcf4ca95ac8df4ff},
  document_type={Review},
  source={Scopus},
  }

• A. E. Ghini and C. Francq, “Asymptotic relative efficiency of goodness-of-fit tests based on inverse and ordinary autocorrelations,” Journal of time series analysis, vol. 27, iss. 6, pp. 843-855, 2006.
  [Bibtex]

  @ARTICLE{El Ghini2006AsymptoticAutocorrelations,
  author={Ahmed El Ghini and Christian Francq},
  title={Asymptotic relative efficiency of goodness-of-fit tests based on inverse and ordinary autocorrelations},
  journal={Journal of Time Series Analysis},
  year={2006},
  volume={27},
  number={6},
  pages={843-855},
  doi={10.1111/j.1467-9892.2006.00491.x},
  }

• C. Gourieroux and C. Y. Robert, “Stochastic unit root models,” Econometric theory, vol. 22, iss. 6, pp. 1052-1090, 2006.
  [Bibtex]

  @ARTICLE{Gourieroux20061052,
  author={Gourieroux, C. and Robert, C.Y.},
  title={Stochastic unit root models},
  journal={Econometric Theory},
  year={2006},
  volume={22},
  number={6},
  pages={1052-1090},
  doi={10.1017/S0266466606060518},
  note={cited By 15},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845738227&doi=10.1017%2fS0266466606060518&partnerID=40&md5=e0e294b1918f69f61ebd96209f04e93b},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and R. Sufana, “A classification of two-factor affine diffusion term structure models,” Journal of financial econometrics, vol. 4, iss. 1, pp. 31-52, 2006.
  [Bibtex]

  @ARTICLE{Gourieroux200631,
  author={Gourieroux, C. and Sufana, R.},
  title={A classification of two-factor affine diffusion term structure models},
  journal={Journal of Financial Econometrics},
  year={2006},
  volume={4},
  number={1},
  pages={31-52},
  doi={10.1093/jjfinec/nbj003},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-30744477710&doi=10.1093%2fjjfinec%2fnbj003&partnerID=40&md5=b08b18719d7051dbd6dcb7c738c11644},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, “Continuous time wishart process for stochastic risk,” Econometric reviews, vol. 25, iss. 2-3, pp. 177-217, 2006.
  [Bibtex]

  @ARTICLE{Gourieroux2006177,
  author={Gourieroux, C.},
  title={Continuous time Wishart process for stochastic risk},
  journal={Econometric Reviews},
  year={2006},
  volume={25},
  number={2-3},
  pages={177-217},
  doi={10.1080/07474930600713234},
  note={cited By 62},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33747805037&doi=10.1080%2f07474930600713234&partnerID=40&md5=71f091f5f7e060dc1a9b765cff527063},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and V. Polimenis, “Affine models for credit risk analysis,” Journal of financial econometrics, vol. 4, iss. 3, pp. 494-530, 2006.
  [Bibtex]

  @ARTICLE{Gourieroux2006494,
  author={Gourieroux, C. and Monfort, A. and Polimenis, V.},
  title={Affine models for credit risk analysis},
  journal={Journal of Financial Econometrics},
  year={2006},
  volume={4},
  number={3},
  pages={494-530},
  doi={10.1093/jjfinec/nbj012},
  note={cited By 25},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33748105105&doi=10.1093%2fjjfinec%2fnbj012&partnerID=40&md5=1566039f4c452fa3259a7333d8524f98},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Autoregressive gamma processes,” Journal of forecasting, vol. 25, iss. 2, pp. 129-152, 2006.
  [Bibtex]

  @ARTICLE{Gourieroux2006129,
  author={Gourieroux, C. and Jasiak, J.},
  title={Autoregressive gamma processes},
  journal={Journal of Forecasting},
  year={2006},
  volume={25},
  number={2},
  pages={129-152},
  doi={10.1002/for.978},
  note={cited By 80},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33646508385&doi=10.1002%2ffor.978&partnerID=40&md5=83ef81fc40de5c68056d2c8170c7f999},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Multivariate jacobi process with application to smooth transitions,” Journal of econometrics, vol. 131, iss. 1-2, pp. 475-505, 2006.
  [Bibtex]

  @ARTICLE{Gourieroux2006475,
  author={Gourieroux, C. and Jasiak, J.},
  title={Multivariate Jacobi process with application to smooth transitions},
  journal={Journal of Econometrics},
  year={2006},
  volume={131},
  number={1-2},
  pages={475-505},
  doi={10.1016/j.jeconom.2005.01.014},
  note={cited By 34},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33644532586&doi=10.1016%2fj.jeconom.2005.01.014&partnerID=40&md5=f961394192b3e31b26ce5242e06c931a},
  document_type={Conference Paper},
  source={Scopus},
  }

• J. Kallsen and P. Tankov, “Characterization of dependence of multidimensional levy processes using levy copulas,” Journal of multivariate analysis, vol. 97, iss. 7, pp. 1551-1572, 2006.
  [Bibtex]

  @ARTICLE{Kallsen20061551,
  author={Kallsen, J. and Tankov, P.},
  title={Characterization of dependence of multidimensional Levy processes using Levy copulas},
  journal={Journal of Multivariate Analysis},
  year={2006},
  volume={97},
  number={7},
  pages={1551-1572},
  doi={10.1016/j.jmva.2005.11.001},
  note={cited By 90},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33646774356&doi=10.1016%2fj.jmva.2005.11.001&partnerID=40&md5=583b0b178cb7a8e0d39a7be4dfa8a8c7},
  document_type={Article},
  source={Scopus},
  }

• J. Poirot and P. Tankov, “Monte carlo option pricing for tempered stable (cgmy) processes,” Asia-pacific financial markets, vol. 13, iss. 4, pp. 327-344, 2006.
  [Bibtex]

  @ARTICLE{Poirot2006327,
  author={Poirot, J. and Tankov, P.},
  title={Monte Carlo option pricing for tempered stable (CGMY) processes},
  journal={Asia-Pacific Financial Markets},
  year={2006},
  volume={13},
  number={4},
  pages={327-344},
  doi={10.1007/s10690-007-9048-7},
  note={cited By 37},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34548666654&doi=10.1007%2fs10690-007-9048-7&partnerID=40&md5=8e803c18c5471f893aaccfb65f53a2c4},
  document_type={Conference Paper},
  source={Scopus},
  }

• Y. Saidi and J. -M. Zakoian, “Stationarity and geometric ergodicity of a class of nonlinear arch models,” Annals of applied probability, vol. 16, iss. 4, pp. 2256-2271, 2006.
  [Bibtex]

  @ARTICLE{Saidi20062256,
  author={Saidi, Y. and Zakoian, J.-M.},
  title={Stationarity and geometric ergodicity of a class of nonlinear ARCH models},
  journal={Annals of Applied Probability},
  year={2006},
  volume={16},
  number={4},
  pages={2256-2271},
  doi={10.1214/105051606000000565},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846893175&doi=10.1214%2f105051606000000565&partnerID=40&md5=e18a28f14b225b91d03cbdae5978a365},
  document_type={Article},
  source={Scopus},
  }

2005

• J. -D. Fermanian, “Goodness-of-fit tests for copulas,” Journal of multivariate analysis, vol. 95, iss. 1, pp. 119-152, 2005.
  [Bibtex]

  @ARTICLE{Fermanian2005119,
  author={Fermanian, J.-D.},
  title={Goodness-of-fit tests for copulas},
  journal={Journal of Multivariate Analysis},
  year={2005},
  volume={95},
  number={1},
  pages={119-152},
  doi={10.1016/j.jmva.2004.07.004},
  note={cited By 207},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18744406022&doi=10.1016%2fj.jmva.2004.07.004&partnerID=40&md5=9ff0935e14d9d552601920be103aed89},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian and O. Scaillet, “Sensitivity analysis of var and expected shortfall for portfolios under netting agreements,” Journal of banking and finance, vol. 29, iss. 4, pp. 927-958, 2005.
  [Bibtex]

  @ARTICLE{Fermanian2005927,
  author={Fermanian, J.-D. and Scaillet, O.},
  title={Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements},
  journal={Journal of Banking and Finance},
  year={2005},
  volume={29},
  number={4},
  pages={927-958},
  doi={10.1016/j.jbankfin.2004.08.007},
  note={cited By 29},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12444253075&doi=10.1016%2fj.jbankfin.2004.08.007&partnerID=40&md5=6999da630d393152e963cf2a78d6bc6d},
  document_type={Article},
  source={Scopus},
  }

• C. Franco, R. Roy, and J. -M. Zakoian, “Diagnostic checking in arma models with uncorrelated errors,” Journal of the american statistical association, vol. 100, iss. 470, pp. 532-544, 2005.
  [Bibtex]

  @ARTICLE{Franco2005532,
  author={Franco, C. and Roy, R. and Zakoian, J.-M.},
  title={Diagnostic checking in ARMA models with uncorrelated errors},
  journal={Journal of the American Statistical Association},
  year={2005},
  volume={100},
  number={470},
  pages={532-544},
  doi={10.1198/016214504000001510},
  note={cited By 90},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-20444444745&doi=10.1198%2f016214504000001510&partnerID=40&md5=00ec8409ef0b426e548f995b12038c30},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size,” Econometric theory, vol. 21, iss. 6, pp. 1165-1171, 2005.
  [Bibtex]

  @ARTICLE{Francq20051165,
  author={Francq, C. and Zakoian, J.-M.},
  title={A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size},
  journal={Econometric Theory},
  year={2005},
  volume={21},
  number={6},
  pages={1165-1171},
  doi={10.1017/S0266466605050577},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-25644454310&doi=10.1017%2fS0266466605050577&partnerID=40&md5=8ea9213a2e9e7d81011ed8fc383ca06c},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoan, “The l2-structures of standard and switching-regime garch models,” Stochastic processes and their applications, vol. 115, iss. 9, pp. 1557-1582, 2005.
  [Bibtex]

  @ARTICLE{Francq20051557,
  author={Francq, C. and Zakoan, J.-M.},
  title={The L2-structures of standard and switching-regime GARCH models},
  journal={Stochastic Processes and their Applications},
  year={2005},
  volume={115},
  number={9},
  pages={1557-1582},
  doi={10.1016/j.spa.2005.04.005},
  note={cited By 40},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-23044457404&doi=10.1016%2fj.spa.2005.04.005&partnerID=40&md5=ef01d33acde672deb5566242965db614},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “Migration correlation: definition and efficient estimation,” Journal of banking and finance, vol. 29, iss. 4, pp. 865-894, 2005.
  [Bibtex]

  @ARTICLE{Gagliardini2005865,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Migration correlation: Definition and efficient estimation},
  journal={Journal of Banking and Finance},
  year={2005},
  volume={29},
  number={4},
  pages={865-894},
  doi={10.1016/j.jbankfin.2004.08.006},
  note={cited By 16},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12444290992&doi=10.1016%2fj.jbankfin.2004.08.006&partnerID=40&md5=53ab771f60c4750dcb1db12211c3b49b},
  document_type={Article},
  source={Scopus},
  }

• P. Gagliardini and C. Gourieroux, “Stochastic migration models with application to corporate risk,” Journal of financial econometrics, vol. 3, iss. 2, pp. 188-226, 2005.
  [Bibtex]

  @ARTICLE{Gagliardini2005188,
  author={Gagliardini, P. and Gourieroux, C.},
  title={Stochastic migration models with application to corporate risk},
  journal={Journal of Financial Econometrics},
  year={2005},
  volume={3},
  number={2},
  pages={188-226},
  doi={10.1093/jjfinec/nbi013},
  note={cited By 24},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-27244441009&doi=10.1093%2fjjfinec%2fnbi013&partnerID=40&md5=81be233b8d75ecbdcbb635d4bcee1684},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “The econometrics of efficient portfolios,” Journal of empirical finance, vol. 12, iss. 1, pp. 1-41, 2005.
  [Bibtex]

  @ARTICLE{Gourieroux20051,
  author={Gourieroux, C. and Monfort, A.},
  title={The econometrics of efficient portfolios},
  journal={Journal of Empirical Finance},
  year={2005},
  volume={12},
  number={1},
  pages={1-41},
  doi={10.1016/j.jempfin.2003.07.001},
  note={cited By 12},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12744272959&doi=10.1016%2fj.jempfin.2003.07.001&partnerID=40&md5=ebdc4e9792021ac40e6462cb7182e6bd},
  document_type={Article},
  source={Scopus},
  }

• C. Hillairet, “Comparison of insiders’ optimal strategies depending on the type of side-information,” Stochastic processes and their applications, vol. 115, iss. 10, pp. 1603-1627, 2005.
  [Bibtex]

  @ARTICLE{Hillairet20051603,
  author={Hillairet, C.},
  title={Comparison of insiders' optimal strategies depending on the type of side-information},
  journal={Stochastic Processes and their Applications},
  year={2005},
  volume={115},
  number={10},
  pages={1603-1627},
  doi={10.1016/j.spa.2005.05.005},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-24144456493&doi=10.1016%2fj.spa.2005.05.005&partnerID=40&md5=f334810c6310e5c7951c0d096ed2790a},
  document_type={Article},
  source={Scopus},
  }

• C. Hillairet, “Existence of an equilibrium with discontinuous prices, asymmetric information, and nontrivial initial ïƒ-fields,” Mathematical finance, vol. 15, iss. 1, pp. 99-117, 2005.
  [Bibtex]

  @ARTICLE{Hillairet200599,
  author={Hillairet, C.},
  title={Existence of an equilibrium with discontinuous prices, asymmetric information, and nontrivial initial σ-fields},
  journal={Mathematical Finance},
  year={2005},
  volume={15},
  number={1},
  pages={99-117},
  doi={10.1111/j.0960-1627.2005.00212.x},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-14544284005&doi=10.1111%2fj.0960-1627.2005.00212.x&partnerID=40&md5=886c7341942037820d0737b3ae2b3f04},
  document_type={Article},
  source={Scopus},
  }

2004

• S. Darolles, J. Florens, and C. Gourieroux, “Kernel-based nonlinear canonical analysis and time reversibility,” Econometrics, 2004.
  [Bibtex]

  @article{darolles:halshs-00678062,
  author={Darolles, Serge and Florens, Jean-Pierre and Gourieroux, Christian},
  title={Kernel-based nonlinear canonical analysis and time reversibility},
  journal={Econometrics},
  year={2004},
  }

• R. Cont and P. Tankov, “Nonparametric calibration of jump-diffusion option pricing models.,” The journal of computational finance, 2004.
  [Bibtex]

  @article{cont:hal-00002694,
  author={Cont, Rama and Tankov, Peter},
  title={Nonparametric calibration of jump-diffusion option pricing models.},
  journal={The Journal of Computational Finance},
  year={2004},
  }

• R. Cont and P. Tankov, Financial modelling with jump processes, , 2004.
  [Bibtex]

  @book{cont:hal-00002693,
  author={Cont, Rama and Tankov, Peter},
  title={Financial modelling with jump processes},
  journal={},
  year={2004},
  }

• S. Darolles, J. -P. Florens, and C. Gourieroux, “Kernel-based nonlinear canonical analysis and time reversibility,” Journal of econometrics, vol. 119, iss. 2, pp. 323-353, 2004.
  [Bibtex]

  @ARTICLE{Darolles2004323,
  author={Darolles, S. and Florens, J.-P. and Gourieroux, C.},
  title={Kernel-based nonlinear canonical analysis and time reversibility},
  journal={Journal of Econometrics},
  year={2004},
  volume={119},
  number={2},
  pages={323-353},
  doi={10.1016/S0304-4076(03)00199-4},
  note={cited By 15},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1642309374&doi=10.1016%2fS0304-4076%2803%2900199-4&partnerID=40&md5=870b54aea311c68129336611413491db},
  document_type={Conference Paper},
  source={Scopus},
  }

• J. -D. Fermanian, D. Radulović, and M. Wegkamp, “Weak convergence of empirical copula processes,” Bernoulli, vol. 10, iss. 5, pp. 847-860, 2004.
  [Bibtex]

  @ARTICLE{Fermanian2004847,
  author={Fermanian, J.-D. and Radulović, D. and Wegkamp, M.},
  title={Weak convergence of empirical copula processes},
  journal={Bernoulli},
  year={2004},
  volume={10},
  number={5},
  pages={847-860},
  doi={10.3150/bj/1099579158},
  note={cited By 202},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-20444459804&doi=10.3150%2fbj%2f1099579158&partnerID=40&md5=9467cb185881dd4e635e2237ba6439d3},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian and B. Salanie, “A nonparametric simulated maximum likelihood estimation method,” Econometric theory, vol. 20, iss. 4, pp. 701-734, 2004.
  [Bibtex]

  @ARTICLE{Fermanian2004701,
  author={Fermanian, J.-D. and Salanie, B.},
  title={A nonparametric simulated maximum likelihood estimation method},
  journal={Econometric Theory},
  year={2004},
  volume={20},
  number={4},
  pages={701-734},
  doi={10.1017/S0266466604204054},
  note={cited By 27},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-4344651234&doi=10.1017%2fS0266466604204054&partnerID=40&md5=17526bfd5bcf8d58e3715a4e944ccdfd},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and A. Gautier, “Estimation of time-varying arma models with markovian changes in regime,” Statistics and probability letters, vol. 70, iss. 4, pp. 243-251, 2004.
  [Bibtex]

  @ARTICLE{Francq2004243,
  author={Francq, C. and Gautier, A.},
  title={Estimation of time-varying ARMA models with Markovian changes in regime},
  journal={Statistics and Probability Letters},
  year={2004},
  volume={70},
  number={4},
  pages={243-251},
  doi={10.1016/j.spl.2004.10.009},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-22944432150&doi=10.1016%2fj.spl.2004.10.009&partnerID=40&md5=1b17c80f1f4ec060a7da00e1b812c5b2},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and A. Gautier, “Large sample properties of parameter least squares estimates for time-varying arma models,” Journal of time series analysis, vol. 25, iss. 5, pp. 765-783, 2004.
  [Bibtex]

  @ARTICLE{Francq2004765,
  author={Francq, C. and Gautier, A.},
  title={Large sample properties of parameter least squares estimates for time-varying ARMA models},
  journal={Journal of Time Series Analysis},
  year={2004},
  volume={25},
  number={5},
  pages={765-783},
  doi={10.1111/j.1467-9892.2004.02003.x},
  note={cited By 15},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3943108820&doi=10.1111%2fj.1467-9892.2004.02003.x&partnerID=40&md5=75781deb2cc7e95a4483054ce9fd5080},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Maximum likelihood estimation of pure garch and arma-garch processes,” Bernoulli, vol. 10, iss. 4, pp. 605-637, 2004.
  [Bibtex]

  @ARTICLE{Francq2004605,
  author={Francq, C. and Zakoian, J.-M.},
  title={Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes},
  journal={Bernoulli},
  year={2004},
  volume={10},
  number={4},
  pages={605-637},
  doi={10.3150/bj/1093265632},
  note={cited By 265},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645008897&doi=10.3150%2fbj%2f1093265632&partnerID=40&md5=718dd1f4b8b35274ac496253140a5873},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and A. Gautier, “Estimating arma models with recurrent regime changes [estimation de modeles arma a changements de regime recurrents],” Comptes rendus mathematique, vol. 339, iss. 1, pp. 55-58, 2004.
  [Bibtex]

  @ARTICLE{Francq200455,
  author={Francq, C. and Gautier, A.},
  title={Estimating ARMA models with recurrent regime changes [Estimation de modeles ARMA a changements de regime recurrents]},
  journal={Comptes Rendus Mathematique},
  year={2004},
  volume={339},
  number={1},
  pages={55-58},
  doi={10.1016/j.crma.2004.04.014},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-2942535844&doi=10.1016%2fj.crma.2004.04.014&partnerID=40&md5=b07ffab32514ba27970728b3fcc59370},
  document_type={Article},
  source={Scopus},
  }

• E. Ghysels, C. Gourieroux, and J. Jasiak, “Stochastic volatility duration models,” Journal of econometrics, vol. 119, iss. 2, pp. 413-433, 2004.
  [Bibtex]

  @ARTICLE{Ghysels2004413,
  author={Ghysels, E. and Gourieroux, C. and Jasiak, J.},
  title={Stochastic volatility duration models},
  journal={Journal of Econometrics},
  year={2004},
  volume={119},
  number={2},
  pages={413-433},
  doi={10.1016/S0304-4076(03)00202-1},
  note={cited By 60},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1642359757&doi=10.1016%2fS0304-4076%2803%2900202-1&partnerID=40&md5=40ce48a8e91370e525f1c1a191901005},
  document_type={Conference Paper},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Infrequent extreme risks,” Geneva papers on risk and insurance theory, vol. 29, iss. 1, pp. 5-22, 2004.
  [Bibtex]

  @ARTICLE{Gourieroux20045,
  author={Gourieroux, C. and Monfort, A.},
  title={Infrequent extreme risks},
  journal={GENEVA Papers on Risk and Insurance Theory},
  year={2004},
  volume={29},
  number={1},
  pages={5-22},
  doi={10.1023/B:GEPA.0000032563.83435.50},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3142720428&doi=10.1023%2fB%3aGEPA.0000032563.83435.50&partnerID=40&md5=f39e5e76d3ee119402b4fecba5b3c1c7},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Heterogeneous inar(1) model with application to car insurance,” Insurance: mathematics and economics, vol. 34, iss. 2, pp. 177-192, 2004.
  [Bibtex]

  @ARTICLE{Gourieroux2004177,
  author={Gourieroux, C. and Jasiak, J.},
  title={Heterogeneous INAR(1) model with application to car insurance},
  journal={Insurance: Mathematics and Economics},
  year={2004},
  volume={34},
  number={2},
  pages={177-192},
  doi={10.1016/j.insmatheco.2003.11.005},
  note={cited By 42},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1842502048&doi=10.1016%2fj.insmatheco.2003.11.005&partnerID=40&md5=b34c84dbdb94ad853840762a3b99be63},
  document_type={Article},
  source={Scopus},
  }

• S. A. Meguid, M. S. Attia, and A. Monfort, “On the crush behaviour of ultralight foam-filled structures,” Materials and design, vol. 25, iss. 3, pp. 183-189, 2004.
  [Bibtex]

  @ARTICLE{Meguid2004183,
  author={Meguid, S.A. and Attia, M.S. and Monfort, A.},
  title={On the crush behaviour of ultralight foam-filled structures},
  journal={Materials and Design},
  year={2004},
  volume={25},
  number={3},
  pages={183-189},
  doi={10.1016/j.matdes.2003.10.006},
  note={cited By 66},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1442289492&doi=10.1016%2fj.matdes.2003.10.006&partnerID=40&md5=92e6e623aba415a36482bf17034835f4},
  document_type={Article},
  source={Scopus},
  }

• G. Nason, E. Moulines, C. P. Robert, C. Andrieu, A. Stoffelen, D. Paul, F. Abramovich, R. G. Aykroyd, R. M. West, S. Meng, C. Butucea, L. Cavalier, N. Cressie, M. Davy, D. De Canditiis, M. Pensky, Y. Golubev, R. N. Hoffman, E. Khabie-Zeitoune, A. Munk, F. H. Ruymgaart, S. C. Olhede, A. Tsybakov, G. Wahba, I. M. Johnstone, G. Kerkyacharian, D. Picard, M. Raimondo, P. J. Wolfe, S. J. Godsill, W. -J. Ng, H. Haario, M. Laine, M. Lehtinen, E. Saksman, J. Tamminen, D. Cornford, L. Csató, D. J. Evans, and M. Opper, “Dicussion on the meeting on ‘statistical approaches to inverse problems’,” Journal of the royal statistical society. series b: statistical methodology, vol. 66, iss. 3, pp. 627-652, 2004.
  [Bibtex]

  @ARTICLE{Nason2004627,
  author={Nason, G. and Moulines, E. and Robert, C.P. and Andrieu, C. and Stoffelen, A. and Paul, D. and Abramovich, F. and Aykroyd, R.G. and West, R.M. and Meng, S. and Butucea, C. and Cavalier, L. and Cressie, N. and Davy, M. and De Canditiis, D. and Pensky, M. and Golubev, Yu. and Hoffman, R.N. and Khabie-Zeitoune, E. and Munk, A. and Ruymgaart, F.H. and Olhede, S.C. and Tsybakov, A. and Wahba, G. and Johnstone, I.M. and Kerkyacharian, G. and Picard, D. and Raimondo, M. and Wolfe, P.J. and Godsill, S.J. and Ng, W.-J. and Haario, H. and Laine, M. and Lehtinen, M. and Saksman, E. and Tamminen, J. and Cornford, D. and Csató, L. and Evans, D.J. and Opper, M.},
  title={Dicussion on the meeting on 'Statistical approaches to inverse problems'},
  journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
  year={2004},
  volume={66},
  number={3},
  pages={627-652},
  doi={10.1111/j.1467-9868.2004.2060d.x},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3543029866&doi=10.1111%2fj.1467-9868.2004.2060d.x&partnerID=40&md5=2248eed47eeba4507b850cf6aa116606},
  document_type={Conference Paper},
  source={Scopus},
  }

• P. Rey and T. Verge, “Bilateral control with vertical contracts,” Rand journal of economics, vol. 35, iss. 4, pp. 728-746, 2004.
  [Bibtex]

  @ARTICLE{Rey2004728,
  author={Rey, P. and Verge, T.},
  title={Bilateral control with vertical contracts},
  journal={RAND Journal of Economics},
  year={2004},
  volume={35},
  number={4},
  pages={728-746},
  doi={10.2307/1593770},
  note={cited By 94},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-17044363611&doi=10.2307%2f1593770&partnerID=40&md5=0e6a650f0d6d92a98184385be7161514},
  document_type={Article},
  source={Scopus},
  }

2003

• A. Bibi and C. Francq, “Consistent and asymptotically normal estimators for cyclically time-dependent linear models,” Annals of the institute of statistical mathematics, vol. 55, iss. 1, pp. 41-68, 2003.
  [Bibtex]

  @ARTICLE{Bibi200341,
  author={Bibi, A. and Francq, C.},
  title={Consistent and asymptotically normal estimators for cyclically time-dependent linear models},
  journal={Annals of the Institute of Statistical Mathematics},
  year={2003},
  volume={55},
  number={1},
  pages={41-68},
  doi={10.1023/A:1024674428698},
  note={cited By 21},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12444297522&doi=10.1023%2fA%3a1024674428698&partnerID=40&md5=d8acbf382d6c2b31ff4f6fa4214e8bed},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian, “Nonparametric estimation of competing risks models with covariates,” Journal of multivariate analysis, vol. 85, iss. 1, pp. 156-191, 2003.
  [Bibtex]

  @ARTICLE{Fermanian2003156,
  author={Fermanian, J.-D.},
  title={Nonparametric estimation of competing risks models with covariates},
  journal={Journal of Multivariate Analysis},
  year={2003},
  volume={85},
  number={1},
  pages={156-191},
  doi={10.1016/S0047-259X(02)00069-6},
  note={cited By 12},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0038367861&doi=10.1016%2fS0047-259X%2802%2900069-6&partnerID=40&md5=d2c18d88918e36753787e21cae466a78},
  document_type={Article},
  source={Scopus},
  }

2002

• L. Broze, C. Francq, and J. M. Zakoiani, “Efficient use of higher-lag autocorrelations for estimating autoregressive processes,” Journal of time series analysis, vol. 23, iss. 3, pp. 287-312, 2002.
  [Bibtex]

  @ARTICLE{Broze2002EfficientProcesses,
  author={Laurence Broze and Christian Francq and Jean Michel Zakoiani},
  title={Efficient use of higher-lag autocorrelations for estimating autoregressive processes},
  journal={Journal of Time Series Analysis},
  year={2002},
  volume={23},
  number={3},
  pages={287-312},
  doi={10.1111/1467-9892.00265},
  }

• C. Franco and J. -M. Zakoian, “Comments on the paper by minxian yang: some properties of vector autoregressive processes with markov-switching coefficients,” Econometric theory, vol. 18, iss. 3, pp. 815-818, 2002.
  [Bibtex]

  @ARTICLE{Franco2002815,
  author={Franco, C. and Zakoian, J.-M.},
  title={Comments on the paper by Minxian Yang: Some properties of vector autoregressive processes with Markov-switching coefficients},
  journal={Econometric Theory},
  year={2002},
  volume={18},
  number={3},
  pages={815-818},
  doi={10.1017/S0266466602183125},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036627459&doi=10.1017%2fS0266466602183125&partnerID=40&md5=13789f5b1d8a5a40996949ba31515913},
  document_type={Review},
  source={Scopus},
  }

• C. Francq and L. T. Tran, “Nonparametric estimation of density, regression and dependence coefficients,” Journal of nonparametric statistics, vol. 14, iss. 6, pp. 729-747, 2002.
  [Bibtex]

  @ARTICLE{Francq2002729,
  author={Francq, C. and Tran, L.T.},
  title={Nonparametric estimation of density, regression and dependence coefficients},
  journal={Journal of Nonparametric Statistics},
  year={2002},
  volume={14},
  number={6},
  pages={729-747},
  doi={10.1080/10485250215316},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036904092&doi=10.1080%2f10485250215316&partnerID=40&md5=4ead8ea011e980bf098f38bc24fe605f},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Autocovariance structure of powers of switching-regime arma processes,” Esaim – probability and statistics, vol. 6, pp. 259-270, 2002.
  [Bibtex]

  @ARTICLE{Francq2002259,
  author={Francq, C. and Zakoian, J.-M.},
  title={Autocovariance structure of powers of switching-regime ARMA processes},
  journal={ESAIM - Probability and Statistics},
  year={2002},
  volume={6},
  pages={259-270},
  doi={10.1051/ps:2002014},
  note={cited By 13},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0037002888&doi=10.1051%2fps%3a2002014&partnerID=40&md5=c49ffeb1c49c74e4ca139ccab83aab98},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Nonlinear autocorrelograms: an application to inter-trade durations,” Journal of time series analysis, vol. 23, iss. 2, pp. 127-154, 2002.
  [Bibtex]

  @ARTICLE{Gourieroux2002127,
  author={Gourieroux, C. and Jasiak, J.},
  title={Nonlinear autocorrelograms: An application to inter-trade durations},
  journal={Journal of Time Series Analysis},
  year={2002},
  volume={23},
  number={2},
  pages={127-154},
  doi={10.1111/1467-9892.00259},
  note={cited By 14},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-19044363771&doi=10.1111%2f1467-9892.00259&partnerID=40&md5=7c06f2936249e4d3456bc6e79a719e05},
  document_type={Article},
  source={Scopus},
  }

2001

• S. Darolles, J. Florens, and C. Gourieroux, “Factor arma representation of a markov process,” Economics letters, 2001.
  [Bibtex]

  @article{darolles:halshs-00678224,
  author={Darolles, Serge and Florens, Jean-Pierre and Gourieroux, Christian},
  title={Factor ARMA representation of a Markov process},
  journal={Economics Letters},
  year={2001},
  }

• L. Broze, C. Francq, and J. -M. Zakoian, “Non-redundancy of high order moment conditions for efficient gmm estimation of weak ar processes,” Economics letters, vol. 71, iss. 3, pp. 317-322, 2001.
  [Bibtex]

  @ARTICLE{Broze2001317,
  author={Broze, L. and Francq, C. and Zakoian, J.-M.},
  title={Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes},
  journal={Economics Letters},
  year={2001},
  volume={71},
  number={3},
  pages={317-322},
  doi={10.1016/S0165-1765(01)00387-1},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035614562&doi=10.1016%2fS0165-1765%2801%2900387-1&partnerID=40&md5=36a85460cf769bfc415715b42b69f8aa},
  document_type={Article},
  source={Scopus},
  }

• S. Darolles and C. Gourieroux, “Truncated dynamics and estimation of diffusion equations,” Journal of econometrics, vol. 102, iss. 1, pp. 1-22, 2001.
  [Bibtex]

  @ARTICLE{Darolles20011,
  author={Darolles, S. and Gourieroux, C.},
  title={Truncated dynamics and estimation of diffusion equations},
  journal={Journal of Econometrics},
  year={2001},
  volume={102},
  number={1},
  pages={1-22},
  doi={10.1016/S0304-4076(00)00085-3},
  note={cited By 9},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18044403136&doi=10.1016%2fS0304-4076%2800%2900085-3&partnerID=40&md5=5aec5f64f57a52c14e94646d40a60f58},
  document_type={Article},
  source={Scopus},
  }

• S. Darolles, J. -P. Florens, and C. Gourieroux, “Factor arma representation of a markov process,” Economics letters, vol. 71, iss. 2, pp. 165-171, 2001.
  [Bibtex]

  @ARTICLE{Darolles2001165,
  author={Darolles, S. and Florens, J.-P. and Gourieroux, C.},
  title={Factor ARMA representation of a Markov process},
  journal={Economics Letters},
  year={2001},
  volume={71},
  number={2},
  pages={165-171},
  doi={10.1016/S0165-1765(01)00367-6},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035589357&doi=10.1016%2fS0165-1765%2801%2900367-6&partnerID=40&md5=71f151633b35190af97beba722260c7c},
  document_type={Article},
  source={Scopus},
  }

• M. El Babsiri and J. -M. Zakoian, “Contemporaneous asymmetry in garch processes,” Journal of econometrics, vol. 101, iss. 2, pp. 257-294, 2001.
  [Bibtex]

  @ARTICLE{ElBabsiri2001257,
  author={El Babsiri, M. and Zakoian, J.-M.},
  title={Contemporaneous asymmetry in GARCH processes},
  journal={Journal of Econometrics},
  year={2001},
  volume={101},
  number={2},
  pages={257-294},
  doi={10.1016/S0304-4076(00)00084-1},
  note={cited By 30},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0012680138&doi=10.1016%2fS0304-4076%2800%2900084-1&partnerID=40&md5=364fcffff8f38bc670ae5c43686c554a},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian, “Lower bounds on bandwidth selection in hazard estimation,” Journal of nonparametric statistics, vol. 13, iss. 4, pp. 515-567, 2001.
  [Bibtex]

  @ARTICLE{Fermanian2001515,
  author={Fermanian, J.-D.},
  title={Lower bounds on bandwidth selection in hazard estimation},
  journal={Journal of Nonparametric Statistics},
  year={2001},
  volume={13},
  number={4},
  pages={515-567},
  doi={10.1080/10485250108832864},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0347748074&doi=10.1080%2f10485250108832864&partnerID=40&md5=5db5d82b4f27627ba67a00db93758636},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Stationarity of multivariate markov-switching arma models,” Journal of econometrics, vol. 102, iss. 2, pp. 339-364, 2001.
  [Bibtex]

  @ARTICLE{Francq2001339,
  author={Francq, C. and Zakoian, J.-M.},
  title={Stationarity of multivariate Markov-switching ARMA models},
  journal={Journal of Econometrics},
  year={2001},
  volume={102},
  number={2},
  pages={339-364},
  doi={10.1016/S0304-4076(01)00057-4},
  note={cited By 124},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18044399313&doi=10.1016%2fS0304-4076%2801%2900057-4&partnerID=40&md5=93cafb0a4fa9f846fa475b47d42ab128},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, M. Roussignol, and J. -M. Zakoian, “Conditional heteroskedasticity driven by hidden markov chains,” Journal of time series analysis, vol. 22, iss. 2, pp. 197-220, 2001.
  [Bibtex]

  @ARTICLE{Francq2001197,
  author={Francq, C. and Roussignol, M. and Zakoian, J.-M.},
  title={Conditional heteroskedasticity driven by hidden Markov chains},
  journal={Journal of Time Series Analysis},
  year={2001},
  volume={22},
  number={2},
  pages={197-220},
  doi={10.1111/1467-9892.00219},
  note={cited By 54},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0039296750&doi=10.1111%2f1467-9892.00219&partnerID=40&md5=7aad5dc4a2fa94aade25743d33bfbb23},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Dynamic factor models,” Econometric reviews, vol. 20, iss. 4, pp. 385-424, 2001.
  [Bibtex]

  @ARTICLE{Gourieroux2001385,
  author={Gourieroux, C. and Jasiak, J.},
  title={Dynamic factor models},
  journal={Econometric Reviews},
  year={2001},
  volume={20},
  number={4},
  pages={385-424},
  doi={10.1081/ETC-100106997},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1642284774&doi=10.1081%2fETC-100106997&partnerID=40&md5=89f0382a6a03b2c33c7519bd00fe250e},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “State-space models with finite dimensional dependence,” Journal of time series analysis, vol. 22, iss. 6, pp. 665-678, 2001.
  [Bibtex]

  @ARTICLE{Gourieroux2001665,
  author={Gourieroux, C. and Jasiak, J.},
  title={State-space models with finite dimensional dependence},
  journal={Journal of Time Series Analysis},
  year={2001},
  volume={22},
  number={6},
  pages={665-678},
  doi={10.1111/1467-9892.00247},
  note={cited By 9},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0039146064&doi=10.1111%2f1467-9892.00247&partnerID=40&md5=eecddae057fa40f423b247679689af2d},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and J. Jasiak, “Memory and infrequent breaks,” Economics letters, vol. 70, iss. 1, pp. 29-41, 2001.
  [Bibtex]

  @ARTICLE{Gourieroux200129,
  author={Gourieroux, C. and Jasiak, J.},
  title={Memory and infrequent breaks},
  journal={Economics Letters},
  year={2001},
  volume={70},
  number={1},
  pages={29-41},
  doi={10.1016/S0165-1765(00)00346-3},
  note={cited By 65},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035545521&doi=10.1016%2fS0165-1765%2800%2900346-3&partnerID=40&md5=f3fbf7542b7c0100f2e776a871bb9ab7},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and C. Tenreiro, “Local power properties of kernel based goodness of fit tests,” Journal of multivariate analysis, vol. 78, iss. 2, pp. 161-190, 2001.
  [Bibtex]

  @ARTICLE{Gourieroux2001161,
  author={Gourieroux, C. and Tenreiro, C.},
  title={Local power properties of kernel based goodness of fit tests},
  journal={Journal of Multivariate Analysis},
  year={2001},
  volume={78},
  number={2},
  pages={161-190},
  doi={10.1006/jmva.2000.1950},
  note={cited By 15},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035429655&doi=10.1006%2fjmva.2000.1950&partnerID=40&md5=825d35ffafdf50ea85b7a1081cbe709d},
  document_type={Article},
  source={Scopus},
  }

2000

• S. Darolles and C. Gourieroux, “Truncated dynamics and estimation of diffusion equations,” Econometrics, 2000.
  [Bibtex]

  @article{darolles:halshs-00678232,
  author={Darolles, Serge and Gourieroux, Christian},
  title={Truncated dynamics and estimation of diffusion equations},
  journal={Econometrics},
  year={2000},
  }

• E. Clement, C. Gourieroux, and A. Monfort, “Econometric specification of the risk neutral valuation model,” Journal of econometrics, vol. 94, iss. 1-2, pp. 117-143, 2000.
  [Bibtex]

  @ARTICLE{Clement2000117,
  author={Clement, E. and Gourieroux, C. and Monfort, A.},
  title={Econometric specification of the risk neutral valuation model},
  journal={Journal of Econometrics},
  year={2000},
  volume={94},
  number={1-2},
  pages={117-143},
  doi={10.1016/S0304-4076(99)00019-6},
  art_number={2063},
  note={cited By 5},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0346932402&doi=10.1016%2fS0304-4076%2899%2900019-6&partnerID=40&md5=0d964d76b370755251e95c7bf8c52d6b},
  document_type={Article},
  source={Scopus},
  }

• C. Franco and J. -M. Zakoian, “Estimating weak garch representations,” Econometric theory, vol. 16, iss. 5, pp. 692-728, 2000.
  [Bibtex]

  @ARTICLE{Franco2000692,
  author={Franco, C. and Zakoian, J.-M.},
  title={Estimating weak garch representations},
  journal={Econometric Theory},
  year={2000},
  volume={16},
  number={5},
  pages={692-728},
  doi={10.1017/s0266466600165041},
  note={cited By 17},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034359589&doi=10.1017%2fs0266466600165041&partnerID=40&md5=2baa77e02f0f0f7bc5eaa4ad68496c4d},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Stationarity of markov-switching arma models [stationnarite des modeles arma a changement de regime markovien],” Comptes rendus de l’academie des sciences – series i: mathematics, vol. 330, iss. 11, pp. 1031-1034, 2000.
  [Bibtex]

  @ARTICLE{Francq20001031,
  author={Francq, C. and Zakoian, J.-M.},
  title={Stationarity of Markov-switching ARMA models [Stationnarite des modeles ARMA a changement de regime markovien]},
  journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
  year={2000},
  volume={330},
  number={11},
  pages={1031-1034},
  doi={10.1016/s0764-4442(00)00302-5},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034196324&doi=10.1016%2fs0764-4442%2800%2900302-5&partnerID=40&md5=fe724e49e9b3513eeb69fec74cb88ec7},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, M. Roussignol, and J. -M. Zakoian, “Markov-switching arch models [modeles arch avec changement de regime markovien],” Comptes rendus de l’academie des sciences – series i: mathematics, vol. 330, iss. 10, pp. 921-924, 2000.
  [Bibtex]

  @ARTICLE{Francq2000921,
  author={Francq, C. and Roussignol, M. and Zakoian, J.-M.},
  title={Markov-switching ARCH models [Modeles ARCH avec changement de regime markovien]},
  journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
  year={2000},
  volume={330},
  number={10},
  pages={921-924},
  doi={10.1016/s0764-4442(00)00291-3},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034656478&doi=10.1016%2fs0764-4442%2800%2900291-3&partnerID=40&md5=afd976e9c1796e00160289a3407be94b},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Covariance matrix estimation for estimators of mixing weak arma models,” Journal of statistical planning and inference, vol. 83, iss. 2, pp. 369-394, 2000.
  [Bibtex]

  @ARTICLE{Francq2000369,
  author={Francq, C. and Zakoian, J.-M.},
  title={Covariance matrix estimation for estimators of mixing weak ARMA models},
  journal={Journal of Statistical Planning and Inference},
  year={2000},
  volume={83},
  number={2},
  pages={369-394},
  doi={10.1016/s0378-3758(99)00109-3},
  note={cited By 22},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0011422677&doi=10.1016%2fs0378-3758%2899%2900109-3&partnerID=40&md5=222c9a63e3af8334a027b5ebeb3371c3},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Multivariate arma models with generalized autoregressive linear innovation,” Stochastic analysis and applications, vol. 18, iss. 2, pp. 231-260, 2000.
  [Bibtex]

  @ARTICLE{Francq2000231,
  author={Francq, C. and Zakoian, J.-M.},
  title={Multivariate arma models with generalized autoregressive linear innovation},
  journal={Stochastic Analysis and Applications},
  year={2000},
  volume={18},
  number={2},
  pages={231-260},
  doi={10.1080/07362990008809666},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034339356&doi=10.1080%2f07362990008809666&partnerID=40&md5=663ea858974e82b899fd524b44b2f89a},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, J. P. Laurent, and O. Scaillet, “Sensitivity analysis of values at risk,” Journal of empirical finance, vol. 7, iss. 3-4, pp. 225-245, 2000.
  [Bibtex]

  @ARTICLE{Gourieroux2000225,
  author={Gourieroux, C. and Laurent, J.P. and Scaillet, O.},
  title={Sensitivity analysis of Values at Risk},
  journal={Journal of Empirical Finance},
  year={2000},
  volume={7},
  number={3-4},
  pages={225-245},
  doi={10.1016/S0927-5398(00)00011-6},
  note={cited By 172},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000740327&doi=10.1016%2fS0927-5398%2800%2900011-6&partnerID=40&md5=b1e3f4e99fc90c32296a127d9398cc4e},
  document_type={Article},
  source={Scopus},
  }

1999

• G. Le Fol and C. Gourieroux, “Intra-day market activity,” Journal of financial markets, 1999.
  [Bibtex]

  @article{lefol:halshs-00536268,
  author={Le Fol, Gaelle and Gourieroux, Christian},
  title={Intra-day market activity},
  journal={Journal of Financial Markets},
  year={1999},
  }

• G. Le Fol, S. Darolles, and C. Gourieroux, “Intraday transaction price dynamics,” Annales d’economie et de statistique, 1999.
  [Bibtex]

  @article{lefol:halshs-00536272,
  author={Le Fol, Gaelle and Darolles, Serge and Gourieroux, Christian},
  title={Intraday Transaction Price Dynamics},
  journal={Annales d'Economie et de Statistique},
  year={1999},
  }

• A. Berlinet and C. Francq, “Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivaries,” Canadian journal of statistics, vol. 27, iss. 3, pp. 525-546, 1999.
  [Bibtex]

  @ARTICLE{Berlinet1999525,
  author={Berlinet, A. and Francq, C.},
  title={Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivaries},
  journal={Canadian Journal of Statistics},
  year={1999},
  volume={27},
  number={3},
  pages={525-546},
  doi={10.2307/3316109},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033263684&doi=10.2307%2f3316109&partnerID=40&md5=86979dfa9b3bdd3ce1e5ebceefc9789b},
  document_type={Article},
  source={Scopus},
  }

• M. Billio, A. Monfort, and C. P. Robert, “Bayesian estimation of switching arma models,” Journal of econometrics, vol. 93, iss. 2, pp. 229-255, 1999.
  [Bibtex]

  @ARTICLE{Billio1999229,
  author={Billio, M. and Monfort, A. and Robert, C.P.},
  title={Bayesian estimation of switching ARMA models},
  journal={Journal of Econometrics},
  year={1999},
  volume={93},
  number={2},
  pages={229-255},
  doi={10.1016/S0304-4076(99)00010-X},
  note={cited By 37},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0001958038&doi=10.1016%2fS0304-4076%2899%2900010-X&partnerID=40&md5=a165d6c95e81d778f58f986177ef2d58},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian, “A new bandwidth selector in hazard estimation,” Journal of nonparametric statistics, vol. 10, iss. 2, pp. 137-182, 1999.
  [Bibtex]

  @ARTICLE{Fermanian1999137,
  author={Fermanian, J.-D.},
  title={A new bandwidth selector in hazard estimation},
  journal={Journal of Nonparametric Statistics},
  year={1999},
  volume={10},
  number={2},
  pages={137-182},
  doi={10.1080/10485259908832758},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345825183&doi=10.1080%2f10485259908832758&partnerID=40&md5=6aa67dd02579c1635ebc7c9239e0d4c4},
  document_type={Article},
  source={Scopus},
  }

• C. Francq, “Arma models with bilinear innovations,” Communications in statistics. part c: stochastic models, vol. 15, iss. 1, pp. 29-52, 1999.
  [Bibtex]

  @ARTICLE{Francq199929,
  author={Francq, C.},
  title={ARMA models with bilinear innovations},
  journal={Communications in Statistics. Part C: Stochastic Models},
  year={1999},
  volume={15},
  number={1},
  pages={29-52},
  doi={10.1080/15326349908807524},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0013355333&doi=10.1080%2f15326349908807524&partnerID=40&md5=5940b472136d57dea7f412b02e3a1122},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, “The econometrics of risk classification in insurance,” Geneva papers on risk and insurance theory, vol. 24, iss. 2, pp. 119-137, 1999.
  [Bibtex]

  @ARTICLE{Gourieroux1999119,
  author={Gourieroux, C.},
  title={The Econometrics of Risk Classification in Insurance},
  journal={GENEVA Papers on Risk and Insurance Theory},
  year={1999},
  volume={24},
  number={2},
  pages={119-137},
  doi={10.1023/A:1008725710136},
  note={cited By 12},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345759743&doi=10.1023%2fA%3a1008725710136&partnerID=40&md5=0ff4299d2ddd3249d5634ba431ad9a3f},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and F. Jouneau, “Econometrics of efficient fitted portfolios,” Journal of empirical finance, vol. 6, iss. 1, pp. 87-118, 1999.
  [Bibtex]

  @ARTICLE{Gourieroux199987,
  author={Gourieroux, C. and Jouneau, F.},
  title={Econometrics of efficient fitted portfolios},
  journal={Journal of Empirical Finance},
  year={1999},
  volume={6},
  number={1},
  pages={87-118},
  doi={10.1016/S0927-5398(98)00010-3},
  note={cited By 12},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0005899355&doi=10.1016%2fS0927-5398%2898%2900010-3&partnerID=40&md5=c34e1a4f39617562893a58d366f5eec5},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, J. Jasiak, and G. Le Fol, “Intra-day market activity,” Journal of financial markets, vol. 2, iss. 3, pp. 193-226, 1999.
  [Bibtex]

  @ARTICLE{Gourieroux1999193,
  author={Gourieroux, C. and Jasiak, J. and Le Fol, G.},
  title={Intra-day market activity},
  journal={Journal of Financial Markets},
  year={1999},
  volume={2},
  number={3},
  pages={193-226},
  doi={10.1016/S1386-4181(99)00004-X},
  note={cited By 58},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033175553&doi=10.1016%2fS1386-4181%2899%2900004-X&partnerID=40&md5=6601009937c7e0fb202fec96571037e1},
  document_type={Article},
  source={Scopus},
  }

1998

• C. Gourieroux, J. Laurent, and H. Pham, “Mean-variance hedging and numeraire,” Mathematical finance, 1998.
  [Bibtex]

  @article{gourieroux:hal-00693969,
  author={Gourieroux, Christian and Laurent, JP and Pham, H},
  title={Mean-variance hedging and numeraire},
  journal={Mathematical Finance},
  year={1998},
  }

• G. Le Fol and C. Gourieroux, “Effet des modes de négociation sur les echanges,” Revue economique, 1998.
  [Bibtex]

  @article{lefol:halshs-00536273,
  author={Le Fol, Gaelle and Gourieroux, Christian},
  title={Effet des Modes de Négociation sur les Echanges},
  journal={Revue Economique},
  year={1998},
  }

• M. Billio and A. Monfort, “Switching state-space models likelihood function, filtering and smoothing,” Journal of statistical planning and inference, vol. 68, iss. 1, pp. 65-103, 1998.
  [Bibtex]

  @ARTICLE{Billio199865,
  author={Billio, M. and Monfort, A.},
  title={Switching state-space models likelihood function, filtering and smoothing},
  journal={Journal of Statistical Planning and Inference},
  year={1998},
  volume={68},
  number={1},
  pages={65-103},
  doi={10.1016/S0378-3758(97)00136-5},
  note={cited By 14},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032063451&doi=10.1016%2fS0378-3758%2897%2900136-5&partnerID=40&md5=ba3b9f849f6c70df14978d271286b96d},
  document_type={Article},
  source={Scopus},
  }

• L. Broze and C. Gourieroux, “Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators,” Journal of econometrics, vol. 85, iss. 1, pp. 75-98, 1998.
  [Bibtex]

  @ARTICLE{Broze199875,
  author={Broze, L. and Gourieroux, C.},
  title={Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators},
  journal={Journal of Econometrics},
  year={1998},
  volume={85},
  number={1},
  pages={75-98},
  doi={10.1016/S0304-4076(97)00095-X},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0041350478&doi=10.1016%2fS0304-4076%2897%2900095-X&partnerID=40&md5=73bf3de96354a044bd0423f50c920e9e},
  document_type={Article},
  source={Scopus},
  }

• L. Broze, O. Scaillet, and J. -M. Zakoian, “Quasi-indirect inference for diffusion processes,” Econometric theory, vol. 14, iss. 2, pp. 161-186, 1998.
  [Bibtex]

  @ARTICLE{Broze1998161,
  author={Broze, L. and Scaillet, O. and Zakoian, J.-M.},
  title={Quasi-indirect inference for diffusion processes},
  journal={Econometric Theory},
  year={1998},
  volume={14},
  number={2},
  pages={161-186},
  doi={10.1017/s0266466698142019},
  note={cited By 25},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032329416&doi=10.1017%2fs0266466698142019&partnerID=40&md5=a03b56f2ccc9687ea3cb43b45523a4f2},
  document_type={Article},
  source={Scopus},
  }

• G. Dhaene, C. Gourieroux, and O. Scaillet, “Instrumental models and indirect encompassing,” Econometrica, vol. 66, iss. 3, pp. 673-688, 1998.
  [Bibtex]

  @ARTICLE{Dhaene1998673,
  author={Dhaene, G. and Gourieroux, C. and Scaillet, O.},
  title={Instrumental models and indirect encompassing},
  journal={Econometrica},
  year={1998},
  volume={66},
  number={3},
  pages={673-688},
  doi={10.2307/2998579},
  note={cited By 9},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0010742736&doi=10.2307%2f2998579&partnerID=40&md5=301e799de0ea68ff9d1f206cdc7d8615},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Estimating linear representations of nonlinear processes,” Journal of statistical planning and inference, vol. 68, iss. 1, pp. 145-165, 1998.
  [Bibtex]

  @ARTICLE{Francq1998145,
  author={Francq, C. and Zakoian, J.-M.},
  title={Estimating linear representations of nonlinear processes},
  journal={Journal of Statistical Planning and Inference},
  year={1998},
  volume={68},
  number={1},
  pages={145-165},
  doi={10.1016/S0378-3758(97)00139-0},
  note={cited By 58},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032063592&doi=10.1016%2fS0378-3758%2897%2900139-0&partnerID=40&md5=8cd68488baf1d28371901a9f1a93fdf7},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Covariance matrix estimation for estimators of weak arma models [estimation de la precision asymptotique dans l’estimation de modeles arma faibles],” Comptes rendus de l’academie des sciences – series i: mathematics, vol. 326, iss. 3, pp. 377-380, 1998.
  [Bibtex]

  @ARTICLE{Francq1998377,
  author={Francq, C. and Zakoian, J.-M.},
  title={Covariance matrix estimation for estimators of weak ARMA models [Estimation de la precision asymptotique dans l'estimation de modeles ARMA faibles]},
  journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
  year={1998},
  volume={326},
  number={3},
  pages={377-380},
  doi={10.1016/s0764-4442(97)82998-9},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-17044451140&doi=10.1016%2fs0764-4442%2897%2982998-9&partnerID=40&md5=bdabaacabb8b0f970107ab93f6e8b241},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and M. Roussignol, “Ergodicity of autoregressive processes with markov-switching and consistency of the maximum-likelihood estimator,” Statistics, vol. 32, iss. 2, pp. 151-173, 1998.
  [Bibtex]

  @ARTICLE{Francq1998151,
  author={Francq, C. and Roussignol, M.},
  title={Ergodicity of Autoregressive Processes with Markov-switching and Consistency of the Maximum-likelihood Estimator},
  journal={Statistics},
  year={1998},
  volume={32},
  number={2},
  pages={151-173},
  doi={10.1080/02331889808802659},
  note={cited By 26},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-11744382461&doi=10.1080%2f02331889808802659&partnerID=40&md5=6147d4001f476aff88da610c2bc904d8},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and J. -M. Zakoian, “Estimating weak garch representations [estimation de representations garch faibles],” Comptes rendus de l’academie des sciences – series i: mathematics, vol. 326, iss. 4, pp. 495-498, 1998.
  [Bibtex]

  @ARTICLE{Francq1998495,
  author={Francq, C. and Zakoian, J.-M.},
  title={Estimating weak GARCH representations [Estimation de representations GARCH faibles]},
  journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
  year={1998},
  volume={326},
  number={4},
  pages={495-498},
  doi={10.1016/S0764-4442(97)89798-4},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0040675179&doi=10.1016%2fS0764-4442%2897%2989798-4&partnerID=40&md5=70bd66d141ffa5d1fa76896f1a49081f},
  document_type={Article},
  source={Scopus},
  }

• E. Ghysels, C. Gourieroux, and J. Jasiak, “Kernel autocorrelogram for time-deformed processes,” Journal of statistical planning and inference, vol. 68, iss. 1, pp. 167-191, 1998.
  [Bibtex]

  @ARTICLE{Ghysels1998167,
  author={Ghysels, E. and Gourieroux, C. and Jasiak, J.},
  title={Kernel autocorrelogram for time-deformed processes},
  journal={Journal of Statistical Planning and Inference},
  year={1998},
  volume={68},
  number={1},
  pages={167-191},
  doi={10.1016/S0378-3758(97)00140-7},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032065990&doi=10.1016%2fS0378-3758%2897%2900140-7&partnerID=40&md5=d2a201962c6feb0c1066f37f64de7481},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, J. P. Laurent, and H. Pham, “Mean-variance hedging and numeraire,” Mathematical finance, vol. 8, iss. 3, pp. 179-200, 1998.
  [Bibtex]

  @ARTICLE{Gourieroux1998179,
  author={Gourieroux, C. and Laurent, J.P. and Pham, H.},
  title={Mean-variance hedging and numeraire},
  journal={Mathematical Finance},
  year={1998},
  volume={8},
  number={3},
  pages={179-200},
  doi={10.1111/1467-9965.00052},
  note={cited By 105},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032114522&doi=10.1111%2f1467-9965.00052&partnerID=40&md5=f90ff7aa9e2ecc3d485bffa50e4e6502},
  document_type={Article},
  source={Scopus},
  }

• W. Hardle, A. Tsybakov, and L. Yang, “Nonparametric vector autoregression,” Journal of statistical planning and inference, vol. 68, iss. 2, pp. 221-245, 1998.
  [Bibtex]

  @ARTICLE{Hardle1998221,
  author={Hardle, W. and Tsybakov, A. and Yang, L.},
  title={Nonparametric vector autoregression},
  journal={Journal of Statistical Planning and Inference},
  year={1998},
  volume={68},
  number={2},
  pages={221-245},
  doi={10.1016/s0378-3758(97)00143-2},
  note={cited By 53},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032523349&doi=10.1016%2fs0378-3758%2897%2900143-2&partnerID=40&md5=c8e8f6df184f93512106fde56597ec51},
  document_type={Article},
  source={Scopus},
  }

1997

• C. Gourieroux and G. Le Fol, “Volatilités et mesures de risque,” Journal de la société de statistique de paris, 1997.
  [Bibtex]

  @article{gourieroux:halshs-00877048,
  author={Gourieroux, Christian and Le Fol, Gaelle},
  title={Volatilités et mesures de risque},
  journal={Journal de la Société de Statistique de Paris},
  year={1997},
  }

• C. Gourieroux and M. Visser, “A count data model with unobserved heterogeneity,” Journal of econometrics, 1997.
  [Bibtex]

  @article{gourieroux:hal-02684387,
  author={Gourieroux, C. and Visser, Michael},
  title={A count data model with unobserved heterogeneity},
  journal={Journal of Econometrics},
  year={1997},
  }

• A. Berlinet and C. Francq, “On bartlett’s formula for non-linear processes,” Journal of time series analysis, vol. 18, iss. 6, pp. 535-552, 1997.
  [Bibtex]

  @ARTICLE{Berlinet1997535,
  author={Berlinet, A. and Francq, C.},
  title={On Bartlett's formula for non-linear processes},
  journal={Journal of Time Series Analysis},
  year={1997},
  volume={18},
  number={6},
  pages={535-552},
  doi={10.1111/1467-9892.00067},
  note={cited By 14},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0347739270&doi=10.1111%2f1467-9892.00067&partnerID=40&md5=7dee9925b06c1eeafaf4bbda98173e74},
  document_type={Article},
  source={Scopus},
  }

• J. Breitung and C. Gourieroux, “Rank tests for unit roots,” Journal of econometrics, vol. 81, iss. 1, pp. 7-27, 1997.
  [Bibtex]

  @ARTICLE{Breitung19977,
  author={Breitung, J. and Gourieroux, C.},
  title={Rank tests for unit roots},
  journal={Journal of Econometrics},
  year={1997},
  volume={81},
  number={1},
  pages={7-27},
  doi={10.1016/S0304-4076(97)00031-6},
  note={cited By 35},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0010050495&doi=10.1016%2fS0304-4076%2897%2900031-6&partnerID=40&md5=96d417aec39b577c3530a7d8632fc0f6},
  document_type={Article},
  source={Scopus},
  }

• J. -D. Fermanian, “Multivariate hazard rates under random censorship,” Journal of multivariate analysis, vol. 62, iss. 2, pp. 273-309, 1997.
  [Bibtex]

  @ARTICLE{Fermanian1997273,
  author={Fermanian, J.-D.},
  title={Multivariate hazard rates under random censorship},
  journal={Journal of Multivariate Analysis},
  year={1997},
  volume={62},
  number={2},
  pages={273-309},
  doi={10.1006/jmva.1997.1692},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0031211788&doi=10.1006%2fjmva.1997.1692&partnerID=40&md5=7d710324f40c2ae6548d4e722f90dab6},
  document_type={Article},
  source={Scopus},
  }

• C. Francq and M. Roussignol, “On white noises driven by hidden markov chains,” Journal of time series analysis, vol. 18, iss. 6, pp. 553-578, 1997.
  [Bibtex]

  @ARTICLE{Francq1997553,
  author={Francq, C. and Roussignol, M.},
  title={On white noises driven by hidden Markov chains},
  journal={Journal of Time Series Analysis},
  year={1997},
  volume={18},
  number={6},
  pages={553-578},
  doi={10.1111/1467-9892.00068},
  note={cited By 20},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0001225880&doi=10.1111%2f1467-9892.00068&partnerID=40&md5=8c406b1c10984210f2321eaf83bf8c82},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and O. Scaillet, “Unemployment insurance and mortgages,” Insurance: mathematics and economics, vol. 20, iss. 3, pp. 173-195, 1997.
  [Bibtex]

  @ARTICLE{Gourieroux1997173,
  author={Gourieroux, C. and Scaillet, O.},
  title={Unemployment insurance and mortgages},
  journal={Insurance: Mathematics and Economics},
  year={1997},
  volume={20},
  number={3},
  pages={173-195},
  doi={10.1016/S0167-6687(97)00003-6},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0031572639&doi=10.1016%2fS0167-6687%2897%2900003-6&partnerID=40&md5=63b0650aefe5eb0dbd5af488cf14722f},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and M. Visser, “A count data model with unobserved heterogeneity,” Journal of econometrics, vol. 79, iss. 2, pp. 247-268, 1997.
  [Bibtex]

  @ARTICLE{Gourieroux1997247,
  author={Gourieroux, C. and Visser, M.},
  title={A count data model with unobserved heterogeneity},
  journal={Journal of Econometrics},
  year={1997},
  volume={79},
  number={2},
  pages={247-268},
  doi={10.1016/S0304-4076(97)00022-5},
  note={cited By 20},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0041544142&doi=10.1016%2fS0304-4076%2897%2900022-5&partnerID=40&md5=815cee8375b78a1a52b5935a613cdd1e},
  document_type={Article},
  source={Scopus},
  }

1996

• C. Francq and M. Menvielle, “A model for the am (km) planetary geomagnetic activity index and application to prediction,” Geophysical journal international, vol. 125, iss. 3, pp. 729-746, 1996.
  [Bibtex]

  @ARTICLE{Francq1996729,
  author={Francq, C. and Menvielle, M.},
  title={A model for the am (Km) planetary geomagnetic activity index and application to prediction},
  journal={Geophysical Journal International},
  year={1996},
  volume={125},
  number={3},
  pages={729-746},
  doi={10.1111/j.1365-246X.1996.tb06020.x},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0029729942&doi=10.1111%2fj.1365-246X.1996.tb06020.x&partnerID=40&md5=0dfa44c6cf707781bc0afad2479f62ec},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and E. Renault, “Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form,” Journal of statistical planning and inference, vol. 50, iss. 1, pp. 37-63, 1996.
  [Bibtex]

  @ARTICLE{Gourieroux199637,
  author={Gourieroux, C. and Monfort, A. and Renault, E.},
  title={Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form},
  journal={Journal of Statistical Planning and Inference},
  year={1996},
  volume={50},
  number={1},
  pages={37-63},
  doi={10.1016/0378-3758(95)00044-5},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0030584334&doi=10.1016%2f0378-3758%2895%2900044-5&partnerID=40&md5=8d1aeb73f2f5a9a91b3ec3ba1d88973e},
  document_type={Article},
  source={Scopus},
  }

• A. Monfort, “A reappraisal of misspecified econometric models,” Econometric theory, vol. 12, iss. 4, pp. 597-619, 1996.
  [Bibtex]

  @ARTICLE{Monfort1996597,
  author={Monfort, A.},
  title={A reappraisal of misspecified econometric models},
  journal={Econometric Theory},
  year={1996},
  volume={12},
  number={4},
  pages={597-619},
  doi={10.1017/s0266466600006952},
  note={cited By 13},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0030502804&doi=10.1017%2fs0266466600006952&partnerID=40&md5=41d04ca6967aa78d5b9e19a170fc9d14},
  document_type={Article},
  source={Scopus},
  }

1995

• L. Broze, C. Gourieroux, and A. Szafarz, “Solutions of multivariate rational expectations models,” Econometric theory, vol. 11, iss. 2, pp. 229-257, 1995.
  [Bibtex]

  @ARTICLE{Broze1995229,
  author={Broze, L. and Gourieroux, C. and Szafarz, A.},
  title={Solutions of multivariate rational expectations models},
  journal={Econometric Theory},
  year={1995},
  volume={11},
  number={2},
  pages={229-257},
  doi={10.1017/S0266466600009154},
  note={cited By 11},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84974191754&doi=10.1017%2fS0266466600009154&partnerID=40&md5=bdc920776cd3d6242bb96b40d839e1d0},
  document_type={Article},
  source={Scopus},
  }

• L. Broze, O. Scaillet, and J. -M. Zakoian, “Testing for continuous-time models of the short-term interest rate,” Journal of empirical finance, vol. 2, iss. 3, pp. 199-223, 1995.
  [Bibtex]

  @ARTICLE{Broze1995199,
  author={Broze, L. and Scaillet, O. and Zakoian, J.-M.},
  title={Testing for continuous-time models of the short-term interest rate},
  journal={Journal of Empirical Finance},
  year={1995},
  volume={2},
  number={3},
  pages={199-223},
  doi={10.1016/0927-5398(95)00003-D},
  note={cited By 42},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000113487&doi=10.1016%2f0927-5398%2895%2900003-D&partnerID=40&md5=fe49849a51d1814f4fc5421a7346d8a0},
  document_type={Article},
  source={Scopus},
  }

• M. De Toldi, C. Gourieroux, and A. Monfort, “Prepayment analysis for securitization,” Journal of empirical finance, vol. 2, iss. 1, pp. 45-70, 1995.
  [Bibtex]

  @ARTICLE{DeToldi199545,
  author={De Toldi, M. and Gourieroux, C. and Monfort, A.},
  title={Prepayment analysis for securitization},
  journal={Journal of Empirical Finance},
  year={1995},
  volume={2},
  number={1},
  pages={45-70},
  doi={10.1016/0927-5398(94)00010-E},
  note={cited By 6},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345898755&doi=10.1016%2f0927-5398%2894%2900010-E&partnerID=40&md5=d2f21bbdc996c385bd46b98267ce4c48},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Testing, encompassing, and simulating dynamic econometric models,” Econometric theory, vol. 11, iss. 2, pp. 195-228, 1995.
  [Bibtex]

  @ARTICLE{Gourieroux1995195,
  author={Gourieroux, C. and Monfort, A.},
  title={Testing, encompassing, and simulating dynamic econometric models},
  journal={Econometric Theory},
  year={1995},
  volume={11},
  number={2},
  pages={195-228},
  doi={10.1017/S0266466600009142},
  note={cited By 20},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84974160172&doi=10.1017%2fS0266466600009142&partnerID=40&md5=82c7a5277d8907a64ab71014d2672847},
  document_type={Article},
  source={Scopus},
  }

1994

• C. Gourieroux and A. Monfort, “Chapter 44 testing non-nested hypotheses,” Handbook of econometrics, vol. 4, pp. 2583-2637, 1994.
  [Bibtex]

  @ARTICLE{Gourieroux19942583,
  author={Gourieroux, C. and Monfort, A.},
  title={Chapter 44 Testing non-nested hypotheses},
  journal={Handbook of Econometrics},
  year={1994},
  volume={4},
  pages={2583-2637},
  doi={10.1016/S1573-4412(05)80013-3},
  note={cited By 36},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350089836&doi=10.1016%2fS1573-4412%2805%2980013-3&partnerID=40&md5=48d7936d01f487f029441a19d6b23aa8},
  document_type={Review},
  source={Scopus},
  }

• J. -M. Zakoian, “Threshold heteroskedastic models,” Journal of economic dynamics and control, vol. 18, iss. 5, pp. 931-955, 1994.
  [Bibtex]

  @ARTICLE{Zakoian1994931,
  author={Zakoian, J.-M.},
  title={Threshold heteroskedastic models},
  journal={Journal of Economic Dynamics and Control},
  year={1994},
  volume={18},
  number={5},
  pages={931-955},
  doi={10.1016/0165-1889(94)90039-6},
  note={cited By 912},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000560198&doi=10.1016%2f0165-1889%2894%2990039-6&partnerID=40&md5=5e82f329b9b9558f373677e3259b5737},
  document_type={Article},
  source={Scopus},
  }

1993

• B. W. Brown, A. Monfort, and H. K. Van Dijk, “Introduction,” Journal of applied econometrics, vol. 8, iss. 1 S, p. S1-S3, 1993.
  [Bibtex]

  @EDITORIAL{Brown1993S1,
  author={Brown, B.W. and Monfort, A. and Van Dijk, H.K.},
  title={Introduction},
  journal={Journal of Applied Econometrics},
  year={1993},
  volume={8},
  number={1 S},
  pages={S1-S3},
  doi={10.1002/jae.3950080502},
  note={cited By 2},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986384458&doi=10.1002%2fjae.3950080502&partnerID=40&md5=df9a34e646919774c6de8b242a2fe3c1},
  document_type={Editorial},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “12 pseudo-likelihood methods,” Handbook of statistics, vol. 11, pp. 335-362, 1993.
  [Bibtex]

  @ARTICLE{Gourieroux1993335,
  author={Gourieroux, C. and Monfort, A.},
  title={12 Pseudo-likelihood methods},
  journal={Handbook of Statistics},
  year={1993},
  volume={11},
  pages={335-362},
  doi={10.1016/S0169-7161(05)80047-1},
  note={cited By 13},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350341201&doi=10.1016%2fS0169-7161%2805%2980047-1&partnerID=40&md5=bffa92381ee7f6e7d82d6b0324e8e63d},
  document_type={Review},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Simulation-based inference. a survey with special reference to panel data models,” Journal of econometrics, vol. 59, iss. 1-2, pp. 5-33, 1993.
  [Bibtex]

  @ARTICLE{Gourieroux19935,
  author={Gourieroux, C. and Monfort, A.},
  title={Simulation-based inference. A survey with special reference to panel data models},
  journal={Journal of Econometrics},
  year={1993},
  volume={59},
  number={1-2},
  pages={5-33},
  doi={10.1016/0304-4076(93)90037-6},
  note={cited By 87},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-38249003548&doi=10.1016%2f0304-4076%2893%2990037-6&partnerID=40&md5=069259dd51e506fadf95943900bf798c},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and E. Renault, “Indirect inference,” Journal of applied econometrics, vol. 8, iss. 1 S, p. S85-S118, 1993.
  [Bibtex]

  @ARTICLE{Gourieroux1993S85,
  author={Gourieroux, C. and Monfort, A. and Renault, E.},
  title={Indirect inference},
  journal={Journal of Applied Econometrics},
  year={1993},
  volume={8},
  number={1 S},
  pages={S85-S118},
  doi={10.1002/jae.3950080507},
  note={cited By 625},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904755473&doi=10.1002%2fjae.3950080507&partnerID=40&md5=76262cae36116178b7b69f3b6f070341},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Encompassing and indirect inference,” Journal of the italian statistical society, vol. 2, iss. 3, pp. 291-307, 1993.
  [Bibtex]

  @ARTICLE{Gourieroux1993291,
  author={Gourieroux, C. and Monfort, A.},
  title={Encompassing and indirect inference},
  journal={Journal of the Italian Statistical Society},
  year={1993},
  volume={2},
  number={3},
  pages={291-307},
  doi={10.1007/BF02589066},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-51649136711&doi=10.1007%2fBF02589066&partnerID=40&md5=b6978d0d103a2a221e9935a029dab4b1},
  document_type={Article},
  source={Scopus},
  }

• R. Rabemananjara and J. M. Zakoian, “Threshold arch models and asymmetries in volatility,” Journal of applied econometrics, vol. 8, iss. 1, pp. 31-49, 1993.
  [Bibtex]

  @ARTICLE{Rabemananjara199331,
  author={Rabemananjara, R. and Zakoian, J.M.},
  title={Threshold arch models and asymmetries in volatility},
  journal={Journal of Applied Econometrics},
  year={1993},
  volume={8},
  number={1},
  pages={31-49},
  doi={10.1002/jae.3950080104},
  note={cited By 199},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986409844&doi=10.1002%2fjae.3950080104&partnerID=40&md5=fab4ffdf3247eec5231eecea4159f4b1},
  document_type={Article},
  source={Scopus},
  }

1992

• C. Gourieroux and A. Monfort, “Qualitative threshold arch models,” Journal of econometrics, vol. 52, iss. 1-2, pp. 159-199, 1992.
  [Bibtex]

  @ARTICLE{Gourieroux1992159,
  author={Gourieroux, C. and Monfort, A.},
  title={Qualitative threshold ARCH models},
  journal={Journal of Econometrics},
  year={1992},
  volume={52},
  number={1-2},
  pages={159-199},
  doi={10.1016/0304-4076(92)90069-4},
  note={cited By 80},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-27844549943&doi=10.1016%2f0304-4076%2892%2990069-4&partnerID=40&md5=d3da4f5eb74aa04b0dc052a7ffc1f050},
  document_type={Article},
  source={Scopus},
  }

• A. Monfort, “Exogenous and endogenous sampling,” Econometric theory, vol. 8, iss. 3, pp. 427-428, 1992.
  [Bibtex]

  @ARTICLE{Monfort1992427,
  author={Monfort, A.},
  title={Exogenous and Endogenous Sampling},
  journal={Econometric Theory},
  year={1992},
  volume={8},
  number={3},
  pages={427-428},
  doi={10.1017/S0266466600013086},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84972208849&doi=10.1017%2fS0266466600013086&partnerID=40&md5=59971b53025175f648b20511a367e4a3},
  document_type={Article},
  source={Scopus},
  }

1990

• A. Monfort and R. Rabemananjara, “From a var model to a structural model, with an application to the wage-price spiral,” Journal of applied econometrics, vol. 5, iss. 3, pp. 203-227, 1990.
  [Bibtex]

  @ARTICLE{Monfort1990203,
  author={Monfort, A. and Rabemananjara, R.},
  title={From a var model to a structural model, with an application to the wage-price spiral},
  journal={Journal of Applied Econometrics},
  year={1990},
  volume={5},
  number={3},
  pages={203-227},
  doi={10.1002/jae.3950050302},
  note={cited By 17},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986413086&doi=10.1002%2fjae.3950050302&partnerID=40&md5=40a845317731aed57c49df1d72fbcd47},
  document_type={Article},
  source={Scopus},
  }

1989

• C. Gourieroux and A. Monfort, “A general framework for testing a null hypothesis in a -mixed- form,” Econometric theory, vol. 5, iss. 1, pp. 63-82, 1989.
  [Bibtex]

  @ARTICLE{Gourieroux198963,
  author={Gourieroux, C. and Monfort, A.},
  title={A general framework for testing a null hypothesis in a -mixed- form},
  journal={Econometric Theory},
  year={1989},
  volume={5},
  number={1},
  pages={63-82},
  doi={10.1017/S0266466600012263},
  note={cited By 22},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84974267586&doi=10.1017%2fS0266466600012263&partnerID=40&md5=5bb8f9dc64b164737f81ce68f8d0b82a},
  document_type={Article},
  source={Scopus},
  }

• R. Guesnerie, P. Picard, and P. Rey, “Adverse selection and moral hazard with risk neutral agents,” European economic review, vol. 33, iss. 4, pp. 807-823, 1989.
  [Bibtex]

  @ARTICLE{Guesnerie1989807,
  author={Guesnerie, R. and Picard, P. and Rey, P.},
  title={Adverse selection and moral hazard with risk neutral agents},
  journal={European Economic Review},
  year={1989},
  volume={33},
  number={4},
  pages={807-823},
  doi={10.1016/0014-2921(89)90027-5},
  note={cited By 18},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-38249022947&doi=10.1016%2f0014-2921%2889%2990027-5&partnerID=40&md5=aa7322703330ec005fe34af2896ec983},
  document_type={Article},
  source={Scopus},
  }

1987

• C. Gourieroux, A. Monfort, E. Renault, and A. Trognon, “Simulated residuals,” Journal of econometrics, vol. 34, iss. 1-2, pp. 201-252, 1987.
  [Bibtex]

  @ARTICLE{Gourieroux1987201,
  author={Gourieroux, C. and Monfort, A. and Renault, E. and Trognon, A.},
  title={Simulated residuals},
  journal={Journal of Econometrics},
  year={1987},
  volume={34},
  number={1-2},
  pages={201-252},
  doi={10.1016/0304-4076(87)90073-X},
  note={cited By 40},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-38249036807&doi=10.1016%2f0304-4076%2887%2990073-X&partnerID=40&md5=371bcd353f6e1f95677b20a82f9b1418},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, E. Renault, and A. Trognon, “Generalised residuals,” Journal of econometrics, vol. 34, iss. 1-2, pp. 5-32, 1987.
  [Bibtex]

  @ARTICLE{Gourieroux19875,
  author={Gourieroux, C. and Monfort, A. and Renault, E. and Trognon, A.},
  title={Generalised residuals},
  journal={Journal of Econometrics},
  year={1987},
  volume={34},
  number={1-2},
  pages={5-32},
  doi={10.1016/0304-4076(87)90065-0},
  note={cited By 201},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0002627325&doi=10.1016%2f0304-4076%2887%2990065-0&partnerID=40&md5=6155d5f2fb6e1912842b7b4e34d0cb6c},
  document_type={Article},
  source={Scopus},
  }

• P. Picard and P. Rey, “Cooperation and research-development: some theoretical thoughts drawn from esprit programme [recherche – developpement et cooperation: quelques reflexions theoriques inspirees par le programme esprit],” Annales des telecommunications, vol. 42, iss. 11-12, pp. 710-719, 1987.
  [Bibtex]

  @ARTICLE{Picard1987710,
  author={Picard, P. and Rey, P.},
  title={Cooperation and research-development: Some theoretical thoughts drawn from esprit programme [Recherche - developpement et cooperation: quelques reflexions theoriques inspirees par le programme Esprit]},
  journal={Annales Des Telecommunications},
  year={1987},
  volume={42},
  number={11-12},
  pages={710-719},
  doi={10.1007/BF02997670},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0023452502&doi=10.1007%2fBF02997670&partnerID=40&md5=f900e4cdb654b2943facfcfe65bbf1e0},
  document_type={Article},
  source={Scopus},
  }

1986

• C. Gourieroux and J. Pradel, “Direct test of the rational expectation hypothesis,” European economic review, vol. 30, iss. 2, pp. 265-284, 1986.
  [Bibtex]

  @ARTICLE{Gourieroux1986265,
  author={Gourieroux, C. and Pradel, J.},
  title={Direct test of the rational expectation hypothesis},
  journal={European Economic Review},
  year={1986},
  volume={30},
  number={2},
  pages={265-284},
  doi={10.1016/0014-2921(86)90044-9},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-45949130160&doi=10.1016%2f0014-2921%2886%2990044-9&partnerID=40&md5=cf6a8ce0186e08b4260f537563a4a0d1},
  document_type={Article},
  source={Scopus},
  }

• A. Holly and A. Monfort, “Some useful equivalence properties of hausman’s test,” Economics letters, vol. 20, iss. 1, pp. 39-43, 1986.
  [Bibtex]

  @ARTICLE{Holly198639,
  author={Holly, A. and Monfort, A.},
  title={Some useful equivalence properties of Hausman's test},
  journal={Economics Letters},
  year={1986},
  volume={20},
  number={1},
  pages={39-43},
  doi={10.1016/0165-1765(86)90076-5},
  note={cited By 8},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-46149141071&doi=10.1016%2f0165-1765%2886%2990076-5&partnerID=40&md5=4b022b8280d43813bda66d01cee1fb71},
  document_type={Article},
  source={Scopus},
  }

1985

• L. Broze, C. Gourieroux, and A. Szafarz, “Solutions of linear rational expectations models,” Econometric theory, vol. 1, iss. 3, pp. 341-368, 1985.
  [Bibtex]

  @ARTICLE{Broze1985341,
  author={Broze, L. and Gourieroux, C. and Szafarz, A.},
  title={Solutions of linear rational expectations models},
  journal={Econometric Theory},
  year={1985},
  volume={1},
  number={3},
  pages={341-368},
  doi={10.1017/S0266466600011257},
  note={cited By 21},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84916146124&doi=10.1017%2fS0266466600011257&partnerID=40&md5=8f8b2350d546ae992114a5f80f4e450d},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux, A. Monfort, and A. Trognon, “A general approach to serial correlation,” Econometric theory, vol. 1, iss. 3, pp. 315-340, 1985.
  [Bibtex]

  @ARTICLE{Gourieroux1985315,
  author={Gourieroux, C. and Monfort, A. and Trognon, A.},
  title={A general approach to serial correlation},
  journal={Econometric Theory},
  year={1985},
  volume={1},
  number={3},
  pages={315-340},
  doi={10.1017/S0266466600011245},
  note={cited By 41},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000895478&doi=10.1017%2fS0266466600011245&partnerID=40&md5=b9325188f58c7c79c66e3b92d78e7247},
  document_type={Article},
  source={Scopus},
  }

1984

• C. Fourgeaud, C. Gourieroux, and J. Pradel, “Some theoretical results for generalized ridge regression estimators,” Journal of econometrics, vol. 25, iss. 1-2, pp. 191-203, 1984.
  [Bibtex]

  @ARTICLE{Fourgeaud1984191,
  author={Fourgeaud, C. and Gourieroux, C. and Pradel, J.},
  title={Some theoretical results for generalized ridge regression estimators},
  journal={Journal of Econometrics},
  year={1984},
  volume={25},
  number={1-2},
  pages={191-203},
  doi={10.1016/0304-4076(84)90046-0},
  note={cited By 4},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33847318390&doi=10.1016%2f0304-4076%2884%2990046-0&partnerID=40&md5=409d59e4ec1fb27580ce91c3ef503fc9},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Trognon, “Specification pre-test estimator,” Journal of econometrics, vol. 25, iss. 1-2, pp. 15-27, 1984.
  [Bibtex]

  @ARTICLE{Gourieroux198415,
  author={Gourieroux, C. and Trognon, A.},
  title={Specification pre-test estimator},
  journal={Journal of Econometrics},
  year={1984},
  volume={25},
  number={1-2},
  pages={15-27},
  doi={10.1016/0304-4076(84)90033-2},
  note={cited By 7},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-48549108267&doi=10.1016%2f0304-4076%2884%2990033-2&partnerID=40&md5=0a88cb3caa1e78148b5d81e5931383b3},
  document_type={Article},
  source={Scopus},
  }

1983

• C. Gourieroux, A. Monfort, and A. Trognon, “Testing nested or non-nested hypotheses,” Journal of econometrics, vol. 21, iss. 1, pp. 83-115, 1983.
  [Bibtex]

  @ARTICLE{Gourieroux198383,
  author={Gourieroux, C. and Monfort, A. and Trognon, A.},
  title={Testing nested or non-nested hypotheses},
  journal={Journal of Econometrics},
  year={1983},
  volume={21},
  number={1},
  pages={83-115},
  doi={10.1016/0304-4076(83)90121-5},
  note={cited By 52},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0002617682&doi=10.1016%2f0304-4076%2883%2990121-5&partnerID=40&md5=61b3b51313946cc737ae76ab221f26bc},
  document_type={Article},
  source={Scopus},
  }

1981

• J. M. Beguin, A. Monfort, and C. Gourieroux, “The applicability of the corner method: a reply,” Journal of the operational research society, vol. 32, iss. 11, pp. 1042-1045, 1981.
  [Bibtex]

  @ARTICLE{Beguin19811042,
  author={Beguin, J.M. and Monfort, A. and Gourieroux, C.},
  title={The applicability of the corner method: A reply},
  journal={Journal of the Operational Research Society},
  year={1981},
  volume={32},
  number={11},
  pages={1042-1045},
  doi={10.1057/jors.1981.213},
  note={cited By 1},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84974857091&doi=10.1057%2fjors.1981.213&partnerID=40&md5=8151b960f76eaf783ea8ed2d1e84e33e},
  document_type={Article},
  source={Scopus},
  }

• C. Gourieroux and A. Monfort, “Asymptotic properties of the maximum likelihood estimator in dichotomous logit models,” Journal of econometrics, vol. 17, iss. 1, pp. 83-97, 1981.
  [Bibtex]

  @ARTICLE{Gourieroux198183,
  author={Gourieroux, C. and Monfort, A.},
  title={Asymptotic properties of the maximum likelihood estimator in dichotomous logit models},
  journal={Journal of Econometrics},
  year={1981},
  volume={17},
  number={1},
  pages={83-97},
  doi={10.1016/0304-4076(81)90060-9},
  note={cited By 35},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0012546229&doi=10.1016%2f0304-4076%2881%2990060-9&partnerID=40&md5=5d2bf06602f2cc08899cdb0f208f49f7},
  document_type={Article},
  source={Scopus},
  }

1980

• C. Gourieroux, J. J. Laffont, and A. Montfort, “On the backward-forward procedure,” Economics letters, vol. 5, iss. 3, pp. 215-217, 1980.
  [Bibtex]

  @ARTICLE{Gourieroux1980215,
  author={Gourieroux, C. and Laffont, J.J. and Montfort, A.},
  title={On the backward-forward procedure},
  journal={Economics Letters},
  year={1980},
  volume={5},
  number={3},
  pages={215-217},
  doi={10.1016/0165-1765(80)90033-6},
  note={cited By 0},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-45949129342&doi=10.1016%2f0165-1765%2880%2990033-6&partnerID=40&md5=a7a9457c85c9592da2ceb059e8240822},
  document_type={Article},
  source={Scopus},
  }

1979

• C. Gourieroux and A. Monfort, “On the characterization of a joint probability distribution by conditional distributions,” Journal of econometrics, vol. 10, iss. 1, pp. 115-118, 1979.
  [Bibtex]

  @ARTICLE{Gourieroux1979115,
  author={Gourieroux, C. and Monfort, A.},
  title={On the characterization of a joint probability distribution by conditional distributions},
  journal={Journal of Econometrics},
  year={1979},
  volume={10},
  number={1},
  pages={115-118},
  doi={10.1016/0304-4076(79)90070-8},
  note={cited By 17},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0001397847&doi=10.1016%2f0304-4076%2879%2990070-8&partnerID=40&md5=f3b88114c2bcc65887d8aa592efd314c},
  document_type={Article},
  source={Scopus},
  }

• J. -J. Laffont and A. Monfort, “Disequilibrium econometrics in dynamic models,” Journal of econometrics, vol. 11, iss. 2-3, pp. 353-361, 1979.
  [Bibtex]

  @ARTICLE{Laffont1979353,
  author={Laffont, J.-J. and Monfort, A.},
  title={Disequilibrium econometrics in dynamic models},
  journal={Journal of Econometrics},
  year={1979},
  volume={11},
  number={2-3},
  pages={353-361},
  doi={10.1016/0304-4076(79)90045-9},
  note={cited By 14},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-13144297356&doi=10.1016%2f0304-4076%2879%2990045-9&partnerID=40&md5=5c4b6f20e879080e46708a9814812eca},
  document_type={Article},
  source={Scopus},
  }

1978

• A. Monfort, “First-order identification in linear models,” Journal of econometrics, vol. 7, iss. 3, pp. 333-350, 1978.
  [Bibtex]

  @ARTICLE{Monfort1978333,
  author={Monfort, A.},
  title={First-order identification in linear models},
  journal={Journal of Econometrics},
  year={1978},
  volume={7},
  number={3},
  pages={333-350},
  doi={10.1016/0304-4076(78)90058-1},
  note={cited By 3},
  url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-49349123442&doi=10.1016%2f0304-4076%2878%2990058-1&partnerID=40&md5=fae9abb862d6cc8f6e6268136b7fef56},
  document_type={Article},
  source={Scopus},
  }