A


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B


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C


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D


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  • Djogbenou A., Gouriéroux G., and J. Jasiak • 2020 • "Testing for Endogeneity of COVID-19 Patient Assignments" • Forthcoming Journal of Statistical and Econometric Methods .
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E


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F


  • Florens, J.P., Gourieroux, C., and A. Monfort • 2019 • "Model Risk Management : Limits and Future of Bayesian Approaches" • Annals of Economics and Statistics • 136, 1-26.
  • Francq, C., Horvath, L., and J.M., Zakoian • 2016 • "Variance Targeting Estimation of Multivariate GARCH Models" • Journal of Financial Econometrics • 14, 353-381.
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  • Francq, C. and J.M. Zakoïan • 2020 • "Virtual Historical Simulation for estimating the conditional VaR of large portfolios" • Journal of Econometrics • 127, 356-380.
  • Francq, C., and J.M. Zakoïan • 2020 • "Testing the existence of moments for GARCH processes" • forthcoming Journal of Econometrics .
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G


  • Gagliardini, P., and C., Gouriéroux • 2015 • "Granularity Adjustment for Risk Measures" • International Journal of Approximate Reasoning • 54,717-747.
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  • Gourieroux, C., and A., Hencic • 2015 • "Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates" • Econometrics of Risk • ed. Huynk, Kreinovich, Songsak, Heidelberg.
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  • Gourieroux, C ., and J., Jasiak • 2016 • "Filtering, Prediction and Estimation of Noncausal Processes" • Journal of Time Series Analysis • 37(3), 405–430.
  • Gourieroux,C ., and J., Jasiak • 2017 • "Noncausal Vector autoregressive Process : Representation, Identification and Semi-Parametric Estimation" • Journal of Econometrics • 200, 118-134.
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  • Gourieroux, C, Jasiak, J., and A., Monfort, • "Stationary Dynamic Equilibria in Rational Expectation Models" • Journal of Econometrics • Volume 218, Issue 2, p. 714-735.
  • Gourieroux, C., and Y., Lu, Love and Death • 2015 • "A Freund Model with Frailty" • Insurance: Mathematics and Economics • 63, 191-203, 2015.
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  • Gourieroux C., and Y. Lu • 2020 • "Negative Binomial Autoregressive Process with Stochastic Intensity" • Journal of Time Series Analysis • 40, 225-247.
  • Gourieroux, C., and Y., Lu • 2020 • "Long Term Care and Longevity." • Revise and resubmit Journal of Econometrics .
  • Gourieroux, C., and A., Monfort • 2016 • "The Double Default Value of the Firm Model" • Journal of Credit Risk • 12,47-76.
  • Gouriéroux, C. and A., Monfort • 2013 • "Granularity Adjustment and Efficient portfolios" • Econometric Reviews • 32, 449-468.
  • Gouriéroux,C.,and A., Monfort, • 2013 • "Linear Price Term Structure models" • Journal of Empirical Finance • 24, 1-9.
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  • Gourieroux, C., and A., Monfort • 2015 • "Pricing with Finite Dimensional Dependence" • Journal of Econometrics • 187 (2), 408-417.
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  • Gourieroux, C., Monfort, A., and J.P., Renne • 2014 • "Pricing Default Events: Surprise, Exogeneity and Contagion" • Journal of Econometrics • 182, 397-411.
  • Gourieroux, C., Monfort, A., and J.P., Renne • 2017 • "Statistical Inference for Independent Component Analysis" • Journal of Econometrics • 196, 111-126.
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  • Gourieroux, C., and A., Tiomo • 2020 • "The Evaluation of Model Risk for Probability of Default and Expected Loss" • Review and Resubmit Journal of Banking and Finance .
  • Gouriéroux, C., and J.M., Zakoïan • 2013 • "Estimation Adjusted VaR" • Econometric Theory • 29, 735-770.
  • Gouriéroux, C. and J.M. Zakoïan • 2015 • "On uniqueness of moving average representations of heavy-tailed stationary processes" • Journal of Time Series Analysis • 36, 876-887.
  • Gourieroux, C., and J.M., Zakoian • 2017 • "Local Explosion Modelling by Noncausal Cauchy Autoregressive Process" • Journal of the Royal Statistical Society • 79, 737-756.
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H


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J


  • Jay E., P. Duvaut, S. Darolles and C. Gouriéroux • 2011 • "Regularization of the Kalman Filter for Exogenous Outlier Removal: Application to Hedge Funds" • Computational Advances in Multi-Sensor Adaptive Processing • (CAMSAP).
  • Jurczenko, E., T. Michel and J. Teiletche • 2015 • "A unified framework for risk-based investing" • Journal of Investment Strategies • vol 4 (4), 1-29.
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K


  • Khapko M. and M. Zoican, • 2019 • "How fast should trades settle?" • Management Science • 66 (10), 4573–4593.
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L


  • Lambert, M., Fays, B., and G. Hübner, G. • 2020 • "Factoring Characteristics into Returns: A Clinical Study on the SMB and HML Portfolio Construction Methods" • Journal of Banking and Finance • 114, 105811.
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  • Li, D., Ling, S. and J.M. Zakoïan • 2015 • "Asymptotic inference in multiple-threshold double autoregressive models" • Journal of Econometrics • 189(2), p. 415-427.

M


  • Menkveld, A. and M. Zoican • 2017 • "Need for Speed? Exchange Latency and Liquidity" • Review of Financial Studies • 30, 1188-1228.
  • Menkveld, A. and V. van Kervel • 2019 • "High-Frequency Trading around Large Institutional Orders" • The Journal of Finance • Vol. 74(3), 1091-1137.
  • Menkveld, A., E. Pagnotta and M. Zoican • 2020 • "Does Central Clearing affect Price Stability? Evidence from the Nordic Equity Markets" • Revise and resubmit at the Journal of Financial Economics • Working paper and SSRN 2350762.

N


  • Nefedova T., and G. Pratobevera • 2020 • "Do Institutions Play Hide-and-Sell in the IPO aftermarket?" • Journal of Corporate Finance • Volume 64, October 2020, 101627.

R


  • Riva, F • 2017 • "Les ETF sont-ils vecteurs de risqué systémique?" • Option Finance • 9 Décembre .
  • Riva F • 2018 • "Quel Avenir pour les Initial Coin Offerings?" • Revue Banque • Juillet 2018, 17-20.
  • Riva F • 2019 • "Les fonds à frais nuls sont-ils gratuits" • Option Finance • n° 1512, 27 mai.
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T


  • Tennert J., M. Lambert, and H.-P. Burghof • 2018 • "Moral Hazard in High-Risk Environments: Optimal Follow-on Investing in Venture Capital Finance" • Venture Capital • 20(4), 323-338.