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Christian S. Gourieroux

Global rank #814 99%

Institution: University of Toronto

Primary Field: Econometrics (weighted toward more recent publications)

First Publication: 1979

Most Recent: 2018

RePEc ID: pgo144 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 3.69 0.00 0.00 7.37
All Time 1.01 25.81 14.41 0.00 71.22

Publication Statistics

Raw Publications 51
Coauthorship-Adjusted Count 43.76

Publications (51)

Year Article Journal Tier Authors
2018 Misspecification of noncausal order in autoregressive processes Journal of Econometrics A 2
2017 Double instrumental variable estimation of interaction models with big data Journal of Econometrics A 2
2017 Statistical inference for independent component analysis: Application to structural VAR models Journal of Econometrics A 3
2017 Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation Journal of Econometrics A 2
2015 Pricing with finite dimensional dependence Journal of Econometrics A 2
2014 EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS Econometric Theory B 2
2014 Pricing default events: Surprise, exogeneity and contagion Journal of Econometrics A 3
2013 Correlated risks vs contagion in stochastic transition models Journal of Economic Dynamics and Control B 2
2013 Liquidation equilibrium with seniority and hidden CDO Journal of Banking & Finance B 3
2013 ESTIMATION-ADJUSTED VAR Econometric Theory B 2
2012 Granularity adjustment for default risk factor model with cohorts Journal of Banking & Finance B 2
2011 Discrete time Wishart term structure models Journal of Economic Dynamics and Control B 2
2010 Conditionally fitted Sharpe performance with an application to hedge fund rating Journal of Banking & Finance B 2
2010 Indirect inference for dynamic panel models Journal of Econometrics A 3
2010 International money and stock market contingent claims Journal of International Money and Finance B 3
2009 The Wishart Autoregressive process of multivariate stochastic volatility Journal of Econometrics A 3
2008 Dynamic quantile models Journal of Econometrics A 2
2007 An efficient nonparametric estimator for models with nonlinear dependence Journal of Econometrics A 2
2007 Econometric specification of stochastic discount factor models Journal of Econometrics A 2
2006 Multivariate Jacobi process with application to smooth transitions Journal of Econometrics A 2
2006 STOCHASTIC UNIT ROOT MODELS Econometric Theory B 2
2005 Migration correlation: Definition and efficient estimation Journal of Banking & Finance B 2
2004 Kernel-based nonlinear canonical analysis and time reversibility Journal of Econometrics A 3
2004 Stochastic volatility duration models Journal of Econometrics A 3
2001 Truncated dynamics and estimation of diffusion equations Journal of Econometrics A 2
2001 Factor ARMA representation of a Markov process Economics Letters C 3
2001 Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment Journal of Political Economy S 3
2001 Memory and infrequent breaks Economics Letters C 2
2000 Econometric specification of the risk neutral valuation model Journal of Econometrics A 3
1998 Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators Journal of Econometrics A 2
1997 Rank tests for unit roots Journal of Econometrics A 2
1997 Duration, transition and count data models Introduction Journal of Econometrics A 2
1997 A count data model with unobserved heterogeneity Journal of Econometrics A 2
1995 Solutions of multivariate Rational Expectations Models Econometric Theory B 3
1995 Testing, Encompassing, and Simulating Dynamic Econometric Models Econometric Theory B 2
1993 Simulation-based inference : A survey with special reference to panel data models Journal of Econometrics A 2
1992 Qualitative threshold ARCH models Journal of Econometrics A 2
1989 A General Framework for Testing a Null Hypothesis in a “Mixed” Form Econometric Theory B 2
1987 Generalised residuals Journal of Econometrics A 4
1987 Simulated residuals Journal of Econometrics A 4
1986 Direct test of the rational expectation hypothesis European Economic Review B 2
1985 Solutions of Linear Rational Expectations Models Econometric Theory B 3
1985 A General Approach to Serial Correlation Econometric Theory B 3
1984 Some theoretical results for generalized ridge regression estimators Journal of Econometrics A 3
1984 Specification pre-test estimator Journal of Econometrics A 2
1983 Testing nested or non-nested hypotheses Journal of Econometrics A 3
1981 Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters Journal of Econometrics A 3
1981 Asymptotic properties of the maximum likelihood estimator in dichotomous logit models Journal of Econometrics A 2
1981 On the Problem of Missing Data in Linear Models Review of Economic Studies S 2
1980 On the backward-forward procedure Economics Letters C 3
1979 On the characterization of a joint probability distribution by conditional distributions Journal of Econometrics A 2