Zobrazeno 1 - 10 of 336 pro vyhledávání: '"Christian Gourieroux"'
1
Akademický článek
Local Likelihood Density Estimation and Value-at-Risk
Autor: Christian Gourieroux, Joann Jasiak
Publikováno v: Journal of Probability and Statistics, Vol 2010 (2010)
This paper presents a new nonparametric method for computing the conditional Value-at-Risk, based on a local approximation of the conditional density function in a neighborhood of a predetermined extreme value for univariate and multivariate series o
Externí odkaz: https://doaj.org/article/6a597f5cf6494b7e98c2cf310a58ae8f
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2
Elektronická kniha
The Econometrics of Individual Risk : Credit, Insurance, and Marketing
Autor: Christian Gourieroux, Joann Jasiak
The individual risks faced by banks, insurers, and marketers are less well understood than aggregate risks such as market-price changes. But the risks incurred or carried by individual people, companies, insurance policies, or credit agreements can b
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5
Convolution‐based filtering and forecasting: An application to WTI crude oil prices
Autor: Christian Gourieroux, Michelle Tong, Joann Jasiak
Publikováno v: Journal of Forecasting. 40:1230-1244
We introduce new methods of filtering and forecasting for the causal–noncausal convolution model. This model represents the dynamics of stationary processes with local explosions, such as spikes and bubbles, which characterize the time series of co
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::30e5b9b95964c1ed52b1ec13be6f2b84
https://doi.org/10.1002/for.2757
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6
Testing for Endogeneity of Covid-19 Patient Assignments
Autor: Joann Jasiak, Antoine Djogbenou, Christian Gourieroux
Publikováno v: Journal of Financial Econometrics
A considerable number of individuals infected by COVID-19 died in self-isolation. This paper uses a graphical inference method to examine if patients were endogenously assigned to self-isolation during the early phase of COVID-19 epidemic in Ontario.
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9f0b4a638d89471f04ff5a8953d8ca4b
https://doi.org/10.1093/jjfinec/nbaa047
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7
Model risk management: Valuation and governance of pseudo-models
Autor: Alain Monfort, Christian Gourieroux
Publikováno v: Econometrics and Statistics. 17:1-22
The standard estimation approaches and their implementation generally assume well-specified models. What is feasible and unfeasible when the models are misspecified is discussed. An adjustment method is introduced for forecasts based on misspecified
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::4d48e4aac262341b0d7d098a503a0ee1
https://doi.org/10.1016/j.ecosta.2020.08.001
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8
Forecast performance and bubble analysis in noncausal MAR(1, 1) processes
Autor: Christian Gourieroux, Andrew Hencic, Joann Jasiak
Publikováno v: Journal of Forecasting. 40:301-326
This paper examines the performance of nonlinear short‐term forecasts of noncausal processes from closed‐form functional predictive density estimators. The processes considered have mixed causal–noncausal MAR(1, 1) dynamics and non‐Gaussian d
Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5b783dac7b4a9675813ae7f9010eacb2
https://doi.org/10.1002/for.2716
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