Christian Gourieroux – författare
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24 produkter
Contagion Phenomena with Applications in Finance
Av Christian Gourieroux, Serge Darolles
E-bok, 2015
1148 kr
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Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) …
Simulation-based Econometric Methods
Av Christian Gouriéroux, Alain Monfort
Inbunden, 1997
1968 kr
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This book introduces a new generation of statistical econometrics. After linear models leading to analytical expressions for estimators, and non-linear models using numerical optimization algorithms, the availability of high- speed computing has enabled econometricians to consider econometric …
ARCH Models and Financial Applications
Inbunden, 1997
1095 kr
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1.1 The DevelopmentofARCH Models Time series models have been initially introduced either for descriptive purposes like prediction and seasonal correction or for dynamic control. In the 1970s, the researchfocusedonaspecificclassoftimeseriesmodels,theso-calledautoregres- sive moving average …
Econometrics of Qualitative Dependent Variables
Av Christian Gourieroux, Peter C. B. Phillips m. fl.
Inbunden, 2000
1300 kr
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This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education, employment status, and the like - given their …
Statistics and Econometric Models: Volume 1, General Concepts, Estimation, Prediction and Algorithms
Av Christian Gourieroux, Alain Monfort
Inbunden, 1995
2667 kr
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This is the first volume in a major two-volume set of advanced texts in econometrics. It is essentially a text in statistics which is adapted to deal with economic phenomena. Christian Gourieroux and Alain Monfort have written a text which synthesises a great deal of material scattered across a …
Time Series and Dynamic Models
Av Christian Gourieroux, Alain Monfort
Inbunden, 1996
2296 kr
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In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of …
Time Series and Dynamic Models
Av Christian Gourieroux, Alain Monfort
Häftad, 1997
854 kr
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In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in synthesising in an organised and integrated way a broad and diverse literature. While the book does not assume a deep knowledge of …
Statistics and Econometric Models: Volume 2, Testing, Confidence Regions, Model Selection and Asymptotic Theory
Av Christian Gourieroux, Alain Monfort
Inbunden, 1995
2432 kr
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This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods …
Statistics and Econometric Models
Av Christian Gourieroux, Alain Monfort m. fl.
Häftad, 1995
720 kr
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This is the first volume in a major two-volume set of advanced texts in econometrics. It is essentially a text in statistics which is adapted to deal with economic phenomena. Christian Gourieroux and Alain Monfort have written a text which synthesises a great deal of material scattered across a …
Statistics and Econometric Models
Av Christian Gourieroux, Alain Monfort m. fl.
Häftad, 1995
720 kr
Lägg i varukorg
This two-volume work aims to present as completely as possible the methods of statistical inference with special reference to their economic applications. The reader will find a description not only of the classical concepts and results of mathematical statistics, but also of concepts and methods …
Introduction to the Mathematical and Statistical Foundations of Econometrics
Av Herman J. Bierens, Peter C. B. Phillips m. fl.
Häftad, 2004
754 kr
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This book is intended for use in a rigorous introductory PhD level course in econometrics, or in a field course in econometric theory. It covers the measure-theoretical foundation of probability theory, the multivariate normal distribution with its application to classical linear regression …
Econometrics of Qualitative Dependent Variables
Av Christian Gourieroux, Peter C. B. Phillips m. fl.
Häftad, 2000
687 kr
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This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education, employment status, and the like - given their …
Semiparametric Regression for the Applied Econometrician
Av Adonis Yatchew, Peter C. B. Phillips m. fl.
Inbunden, 2003
968 kr
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This book provides an accessible collection of techniques for analyzing nonparametric and semiparametric regression models. Worked examples include estimation of Engel curves and equivalence scales, scale economies, semiparametric Cobb-Douglas, translog and CES cost functions, household gasoline …
Financial Econometrics
Problems, Models, and Methods
Av Christian Gourieroux, Joann Jasiak
Inbunden, 2001
1504 kr
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Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a …
Econometrics of Individual Risk
Credit, Insurance, and Marketing
Av Christian Gourieroux, Joann Jasiak
Häftad, 2015
518 kr
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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 be just as devastating as macroevents such as …
Financial Econometrics
Problems, Models, and Methods
Av Joann Jasiak, Christian Gourieroux
E-bok, 2018
1293 kr
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Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a …
Financial Econometrics
Problems, Models, and Methods
Av Christian Gourieroux, Joann Jasiak
Häftad, 2022
932 kr
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Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a …
Econometrics of Qualitative Dependent Variables
E-bok, 2000
652 kr
Lägg i varukorg
This textbook introduces students progressively to various aspects of qualitative models and assumes a knowledge of basic principles of statistics and econometrics. Inferring qualitative characteristics of data on socioeconomic class, education, employment status, and the like - given their …
Granularity Theory with Applications to Finance and Insurance
Av Christian Gourieroux, Patrick Gagliardini
E-bok, 2014
487 kr
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The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult …
Granularity Theory with Applications to Finance and Insurance
Av Christian Gourieroux, Patrick Gagliardini
E-bok, 2014
487 kr
Lägg i varukorg
The recent financial crisis has heightened the need for appropriate methodologies for managing and monitoring complex risks in financial markets. The measurement, management, and regulation of risks in portfolios composed of credits, credit derivatives, or life insurance contracts is difficult …
Econometrics of Individual Risk
Credit, Insurance, and Marketing
Av Joann Jasiak, Christian Gourieroux
E-bok, 2011
683 kr
Lägg i varukorg
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 be just as devastating as macroevents such as …
ARCH Models and Financial Applications
Häftad, 2012
1098 kr
Lägg i varukorg
1.1 The DevelopmentofARCH Models Time series models have been initially introduced either for descriptive purposes like prediction and seasonal correction or for dynamic control. In the 1970s, the researchfocusedonaspecificclassoftimeseriesmodels,theso-calledautoregres- sive moving average …
Contagion Phenomena with Applications in Finance
Av Serge Darolles, Christian Gourieroux
Inbunden, 2015
944 kr
Lägg i varukorg
Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) …
