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Joann Jasiak
Joann Jasiak
Adresse e-mail validée de yorku.ca - Page d'accueil
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Financial econometrics: Problems, models, and methods
C Gourieroux
Princeton University Press, 2018
6292018
The Wishart autoregressive process of multivariate stochastic volatility
C Gouriéroux, J Jasiak, R Sufana
Journal of Econometrics 150 (2), 167-181, 2009
4072009
Autoregressive gamma processes
C Gourieroux, J Jasiak
Journal of forecasting 25 (2), 129-152, 2006
2742006
Stochastic volatility duration models
E Ghysels, C Gourieroux, J Jasiak
Journal of Econometrics 119 (2), 413-433, 2004
2262004
Persistence in intertrade durations
J Jasiak
Available at SSRN 162008, 1999
2011999
Finite sample limited information inference methods for structural equations and models with generated regressors
JM Dufour, J Jasiak
International Economic Review 42 (3), 815-844, 2001
1692001
Memory and infrequent breaks
C Gourieroux, J Jasiak
Economics Letters 70 (1), 29-41, 2001
1632001
Dynamic quantile models
C Gouriéroux, J Jasiak
Journal of econometrics 147 (1), 198-205, 2008
1292008
Structural Laplace transform and compound autoregressive models
S Darolles, C Gourieroux, J Jasiak
Journal of Time Series Analysis 27 (4), 477-503, 2006
1232006
The ordered qualitative model for credit rating transitions
D Feng, C Gouriéroux, J Jasiak
Journal of Empirical Finance 15 (1), 111-130, 2008
1072008
Heterogeneous INAR (1) model with application to car insurance
C Gourieroux, J Jasiak
Insurance: Mathematics and Economics 34 (2), 177-192, 2004
1002004
Multivariate Jacobi process with application to smooth transitions
C Gourieroux, J Jasiak
Journal of Econometrics 131 (1-2), 475-505, 2006
862006
Filtering, prediction and simulation methods for noncausal processes
C Gourieroux, J Jasiak
Journal of Time Series Analysis 37 (3), 405-430, 2016
702016
The econometrics of individual risk: credit, insurance, and marketing
C Gourieroux, J Jasiak
Princeton university press, 2015
692015
Value at risk
C Gourieroux, J Jasiak
Handbook of financial econometrics: Tools and techniques, 553-615, 2010
622010
L-performance with an application to hedge funds
S Darolles, C Gouriéroux, J Jasiak
Journal of Empirical Finance 16 (4), 671-685, 2009
612009
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
C Gourieroux, J Jasiak
Journal of Time Series Analysis 23 (2), 127-154, 2002
422002
Nonlinear innovations and impulse responses with application to VaR sensitivity
C Gourieroux, J Jasiak
Annales d'Economie et de Statistique, 1-31, 2005
372005
Dynamic factor models
C Gourieroux, J Jasiak
Econometric Reviews 20 (4), 385-424, 2001
312001
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation
C Gourieroux, J Jasiak
Journal of Econometrics 200 (1), 118-134, 2017
222017
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