WorldCat Identities

Gourieroux, Christian 1949-

Overview
Works: 329 works in 957 publications in 4 languages and 7,675 library holdings
Roles: Author, Thesis advisor, Redactor, Other, Restager , Opponent, Publishing director, Editor, 956, Honoree
Publication Timeline
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Most widely held works by Christian Gourieroux
Econometrics of qualitative dependent variables by Christian Gourieroux( Book )

38 editions published between 1984 and 2000 in 3 languages and held by 514 WorldCat member libraries worldwide

"This text aims to introduce 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 discrete nature, requires an entirely different set of tools from those applied to purely quantitative data. Written in accessible language and offering cogent examples, the text offers students valuable means to gauge real-world economic phenomena."--Jacket
Financial econometrics : problems, models, and methods by Christian Gourieroux( Book )

17 editions published between 2001 and 2002 in English and held by 486 WorldCat member libraries worldwide

"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 fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills." "For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date - essential in today's rapidly evolving financial environment - Gourieroux and Jasiak focus on methods related to current research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors."--Jacket
Simulation-based econometric methods by Christian Gourieroux( Book )

39 editions published between 1995 and 2003 in English and Undetermined and held by 419 WorldCat member libraries worldwide

Simulation-Based Econometric Methods introduces a new generation of econometric methods in the classical domain. 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 models without simple analytical expressions. The previous difficulties presented, for instance, by the presence of integrals of large dimensions in the probability density functions or in the moments can be circumvented by a simulation-based approach
Time series and dynamic models by Christian Gourieroux( Book )

23 editions published between 1995 and 2003 in English and French and held by 372 WorldCat member libraries worldwide

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 economics, one of its most attractive features is the close attention it pays to economic models and phenomena throughout. The coverage represents a major reference tool for graduate students, researchers and applied economists. The book is divided into four sections. Section one gives a detailed treatment of classical seasonal adjustment or smoothing methods. Section two provides a thorough coverage of various mathematical tools. Section three is the heart of the book, and is devoted to a range of important topics including causality, exogeneity shocks, multipliers, cointegration and fractionally integrated models. The final section describes the main contribution of filtering and smoothing theory to time series econometric problems
ARCH models and financial applications by Christian Gourieroux( Book )

15 editions published between 1994 and 1997 in English and held by 361 WorldCat member libraries worldwide

"ARCH models provide an appropriate framework for studying financial and monetary problems." "This book surveys recent work with ARCH models from the perspective of statistical theory, financial models, and applications. Translated from the French edition, new sections on stochastic volatility and time deformation have been added. The book will be suitable for readers with a background in econometrics and ARMA modeling."--Jacket
Statistics and econometric models by Christian Gourieroux( Book )

16 editions published between 1989 and 2002 in English and held by 345 WorldCat member libraries worldwide

The econometrics of individual risk : credit, insurance, and marketing by Christian Gourieroux( Book )

18 editions published between 2007 and 2015 in English and held by 320 WorldCat member libraries worldwide

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 share-price fluctuations. A comprehensive introduction, The Econometrics of Individual Risk is the first book to provide a complete econometric methodology for quantifying and managing this underappreciated but important variety of risk. The book presents a course in the econometric theory of individual risk illustrated by empirical examples. And, unlike other texts, it is focused entirely on solving the actual individual risk problems businesses confront today. Christian Gourieroux and Joann Jasiak emphasize the microeconometric aspect of risk analysis by extensively discussing practical problems such as retail credit scoring, credit card transaction dynamics, and profit maximization in promotional mailing. They address regulatory issues in sections on computing the minimum capital reserve for coverage of potential losses, and on the credit-risk measure CreditVar. The book will interest graduate students in economics, business, finance, and actuarial studies, as well as actuaries and financial analysts
Séries temporelles et modèles dynamiques by Christian Gourieroux( Book )

13 editions published between 1989 and 1995 in French and Undetermined and held by 217 WorldCat member libraries worldwide

Theorie des sondages by Christian Gourieroux( Book )

12 editions published between 1981 and 1989 in French and Undetermined and held by 166 WorldCat member libraries worldwide

Reduced forms of rational expectations models by Laurence Broze( Book )

14 editions published between 1990 and 2001 in English and Spanish and held by 165 WorldCat member libraries worldwide

Granularity theory with applications to finance and insurance by Patrick Gagliardini( Book )

15 editions published between 2011 and 2015 in English and held by 132 WorldCat member libraries worldwide

"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 because of the nonlinearities of risk models, dependencies between individual risks, and the several thousands of contracts in large portfolios. The granularity principle was introduced in the Basel regulations for credit risk to solve these difficulties in computing capital reserves. In this book, authors Patrick Gagliardini and Christian Gourieroux provide the first comprehensive overview of the granularity theory and illustrate its usefulness for a variety of problems related to risk analysis, statistical estimation, and derivative pricing in finance and insurance. They show how the granularity principle leads to analytical formulas for risk analysis that are simple to implement and accurate even when the portfolio size is large"--
Économétrie de la finance analyses historiques by Christian Gourieroux( Book )

8 editions published between 1997 and 2000 in French and held by 111 WorldCat member libraries worldwide

Cet ouvrage constitue une introduction à l'Économétrie de la Finance. Les principales notions et théories financières y sont présentées, ainsi que les méthodes d'analyse statistique correspondantes. La majeure partie des résultats sont établis sous l'hypothèse, dite de marche aléatoire, où les rentabilités des actifs sont supposées indépendantes, de même loi. Dans ce cadre l'absence de liaisons temporelles permet de ramener les calculs statistiques à la détermination de moyennes empiriques. Ce contexte "statique" allie la simplicité technique à l'efficacité pratique dans l'établissement d'indicateurs financiers et dans l'évaluation explicite de leurs précisions. La compréhension des notions développées ici dans le cadre de marche aléatoire ouvre la voie à l'étude de questions plus complexes aux niveaux financier et statistique, liées à l'analyse générale des dynamiques des marchés financiers. Ce livre s'adresse à un public possédant des notions de statistique et/ou d'économétrie du niveau second cycle
Econométrie appliquée( Book )

5 editions published between 1997 and 1998 in French and held by 78 WorldCat member libraries worldwide

Cours de séries temporelles by Christian Gourieroux( Book )

5 editions published in 1983 in 3 languages and held by 75 WorldCat member libraries worldwide

Statistics and econometric models by Christian Gourieroux( Book )

25 editions published between 1995 and 1998 in English and held by 73 WorldCat member libraries worldwide

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 recently developed for the specific needs of econometrics. The authors have sought to avoid an overly technical presentation and go to some lengths to encourage an intuitive understanding of the results by providing numerous examples throughout. The breadth of approaches and the extensive coverage of the two volumes provide for a thorough and entirely self-contained course in modern econometrics. Volume 1 provides an introduction to general concepts and methods in statistics and econometrics, and goes on to cover estimation and prediction. Volume 2 focuses on testing, confidence regions, model selection, and asymptotic theory
Statistique et modèles économétriques by Christian Gourieroux( Book )

7 editions published between 1989 and 1996 in French and Undetermined and held by 69 WorldCat member libraries worldwide

Risque de crédit : une approche avancée by Christian Gourieroux( Book )

4 editions published in 2007 in French and held by 63 WorldCat member libraries worldwide

Contagion phenomena with applications in finance by Serge Darolles( Book )

9 editions published in 2015 in English and held by 32 WorldCat member libraries worldwide

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) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks
 
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WorldCat IdentitiesRelated Identities
Financial econometrics : problems, models, and methods
Alternative Names
Christian Gourieroux economista francés

Christian Gourieroux économiste français

Christian Gourieroux Frans econoom

Christian Gourieroux French economist

Christian Gourieroux Ökonometriker

Gouriéroux, C. 1949-

Gouriéroux, G. 1949-

Languages
English (215)

French (60)

Spanish (1)

German (1)

Covers
Financial econometrics : problems, models, and methodsSimulation-based econometric methodsTime series and dynamic modelsARCH models and financial applicationsStatistics and econometric modelsThe econometrics of individual risk : credit, insurance, and marketingReduced forms of rational expectations modelsStatistics and econometric models