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Time varying Markov process with partially observed aggregate data: An application to coronavirus

Journal of econometrics, 2023-01, Vol.232 (1), p.35-51

2023

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The Wishart Autoregressive process of multivariate stochastic volatility

Journal of econometrics, 2009-06, Vol.150 (2), p.167-181

2009

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Required Capital for Long-Run Risks

Journal of economic dynamics & control, 2022-11, Vol.144, p.104502, Article 104502

2022

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Stationary bubble equilibria in rational expectation models

Journal of econometrics, 2020-10, Vol.218 (2), p.714-735

2020

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CONSISTENT PSEUDO-MAXIMUM LIKELIHOOD ESTIMATORS AND GROUPS OF TRANSFORMATIONS

Econometrica, 2019-01, Vol.87 (1), p.327-345

2019

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Testing for Endogeneity of Covid-19 Patient Assignments

Journal of financial econometrics, 2022-11, Vol.20 (5), p.875-901

2022

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Bilateral exposures and systemic solvency risk

The Canadian journal of economics, 2012-11, Vol.45 (4), p.1273-1309

2012

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Positional Portfolio Management

Journal of financial econometrics, 2021, Vol.19 (4), p.650-706

2021

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Pricing with finite dimensional dependence

Journal of econometrics, 2015-08, Vol.187 (2), p.408-417

2015

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Pricing default events: Surprise, exogeneity and contagion

Journal of econometrics, 2014-10, Vol.182 (2), p.397-411

2014

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Efficient Derivative Pricing by the Extended Method of Moments

Econometrica, 2011-07, Vol.79 (4), p.1181-1232

2011

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Dynamic quantile models

Journal of econometrics, 2008-11, Vol.147 (1), p.198-205

2008

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Econometric specification of stochastic discount factor models

Journal of econometrics, 2007-02, Vol.136 (2), p.509-530

2007

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Model Risk Management: Limits and Future of Bayesian Approaches

Annals of economics and statistics, 2019-12, Vol.136 (136), p.1-26

2019

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ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE

International journal of theoretical and applied finance, 2013-11, Vol.16 (7), p.1350041-1350041

2013

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Liquidation equilibrium with seniority and hidden CDO

Journal of banking & finance, 2013-12, Vol.37 (12), p.5261-5274

2013

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Granularity adjustment for default risk factor model with cohorts

Journal of banking & finance, 2012-05, Vol.36 (5), p.1464-1477

2012

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Sensitivity analysis of Values at Risk

Journal of empirical finance, 2000-11, Vol.7 (3), p.225-245

2000

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Linear-price term structure models

Journal of empirical finance, 2013-12, Vol.24, p.24-41

2013

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Stochastic volatility duration models

Journal of econometrics, 2004-04, Vol.119 (2), p.413-433

2004

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Indirect inference

Journal of applied econometrics (Chichester, England), 1993-12, Vol.8 (S1), p.S85-S118

1993

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Quadratic stochastic intensity and prospective mortality tables

Insurance, mathematics & economics, 2008-08, Vol.43 (1), p.174-184

2008

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Model risk management: Valuation and governance of pseudo-models

Econometrics and statistics, 2021-01, Vol.17, p.1-22

2021

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Heterogeneous INAR(1) model with application to car insurance

Insurance, mathematics & economics, 2004-04, Vol.34 (2), p.177-192

2004

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The ordered qualitative model for credit rating transitions

Journal of empirical finance, 2008, Vol.15 (1), p.111-130

2008

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Time varying Markov process with partially observed aggregate data: An application to coronavirus

The Wishart Autoregressive process of multivariate stochastic volatility

Required Capital for Long-Run Risks

Stationary bubble equilibria in rational expectation models

CONSISTENT PSEUDO-MAXIMUM LIKELIHOOD ESTIMATORS AND GROUPS OF TRANSFORMATIONS

Testing for Endogeneity of Covid-19 Patient Assignments

Bilateral exposures and systemic solvency risk

Positional Portfolio Management

Pricing with finite dimensional dependence

Pricing default events: Surprise, exogeneity and contagion

Efficient Derivative Pricing by the Extended Method of Moments

Dynamic quantile models

Econometric specification of stochastic discount factor models

Model Risk Management: Limits and Future of Bayesian Approaches

ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE

Liquidation equilibrium with seniority and hidden CDO

Granularity adjustment for default risk factor model with cohorts

Sensitivity analysis of Values at Risk

Linear-price term structure models

Stochastic volatility duration models

Indirect inference

Quadratic stochastic intensity and prospective mortality tables

Model risk management: Valuation and governance of pseudo-models

Heterogeneous INAR(1) model with application to car insurance

The ordered qualitative model for credit rating transitions

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