Christian Gouriéroux
| Christian Gouriéroux | |
|---|---|
| Born | 1949 (age 66–67) |
| Nationality | French |
| Fields |
Statistics Econometrics |
| Institutions |
University of Toronto Center for Research in Economics and Statistics |
| Alma mater | University of Rouen |
| Doctoral advisor | Jean-Pierre Raoult |
Christian Gouriéroux (born 1949) is an econometrician who holds a Doctor of Philosophy in mathematics from the University of Rouen. He has the Professor exceptional level title from France. Gouriéroux spends six months from every year teaching at the University of Toronto, and the other half of his year teaching at the Center for Research in Economics and Statistics (CREST) in France, at the University of Paris and the "Paris Graduate School of Economics, Statistics and Finance" (ENSAE Paris Tech).
Gouriéroux has published in journals worldwide, and was a recipient of the Koopmans Prize (with two fellow partners) for their project, "General Approach to Serial Correlation" in 1985–1987. He was also awarded the Silver Medal of the Conseil National de Recherche Scientifique by the French Ministry of Research. He is a fellow of the Econometric Society.
Works
Gouriéroux has written 17 books and over 160 articles, including 12 Econometrica.
- Books
- Financial Econometrics: Problems, Models, and Methods.
- Simulation-Based Econometric Methods. Oup/Core Lecture Series.
- Statistics and Econometric Models. Themes in Modern Econometrics.
- Time Series and Dynamic Models. Themes in Modern Econometrics.
- Statistique de l'assurance. Collection "Economie et statistiques avancées".
- ARCH Models and Financial Applications. Springer Series in Statistics.
- Articles/Essays/Papers
- "Nonlinear Autocorrelograms: An Application to Inter-Trade Durations". Journal of Time Series Analysis. 23 (2): 127–154. 2002. doi:10.1111/1467-9892.00259.
- "Infrequent Extreme Risks". The Geneva Papers on Risk and Insurance Theory. 29 (1): 5–22. 2004. doi:10.1023/B:GEPA.0000032563.83435.50.
- "Kernel-based nonlinear canonical analysis and time reversibility". Journal of Econometrics. 119 (2): 323–353. 2004. doi:10.1016/S0304-4076(03)00199-4.
- "Heterogeneous INAR(1) model with application to car insurance". Insurance: Mathematics and Economics. 34 (2): 177–192. 2004. doi:10.1016/j.insmatheco.2003.11.005.
- "Stochastic volatility duration models". Journal of Econometrics. 119 (2): 413–433. 2004. doi:10.1016/S0304-4076(03)00202-1.
- "Memory and infrequent breaks". Economics Letters. 70 (1): 29–41. 2001. doi:10.1016/S0165-1765(00)00346-3.
- "Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment". Journal of Political Economy. 109 (2): 444–453. doi:10.1086/319557.
- "Instrumental Models and Indirect Encompassing". Econometrica. 66 (3): 673–688. 1998. doi:10.2307/2998579.
- "Pseudo Maximum Likelihood Methods: Theory". Econometrica. 52 (3): 681–700. 1984. doi:10.2307/1913471.
- "Pseudo Maximum Likelihood Methods: Applications to Poisson Models". Econometrica. 52 (3): 701–720. 1984. doi:10.2307/1913472.