Christian Gourieroux's Books

Time Series and Dynamic Models

By: Christian Gourieroux,Alain Monfort

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Time Series and Dynamic Models

By: Christian Gourieroux,Alain Monfort

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.

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Page Count

692

Publisher

Cambridge University Press

Published Date

ISBN 10

0521411467

ISBN 13

9780521411462

Contagion Phenomena with Applications in Finance

By: Serge Darolles,Christian Gourieroux

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Contagion Phenomena with Applications in Finance

By: Serge Darolles,Christian Gourieroux

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 - Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences - Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective - Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability

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Page Count

168

Publisher

Elsevier

Published Date

ISBN 10

0081004788

ISBN 13

9780081004784

Handbook of Volatility Models and Their Applications

By: Luc Bauwens,Christian M. Hafner,Sebastien Laurent

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Handbook of Volatility Models and Their Applications

By: Luc Bauwens,Christian M. Hafner,Sebastien Laurent

A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics. Providing an overview of the most recent advances, Handbook of Volatility Models and Their Applications explores key concepts and topics essential for modeling the volatility of financial time series, both univariate and multivariate, parametric and non-parametric, high-frequency and low-frequency. Featuring contributions from international experts in the field, the book features numerous examples and applications from real-world projects and cutting-edge research, showing step by step how to use various methods accurately and efficiently when assessing volatility rates. Following a comprehensive introduction to the topic, readers are provided with three distinct sections that unify the statistical and practical aspects of volatility: Autoregressive Conditional Heteroskedasticity and Stochastic Volatility presents ARCH and stochastic volatility models, with a focus on recent research topics including mean, volatility, and skewness spillovers in equity markets Other Models and Methods presents alternative approaches, such as multiplicative error models, nonparametric and semi-parametric models, and copula-based models of (co)volatilities Realized Volatility explores issues of the measurement of volatility by realized variances and covariances, guiding readers on how to successfully model and forecast these measures Handbook of Volatility Models and Their Applications is an essential reference for academics and practitioners in finance, business, and econometrics who work with volatility models in their everyday work. The book also serves as a supplement for courses on risk management and volatility at the upper-undergraduate and graduate levels.

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566

Publisher

John Wiley & Sons

Published Date

ISBN 10

0470872519

ISBN 13

9780470872512

Statistics of Financial Markets

An Introduction

By: Jürgen Franke,Wolfgang Karl Härdle,Christian Matthias Hafner

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Statistics of Financial Markets

An Introduction

By: Jürgen Franke,Wolfgang Karl Härdle,Christian Matthias Hafner

Now in its fourth edition, this book offers a detailed yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods of evaluating option contracts, analyzing financial time series, selecting portfolios and managing risks based on realistic assumptions about market behavior. The focus is both on the fundamentals of mathematical finance and financial time series analysis, and on applications to given problems concerning financial markets, thus making the book the ideal basis for lectures, seminars and crash courses on the topic. For this new edition the book has been updated and extensively revised and now includes several new aspects, e.g. new chapters on long memory models, copulae and CDO valuation. Practical exercises with solutions have also been added. Both R and Matlab Code, together with the data, can be downloaded from the book’s product page and www.quantlet.de

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Page Count

558

Publisher

Springer

Published Date

ISBN 10

3642545394

ISBN 13

9783642545399

ARCH Models and Financial Applications

By: Christian Gourieroux

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ARCH Models and Financial Applications

By: Christian Gourieroux

The classical ARMA models have limitations when applied to the field of financial and monetary economics. Financial time series present nonlinear dynamic characteristics and the ARCH models offer a more adaptive framework for this type of problem. This book surveys the recent work in this area from the perspective of statistical theory, financial models, and applications and will be of interest to theorists and practitioners. From the view point of statistical theory, ARCH models may be considered as specific nonlinear time series models which allow for an exhaustive study of the underlying dynamics. It is possible to reexamine a number of classical questions such as the random walk hypothesis, prediction interval building, presence of latent variables etc., and to test the validity of the previously studied results. There are two main categories of potential applications. One is testing several economic or financial theories concerning the stocks, bonds, and currencies markets, or studying the links between the short and long run. The second is related to the interventions of the banks on the markets, such as choice of optimal portfolios, hedging portfolios, values at risk, and the size and times of block trading.

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234

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1461218608

ISBN 13

9781461218609

Granularity Theory with Applications to Finance and Insurance

By: Patrick Gagliardini,Christian Gouriéroux

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Granularity Theory with Applications to Finance and Insurance

By: Patrick Gagliardini,Christian Gouriéroux

This book provides the first comprehensive overview of the granularity theory and its usefulness for risk analysis, statistical estimation, and derivative pricing.

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Page Count

203

Publisher

Cambridge University Press

Published Date

ISBN 10

110707083X

ISBN 13

9781107070837

Reduced Forms of Rational Expectations Models

By: Laurence Broze,Christian Gourieroux,Ariane Szafarz

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Reduced Forms of Rational Expectations Models

By: Laurence Broze,Christian Gourieroux,Ariane Szafarz

A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.

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144

Publisher

Psychology Press

Published Date

ISBN 10

0415269261

ISBN 13

9780415269261

Simulation-based Econometric Methods

By: Christian Gouriéroux,Alain Monfort

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Simulation-based Econometric Methods

By: Christian Gouriéroux,Alain Monfort

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 models without simple analytical expressions. The previous difficulties presented 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. After a brief survey of classical parametric and semi-parametric non-linear estimation methods and a description of problems in which criterion functions contain integrals, the authors present a general form of the model where it is possible to simulate the observations. They then move to calibration problems and the simulated analogue of the method of moments, before considering simulated versions of maximum likelihood, pseudo-maximum likelihood, or non-linear least squares. The general principle of indirect inference is presented and is then applied to limited dependent variable models and to financial series.

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Page Count

190

Publisher

OUP Oxford

Published Date

ISBN 10

019152509X

ISBN 13

9780191525094

The Econometrics of Individual Risk

Credit, Insurance, and Marketing

By: Christian Gourieroux,Joann Jasiak

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The Econometrics of Individual Risk

Credit, Insurance, and Marketing

By: Christian Gourieroux,Joann Jasiak

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.

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255

Publisher

Princeton University Press

Published Date

ISBN 10

0691168210

ISBN 13

9780691168210

Granularity Theory with Applications to Finance and Insurance

By: Patrick Gagliardini,Christian Gouriéroux

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Granularity Theory with Applications to Finance and Insurance

By: Patrick Gagliardini,Christian Gouriéroux

This book provides the first comprehensive overview of the granularity theory and its usefulness for risk analysis, statistical estimation, and derivative pricing.

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203

Publisher

Cambridge University Press

Published Date

ISBN 10

110707083X

ISBN 13

9781107070837

Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

By: Christian Hafner

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Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility

By: Christian Hafner

The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.

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235

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3662126052

ISBN 13

9783662126059

Monte Carlo Statistical Methods

By: Christian Robert,George Casella

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Monte Carlo Statistical Methods

By: Christian Robert,George Casella

We have sold 4300 copies worldwide of the first edition (1999). This new edition contains five completely new chapters covering new developments.

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522

Publisher

Springer Science & Business Media

Published Date

ISBN 10

1475730713

ISBN 13

9781475730715

GARCH Models

Structure, Statistical Inference and Financial Applications

By: Christian Francq,Jean-Michel Zakoian

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GARCH Models

Structure, Statistical Inference and Financial Applications

By: Christian Francq,Jean-Michel Zakoian

This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

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Page Count

469

Publisher

John Wiley & Sons

Published Date

ISBN 10

1119957397

ISBN 13

9781119957393

Extreme Financial Risks And Asset Allocation

By: Christian Walter,Olivier A Le Courtois

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Extreme Financial Risks And Asset Allocation

By: Christian Walter,Olivier A Le Courtois

Each financial crisis calls for — by its novelty and the mechanisms it shares with preceding crises — appropriate means to analyze financial risks. In Extreme Financial Risks and Asset Allocation, the authors present in an accessible and timely manner the concepts, methods, and techniques that are essential for an understanding of these risks in an environment where asset prices are subject to sudden, rough, and unpredictable changes. These phenomena, mathematically known as “jumps”, play an important role in practice. Their quantitative treatment is generally tricky and is sparsely tackled in similar books. One of the main appeals of this book lies in its approachable and concise presentation of the ad hoc mathematical tools without sacrificing the necessary rigor and precision.This book contains theories and methods which are usually found in highly technical mathematics books or in scattered, often very recent, research articles. It is a remarkable pedagogical work that makes these difficult results accessible to a large readership. Researchers, Masters and PhD students, and financial engineers alike will find this book highly useful.

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Page Count

370

Publisher

World Scientific

Published Date

ISBN 10

1783263105

ISBN 13

9781783263103

Statistics and Econometric Models

By: Christian Gourieroux,Alain Monfort

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Statistics and Econometric Models

By: Christian Gourieroux,Alain Monfort

This is the first volume in a major two-volume set of advanced texts in econometrics.

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528

Publisher

Cambridge University Press

Published Date

ISBN 10

0521477441

ISBN 13

9780521477444

Simulation-based Econometric Methods

By: Christian Gouriéroux,Alain Monfort

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Simulation-based Econometric Methods

By: Christian Gouriéroux,Alain Monfort

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Page Count

190

Publisher

OUP Oxford

Published Date

ISBN 10

019152509X

ISBN 13

9780191525094

ARCH Models and Financial Applications

By: Christian Gourieroux

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ARCH Models and Financial Applications

By: Christian Gourieroux

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234

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Springer Science & Business Media

Published Date

ISBN 10

1461218608

ISBN 13

9781461218609

The Econometrics of Individual Risk

Credit, Insurance, and Marketing

By: Christian Gourieroux,Joann Jasiak

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The Econometrics of Individual Risk

Credit, Insurance, and Marketing

By: Christian Gourieroux,Joann Jasiak

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255

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Princeton University Press

Published Date

ISBN 10

0691168210

ISBN 13

9780691168210

Financial Econometrics

Problems, Models, and Methods

By: Christian Gourieroux,Joann Jasiak

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Financial Econometrics

Problems, Models, and Methods

By: Christian Gourieroux,Joann Jasiak

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 foregoing 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. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.

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528

Publisher

Princeton University Press

Published Date

ISBN 10

0691242364

ISBN 13

9780691242361

Statistics and Econometric Models: Testing, confidence regions, model selection, and asymptotic theory

By: Christian Gourieroux,Alain Monfort

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Statistics and Econometric Models: Testing, confidence regions, model selection, and asymptotic theory

By: Christian Gourieroux,Alain Monfort

This is the first volume in a major two-volume set of advanced texts in econometrics.

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Page Count

434

Publisher

Cambridge University Press

Published Date

ISBN 10

0521471621

ISBN 13

9780521471626

Econometrics of Qualitative Dependent Variables

By: Christian Gourieroux

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Econometrics of Qualitative Dependent Variables

By: Christian Gourieroux

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 discrete nature - requires an entirely different set of tools from those applied to purely quantitative data. Written in accessible language and offering cogent examples, students are given valuable means to gauge real-world economic phenomena. After the introduction, early chapters present models with endogenous qualitative variables, examining dichotomous models, model specification, estimation methods, descriptive usage, and qualitative panel data. Professor Gourieroux also looks at Tobit models, in which the exogenous variable is sometimes qualitative and sometimes quantitative, and changing-regime models, in which the dependent variable is qualitative but expressed in quantitative terms. The final two chapters describe models which explain variables assumed by discrete or continuous positive variables.

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Page Count

398

Publisher

Cambridge University Press

Published Date

ISBN 10

0521589851

ISBN 13

9780521589857

Reduced Forms of Rational Expectations Models

By: Laurence Broze,Christian Gourieroux,Ariane Szafarz

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Reduced Forms of Rational Expectations Models

By: Laurence Broze,Christian Gourieroux,Ariane Szafarz

A comprehensive exposition of rational expectations models is provided here, working up from simple univariate models to more sophisticated multivariate and non-linear models.

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Page Count

144

Publisher

Psychology Press

Published Date

ISBN 10

0415269261

ISBN 13

9780415269261

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