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40 résultats

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Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference

Marie-Claude Beaulieu, Jean-Marie Dufour et Lynda Khalaf

Économétrie, Finance comportementale, Finances publiques, Gestion des risques et Politiques économiques et budgétaires
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Identification-robust Inequality Analysis

Jean-Marie Dufour, Emmanuel Flachaire, Lynda Khalaf et Abdallah Zalghout

Développement régional, Inégalité et distribution des revenus, Économétrie et Politiques économiques et budgétaires
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Identification-robust moment-based tests for Markov-switching in autoregressive models

Jean-Marie Dufour et Richard Luger

Concurrence et Simulation
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Invariant tests based on M-estimators, estimating functions, and the generalized method of moments

Jean-Marie Dufour, Alain Trognon et Purevdorj Tuvaandorj

Économétrie et Simulation
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Exact confidence sets and goodness-of-fit methods for stable distributions

Marie-Claude Beaulieu, Jean-Marie Dufour et Lynda Khalaf

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Identification-robust inference for endogeneity parameters in linear structural models

Firmin Doko Tchatoka et Jean-Marie Dufour

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Exchange rates and commodity prices: measuring causality at multiple horizons

Hui Jun Zhang , Jean-Marie Dufour et John W. Galbraith

Risques financiers
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Identification-robust estimation and testing of the zero-beta CAPM

Marie-Claude Beaulieu, Jean-Marie Dufour et Lynda Khalaf

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An Identification-Robust Test for Time-Varying Parameters in the Dynamics of Energy Prices

Marie-Claude Beaulieu, Jean-Marie Dufour, Lynda Khalaf et Maral Kichian

Énergie et ressources naturelles
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Asymptotic Distributions for Some Quasi-Efficient Estimators in Echelon VARMA Models

Jean-Marie Dufour et Tarek Jouini

Simulation
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Measuring High-Frequency Causality Between Returns, Realized Volatility and Implied Volatility

Jean-Marie Dufour, René Garcia et Abderrahim Taamouti

Gestion des risques
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Inflation Dynamics and the New Keynesian Phillips Curve: an Identification Robust Econometric Analysis

Jean-Marie Dufour, Lynda Khalaf et Maral Kichian

Économétrie
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Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing

Jean-Marie Dufour et Tarek Jouini

Économétrie et Simulation
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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

Marie-Claude Beaulieu, Jean-Marie Dufour et Lynda Khalaf

Simulation
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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series

Jean-Marie Dufour, Abdeljelil Farhat et Marc Hallin

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Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression

Jean-Marie Dufour, Abdeljelil Farhat et Lynda Khalaf

Économétrie
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Short Run and Long Run Causality in Time Series: Inference

Jean-Marie Dufour, Denis Pelletier et Éric Renault

Économétrie
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Identification, Weak Instruments and Statistical Inference in Econometrics

Jean-Marie Dufour

Économétrie et Simulation
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Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes

Jean-Marie Dufour et Malika Neifar

Simulation
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Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments

Jean-Marie Dufour et Mohamed Taamouti

Économie expérimentale, Stratégie et économie internationale et Économétrie
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Finite-Sample Diagnostics for Multivariate Regressions with Applications to Linear Asset Pricing Models

Jean-Marie Dufour, Lynda Khalaf et Marie-Claude Beaulieu

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Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach

Marie-Claude Beaulieu, Jean-Marie Dufour et Lynda Khalaf

Économétrie
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Exact Nonparametric Two-Sample Homogeneity Tests for Possibly Discrete Distributions

Jean-Marie Dufour et Abdeljelil Farhat

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Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects

Jean-Thomas Bernard, Jean-Marie Dufour, Ian Genest et Lynda Khalaf

Économétrie et Simulation
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Économétrie, théorie des tests et philosophie des sciences

Jean-Marie Dufour

Économétrie
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Simulation Based Finite and Large Sample Tests in Multivariate Regressions

Jean-Marie Dufour et Lynda Khalaf

Simulation
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Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes

Jean-Marie Dufour et Olivier Torrès

Concurrence, Élections et processus démocratiques et Simulation
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Confidence Regions for Calibrated Parameters in Computable General Equilibrium Models

Jean-Marie Dufour et Abdelkhalek Touhami

Simulation
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Bottin CIRANO

2 résultats

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