Christian Gourieroux is a French econometrician, Professor at CREST, CEPREMAP, and the University of Toronto. He has made major contributions to theoretical econometrics (score-based tests, Kuhn-Tucker test), financial econometrics (stochastic discount factors, affine term structure models, autoregressive gamma processes), and derivative pricing. His work bridges statistical theory and financial applications.
Score/Kuhn-Tucker tests (Gourieroux-Holly-Monfort 1982): Developed the LR, Wald, and Kuhn-Tucker tests in linear models with inequality constraints on regression parameters — a fundamental result in constrained estimation.
Stochastic discount factor modelling (Gourieroux-Monfort 2007): Proposed the exponential-affine (Esscher) class of SDFs as a convention for completing the market in discrete-time incomplete markets. Derives unique risk-neutral distributions for traded-asset pricing and semi-parametric pricing algorithms.
Financial Econometrics textbook (Gourieroux-Jasiak 2001): Comprehensive treatment of discrete- and continuous-time financial models, including the autoregressive gamma process (discrete-time CIR), affine term structure models, and derivative pricing with incomplete markets.
Autoregressive gamma process (Gourieroux-Jasiak 2000): Introduced the AR-Gamma process as the discrete-time analogue of the Cox-Ingersoll-Ross interest rate model, enabling closed-form bond pricing in discrete time.