Department of Economics, University of Montreal

Marine Carrasco

Professor of Economics

Département de sciences économiques, Université de Montréal
C.P. 6128, succursale Centre-ville, Montréal QC H3C 3J7, Canada
Office: C-6044 - Phone: 514-343-2394
Email:
marine.carrasco [at] umontreal.ca

 

Ph.D. University of Toulouse I (France)

 


Research Interests: Econometrics, time-series, finance, non linear models, GMM, empirical likelihood.

Research fellow of CIRANO and CIREQ. Research associate at the Info-Metrics Institute.

Download CV here.

Associate Editor for Journal of Financial Econometrics.

Associate Editor for Econometric Theory.

 

Co-organized conferences:

CIREQ Second Time Series Conference – Montreal, December 8-9, 2006

CIREQ GMM Conference - Montreal, November 16-17, 2007

CIREQ Third Time Series Conference – Montreal, May 22-23, 2009

CIREQ Fourth Time Series Conference – Montreal, May 14-15, 2010

CIREQ Fifth Time Series Conference – Montreal, May 27-28, 2011

CIREQ Econometrics Conference “High-Dimensional Problems in Econometrics” – Montreal, May 4-5, 2012

 

World Congress of the Econometric Society, Montreal, August 17-21, 2015, member of the local organizing committee.

 

CIREQ Econometrics Conference in honor of Jean-Marie Dufour – Montreal, May 7-8, 2016

 

CIREQ Econometrics Conference on Inference in Large Econometrics Models  – Montreal, May 5-6, 2017

 

 

 

My web page on Inverse Problems in Econometrics 

Selected Publications:

·         Editorial: High dimensional problems in econometrics (with Silvia Goncalves, Victor Chernozhukov, and Eric Renault), 2015, Journal of Econometrics, 186, 277-279.

·         “Adaptive Realized Kernels” (with Rachidi Kotchoni), 2015, Journal of Financial Econometrics, Vol. 13, N.4, 757-797.

·         Efficient estimation with many weak instruments using regularization techniques (with Guy Tchuente), 2016, Econometric Reviews, 35, 1609-1637.

·         “In-sample Inference and Forecasting in Misspecified Factor Models” (with Barbara Rossi), 2016, Journal of Business & Economic Statistics, Vol. 34, N.3, 313-338 (with comments and rejoinder).

·         “Efficient Estimation using the Characteristic Function” (with Rachidi Kotchoni), 2017,  Econometric Theory, Vol 33, 2, 479-526.

·         “Functional linear regression with functional response”, with David Benatia and Jean-Pierre Florens, forthcoming in Journal of Econometrics.

 

Working Papers:

 


Rev. 2017/04/03.