Access Statistics for Alain Monfort

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution 0 0 1 105 1 3 4 227
A Quadratic Kalman Filter 0 1 2 67 1 4 10 189
Affine Model for Credit Risk Analysis 1 1 2 104 1 2 4 213
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 2 6 74 0 3 12 152
Affine Term Structure Models 0 0 2 149 1 1 5 300
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 0 0 1 290
Asset Pricing with Second-Order Esscher Transforms 0 0 0 34 0 1 1 111
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 0 1 2 74
Bilateral Exposures and Systemic Solvency Risk 0 1 1 103 0 2 4 343
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 0 1 726
Composite Indirect Inference with Application 0 0 0 43 0 0 0 69
Composite Indirect Inference with Application to Corporate Risks 0 0 1 32 0 0 1 89
Consistent Pseudo-Maximum Likelihood Estimators 0 0 1 28 0 2 3 67
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 32 0 0 2 71
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 1 2 56
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 1 29 0 3 13 96
Consistent m-estimators in a semi-parametric model 0 1 2 26 0 5 7 200
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 1 50 1 3 5 139
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 0 65 0 2 4 154
Credit and liquidity risks in euro area sovereign yield curves 0 2 3 145 0 5 7 454
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 1 1 3 120
Default, liquidity and crises: an econometric framework 0 0 0 108 0 1 2 230
Disastrous Defaults 0 0 0 14 1 2 2 31
Disastrous Defaults 2 2 3 12 2 4 6 51
Econometric Asset Pricing Modelling 0 0 0 121 0 3 5 356
Econometric Asset Pricing Modelling 0 0 0 16 0 0 0 113
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 0 0 0 85
Econometric specification of the risk neutral valuation model 0 0 0 6 0 0 0 791
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 1 1 1 47
Estimation and test in probit models with serial correlation 0 0 1 64 0 1 3 883
Fourth Order Pseudo Maximum Likelihood Methods 0 0 0 21 0 0 2 124
Fourth Order Pseudo Maximum Likelihood Methods 0 1 1 19 0 1 1 70
Fourth order pseudo maximum likelihood methods 0 0 0 5 0 2 3 39
Functional Indirect Inference 0 0 0 16 0 0 0 54
General approach of serial correlation (a) 0 0 0 4 0 3 3 239
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 1 6 108
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 0 1 3 8
Indirect Inference 0 0 0 4 0 0 2 694
International Money and Stock Market Contingent Claims 0 1 1 38 0 3 8 164
Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright 0 0 0 0 0 0 1 1
Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects 0 1 4 351 0 2 12 809
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 4 4 4 121 5 5 5 411
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 1 1 1 307
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 0 0 170
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 1 2 6 122
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 0 0 0 0 0 8
Modèles de comptage semi-paramétriques 0 0 0 11 0 0 0 104
Modèles de durée et effets de génération 0 0 0 2 0 0 2 242
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 0 0 315
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 0 1 1 51
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 31 0 1 1 155
New Information Response Functions 0 0 1 77 1 2 3 199
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 1 151 0 1 2 450
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 1 32 0 0 1 116
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 0 82 0 1 1 225
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 0 1 1 100
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 0 1 1 188
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 1 26 0 0 1 100
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 0 1 1 209
Pricing with Splines 0 0 0 34 0 0 0 72
Prévision de mesures de prix contingents 0 0 0 0 0 0 0 95
Pseudo maximum likelihood methods: theory 0 1 2 95 0 3 9 1,183
Pseudo maximum lilelihood methods: applications to poisson models 0 1 5 27 0 3 21 620
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 2 3 68 0 2 3 66
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 0 23 0 1 1 106
Qualitative threshold arch models 0 0 1 11 0 1 3 474
Regime Switching and Bond Pricing 0 0 0 65 0 3 4 139
Regime Switching and Bond Pricing 0 0 0 30 0 0 0 123
Required Capital for Long-Run Risks 0 0 0 0 0 1 1 2
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 5 0 0 0 423
Revisiting Identification and estimation in Structural VARMA Models 0 4 10 157 0 5 16 317
Simulated residuals 0 0 0 7 0 0 0 267
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 1 2 8
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 32 0 1 8 104
Statistical Inference for Independent Component Analysis 0 0 0 46 0 0 1 134
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 0 1 100
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 8 116 0 4 22 175
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 1 2 3 60 1 4 18 203
Switching VARMA Term Structure Models - Extended Version 0 0 0 19 0 1 2 66
Switching VARMA Term Structure Models - Extended Version 0 0 0 49 0 1 1 187
Taking into account extreme events in European option pricing 0 0 0 0 0 0 0 16
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 1 1 283
Testing, encompassing and simulating dynamic econometric models 0 0 1 9 0 1 3 297
The Econometrics of Efficient Frontiers 0 0 0 36 0 0 0 71
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 0 0 1 130
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 1 3 280
Une mod lisation s quentielle de la VaR 0 0 0 88 0 1 1 137
Total Working Papers 8 27 78 4,150 20 116 300 18,587

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A General Approach to Serial Correlation 0 0 0 25 2 5 5 80
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 0 15 0 1 2 62
A Quadratic Kalman Filter 0 0 1 27 0 0 1 130
A Reappraisal of Misspecified Econometric Models 0 0 0 33 0 0 0 92
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 2 8 0 1 3 26
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion 0 0 0 0 0 3 8 12
Affine Models for Credit Risk Analysis 0 0 0 206 0 0 0 482
Asset pricing with Second-Order Esscher Transforms 0 1 2 21 0 1 4 77
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 0 11 258 0 4 26 494
Bayesian estimation of switching ARMA models 0 0 0 239 1 1 3 544
Bilateral exposures and systemic solvency risk 0 0 0 1 1 1 1 17
Bilateral exposures and systemic solvency risk 0 0 0 43 0 0 2 178
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 0 1 1 28
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 1 83 0 0 3 424
Composite indirect inference with application to corporate risks 0 0 0 7 0 2 2 42
Consistent Pseudo-Maximum Likelihood Estimators 0 0 1 15 0 0 1 83
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 1 2 12 0 2 4 90
Credit and liquidity in interbank rates: A quadratic approach 1 1 1 31 1 3 5 120
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 1 1 2 47 1 2 4 106
Default, Liquidity, and Crises: an Econometric Framework 0 0 0 55 0 2 4 178
Disastrous Defaults* 0 0 1 3 1 3 4 16
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 0 1 3 324
Disequilibrium econometrics in dynamic models 0 0 1 53 0 0 4 128
Econometric Asset Pricing Modelling 0 0 1 68 0 1 4 230
Econometric specification of stochastic discount factor models 0 1 2 166 0 2 6 320
Econometric specification of the risk neutral valuation model 0 0 1 97 0 1 2 252
Evaluating Reserve Risk in a Regulatory Perspective 1 1 1 11 1 1 2 27
First-order identification in linear models 0 0 0 28 0 0 0 119
Fourth order pseudo maximum likelihood methods 0 0 0 33 0 2 3 160
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 0 113 0 0 0 319
Generalised residuals 0 1 12 969 0 3 24 1,673
Granularity Adjustment for Efficient Portfolios 0 0 1 27 0 1 2 112
Granularity in a qualitative factor model 0 0 0 0 0 7 7 7
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 1 9 1 4 8 54
Indirect Inference 1 4 9 1,584 6 13 48 4,109
Infrequent Extreme Risks 0 1 1 118 0 1 1 288
Infrequent Extreme Risks 0 0 0 19 0 1 1 92
International money and stock market contingent claims 0 0 0 73 0 0 2 227
Introduction 0 1 1 28 0 1 2 74
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 0 2 2 28
Joint econometric modeling of spot electricity prices, forwards and options 0 0 1 26 1 4 6 73
Kernel-Based Indirect Inference 0 0 0 0 0 1 1 379
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 0 124 0 0 2 264
Kullback Causality Measures 0 0 1 21 0 0 1 52
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 0 4 1,220 0 0 9 4,532
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 1 2 16
Linear-price term structure models 0 0 0 30 0 0 0 78
Liquidation equilibrium with seniority and hidden CDO 0 0 1 35 0 0 2 232
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 1 2 77
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 1 38 0 1 6 85
Model risk management: Valuation and governance of pseudo-models 0 0 0 14 0 0 0 24
Modèles de comptage semi-paramétriques 0 0 0 11 0 1 1 64
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 1 45 1 2 5 171
On the Problem of Missing Data in Linear Models 0 0 2 99 1 2 5 259
On the characterization of a joint probability distribution by conditional distributions 0 0 2 106 0 1 3 309
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 0 1 2 11
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 0 10 0 0 1 35
Prepayment analysis for securitization 0 0 0 132 0 0 0 286
Pricing default events: Surprise, exogeneity and contagion 0 1 1 29 0 3 3 147
Pricing with Splines 0 1 2 12 0 4 8 36
Pricing with finite dimensional dependence 0 1 1 7 0 1 2 63
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 0 11 948 1 3 28 2,474
Pseudo Maximum Likelihood Methods: Theory 1 1 9 1,547 1 5 23 3,741
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 2 2 123
Qualitative threshold ARCH models 0 0 1 279 0 0 3 642
Quelques développements récents des méthodes macroéconométriques 0 0 0 5 0 0 0 55
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 1 98 1 1 2 276
Regime Switching and Bond Pricing 0 1 2 12 0 2 3 73
Required Capital for Long-Run Risks 0 0 0 1 0 0 1 12
Simulated residuals 0 0 0 141 0 1 1 259
Simulation Based Inference in Models with Heterogeneity 0 0 7 54 0 3 15 102
Simulation-based inference: A survey with special reference to panel data models 1 1 6 325 1 1 9 603
Some useful equivalence properties of Hausman's test 0 0 0 33 0 1 2 98
Stationary bubble equilibria in rational expectation models 0 0 3 16 0 0 10 56
Statistical inference for independent component analysis: Application to structural VAR models 0 1 5 157 0 1 15 419
Staying at zero with affine processes: An application to term structure modelling 0 0 0 36 0 1 5 183
Staying at zero with affine processes: an application to term structure modelling 0 0 1 12 0 0 2 72
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 0 0 86
Switching VARMA Term Structure Models 0 0 1 36 0 0 2 134
Taking into account extreme events in European option pricing 0 0 1 14 0 2 4 81
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing nested or non-nested hypotheses 0 2 4 137 0 2 6 330
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 0 61 0 2 2 112
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 0 0 271
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 0 0 0 40
The double default value-of-the-firm model 3 3 3 3 3 3 3 3
The econometrics of efficient portfolios 0 0 1 128 0 0 2 296
Un modèle agricole à long terme de simulation 0 0 0 4 0 0 0 33
Total Journal Articles 9 25 128 10,748 25 126 405 29,793

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Simulation-based Econometric Methods 0 0 0 0 0 3 12 506
Statistics and Econometric Models 0 0 0 0 0 0 4 251
Statistics and Econometric Models 0 0 0 0 0 2 19 442
Statistics and Econometric Models 0 0 0 0 1 2 12 267
Statistics and Econometric Models 0 0 0 0 0 0 6 152
Time Series and Dynamic Models 0 0 0 0 0 0 10 161
Time Series and Dynamic Models 0 0 0 0 1 3 12 171
Total Books 0 0 0 0 2 10 75 1,950

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Testing non-nested hypotheses 0 1 1 258 0 2 3 605
Total Chapters 0 1 1 258 0 2 3 605

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Statistics updated 2025-04-04