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 3 108 0 1 9 235
A Quadratic Kalman Filter 0 0 0 67 2 8 11 199
Affine Model for Credit Risk Analysis 0 0 1 104 1 6 10 222
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 0 0 74 0 9 9 161
Affine Term Structure Models 0 0 0 149 0 4 7 306
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 0 2 2 292
Asset Pricing with Second-Order Esscher Transforms 0 0 0 34 2 15 19 130
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 2 5 11 85
Bilateral Exposures and Systemic Solvency Risk 1 1 2 105 1 6 11 354
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 1 6 8 734
Composite Indirect Inference with Application 0 0 1 44 0 9 12 81
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 5 6 95
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 1 5 6 77
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 1 2 6 73
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 2 6 8 64
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 3 5 101
Consistent m-estimators in a semi-parametric model 0 1 2 28 1 12 17 217
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 50 1 7 11 149
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 1 66 2 13 17 171
Credit and liquidity risks in euro area sovereign yield curves 0 0 0 145 2 8 10 464
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 0 3 7 126
Default, liquidity and crises: an econometric framework 0 0 0 108 0 5 6 236
Disastrous Defaults 0 0 0 14 1 3 4 34
Disastrous Defaults 0 0 2 12 0 2 7 56
Econometric Asset Pricing Modelling 0 0 0 16 1 4 5 118
Econometric Asset Pricing Modelling 0 0 1 122 0 5 8 364
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 1 6 10 95
Econometric specification of the risk neutral valuation model 0 0 0 6 0 2 6 797
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 6 8 54
Estimation and test in probit models with serial correlation 0 0 0 64 0 2 7 890
Fourth Order Pseudo Maximum Likelihood Methods 0 0 0 19 0 7 11 81
Fourth Order Pseudo Maximum Likelihood Methods 0 1 1 22 0 6 8 132
Fourth order pseudo maximum likelihood methods 0 0 0 5 1 4 7 46
Functional Indirect Inference 0 0 2 18 1 4 7 61
General approach of serial correlation (a) 0 0 0 4 1 6 8 247
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 4 6 114
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 1 4 8 16
Indirect Inference 0 0 0 4 36 172 182 876
International Money and Stock Market Contingent Claims 0 0 0 38 0 7 9 173
Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright 0 0 0 0 0 2 2 3
Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects 0 0 0 351 0 5 11 820
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 0 4 121 0 1 8 414
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 0 3 5 311
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 2 5 10 180
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 4 125
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 0 0 0 0 1 9
Modèles de comptage semi-paramétriques 0 0 0 11 1 7 13 117
Modèles de durée et effets de génération 0 0 0 2 0 0 1 243
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 1 1 316
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 0 1 2 53
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 31 0 4 5 160
New Information Response Functions 0 0 0 77 1 6 10 208
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 0 151 2 8 13 463
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 1 33 0 2 6 122
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 0 82 0 5 5 230
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 2 11 12 200
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 3 10 12 112
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 1 10 21 230
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 26 0 8 9 109
Pricing with Splines 0 0 0 34 0 3 5 77
Prévision de mesures de prix contingents 0 0 0 0 0 1 3 98
Pseudo maximum likelihood methods: theory 0 0 2 97 3 9 16 1,199
Pseudo maximum lilelihood methods: applications to poisson models 1 2 6 33 3 9 16 636
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 1 1 69 1 7 10 76
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 0 7 9 115
Qualitative threshold arch models 0 0 1 12 0 5 9 483
Regime Switching and Bond Pricing 0 0 0 65 1 7 11 150
Regime Switching and Bond Pricing 0 0 0 30 0 2 3 126
Required Capital for Long-Run Risks 0 0 0 0 2 6 8 10
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 0 2 6 429
Revisiting Identification and estimation in Structural VARMA Models 1 1 2 159 2 5 9 326
Simulated residuals 0 0 0 7 2 4 5 272
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 3 4 12
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 0 8 18 122
Statistical Inference for Independent Component Analysis 0 0 1 47 1 3 4 138
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 1 1 3 119 1 3 12 187
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 3 4 104
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 1 60 1 4 9 211
Switching VARMA Term Structure Models - Extended Version 0 0 0 49 3 5 7 194
Switching VARMA Term Structure Models - Extended Version 0 1 1 20 0 7 7 73
Taking into account extreme events in European option pricing 0 0 0 0 0 3 6 22
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 3 8 290
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 0 3 5 302
The Econometrics of Efficient Frontiers 0 0 0 36 0 6 7 78
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 0 1 7 137
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 2 3 283
Une mod lisation s quentielle de la VaR 0 0 0 88 1 6 6 143
Total Working Papers 4 9 43 4,185 96 600 877 19,444

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 1 4 6 84
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 0 3 6 68
A Quadratic Kalman Filter 0 0 0 27 0 1 7 137
A Reappraisal of Misspecified Econometric Models 0 0 0 33 0 3 4 96
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 1 1 9 0 6 6 32
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion 0 2 3 3 1 6 9 21
Affine Models for Credit Risk Analysis 0 0 0 206 1 8 10 492
Asset pricing with Second-Order Esscher Transforms 0 0 0 21 3 8 13 90
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 1 6 264 0 4 12 506
Bayesian estimation of switching ARMA models 0 0 0 239 1 4 11 554
Bilateral exposures and systemic solvency risk 0 0 0 1 2 6 11 27
Bilateral exposures and systemic solvency risk 0 0 1 44 1 8 10 188
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 1 4 5 33
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 3 8 12 436
Composite indirect inference with application to corporate risks 0 0 0 7 2 8 8 50
Consistent Pseudo-Maximum Likelihood Estimators 1 1 1 16 4 8 14 97
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 1 6 10 100
Credit and liquidity in interbank rates: A quadratic approach 1 1 3 33 2 6 17 136
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 0 1 47 2 7 11 116
Default, Liquidity, and Crises: an Econometric Framework 0 0 1 56 3 6 9 187
Disastrous Defaults* 0 0 0 3 0 5 6 21
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 9 11 14 338
Disequilibrium econometrics in dynamic models 0 0 0 53 0 0 2 130
Econometric Asset Pricing Modelling 0 0 2 70 2 4 7 237
Econometric specification of stochastic discount factor models 0 0 0 166 0 4 10 330
Econometric specification of the risk neutral valuation model 0 0 0 97 1 5 6 258
Evaluating Reserve Risk in a Regulatory Perspective 0 1 2 12 1 4 6 32
First-order identification in linear models 0 0 0 28 0 2 5 124
Fourth order pseudo maximum likelihood methods 0 0 0 33 0 6 7 167
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 2 115 0 3 9 328
Generalised residuals 0 1 8 977 0 4 19 1,692
Granularity Adjustment for Efficient Portfolios 0 0 0 27 1 5 7 119
Granularity in a qualitative factor model 0 0 0 0 0 1 2 9
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 9 0 9 22 75
Indirect Inference 1 1 6 1,589 5 18 65 4,168
Infrequent Extreme Risks 0 0 0 118 0 1 2 290
Infrequent Extreme Risks 0 0 1 20 0 4 6 98
International money and stock market contingent claims 1 1 1 74 2 4 4 231
Introduction 0 0 0 28 1 7 8 82
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 0 3 4 32
Joint econometric modeling of spot electricity prices, forwards and options 0 0 0 26 0 2 4 76
Kernel-Based Indirect Inference 0 0 0 0 1 6 7 386
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 0 2 6 270
Kullback Causality Measures 0 0 2 23 0 4 8 60
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 3 9 1,229 2 20 31 4,563
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 2 5 7 23
Linear-price term structure models 0 0 0 30 0 6 6 84
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 0 5 6 238
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 2 4 81
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 1 39 0 3 4 89
Model risk management: Valuation and governance of pseudo-models 0 0 0 14 2 4 5 29
Modèles de comptage semi-paramétriques 0 0 0 11 0 6 7 71
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 0 45 2 6 8 178
On the Problem of Missing Data in Linear Models 0 0 0 99 3 10 16 274
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 0 4 6 315
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 0 1 4 15
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 1 8 10 45
Prepayment analysis for securitization 0 0 0 132 1 2 4 290
Pricing default events: Surprise, exogeneity and contagion 1 1 2 31 4 7 9 156
Pricing with Splines 0 0 1 13 1 4 7 43
Pricing with finite dimensional dependence 0 0 0 7 0 3 6 69
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 3 4 12 960 4 15 47 2,520
Pseudo Maximum Likelihood Methods: Theory 2 2 12 1,558 7 16 42 3,782
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 2 9 10 133
Qualitative threshold ARCH models 0 0 1 280 4 14 17 659
Quelques développements récents des méthodes macroéconométriques 0 0 0 5 0 0 2 57
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 1 4 10 285
Regime Switching and Bond Pricing 0 0 0 12 0 2 3 76
Required Capital for Long-Run Risks 0 0 0 1 0 7 14 26
Simulated residuals 0 0 0 141 2 4 9 268
Simulation Based Inference in Models with Heterogeneity 0 0 1 55 3 11 17 119
Simulation-based inference: A survey with special reference to panel data models 0 0 1 325 1 30 38 640
Some useful equivalence properties of Hausman's test 0 0 0 33 0 3 4 102
Stationary bubble equilibria in rational expectation models 0 0 1 17 3 11 17 73
Statistical inference for independent component analysis: Application to structural VAR models 1 1 3 160 2 8 27 446
Staying at zero with affine processes: An application to term structure modelling 0 0 2 38 2 5 9 192
Staying at zero with affine processes: an application to term structure modelling 0 0 0 12 1 8 15 87
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 0 2 88
Switching VARMA Term Structure Models 0 0 1 37 0 4 7 141
Taking into account extreme events in European option pricing 0 0 0 14 0 0 2 83
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing nested or non-nested hypotheses 0 0 0 137 2 5 7 337
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 1 2 11 123
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 1 2 2 273
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 2 4 5 45
The double default value-of-the-firm model 0 1 4 4 1 7 11 11
The econometrics of efficient portfolios 0 0 1 129 0 3 5 301
Un modèle agricole à long terme de simulation 0 0 0 4 0 5 7 40
Total Journal Articles 11 22 99 10,838 108 503 907 30,675

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 2 7 19 525
Statistics and Econometric Models 0 0 0 0 1 14 36 302
Statistics and Econometric Models 0 0 0 0 1 8 12 454
Statistics and Econometric Models 0 0 0 0 2 7 10 162
Statistics and Econometric Models 0 0 0 0 1 8 16 267
Time Series and Dynamic Models 0 0 0 0 0 4 9 170
Time Series and Dynamic Models 0 0 0 0 0 4 12 182
Total Books 0 0 0 0 7 52 114 2,062

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Testing non-nested hypotheses 0 0 0 258 0 1 3 608
Total Chapters 0 0 0 258 0 1 3 608

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Statistics updated 2026-03-04