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 1 108 0 0 6 236
A Quadratic Kalman Filter 0 0 0 67 0 3 17 208
Affine Feedforward Stochastic (AFS) Neural Network 0 0 0 0 0 0 6 6
Affine Feedforward Stochastic (AFS) Neural Network 0 0 8 9 0 0 10 11
Affine Model for Credit Risk Analysis 0 0 0 104 0 0 8 223
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 0 0 74 1 2 17 169
Affine Term Structure Models 0 0 0 149 2 2 8 310
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 2 2 5 295
Asset Pricing with Second-Order Esscher Transforms 0 0 0 34 0 0 22 134
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 0 0 14 91
Bilateral Exposures and Systemic Solvency Risk 0 0 1 105 0 1 12 360
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 0 8 735
Composite Indirect Inference with Application 0 0 0 44 0 0 11 81
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 1 8 98
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 1 12 79
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 0 0 7 78
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 0 9 105
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 15 71
Consistent m-estimators in a semi-parametric model 0 0 1 28 1 1 23 226
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 50 1 1 15 157
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 1 1 67 0 2 23 180
Credit and liquidity risks in euro area sovereign yield curves 0 0 1 146 0 0 13 467
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 0 1 7 128
Default, liquidity and crises: an econometric framework 0 0 0 108 0 0 9 239
Disastrous Defaults 0 0 0 14 0 0 7 38
Disastrous Defaults 0 0 0 12 0 1 9 61
Econometric Asset Pricing Modelling 0 0 0 16 0 0 7 121
Econometric Asset Pricing Modelling 0 0 1 122 0 1 15 371
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 1 1 15 100
Econometric specification of the risk neutral valuation model 0 0 0 6 1 3 9 802
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 1 8 56
Estimation and test in probit models with serial correlation 0 0 0 64 0 1 8 894
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 20 0 0 16 86
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 22 0 1 11 136
Fourth order pseudo maximum likelihood methods 0 0 0 5 0 0 12 51
Functional Indirect Inference 0 0 0 18 0 0 5 62
General approach of serial correlation (a) 0 0 0 4 0 0 9 248
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 1 9 118
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 0 0 10 18
Indirect Inference 0 0 0 4 3 6 214 912
International Money and Stock Market Contingent Claims 0 0 0 38 0 0 12 176
Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright 0 0 0 0 0 1 3 4
Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects 0 0 0 351 0 3 14 828
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 0 1 122 0 1 7 419
Kernel m-estimators: non parametric diagnostics for structural models 0 0 1 19 0 0 7 315
Liquidation Equilibrium with Seniority and Hidden CDO 0 2 2 48 0 2 12 182
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 8 131
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 0 0 0 0 3 11
Modèles de comptage semi-paramétriques 0 0 0 11 1 2 12 120
Modèles de durée et effets de génération 0 0 0 2 1 1 3 246
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 2 3 6 321
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 31 0 0 9 165
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 0 0 5 57
New Information Response Functions 0 0 0 77 0 1 13 213
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 0 151 1 1 15 468
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 1 33 0 0 6 123
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 0 82 0 0 8 233
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 0 1 17 117
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 0 1 17 206
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 26 0 0 14 114
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 1 2 29 239
Pricing with Splines 0 0 0 34 0 1 9 81
Prévision de mesures de prix contingents 0 0 0 0 0 0 3 99
Pseudo maximum likelihood methods: theory 1 1 2 99 3 8 28 1,214
Pseudo maximum lilelihood methods: applications to poisson models 0 1 5 36 1 3 19 645
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 69 1 1 13 81
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 1 1 11 118
Qualitative threshold arch models 0 0 1 12 1 2 13 487
Regime Switching and Bond Pricing 1 1 1 31 1 1 4 128
Regime Switching and Bond Pricing 0 0 0 65 0 0 9 150
Required Capital for Long-Run Risks 0 0 0 0 0 1 9 12
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 6 1 1 7 432
Revisiting Identification and estimation in Structural VARMA Models 0 0 2 160 0 0 9 328
Simulated residuals 0 0 0 7 0 2 7 274
Stationary Bubble Equilibria in Rational Expectation Models 0 1 1 35 0 2 19 127
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 0 4 12
Statistical Inference for Independent Component Analysis 0 0 0 47 0 0 5 140
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 1 119 1 5 16 195
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 1 1 6 106
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 0 60 0 0 10 216
Switching VARMA Term Structure Models - Extended Version 0 0 0 49 0 1 12 199
Switching VARMA Term Structure Models - Extended Version 0 0 1 20 0 2 11 77
Taking into account extreme events in European option pricing 0 0 0 0 0 0 9 26
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 8 291
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 0 1 10 307
The Econometrics of Efficient Frontiers 0 0 0 36 1 1 8 80
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 0 1 6 140
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 6 286
Une mod lisation s quentielle de la VaR 0 0 0 88 0 0 9 146
Total Working Papers 2 7 37 4,209 30 87 1,149 19,846

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 2 7 87
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 0 16 0 1 5 69
A Quadratic Kalman Filter 0 0 2 29 0 1 11 145
A Reappraisal of Misspecified Econometric Models 0 0 0 33 0 0 5 97
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 1 9 0 1 10 36
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion 0 0 4 4 1 1 17 30
Affine Models for Credit Risk Analysis 0 0 0 206 0 0 12 494
Asset pricing with Second-Order Esscher Transforms 0 0 1 22 2 2 21 101
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 1 1 3 266 2 2 10 511
Bayesian estimation of switching ARMA models 0 0 0 239 0 0 10 558
Bilateral exposures and systemic solvency risk 0 0 0 1 0 0 13 30
Bilateral exposures and systemic solvency risk 0 0 0 44 0 0 10 190
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 0 0 8 36
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 1 4 17 442
Composite indirect inference with application to corporate risks 0 0 0 7 0 1 12 54
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 17 0 1 17 103
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 9 102
Credit and liquidity in interbank rates: A quadratic approach 0 0 2 34 1 3 17 142
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 1 1 48 0 1 13 121
Default, Liquidity, and Crises: an Econometric Framework 0 0 0 56 0 2 14 194
Disastrous Defaults* 0 0 0 3 0 0 7 23
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 0 1 19 343
Disequilibrium econometrics in dynamic models 0 0 0 53 2 3 7 135
Econometric Asset Pricing Modelling 0 0 1 70 0 2 13 244
Econometric specification of stochastic discount factor models 0 0 1 167 2 3 15 337
Econometric specification of the risk neutral valuation model 0 0 0 97 0 1 10 262
Evaluating Reserve Risk in a Regulatory Perspective 0 0 1 12 0 0 4 32
First-order identification in linear models 0 0 0 28 0 0 6 125
Fourth order pseudo maximum likelihood methods 0 0 0 33 1 2 13 174
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 0 115 1 2 7 330
Generalised residuals 1 2 3 979 2 5 18 1,702
Granularity Adjustment for Efficient Portfolios 0 0 0 27 1 2 12 126
Granularity in a qualitative factor model 0 0 0 0 0 1 2 10
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 9 0 0 18 81
Indirect Inference 1 5 10 1,597 4 21 81 4,211
Infrequent Extreme Risks 0 0 0 118 2 2 8 296
Infrequent Extreme Risks 0 0 0 20 1 1 7 100
International money and stock market contingent claims 0 0 1 74 0 11 16 243
Introduction 0 0 0 28 0 1 13 87
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 0 1 5 34
Joint econometric modeling of spot electricity prices, forwards and options 0 0 0 26 0 0 5 79
Kernel-Based Indirect Inference 0 0 0 0 1 2 12 391
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 0 127 0 3 12 279
Kullback Causality Measures 0 0 0 23 1 2 10 66
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 0 5 1,230 0 1 36 4,578
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 0 11 28
Linear-price term structure models 0 0 0 30 1 3 15 93
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 0 1 7 240
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 1 9 86
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 1 40 1 3 9 95
Model risk management: Valuation and governance of pseudo-models 0 0 0 14 0 0 6 30
Modèles de comptage semi-paramétriques 0 0 0 11 0 1 10 74
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 0 45 1 1 14 186
On the Problem of Missing Data in Linear Models 1 1 1 100 1 1 13 276
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 0 1 7 317
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 1 2 10 22
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 0 11 0 2 13 50
Prepayment analysis for securitization 0 0 0 132 0 0 3 290
Pricing default events: Surprise, exogeneity and contagion 0 0 1 31 0 0 11 160
Pricing with Splines 0 0 0 13 0 2 14 53
Pricing with finite dimensional dependence 0 0 0 7 0 0 5 70
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 3 13 967 6 16 63 2,555
Pseudo Maximum Likelihood Methods: Theory 0 2 11 1,567 2 7 52 3,814
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 2 13 136
Qualitative threshold ARCH models 0 0 0 280 0 0 20 663
Quelques développements récents des méthodes macroéconométriques 0 0 0 5 0 1 5 60
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 0 2 11 290
Regime Switching and Bond Pricing 0 0 0 12 1 2 8 81
Required Capital for Long-Run Risks 0 0 0 1 2 4 15 32
Simulated residuals 0 0 0 141 1 2 16 276
Simulation Based Inference in Models with Heterogeneity 0 0 3 58 1 2 25 128
Simulation-based inference: A survey with special reference to panel data models 0 2 2 327 0 2 38 643
Some useful equivalence properties of Hausman's test 0 0 0 33 0 1 5 104
Stationary bubble equilibria in rational expectation models 0 0 0 17 1 3 20 81
Statistical inference for independent component analysis: Application to structural VAR models 0 0 3 161 0 0 20 456
Staying at zero with affine processes: An application to term structure modelling 0 0 0 38 0 1 11 198
Staying at zero with affine processes: an application to term structure modelling 0 0 0 12 0 1 20 94
Sufficient Linear Structures: Econometric Applications 0 0 0 17 1 1 7 94
Switching VARMA Term Structure Models 0 0 1 38 0 0 11 146
Taking into account extreme events in European option pricing 0 0 0 14 1 3 8 89
Testing for Common Roots 0 1 1 32 0 1 6 208
Testing nested or non-nested hypotheses 0 0 0 137 0 1 10 341
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 0 62 0 1 11 128
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 1 4 275
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 0 4 11 51
The double default value-of-the-firm model 0 0 1 4 0 1 13 17
The econometrics of efficient portfolios 0 0 1 130 1 1 8 306
Un modèle agricole à long terme de simulation 0 0 0 4 0 2 12 45
Total Journal Articles 4 18 77 10,886 48 169 1,194 31,211

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 3 5 30 542
Statistics and Econometric Models 0 0 0 0 2 2 21 276
Statistics and Econometric Models 0 0 0 0 2 2 31 309
Statistics and Econometric Models 0 0 0 0 2 4 16 461
Statistics and Econometric Models 0 0 0 0 1 2 16 169
Time Series and Dynamic Models 0 0 0 0 0 0 13 175
Time Series and Dynamic Models 0 0 0 0 2 3 17 190
Total Books 0 0 0 0 12 18 144 2,122

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 1 259 1 1 4 611
Total Chapters 0 0 1 259 1 1 4 611

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Statistics updated 2026-10-11