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 1 3 108 0 5 11 235
A Quadratic Kalman Filter 0 0 1 67 6 6 11 197
Affine Model for Credit Risk Analysis 0 0 1 104 5 5 10 221
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 0 2 74 7 9 12 161
Affine Term Structure Models 0 0 0 149 4 4 7 306
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 1 2 2 292
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 3 6 10 83
Asset Pricing with Second-Order Esscher Transforms 0 0 0 34 10 16 18 128
Bilateral Exposures and Systemic Solvency Risk 0 0 2 104 3 5 12 353
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 3 6 7 733
Composite Indirect Inference with Application 0 0 1 44 6 10 12 81
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 3 5 6 95
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 1 5 5 76
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 5 6 72
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 3 6 7 62
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 2 5 6 101
Consistent m-estimators in a semi-parametric model 0 1 3 28 7 12 17 216
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 50 6 6 12 148
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 1 66 10 12 17 169
Credit and liquidity risks in euro area sovereign yield curves 0 0 2 145 5 7 12 462
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 2 4 7 126
Default, liquidity and crises: an econometric framework 0 0 0 108 5 6 7 236
Disastrous Defaults 0 0 2 12 2 3 9 56
Disastrous Defaults 0 0 0 14 0 2 3 33
Econometric Asset Pricing Modelling 0 0 0 16 3 3 4 117
Econometric Asset Pricing Modelling 0 0 1 122 4 7 9 364
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 3 6 9 94
Econometric specification of the risk neutral valuation model 0 0 0 6 0 4 6 797
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 5 6 8 54
Estimation and test in probit models with serial correlation 0 0 0 64 1 3 8 890
Fourth Order Pseudo Maximum Likelihood Methods 0 1 1 22 2 7 8 132
Fourth Order Pseudo Maximum Likelihood Methods 0 0 0 19 6 10 11 81
Fourth order pseudo maximum likelihood methods 0 0 0 5 3 6 8 45
Functional Indirect Inference 0 0 2 18 2 3 6 60
General approach of serial correlation (a) 0 0 0 4 3 7 10 246
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 4 4 7 114
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 2 5 8 15
Indirect Inference 0 0 0 4 86 139 146 840
International Money and Stock Market Contingent Claims 0 0 0 38 6 8 10 173
Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright 0 0 0 0 1 2 2 3
Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects 0 0 0 351 2 6 12 820
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 0 4 121 1 2 8 414
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 2 3 5 311
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 1 6 8 178
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 5 125
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 4 8 12 116
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 31 3 4 6 160
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 1 1 3 53
New Information Response Functions 0 0 0 77 0 7 10 207
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 0 151 5 7 12 461
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 1 33 2 4 6 122
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 0 82 2 5 6 230
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 6 9 11 198
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 7 8 10 109
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 26 5 8 9 109
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 2 17 21 229
Pricing with Splines 0 0 0 34 2 4 5 77
Prévision de mesures de prix contingents 0 0 0 0 0 2 3 98
Pseudo maximum likelihood methods: theory 0 0 3 97 3 9 16 1,196
Pseudo maximum lilelihood methods: applications to poisson models 0 1 5 32 3 6 15 633
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 1 1 2 69 4 7 10 75
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 3 7 10 115
Qualitative threshold arch models 0 1 1 12 3 9 9 483
Regime Switching and Bond Pricing 0 0 0 65 3 6 13 149
Regime Switching and Bond Pricing 0 0 0 30 1 2 3 126
Required Capital for Long-Run Risks 0 0 0 0 4 5 7 8
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 2 2 6 429
Revisiting Identification and estimation in Structural VARMA Models 0 0 3 158 1 4 10 324
Simulated residuals 0 0 0 7 2 3 3 270
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 2 4 5 12
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 5 13 19 122
Statistical Inference for Independent Component Analysis 0 0 1 47 0 2 3 137
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 2 118 1 6 12 186
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 2 4 4 104
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 2 60 3 3 11 210
Switching VARMA Term Structure Models - Extended Version 0 0 0 49 2 4 5 191
Switching VARMA Term Structure Models - Extended Version 0 1 1 20 5 7 8 73
Taking into account extreme events in European option pricing 0 0 0 0 2 5 6 22
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 5 7 289
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 1 5 6 302
The Econometrics of Efficient Frontiers 0 0 0 36 4 6 7 78
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 1 3 7 137
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 3 4 283
Une mod lisation s quentielle de la VaR 0 0 0 88 4 5 6 142
Total Working Papers 1 7 51 4,181 332 609 853 19,348

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 3 3 7 83
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 3 3 6 68
A Quadratic Kalman Filter 0 0 0 27 1 3 7 137
A Reappraisal of Misspecified Econometric Models 0 0 0 33 2 4 4 96
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 1 1 1 9 5 6 7 32
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion 2 3 3 3 5 6 10 20
Affine Models for Credit Risk Analysis 0 0 0 206 5 7 9 491
Asset pricing with Second-Order Esscher Transforms 0 0 1 21 4 6 11 87
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 1 6 264 1 5 16 506
Bayesian estimation of switching ARMA models 0 0 0 239 3 3 10 553
Bilateral exposures and systemic solvency risk 0 0 1 44 2 7 9 187
Bilateral exposures and systemic solvency risk 0 0 0 1 3 7 9 25
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 3 4 5 32
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 2 7 9 433
Composite indirect inference with application to corporate risks 0 0 0 7 4 6 8 48
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 15 2 6 10 93
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 3 6 9 99
Credit and liquidity in interbank rates: A quadratic approach 0 0 2 32 4 7 17 134
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 0 1 47 4 6 10 114
Default, Liquidity, and Crises: an Econometric Framework 0 0 1 56 3 4 8 184
Disastrous Defaults* 0 0 0 3 5 5 7 21
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 1 4 6 329
Disequilibrium econometrics in dynamic models 0 0 0 53 0 0 2 130
Econometric Asset Pricing Modelling 0 0 2 70 2 2 5 235
Econometric specification of stochastic discount factor models 0 0 1 166 1 6 11 330
Econometric specification of the risk neutral valuation model 0 0 0 97 4 5 6 257
Evaluating Reserve Risk in a Regulatory Perspective 1 1 2 12 2 3 5 31
First-order identification in linear models 0 0 0 28 1 3 5 124
Fourth order pseudo maximum likelihood methods 0 0 0 33 4 6 8 167
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 2 115 2 4 9 328
Generalised residuals 1 1 9 977 1 5 20 1,692
Granularity Adjustment for Efficient Portfolios 0 0 0 27 3 4 6 118
Granularity in a qualitative factor model 0 0 0 0 1 1 5 9
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 9 6 9 25 75
Indirect Inference 0 0 6 1,588 6 19 63 4,163
Infrequent Extreme Risks 0 0 1 118 1 1 3 290
Infrequent Extreme Risks 0 0 1 20 3 4 7 98
International money and stock market contingent claims 0 0 0 73 2 2 2 229
Introduction 0 0 0 28 5 6 7 81
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 3 3 5 32
Joint econometric modeling of spot electricity prices, forwards and options 0 0 0 26 1 2 7 76
Kernel-Based Indirect Inference 0 0 0 0 3 5 7 385
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 1 3 6 270
Kullback Causality Measures 0 0 2 23 2 4 8 60
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 2 3 9 1,229 16 18 29 4,561
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 3 4 6 21
Linear-price term structure models 0 0 0 30 6 6 6 84
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 3 5 6 238
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 3 5 81
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 1 39 2 3 5 89
Model risk management: Valuation and governance of pseudo-models 0 0 0 14 1 3 3 27
Modèles de comptage semi-paramétriques 0 0 0 11 4 7 7 71
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 0 45 4 4 7 176
On the Problem of Missing Data in Linear Models 0 0 0 99 4 8 13 271
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 1 5 7 315
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 0 3 4 15
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 7 7 9 44
Prepayment analysis for securitization 0 0 0 132 0 2 3 289
Pricing default events: Surprise, exogeneity and contagion 0 0 2 30 2 3 7 152
Pricing with Splines 0 0 2 13 2 3 8 42
Pricing with finite dimensional dependence 0 0 0 7 3 4 6 69
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 1 1 9 957 4 15 45 2,516
Pseudo Maximum Likelihood Methods: Theory 0 0 10 1,556 4 10 37 3,775
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 7 7 10 131
Qualitative threshold ARCH models 0 0 1 280 10 12 13 655
Quelques développements récents des méthodes macroéconométriques 0 0 0 5 0 2 2 57
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 2 4 9 284
Regime Switching and Bond Pricing 0 0 1 12 1 3 5 76
Required Capital for Long-Run Risks 0 0 0 1 4 7 14 26
Simulated residuals 0 0 0 141 2 4 8 266
Simulation Based Inference in Models with Heterogeneity 0 0 1 55 6 9 17 116
Simulation-based inference: A survey with special reference to panel data models 0 0 1 325 20 34 37 639
Some useful equivalence properties of Hausman's test 0 0 0 33 2 3 5 102
Stationary bubble equilibria in rational expectation models 0 0 1 17 7 9 14 70
Statistical inference for independent component analysis: Application to structural VAR models 0 0 2 159 5 7 25 444
Staying at zero with affine processes: An application to term structure modelling 0 0 2 38 3 3 8 190
Staying at zero with affine processes: an application to term structure modelling 0 0 0 12 6 9 14 86
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 0 2 88
Switching VARMA Term Structure Models 0 0 1 37 3 5 7 141
Taking into account extreme events in European option pricing 0 0 0 14 0 1 4 83
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing nested or non-nested hypotheses 0 0 0 137 1 3 5 335
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 1 3 11 122
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 1 1 1 272
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 1 3 3 43
The double default value-of-the-firm model 0 1 4 4 4 6 10 10
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 4 6 7 40
Total Journal Articles 8 12 96 10,827 278 469 865 30,567

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 7 19 523
Statistics and Econometric Models 0 0 0 0 8 15 35 301
Statistics and Econometric Models 0 0 0 0 3 7 8 160
Statistics and Econometric Models 0 0 0 0 4 8 12 453
Statistics and Econometric Models 0 0 0 0 6 8 15 266
Time Series and Dynamic Models 0 0 0 0 3 7 13 182
Time Series and Dynamic Models 0 0 0 0 4 6 9 170
Total Books 0 0 0 0 31 58 111 2,055

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 1 1 4 608
Total Chapters 0 0 0 258 1 1 4 608

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Statistics updated 2026-02-12