| 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 |
106 |
0 |
0 |
5 |
229 |
| A Quadratic Kalman Filter |
0 |
0 |
1 |
67 |
2 |
2 |
7 |
191 |
| Affine Model for Credit Risk Analysis |
0 |
0 |
1 |
104 |
0 |
0 |
3 |
214 |
| Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion |
0 |
0 |
3 |
74 |
0 |
0 |
5 |
152 |
| Affine Term Structure Models |
0 |
0 |
0 |
149 |
1 |
2 |
3 |
302 |
| Allocating Systematic and Unsystematic Risks in a Regulatory Perspective |
0 |
0 |
0 |
144 |
0 |
0 |
0 |
290 |
| Asset Pricing with Second-Order Esscher Transforms |
0 |
0 |
0 |
19 |
1 |
3 |
4 |
77 |
| Asset Pricing with Second-Order Esscher Transforms |
0 |
0 |
0 |
34 |
0 |
1 |
2 |
112 |
| Bilateral Exposures and Systemic Solvency Risk |
0 |
0 |
1 |
103 |
0 |
2 |
5 |
346 |
| Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes |
0 |
0 |
0 |
108 |
0 |
1 |
1 |
727 |
| Composite Indirect Inference with Application |
0 |
1 |
1 |
44 |
0 |
1 |
1 |
70 |
| Composite Indirect Inference with Application to Corporate Risks |
0 |
0 |
0 |
32 |
0 |
1 |
1 |
90 |
| Consistent Pseudo-Maximum Likelihood Estimators |
0 |
0 |
2 |
32 |
0 |
0 |
2 |
71 |
| Consistent Pseudo-Maximum Likelihood Estimators |
0 |
0 |
0 |
28 |
0 |
0 |
2 |
67 |
| Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations |
0 |
0 |
0 |
29 |
0 |
0 |
9 |
96 |
| Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations |
0 |
0 |
0 |
12 |
0 |
0 |
2 |
56 |
| Consistent m-estimators in a semi-parametric model |
0 |
0 |
2 |
26 |
0 |
1 |
8 |
202 |
| Credit and Liquidity Risks in Euro-area Sovereign Yield Curves |
0 |
0 |
0 |
50 |
1 |
3 |
6 |
142 |
| Credit and Liquidity in Interbank Rates: a Quadratic Approach |
0 |
1 |
1 |
66 |
0 |
2 |
5 |
156 |
| Credit and liquidity risks in euro area sovereign yield curves |
0 |
0 |
2 |
145 |
0 |
0 |
6 |
454 |
| Default, Liquidity and Crises: An Econometric Framework |
0 |
0 |
0 |
29 |
0 |
0 |
3 |
121 |
| Default, liquidity and crises: an econometric framework |
0 |
0 |
0 |
108 |
0 |
0 |
2 |
230 |
| Disastrous Defaults |
0 |
0 |
0 |
14 |
0 |
0 |
2 |
31 |
| Disastrous Defaults |
0 |
0 |
2 |
12 |
0 |
0 |
5 |
52 |
| Econometric Asset Pricing Modelling |
0 |
0 |
0 |
16 |
0 |
1 |
1 |
114 |
| Econometric Asset Pricing Modelling |
0 |
0 |
0 |
121 |
0 |
0 |
5 |
356 |
| 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 |
2 |
2 |
793 |
| Equidependence in Qualitative and Duration Models with Application to Credit Risk |
0 |
0 |
0 |
18 |
0 |
1 |
2 |
48 |
| Estimation and test in probit models with serial correlation |
0 |
0 |
0 |
64 |
0 |
1 |
3 |
885 |
| Fourth Order Pseudo Maximum Likelihood Methods |
0 |
0 |
0 |
21 |
0 |
0 |
2 |
124 |
| Fourth Order Pseudo Maximum Likelihood Methods |
0 |
0 |
1 |
19 |
0 |
0 |
1 |
70 |
| Fourth order pseudo maximum likelihood methods |
0 |
0 |
0 |
5 |
0 |
0 |
3 |
39 |
| Functional Indirect Inference |
0 |
0 |
2 |
18 |
0 |
1 |
3 |
57 |
| General approach of serial correlation (a) |
0 |
0 |
0 |
4 |
0 |
0 |
3 |
239 |
| Identification and Estimation in Non-Fundamental Structural VARMA Models |
0 |
0 |
0 |
79 |
0 |
1 |
4 |
109 |
| Identification and Estimation in Nonfundamental Structural Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
| Indirect Inference |
0 |
0 |
0 |
4 |
0 |
1 |
3 |
697 |
| International Money and Stock Market Contingent Claims |
0 |
0 |
1 |
38 |
0 |
0 |
7 |
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 |
0 |
2 |
351 |
1 |
3 |
12 |
814 |
| Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options |
0 |
0 |
4 |
121 |
0 |
1 |
6 |
412 |
| Kernel m-estimators: non parametric diagnostics for structural models |
0 |
0 |
0 |
18 |
0 |
1 |
2 |
308 |
| Liquidation Equilibrium with Seniority and Hidden CDO |
0 |
0 |
0 |
46 |
0 |
0 |
0 |
170 |
| Microinformation, Nonlinear Filtering and Granularity |
0 |
0 |
0 |
24 |
0 |
0 |
5 |
123 |
| 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 |
1 |
1 |
1 |
105 |
| Modèles de durée et effets de génération |
0 |
0 |
0 |
2 |
1 |
1 |
2 |
243 |
| 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 |
31 |
1 |
1 |
2 |
156 |
| Multi-Lag Term Structure Models with Stochastic Risk Premia |
0 |
0 |
0 |
7 |
1 |
1 |
2 |
52 |
| New Information Response Functions |
0 |
0 |
0 |
77 |
1 |
1 |
3 |
200 |
| No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth |
0 |
0 |
0 |
151 |
2 |
3 |
4 |
453 |
| No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth |
0 |
0 |
0 |
32 |
1 |
1 |
1 |
117 |
| Optimal Portfolio Allocation under Asset and Surplus VaR Constraints |
0 |
0 |
0 |
82 |
0 |
0 |
1 |
225 |
| Pricing Default Events: Surprise, Exogeneity and Contagion |
0 |
0 |
0 |
28 |
0 |
0 |
1 |
100 |
| Pricing Default Events: Surprise, Exogeneity and Contagion |
0 |
0 |
0 |
66 |
0 |
0 |
2 |
189 |
| Pricing and Inference with Mixtures of Conditionally Normal Processes |
0 |
0 |
0 |
26 |
0 |
0 |
0 |
100 |
| Pricing and Inference with Mixtures of Conditionally Normal Processes |
0 |
0 |
0 |
54 |
1 |
1 |
2 |
210 |
| 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 |
3 |
97 |
0 |
1 |
8 |
1,186 |
| Pseudo maximum lilelihood methods: applications to poisson models |
1 |
2 |
6 |
30 |
2 |
3 |
22 |
625 |
| Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations |
0 |
0 |
3 |
68 |
0 |
1 |
5 |
68 |
| Quadratic Stochastic Intensity and Prospective Mortality Tables |
0 |
0 |
0 |
23 |
0 |
0 |
2 |
107 |
| Qualitative threshold arch models |
0 |
0 |
0 |
11 |
0 |
0 |
1 |
474 |
| Regime Switching and Bond Pricing |
0 |
0 |
0 |
65 |
0 |
0 |
4 |
140 |
| Regime Switching and Bond Pricing |
0 |
0 |
0 |
30 |
0 |
1 |
1 |
124 |
| Required Capital for Long-Run Risks |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
2 |
| Revision adaptative des anticipations et convergence vers les anticipations rationnelles |
0 |
1 |
1 |
6 |
1 |
2 |
2 |
425 |
| Revisiting Identification and estimation in Structural VARMA Models |
0 |
0 |
7 |
158 |
1 |
1 |
11 |
319 |
| Simulated residuals |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
267 |
| Stationary Bubble Equilibria in Rational Expectation Models |
1 |
2 |
3 |
34 |
1 |
3 |
9 |
108 |
| Stationary Bubble Equilibria in Rational Expectation Models |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
| Statistical Inference for Independent Component Analysis |
1 |
1 |
1 |
47 |
1 |
1 |
1 |
135 |
| Statistical Inference for Independent Component Analysis: Application to Structural VAR Models |
0 |
0 |
0 |
34 |
0 |
0 |
0 |
100 |
| Statistical Inference for Independent Component Analysis: Application to Structural VAR Models |
1 |
1 |
7 |
117 |
1 |
2 |
13 |
178 |
| Staying at Zero with Affine Processes: An Application to Term Structure Modelling |
0 |
0 |
2 |
60 |
2 |
2 |
7 |
205 |
| Switching VARMA Term Structure Models - Extended Version |
0 |
0 |
0 |
49 |
0 |
0 |
1 |
187 |
| Switching VARMA Term Structure Models - Extended Version |
0 |
0 |
0 |
19 |
0 |
0 |
1 |
66 |
| Taking into account extreme events in European option pricing |
0 |
0 |
0 |
0 |
0 |
1 |
1 |
17 |
| Testing unknown linear restrictions on parameter functions |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
283 |
| Testing, encompassing and simulating dynamic econometric models |
0 |
0 |
0 |
9 |
0 |
0 |
2 |
297 |
| The Econometrics of Efficient Frontiers |
0 |
0 |
0 |
36 |
0 |
0 |
1 |
72 |
| The Simulated Likelihood Ratio (SLR) Method |
0 |
0 |
0 |
33 |
1 |
1 |
1 |
131 |
| Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
280 |
| Une mod lisation s quentielle de la VaR |
0 |
0 |
0 |
88 |
0 |
0 |
1 |
137 |
| Total Working Papers |
4 |
10 |
60 |
4,166 |
25 |
61 |
275 |
18,675 |
| 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 |
0 |
0 |
5 |
80 |
| A General Framework for Testing a Null Hypothesis in a “Mixed” Form |
1 |
1 |
1 |
16 |
1 |
1 |
3 |
64 |
| A Quadratic Kalman Filter |
0 |
0 |
0 |
27 |
0 |
4 |
4 |
134 |
| A Reappraisal of Misspecified Econometric Models |
0 |
0 |
0 |
33 |
0 |
0 |
0 |
92 |
| ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
26 |
| Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
13 |
| Affine Models for Credit Risk Analysis |
0 |
0 |
0 |
206 |
0 |
0 |
0 |
482 |
| Asset pricing with Second-Order Esscher Transforms |
0 |
0 |
1 |
21 |
0 |
2 |
4 |
80 |
| Asymptotic properties of the maximum likelihood estimator in dichotomous logit models |
0 |
2 |
8 |
263 |
0 |
3 |
18 |
500 |
| Bayesian estimation of switching ARMA models |
0 |
0 |
0 |
239 |
0 |
3 |
7 |
548 |
| Bilateral exposures and systemic solvency risk |
0 |
1 |
1 |
44 |
0 |
2 |
2 |
180 |
| Bilateral exposures and systemic solvency risk |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
17 |
| COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
28 |
| Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes |
0 |
0 |
0 |
83 |
0 |
1 |
2 |
425 |
| Composite indirect inference with application to corporate risks |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
42 |
| Consistent Pseudo-Maximum Likelihood Estimators |
0 |
0 |
0 |
15 |
2 |
2 |
2 |
85 |
| Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations |
0 |
0 |
2 |
12 |
0 |
2 |
7 |
93 |
| Credit and liquidity in interbank rates: A quadratic approach |
0 |
0 |
1 |
31 |
1 |
3 |
6 |
123 |
| Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks |
0 |
0 |
2 |
47 |
0 |
2 |
6 |
108 |
| Default, Liquidity, and Crises: an Econometric Framework |
0 |
0 |
1 |
56 |
0 |
0 |
4 |
179 |
| Disastrous Defaults* |
0 |
0 |
0 |
3 |
0 |
0 |
3 |
16 |
| Disequilibrium Econometrics in Simultaneous Equations Systems |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
324 |
| Disequilibrium econometrics in dynamic models |
0 |
0 |
1 |
53 |
0 |
0 |
4 |
128 |
| Econometric Asset Pricing Modelling |
0 |
0 |
1 |
68 |
0 |
0 |
4 |
230 |
| Econometric specification of stochastic discount factor models |
0 |
0 |
1 |
166 |
1 |
1 |
6 |
322 |
| Econometric specification of the risk neutral valuation model |
0 |
0 |
1 |
97 |
0 |
0 |
2 |
252 |
| Evaluating Reserve Risk in a Regulatory Perspective |
0 |
0 |
1 |
11 |
0 |
0 |
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 |
0 |
3 |
160 |
| From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral |
0 |
2 |
2 |
115 |
0 |
3 |
4 |
323 |
| Generalised residuals |
2 |
4 |
12 |
976 |
2 |
5 |
20 |
1,683 |
| Granularity Adjustment for Efficient Portfolios |
0 |
0 |
0 |
27 |
1 |
2 |
3 |
114 |
| Granularity in a qualitative factor model |
0 |
0 |
0 |
0 |
1 |
1 |
8 |
8 |
| Identification and Estimation in Non-Fundamental Structural VARMA Models |
0 |
0 |
1 |
9 |
2 |
7 |
14 |
63 |
| Indirect Inference |
0 |
0 |
9 |
1,587 |
3 |
11 |
48 |
4,129 |
| Infrequent Extreme Risks |
0 |
1 |
1 |
20 |
0 |
1 |
2 |
93 |
| Infrequent Extreme Risks |
0 |
0 |
1 |
118 |
0 |
0 |
1 |
288 |
| International money and stock market contingent claims |
0 |
0 |
0 |
73 |
0 |
0 |
1 |
227 |
| Introduction |
0 |
0 |
1 |
28 |
0 |
0 |
1 |
74 |
| Invited Editorial “The challenges imposed by low interest rates” |
0 |
0 |
0 |
6 |
0 |
0 |
2 |
28 |
| Joint econometric modeling of spot electricity prices, forwards and options |
0 |
0 |
1 |
26 |
1 |
1 |
7 |
74 |
| Kernel-Based Indirect Inference |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
379 |
| Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters |
2 |
3 |
3 |
127 |
2 |
3 |
4 |
267 |
| Kullback Causality Measures |
0 |
0 |
3 |
23 |
0 |
1 |
5 |
56 |
| Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters |
3 |
3 |
6 |
1,225 |
6 |
7 |
12 |
4,542 |
| Linear Factor Models and the Term Structure of Interest Rates |
0 |
0 |
0 |
1 |
0 |
1 |
2 |
17 |
| 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 |
233 |
| Microinformation, Nonlinear Filtering, and Granularity |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
77 |
| Model Risk Management: Limits and Future of Bayesian Approaches |
0 |
0 |
0 |
38 |
0 |
0 |
3 |
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 |
0 |
1 |
64 |
| No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth |
0 |
0 |
0 |
45 |
1 |
1 |
5 |
172 |
| On the Problem of Missing Data in Linear Models |
0 |
0 |
1 |
99 |
0 |
4 |
7 |
263 |
| On the characterization of a joint probability distribution by conditional distributions |
0 |
0 |
1 |
106 |
1 |
1 |
3 |
310 |
| Optimal portfolio allocation under asset and surplus VaR constraints |
0 |
0 |
0 |
1 |
0 |
0 |
2 |
11 |
| Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model |
0 |
0 |
0 |
10 |
0 |
0 |
2 |
36 |
| Prepayment analysis for securitization |
0 |
0 |
0 |
132 |
0 |
1 |
1 |
287 |
| Pricing default events: Surprise, exogeneity and contagion |
0 |
0 |
2 |
30 |
0 |
0 |
4 |
148 |
| Pricing with Splines |
0 |
0 |
2 |
13 |
1 |
1 |
9 |
39 |
| Pricing with finite dimensional dependence |
0 |
0 |
1 |
7 |
0 |
2 |
3 |
65 |
| Pseudo Maximum Likelihood Methods: Applications to Poisson Models |
2 |
2 |
8 |
951 |
5 |
11 |
28 |
2,489 |
| Pseudo Maximum Likelihood Methods: Theory |
2 |
3 |
11 |
1,553 |
3 |
9 |
27 |
3,756 |
| Quadratic stochastic intensity and prospective mortality tables |
0 |
0 |
0 |
26 |
0 |
0 |
2 |
123 |
| Qualitative threshold ARCH models |
0 |
1 |
1 |
280 |
0 |
1 |
3 |
643 |
| 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 |
2 |
5 |
279 |
| Regime Switching and Bond Pricing |
0 |
0 |
1 |
12 |
0 |
0 |
2 |
73 |
| Required Capital for Long-Run Risks |
0 |
0 |
0 |
1 |
1 |
1 |
3 |
15 |
| Simulated residuals |
0 |
0 |
0 |
141 |
0 |
1 |
2 |
260 |
| Simulation Based Inference in Models with Heterogeneity |
0 |
0 |
3 |
55 |
0 |
0 |
8 |
103 |
| Simulation-based inference: A survey with special reference to panel data models |
0 |
0 |
2 |
325 |
1 |
1 |
7 |
605 |
| Some useful equivalence properties of Hausman's test |
0 |
0 |
0 |
33 |
0 |
1 |
3 |
99 |
| Stationary bubble equilibria in rational expectation models |
0 |
0 |
2 |
17 |
1 |
3 |
9 |
60 |
| Statistical inference for independent component analysis: Application to structural VAR models |
0 |
0 |
3 |
157 |
2 |
4 |
18 |
431 |
| Staying at zero with affine processes: An application to term structure modelling |
0 |
0 |
1 |
37 |
0 |
1 |
7 |
186 |
| Staying at zero with affine processes: an application to term structure modelling |
0 |
0 |
0 |
12 |
2 |
2 |
3 |
74 |
| Sufficient Linear Structures: Econometric Applications |
0 |
0 |
0 |
17 |
1 |
1 |
1 |
87 |
| Switching VARMA Term Structure Models |
0 |
0 |
1 |
37 |
0 |
0 |
2 |
135 |
| Taking into account extreme events in European option pricing |
0 |
0 |
0 |
14 |
0 |
0 |
2 |
81 |
| Testing for Common Roots |
0 |
0 |
0 |
31 |
0 |
0 |
0 |
202 |
| Testing nested or non-nested hypotheses |
0 |
0 |
3 |
137 |
0 |
1 |
4 |
331 |
| Testing, Encompassing, and Simulating Dynamic Econometric Models |
0 |
0 |
0 |
61 |
3 |
4 |
6 |
116 |
| 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 |
0 |
0 |
3 |
3 |
0 |
0 |
3 |
3 |
| The econometrics of efficient portfolios |
0 |
0 |
1 |
129 |
0 |
0 |
2 |
298 |
| Un modèle agricole à long terme de simulation |
0 |
0 |
0 |
4 |
0 |
0 |
0 |
33 |
| Total Journal Articles |
12 |
23 |
111 |
10,796 |
46 |
123 |
430 |
29,982 |
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