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 2 108 0 1 7 236
A Quadratic Kalman Filter 0 0 0 67 1 5 16 205
Affine Feedforward Stochastic (AFS) Neural Network 0 0 0 0 0 2 6 6
Affine Feedforward Stochastic (AFS) Neural Network 0 0 9 9 0 1 11 11
Affine Model for Credit Risk Analysis 0 0 0 104 0 1 9 223
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 0 0 74 0 6 15 167
Affine Term Structure Models 0 0 0 149 1 1 7 308
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 0 0 3 293
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 0 6 17 91
Asset Pricing with Second-Order Esscher Transforms 0 0 0 34 0 4 23 134
Bilateral Exposures and Systemic Solvency Risk 0 0 2 105 1 5 13 359
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 1 9 735
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 2 7 97
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 5 11 78
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 0 1 7 78
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 1 4 9 105
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 1 5 15 71
Consistent m-estimators in a semi-parametric model 0 0 2 28 0 7 24 225
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 50 0 6 15 156
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 0 66 0 6 23 178
Credit and liquidity risks in euro area sovereign yield curves 0 1 1 146 0 3 13 467
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 0 1 6 127
Default, liquidity and crises: an econometric framework 0 0 0 108 0 2 9 239
Disastrous Defaults 0 0 0 12 2 4 8 60
Disastrous Defaults 0 0 0 14 0 3 7 38
Econometric Asset Pricing Modelling 0 0 1 122 0 3 14 370
Econometric Asset Pricing Modelling 0 0 0 16 0 3 8 121
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 0 3 14 99
Econometric specification of the risk neutral valuation model 0 0 0 6 0 1 7 799
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 1 8 55
Estimation and test in probit models with serial correlation 0 0 0 64 0 3 9 893
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 22 0 2 11 135
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 20 0 4 16 86
Fourth order pseudo maximum likelihood methods 0 0 0 5 0 3 12 51
Functional Indirect Inference 0 0 0 18 0 1 6 62
General approach of serial correlation (a) 0 0 0 4 1 1 9 248
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 1 2 8 117
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 0 1 10 18
Indirect Inference 0 0 0 4 1 13 210 906
International Money and Stock Market Contingent Claims 0 0 0 38 1 3 12 176
Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright 0 0 0 0 0 0 2 3
Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects 0 0 0 351 1 4 13 825
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 1 1 122 1 4 6 418
Kernel m-estimators: non parametric diagnostics for structural models 0 1 1 19 0 3 8 315
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 0 10 180
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 6 8 131
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 0 0 0 2 3 11
Modèles de comptage semi-paramétriques 0 0 0 11 0 1 14 118
Modèles de durée et effets de génération 0 0 0 2 0 2 3 245
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 1 3 318
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 0 4 6 57
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 31 0 3 10 165
New Information Response Functions 0 0 0 77 1 4 13 212
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 1 33 0 1 7 123
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 0 151 0 2 17 467
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 0 82 1 3 8 233
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 1 2 16 205
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 0 3 16 116
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 0 6 28 237
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 26 1 5 14 114
Pricing with Splines 0 0 0 34 2 3 8 80
Prévision de mesures de prix contingents 0 0 0 0 0 1 4 99
Pseudo maximum likelihood methods: theory 0 1 1 98 1 6 20 1,206
Pseudo maximum lilelihood methods: applications to poisson models 0 2 6 35 1 5 19 642
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 69 0 4 12 80
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 0 2 10 117
Qualitative threshold arch models 0 0 1 12 0 2 11 485
Regime Switching and Bond Pricing 0 0 0 30 0 1 4 127
Regime Switching and Bond Pricing 0 0 0 65 0 0 10 150
Required Capital for Long-Run Risks 0 0 0 0 0 0 9 11
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 6 1 2 7 431
Revisiting Identification and estimation in Structural VARMA Models 0 1 2 160 0 2 10 328
Simulated residuals 0 0 0 7 0 0 5 272
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 0 4 12
Stationary Bubble Equilibria in Rational Expectation Models 0 0 1 34 1 2 18 125
Statistical Inference for Independent Component Analysis 0 0 1 47 0 2 6 140
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 3 119 2 3 13 190
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 1 5 105
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 0 60 0 4 13 216
Switching VARMA Term Structure Models - Extended Version 0 0 0 49 0 3 11 198
Switching VARMA Term Structure Models - Extended Version 0 0 1 20 0 2 9 75
Taking into account extreme events in European option pricing 0 0 0 0 0 4 9 26
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 1 8 291
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 0 1 9 306
The Econometrics of Efficient Frontiers 0 0 0 36 0 1 7 79
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 0 2 9 139
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 3 6 286
Une mod lisation s quentielle de la VaR 0 0 0 88 0 3 9 146
Total Working Papers 0 7 40 4,202 26 242 1,125 19,759

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 1 5 85
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 0 0 5 68
A Quadratic Kalman Filter 0 1 2 29 1 5 13 144
A Reappraisal of Misspecified Econometric Models 0 0 0 33 0 1 5 97
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 1 9 0 3 9 35
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion 0 1 4 4 1 6 17 29
Affine Models for Credit Risk Analysis 0 0 0 206 0 2 12 494
Asset pricing with Second-Order Esscher Transforms 0 1 1 22 1 9 20 99
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 1 2 265 0 3 10 509
Bayesian estimation of switching ARMA models 0 0 0 239 1 3 12 558
Bilateral exposures and systemic solvency risk 0 0 0 44 0 2 11 190
Bilateral exposures and systemic solvency risk 0 0 0 1 0 2 13 30
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 0 3 8 36
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 1 1 14 438
Composite indirect inference with application to corporate risks 0 0 0 7 0 3 11 53
Consistent Pseudo-Maximum Likelihood Estimators 1 1 2 17 1 4 19 102
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 2 11 102
Credit and liquidity in interbank rates: A quadratic approach 0 1 3 34 0 3 19 139
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 0 0 47 0 3 12 120
Default, Liquidity, and Crises: an Econometric Framework 0 0 0 56 0 4 13 192
Disastrous Defaults* 0 0 0 3 0 2 7 23
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 0 4 18 342
Disequilibrium econometrics in dynamic models 0 0 0 53 0 2 4 132
Econometric Asset Pricing Modelling 0 0 2 70 0 4 12 242
Econometric specification of stochastic discount factor models 0 1 1 167 1 3 13 334
Econometric specification of the risk neutral valuation model 0 0 0 97 0 3 9 261
Evaluating Reserve Risk in a Regulatory Perspective 0 0 1 12 0 0 5 32
First-order identification in linear models 0 0 0 28 0 1 6 125
Fourth order pseudo maximum likelihood methods 0 0 0 33 0 4 12 172
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 1 115 0 0 7 328
Generalised residuals 0 0 4 977 0 4 17 1,697
Granularity Adjustment for Efficient Portfolios 0 0 0 27 0 5 12 124
Granularity in a qualitative factor model 0 0 0 0 0 0 2 9
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 9 1 6 24 81
Indirect Inference 1 2 5 1,592 3 17 70 4,190
Infrequent Extreme Risks 0 0 1 20 0 1 7 99
Infrequent Extreme Risks 0 0 0 118 0 3 6 294
International money and stock market contingent claims 0 0 1 74 0 1 5 232
Introduction 0 0 0 28 0 2 12 86
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 0 1 5 33
Joint econometric modeling of spot electricity prices, forwards and options 0 0 0 26 0 2 6 79
Kernel-Based Indirect Inference 0 0 0 0 0 3 10 389
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 2 127 0 4 11 276
Kullback Causality Measures 0 0 0 23 1 3 9 64
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 0 8 1,230 5 7 41 4,577
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 5 12 28
Linear-price term structure models 0 0 0 30 0 6 12 90
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 0 1 6 239
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 3 8 85
Model Risk Management: Limits and Future of Bayesian Approaches 1 1 2 40 1 3 7 92
Model risk management: Valuation and governance of pseudo-models 0 0 0 14 0 1 6 30
Modèles de comptage semi-paramétriques 0 0 0 11 0 1 9 73
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 0 45 1 6 14 185
On the Problem of Missing Data in Linear Models 0 0 0 99 0 1 14 275
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 0 1 7 316
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 0 4 9 20
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 0 3 12 48
Prepayment analysis for securitization 0 0 0 132 0 0 4 290
Pricing default events: Surprise, exogeneity and contagion 0 0 1 31 1 4 12 160
Pricing with Splines 0 0 0 13 0 6 13 51
Pricing with finite dimensional dependence 0 0 0 7 0 1 7 70
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 1 4 15 964 8 17 58 2,539
Pseudo Maximum Likelihood Methods: Theory 0 4 14 1,565 4 18 55 3,807
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 1 11 134
Qualitative threshold ARCH models 0 0 1 280 0 2 21 663
Quelques développements récents des méthodes macroéconométriques 0 0 0 5 0 2 4 59
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 1 2 10 288
Regime Switching and Bond Pricing 0 0 0 12 0 3 6 79
Required Capital for Long-Run Risks 0 0 0 1 0 2 14 28
Simulated residuals 0 0 0 141 0 5 15 274
Simulation Based Inference in Models with Heterogeneity 0 1 3 58 0 4 23 126
Simulation-based inference: A survey with special reference to panel data models 0 0 0 325 0 1 37 641
Some useful equivalence properties of Hausman's test 0 0 0 33 0 1 5 103
Stationary bubble equilibria in rational expectation models 0 0 0 17 0 2 21 78
Statistical inference for independent component analysis: Application to structural VAR models 0 1 4 161 1 8 29 456
Staying at zero with affine processes: An application to term structure modelling 0 0 1 38 0 4 12 197
Staying at zero with affine processes: an application to term structure modelling 0 0 0 12 1 4 21 93
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 2 7 93
Switching VARMA Term Structure Models 0 1 1 38 0 5 11 146
Taking into account extreme events in European option pricing 0 0 0 14 0 3 5 86
Testing for Common Roots 0 0 0 31 0 4 5 207
Testing nested or non-nested hypotheses 0 0 0 137 0 2 10 340
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 1 4 15 127
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 1 3 274
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 0 2 7 47
The double default value-of-the-firm model 0 0 1 4 0 3 13 16
The econometrics of efficient portfolios 0 1 1 130 0 2 7 305
Un modèle agricole à long terme de simulation 0 0 0 4 0 3 10 43
Total Journal Articles 4 22 88 10,868 36 295 1,156 31,042

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 8 27 537
Statistics and Econometric Models 0 0 0 0 1 4 14 167
Statistics and Econometric Models 0 0 0 0 2 2 37 307
Statistics and Econometric Models 0 0 0 0 0 2 14 457
Statistics and Econometric Models 0 0 0 0 1 5 21 274
Time Series and Dynamic Models 0 0 0 0 0 4 16 187
Time Series and Dynamic Models 0 0 0 0 2 5 14 175
Total Books 0 0 0 0 8 30 143 2,104

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Testing non-nested hypotheses 1 1 1 259 1 2 5 610
Total Chapters 1 1 1 259 1 2 5 610

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Statistics updated 2026-07-10