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 1 2 3 108 4 5 10 234
A Quadratic Kalman Filter 0 0 1 67 0 0 6 191
Affine Model for Credit Risk Analysis 0 0 1 104 0 2 5 216
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 0 2 74 0 0 3 152
Affine Term Structure Models 0 0 0 149 0 0 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 3 3 7 80
Asset Pricing with Second-Order Esscher Transforms 0 0 0 34 3 3 5 115
Bilateral Exposures and Systemic Solvency Risk 0 1 2 104 0 2 7 348
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 1 1 2 728
Composite Indirect Inference with Application 0 0 1 44 1 2 3 72
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 0 1 90
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 4 4 6 71
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 1 1 1 72
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 2 2 6 98
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 2 2 3 58
Consistent m-estimators in a semi-parametric model 0 1 2 27 1 3 10 205
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 50 0 0 6 142
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 1 66 1 2 6 158
Credit and liquidity risks in euro area sovereign yield curves 0 0 2 145 1 2 7 456
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 1 2 5 123
Default, liquidity and crises: an econometric framework 0 0 0 108 1 1 2 231
Disastrous Defaults 0 0 0 14 0 0 2 31
Disastrous Defaults 0 0 2 12 1 2 7 54
Econometric Asset Pricing Modelling 0 0 0 16 0 0 1 114
Econometric Asset Pricing Modelling 0 1 1 122 2 3 6 359
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 1 4 4 89
Econometric specification of the risk neutral valuation model 0 0 0 6 2 2 4 795
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 0 2 48
Estimation and test in probit models with serial correlation 0 0 0 64 1 3 6 888
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 19 3 4 5 74
Fourth Order Pseudo Maximum Likelihood Methods 0 0 0 21 1 2 4 126
Fourth order pseudo maximum likelihood methods 0 0 0 5 3 3 5 42
Functional Indirect Inference 0 0 2 18 0 0 3 57
General approach of serial correlation (a) 0 0 0 4 2 2 5 241
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 1 3 110
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 2 4 5 12
Indirect Inference 0 0 0 4 3 7 10 704
International Money and Stock Market Contingent Claims 0 0 1 38 1 2 7 166
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 1 12 815
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 0 4 121 1 1 7 413
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 0 0 2 308
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 3 5 5 175
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 2 5 125
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 0 0 0 1 1 9
Modèles de comptage semi-paramétriques 0 0 0 11 2 5 6 110
Modèles de durée et effets de génération 0 0 0 2 0 0 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 7 0 0 2 52
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 31 0 0 2 156
New Information Response Functions 0 0 0 77 2 2 5 202
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 1 1 33 2 3 4 120
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 0 151 1 2 6 455
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 66 0 0 2 189
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 1 2 3 102
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 26 0 1 1 101
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 8 10 12 220
Pricing with Splines 0 0 0 34 1 2 2 74
Prévision de mesures de prix contingents 0 0 0 0 1 2 2 97
Pseudo maximum likelihood methods: theory 0 0 3 97 3 4 10 1,190
Pseudo maximum lilelihood methods: applications to poisson models 0 1 5 31 0 2 11 627
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 3 68 1 1 6 69
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 1 1 24 0 1 3 108
Qualitative threshold arch models 1 1 1 12 4 4 5 478
Regime Switching and Bond Pricing 0 0 0 30 0 0 1 124
Regime Switching and Bond Pricing 0 0 0 65 0 3 7 143
Required Capital for Long-Run Risks 0 0 0 0 1 2 3 4
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 0 2 4 427
Revisiting Identification and estimation in Structural VARMA Models 0 0 5 158 1 2 9 321
Simulated residuals 0 0 0 7 1 1 1 268
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 5 6 11 114
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 1 1 2 9
Statistical Inference for Independent Component Analysis 0 0 1 47 0 0 1 135
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 1 3 118 4 6 14 184
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 1 1 1 101
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 2 60 0 2 8 207
Switching VARMA Term Structure Models - Extended Version 0 0 0 19 0 0 1 66
Switching VARMA Term Structure Models - Extended Version 0 0 0 49 2 2 3 189
Taking into account extreme events in European option pricing 0 0 0 0 2 2 3 19
Testing unknown linear restrictions on parameter functions 0 0 0 4 3 4 5 287
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 2 2 3 299
The Econometrics of Efficient Frontiers 0 0 0 36 0 0 1 72
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 2 5 6 136
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 1 1 2 281
Une mod lisation s quentielle de la VaR 0 0 0 88 0 0 1 137
Total Working Papers 2 10 56 4,176 105 169 388 18,844

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 0 0 1 16 0 1 4 65
A Quadratic Kalman Filter 0 0 0 27 2 2 6 136
A Reappraisal of Misspecified Econometric Models 0 0 0 33 1 1 1 93
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 1 1 1 1 1 2 6 15
Affine Models for Credit Risk Analysis 0 0 0 206 0 2 2 484
Asset pricing with Second-Order Esscher Transforms 0 0 1 21 1 2 6 82
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 0 7 263 1 2 16 502
Bayesian estimation of switching ARMA models 0 0 0 239 0 2 7 550
Bilateral exposures and systemic solvency risk 0 0 1 44 0 0 2 180
Bilateral exposures and systemic solvency risk 0 0 0 1 3 4 5 21
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 1 1 2 29
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 2 3 4 428
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 4 6 89
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 2 12 1 1 7 94
Credit and liquidity in interbank rates: A quadratic approach 0 1 2 32 3 7 13 130
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 0 2 47 1 1 6 109
Default, Liquidity, and Crises: an Econometric Framework 0 0 1 56 1 2 5 181
Disastrous Defaults* 0 0 0 3 0 0 3 16
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 2 3 4 327
Disequilibrium econometrics in dynamic models 0 0 0 53 0 2 2 130
Econometric Asset Pricing Modelling 0 2 2 70 0 3 4 233
Econometric specification of stochastic discount factor models 0 0 1 166 2 4 8 326
Econometric specification of the risk neutral valuation model 0 0 0 97 1 1 2 253
Evaluating Reserve Risk in a Regulatory Perspective 0 0 1 11 0 1 2 28
First-order identification in linear models 0 0 0 28 1 3 3 122
Fourth order pseudo maximum likelihood methods 0 0 0 33 0 1 3 161
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 2 115 1 2 6 325
Generalised residuals 0 0 11 976 1 5 21 1,688
Granularity Adjustment for Efficient Portfolios 0 0 0 27 0 0 3 114
Granularity in a qualitative factor model 0 0 0 0 0 0 8 8
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 9 0 3 16 66
Indirect Inference 0 1 8 1,588 6 21 59 4,150
Infrequent Extreme Risks 0 0 1 118 0 1 2 289
Infrequent Extreme Risks 0 0 1 20 0 1 3 94
International money and stock market contingent claims 0 0 0 73 0 0 0 227
Introduction 0 0 1 28 0 1 2 75
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 0 1 3 29
Joint econometric modeling of spot electricity prices, forwards and options 0 0 0 26 0 0 5 74
Kernel-Based Indirect Inference 0 0 0 0 0 1 2 380
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 1 1 5 268
Kullback Causality Measures 0 0 2 23 0 0 4 56
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 1 6 1,226 0 1 11 4,543
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 1 1 3 18
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 1 2 3 79
Model Risk Management: Limits and Future of Bayesian Approaches 0 1 1 39 0 1 3 86
Model risk management: Valuation and governance of pseudo-models 0 0 0 14 1 1 1 25
Modèles de comptage semi-paramétriques 0 0 0 11 1 1 2 65
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 0 45 0 0 4 172
On the Problem of Missing Data in Linear Models 0 0 0 99 1 1 7 264
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 1 1 3 311
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 2 3 4 14
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 1 1 11 0 1 2 37
Prepayment analysis for securitization 0 0 0 132 1 1 2 288
Pricing default events: Surprise, exogeneity and contagion 0 0 2 30 0 1 5 149
Pricing with Splines 0 0 2 13 0 0 8 39
Pricing with finite dimensional dependence 0 0 1 7 1 1 4 66
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 5 8 956 4 16 35 2,505
Pseudo Maximum Likelihood Methods: Theory 0 3 11 1,556 1 10 32 3,766
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 1 3 124
Qualitative threshold ARCH models 0 0 1 280 2 2 3 645
Quelques développements récents des méthodes macroéconométriques 0 0 0 5 2 2 2 57
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 1 2 6 281
Regime Switching and Bond Pricing 0 0 1 12 1 1 3 74
Required Capital for Long-Run Risks 0 0 0 1 0 4 7 19
Simulated residuals 0 0 0 141 2 4 6 264
Simulation Based Inference in Models with Heterogeneity 0 0 2 55 1 5 11 108
Simulation-based inference: A survey with special reference to panel data models 0 0 1 325 5 5 8 610
Some useful equivalence properties of Hausman's test 0 0 0 33 0 0 2 99
Stationary bubble equilibria in rational expectation models 0 0 1 17 1 2 8 62
Statistical inference for independent component analysis: Application to structural VAR models 0 2 3 159 1 7 20 438
Staying at zero with affine processes: An application to term structure modelling 0 1 2 38 0 1 5 187
Staying at zero with affine processes: an application to term structure modelling 0 0 0 12 2 5 7 79
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 1 2 88
Switching VARMA Term Structure Models 0 0 1 37 1 2 3 137
Taking into account extreme events in European option pricing 0 0 0 14 1 2 4 83
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing nested or non-nested hypotheses 0 0 3 137 0 1 5 332
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 1 1 62 2 5 11 121
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 1 1 1 41
The double default value-of-the-firm model 0 0 3 3 0 1 4 4
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 1 2 2 35
Total Journal Articles 1 20 104 10,816 74 190 532 30,172

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 6 17 518
Statistics and Econometric Models 0 0 0 0 2 11 23 288
Statistics and Econometric Models 0 0 0 0 1 4 8 259
Statistics and Econometric Models 0 0 0 0 1 1 7 446
Statistics and Econometric Models 0 0 0 0 2 2 3 155
Time Series and Dynamic Models 0 0 0 0 2 4 5 166
Time Series and Dynamic Models 0 0 0 0 3 6 10 178
Total Books 0 0 0 0 13 34 73 2,010

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 1 258 0 1 4 607
Total Chapters 0 0 1 258 0 1 4 607

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Statistics updated 2025-12-06