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 1 2 107 1 1 6 230
A Quadratic Kalman Filter 0 0 1 67 0 2 7 191
Affine Model for Credit Risk Analysis 0 0 1 104 1 1 4 215
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 0 2 74 0 0 4 152
Affine Term Structure Models 0 0 0 149 0 1 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 0 3 4 77
Asset Pricing with Second-Order Esscher Transforms 0 0 0 34 0 1 2 112
Bilateral Exposures and Systemic Solvency Risk 1 1 2 104 2 2 7 348
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 0 1 44 0 0 1 70
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 0 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 12 0 0 1 56
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 0 7 96
Consistent m-estimators in a semi-parametric model 1 1 2 27 1 2 8 203
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 50 0 1 6 142
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 1 66 1 2 6 157
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 2 12 0 0 5 52
Disastrous Defaults 0 0 0 14 0 0 2 31
Econometric Asset Pricing Modelling 0 0 0 16 0 1 1 114
Econometric Asset Pricing Modelling 0 0 0 121 0 0 4 356
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 1 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 1 2 4 886
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 19 0 0 1 70
Fourth Order Pseudo Maximum Likelihood Methods 0 0 0 21 1 1 3 125
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 0 3 109
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 0 0 1 8
Indirect Inference 0 0 0 4 1 2 4 698
International Money and Stock Market Contingent Claims 0 0 1 38 0 0 6 164
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 0 2 12 814
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 0 4 121 0 0 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 3 123
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 3 4 4 108
Modèles de durée et effets de génération 0 0 0 2 0 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 0 1 2 156
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 0 1 2 52
New Information Response Functions 0 0 0 77 0 1 3 200
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 0 151 0 3 4 453
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 0 32 0 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 54 0 1 2 210
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 26 0 0 0 100
Pricing with Splines 0 0 0 34 0 0 0 72
Prévision de mesures de prix contingents 0 0 0 0 1 1 1 96
Pseudo maximum likelihood methods: theory 0 0 3 97 0 0 8 1,186
Pseudo maximum lilelihood methods: applications to poisson models 1 2 7 31 1 3 22 626
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 3 68 0 0 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 1 1 5 141
Regime Switching and Bond Pricing 0 0 0 30 0 1 1 124
Required Capital for Long-Run Risks 0 0 0 0 1 1 2 3
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 0 1 2 425
Revisiting Identification and estimation in Structural VARMA Models 0 0 7 158 0 1 9 319
Simulated residuals 0 0 0 7 0 0 0 267
Stationary Bubble Equilibria in Rational Expectation Models 0 1 3 34 0 1 8 108
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 0 1 8
Statistical Inference for Independent Component Analysis 0 1 1 47 0 1 1 135
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 1 2 7 118 1 2 13 179
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 0 0 100
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 2 60 1 3 8 206
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 0 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 3 4 4 134
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 1 280
Une mod lisation s quentielle de la VaR 0 0 0 88 0 0 1 137
Total Working Papers 5 9 62 4,171 21 62 280 18,696

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 1 1 16 0 1 3 64
A Quadratic Kalman Filter 0 0 0 27 0 3 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 4 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 1 4 80
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 0 8 263 1 2 19 501
Bayesian estimation of switching ARMA models 0 0 0 239 0 2 6 548
Bilateral exposures and systemic solvency risk 0 0 0 1 0 0 1 17
Bilateral exposures and systemic solvency risk 0 0 1 44 0 1 2 180
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 1 3 3 86
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 1 1 2 32 2 5 8 125
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 0 2 47 0 0 6 108
Default, Liquidity, and Crises: an Econometric Framework 0 0 1 56 1 1 4 180
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 3 128
Econometric Asset Pricing Modelling 1 1 2 69 1 1 5 231
Econometric specification of stochastic discount factor models 0 0 1 166 0 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 1 1 2 28
First-order identification in linear models 0 0 0 28 0 0 0 119
Fourth order pseudo maximum likelihood methods 0 0 0 33 1 1 4 161
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 1 2 115 0 2 4 323
Generalised residuals 0 3 12 976 1 4 20 1,684
Granularity Adjustment for Efficient Portfolios 0 0 0 27 0 2 3 114
Granularity in a qualitative factor model 0 0 0 0 0 1 8 8
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 9 0 6 13 63
Indirect Inference 0 0 9 1,587 1 10 47 4,130
Infrequent Extreme Risks 0 0 1 118 0 0 1 288
Infrequent Extreme Risks 0 1 1 20 0 1 2 93
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 1 1 3 29
Joint econometric modeling of spot electricity prices, forwards and options 0 0 1 26 0 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 0 2 3 127 0 2 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 0 3 5 1,225 0 6 10 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 1 1 1 39 1 1 4 86
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 0 1 5 172
On the Problem of Missing Data in Linear Models 0 0 0 99 0 2 6 263
On the characterization of a joint probability distribution by conditional distributions 0 0 1 106 0 1 3 310
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 1 1 3 12
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 1 1 1 11 1 1 2 37
Prepayment analysis for securitization 0 0 0 132 0 1 1 287
Pricing default events: Surprise, exogeneity and contagion 0 0 2 30 1 1 5 149
Pricing with Splines 0 0 2 13 0 1 9 39
Pricing with finite dimensional dependence 0 0 1 7 0 2 3 65
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 3 5 10 954 3 11 29 2,492
Pseudo Maximum Likelihood Methods: Theory 3 5 13 1,556 6 10 32 3,762
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 2 643
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 0 1 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 2 3 5 17
Simulated residuals 0 0 0 141 0 1 2 260
Simulation Based Inference in Models with Heterogeneity 0 0 2 55 0 0 7 103
Simulation-based inference: A survey with special reference to panel data models 0 0 2 325 0 1 5 605
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 4 9 61
Statistical inference for independent component analysis: Application to structural VAR models 1 1 3 158 5 9 20 436
Staying at zero with affine processes: An application to term structure modelling 1 1 2 38 1 2 8 187
Staying at zero with affine processes: an application to term structure modelling 0 0 0 12 0 2 3 74
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 1 1 87
Switching VARMA Term Structure Models 0 0 1 37 0 0 1 135
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 1 1 1 62 1 5 7 117
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 1 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 0 0 0 33
Total Journal Articles 13 29 117 10,809 35 131 440 30,017

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 0 2 13 512
Statistics and Econometric Models 0 0 0 0 0 0 1 153
Statistics and Econometric Models 0 0 0 0 0 2 8 445
Statistics and Econometric Models 0 0 0 0 0 2 4 255
Statistics and Econometric Models 0 0 0 0 1 8 18 278
Time Series and Dynamic Models 0 0 0 0 1 2 6 173
Time Series and Dynamic Models 0 0 0 0 0 1 2 162
Total Books 0 0 0 0 2 17 52 1,978

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 1 2 4 607
Total Chapters 0 0 1 258 1 2 4 607

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Statistics updated 2025-10-06