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 1 1 8 236
A Quadratic Kalman Filter 0 0 0 67 4 7 15 204
Affine Model for Credit Risk Analysis 0 0 0 104 1 2 9 223
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 0 0 74 6 6 15 167
Affine Term Structure Models 0 0 0 149 0 1 7 307
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 0 1 3 293
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 6 8 17 91
Asset Pricing with Second-Order Esscher Transforms 0 0 0 34 3 5 22 133
Bilateral Exposures and Systemic Solvency Risk 0 1 2 105 3 4 14 357
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 1 8 734
Composite Indirect Inference with Application 0 0 1 44 0 0 12 81
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 1 1 7 96
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 1 2 7 78
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 4 5 10 77
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 3 7 13 69
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 2 2 7 103
Consistent m-estimators in a semi-parametric model 0 0 2 28 7 9 24 225
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 50 5 7 16 155
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 1 66 5 8 23 177
Credit and liquidity risks in euro area sovereign yield curves 1 1 1 146 2 4 12 466
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 1 1 7 127
Default, liquidity and crises: an econometric framework 0 0 0 108 2 3 9 239
Disastrous Defaults 0 0 0 14 2 4 6 37
Disastrous Defaults 0 0 0 12 2 2 7 58
Econometric Asset Pricing Modelling 0 0 0 16 3 4 8 121
Econometric Asset Pricing Modelling 0 0 1 122 3 6 14 370
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 3 5 14 99
Econometric specification of the risk neutral valuation model 0 0 0 6 0 1 7 798
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 1 1 8 55
Estimation and test in probit models with serial correlation 0 0 0 64 3 3 10 893
Fourth Order Pseudo Maximum Likelihood Methods 0 1 1 20 3 4 15 85
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 22 1 2 10 134
Fourth order pseudo maximum likelihood methods 0 0 0 5 3 6 12 51
Functional Indirect Inference 0 0 2 18 1 2 8 62
General approach of serial correlation (a) 0 0 0 4 0 1 8 247
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 1 2 8 116
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 1 3 10 18
Indirect Inference 0 0 0 4 8 61 207 901
International Money and Stock Market Contingent Claims 0 0 0 38 2 2 11 175
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 3 4 14 824
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 1 1 1 122 3 3 6 417
Kernel m-estimators: non parametric diagnostics for structural models 1 1 1 19 2 3 7 314
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 2 10 180
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 6 6 8 131
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 0 0 2 2 3 11
Modèles de comptage semi-paramétriques 0 0 0 11 1 2 14 118
Modèles de durée et effets de génération 0 0 0 2 2 2 3 245
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 1 2 3 318
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 4 4 6 57
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 31 3 5 10 165
New Information Response Functions 0 0 0 77 3 4 12 211
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 1 33 0 0 6 122
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 0 151 2 6 17 467
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 0 82 2 2 7 232
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 2 6 15 115
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 1 6 16 204
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 26 4 4 13 113
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 4 6 26 235
Pricing with Splines 0 0 0 34 1 1 6 78
Prévision de mesures de prix contingents 0 0 0 0 1 1 4 99
Pseudo maximum likelihood methods: theory 1 1 3 98 5 9 22 1,205
Pseudo maximum lilelihood methods: applications to poisson models 1 2 6 34 2 6 18 639
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 69 4 5 13 80
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 1 1 10 116
Qualitative threshold arch models 0 0 1 12 1 1 10 484
Regime Switching and Bond Pricing 0 0 0 65 0 1 10 150
Regime Switching and Bond Pricing 0 0 0 30 1 1 4 127
Required Capital for Long-Run Risks 0 0 0 0 0 3 9 11
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 1 1 7 430
Revisiting Identification and estimation in Structural VARMA Models 0 1 2 159 1 3 10 327
Simulated residuals 0 0 0 7 0 2 5 272
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 0 1 18 123
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 0 4 12
Statistical Inference for Independent Component Analysis 0 0 1 47 2 3 6 140
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 1 3 119 1 2 13 188
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 1 1 5 105
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 0 60 4 6 13 216
Switching VARMA Term Structure Models - Extended Version 0 0 1 20 2 2 9 75
Switching VARMA Term Structure Models - Extended Version 0 0 0 49 3 7 11 198
Taking into account extreme events in European option pricing 0 0 0 0 3 3 9 25
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 1 7 290
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 1 4 9 306
The Econometrics of Efficient Frontiers 0 0 0 36 0 0 7 78
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 2 2 9 139
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 3 3 6 286
Une mod lisation s quentielle de la VaR 0 0 0 88 2 3 8 145
Total Working Papers 5 10 39 4,191 181 336 1,088 19,684

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 1 2 5 85
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 0 0 6 68
A Quadratic Kalman Filter 0 1 1 28 3 5 12 142
A Reappraisal of Misspecified Econometric Models 0 0 0 33 1 1 5 97
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 1 9 3 3 9 35
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion 0 0 3 3 4 7 15 27
Affine Models for Credit Risk Analysis 0 0 0 206 2 3 12 494
Asset pricing with Second-Order Esscher Transforms 1 1 1 22 7 10 19 97
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 0 3 264 2 2 11 508
Bayesian estimation of switching ARMA models 0 0 0 239 2 4 13 557
Bilateral exposures and systemic solvency risk 0 0 1 44 2 3 12 190
Bilateral exposures and systemic solvency risk 0 0 0 1 2 5 13 30
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 3 4 8 36
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 0 4 13 437
Composite indirect inference with application to corporate risks 0 0 0 7 3 5 11 53
Consistent Pseudo-Maximum Likelihood Estimators 0 1 1 16 2 7 17 100
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 2 3 11 102
Credit and liquidity in interbank rates: A quadratic approach 1 2 3 34 3 5 19 139
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 0 0 47 2 5 13 119
Default, Liquidity, and Crises: an Econometric Framework 0 0 0 56 2 6 11 190
Disastrous Defaults* 0 0 0 3 1 1 6 22
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 4 13 18 342
Disequilibrium econometrics in dynamic models 0 0 0 53 2 2 4 132
Econometric Asset Pricing Modelling 0 0 2 70 3 6 11 241
Econometric specification of stochastic discount factor models 1 1 1 167 2 3 12 333
Econometric specification of the risk neutral valuation model 0 0 0 97 2 3 8 260
Evaluating Reserve Risk in a Regulatory Perspective 0 0 1 12 0 1 5 32
First-order identification in linear models 0 0 0 28 1 1 6 125
Fourth order pseudo maximum likelihood methods 0 0 0 33 3 4 11 171
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 2 115 0 0 9 328
Generalised residuals 0 0 7 977 4 5 22 1,697
Granularity Adjustment for Efficient Portfolios 0 0 0 27 4 5 11 123
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 4 4 24 79
Indirect Inference 0 2 6 1,590 12 22 75 4,185
Infrequent Extreme Risks 0 0 0 118 3 4 6 294
Infrequent Extreme Risks 0 0 1 20 0 0 6 98
International money and stock market contingent claims 0 1 1 74 1 3 5 232
Introduction 0 0 0 28 1 4 11 85
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 1 1 5 33
Joint econometric modeling of spot electricity prices, forwards and options 0 0 0 26 2 3 6 79
Kernel-Based Indirect Inference 0 0 0 0 3 4 10 389
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 2 4 10 274
Kullback Causality Measures 0 0 1 23 2 3 9 63
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 1 9 1,230 1 10 38 4,571
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 5 7 12 28
Linear-price term structure models 0 0 0 30 6 6 12 90
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 1 1 6 239
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 3 4 8 85
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 1 39 2 2 6 91
Model risk management: Valuation and governance of pseudo-models 0 0 0 14 1 3 6 30
Modèles de comptage semi-paramétriques 0 0 0 11 1 2 9 73
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 0 45 5 8 13 184
On the Problem of Missing Data in Linear Models 0 0 0 99 1 4 16 275
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 1 1 7 316
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 4 5 9 20
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 3 4 13 48
Prepayment analysis for securitization 0 0 0 132 0 1 4 290
Pricing default events: Surprise, exogeneity and contagion 0 1 1 31 3 7 11 159
Pricing with Splines 0 0 1 13 3 6 11 48
Pricing with finite dimensional dependence 0 0 0 7 1 1 7 70
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 2 5 13 962 6 12 52 2,528
Pseudo Maximum Likelihood Methods: Theory 2 7 16 1,563 7 21 55 3,796
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 1 3 11 134
Qualitative threshold ARCH models 0 0 1 280 2 8 21 663
Quelques développements récents des méthodes macroéconométriques 0 0 0 5 0 0 2 57
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 1 3 10 287
Regime Switching and Bond Pricing 0 0 0 12 2 2 5 78
Required Capital for Long-Run Risks 0 0 0 1 2 2 15 28
Simulated residuals 0 0 0 141 3 6 13 272
Simulation Based Inference in Models with Heterogeneity 0 2 3 57 2 8 22 124
Simulation-based inference: A survey with special reference to panel data models 0 0 0 325 1 2 37 641
Some useful equivalence properties of Hausman's test 0 0 0 33 0 0 4 102
Stationary bubble equilibria in rational expectation models 0 0 0 17 0 6 19 76
Statistical inference for independent component analysis: Application to structural VAR models 1 2 4 161 3 7 24 451
Staying at zero with affine processes: An application to term structure modelling 0 0 1 38 4 7 12 197
Staying at zero with affine processes: an application to term structure modelling 0 0 0 12 2 5 19 91
Sufficient Linear Structures: Econometric Applications 0 0 0 17 2 5 7 93
Switching VARMA Term Structure Models 1 1 1 38 5 5 11 146
Taking into account extreme events in European option pricing 0 0 0 14 2 2 4 85
Testing for Common Roots 0 0 0 31 3 4 4 206
Testing nested or non-nested hypotheses 0 0 0 137 2 5 10 340
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 2 3 13 125
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 1 2 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 2 4 7 47
The double default value-of-the-firm model 0 0 1 4 3 6 13 16
The econometrics of efficient portfolios 1 1 1 130 2 4 8 305
Un modèle agricole à long terme de simulation 0 0 0 4 3 3 10 43
Total Journal Articles 10 29 95 10,856 207 387 1,126 30,954

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 4 10 25 533
Statistics and Econometric Models 0 0 0 0 0 4 38 305
Statistics and Econometric Models 0 0 0 0 1 3 13 456
Statistics and Econometric Models 0 0 0 0 3 6 14 166
Statistics and Econometric Models 0 0 0 0 3 6 21 272
Time Series and Dynamic Models 0 0 0 0 1 2 13 184
Time Series and Dynamic Models 0 0 0 0 2 2 11 172
Total Books 0 0 0 0 14 33 135 2,088

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 4 609
Total Chapters 0 0 0 258 1 1 4 609

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Statistics updated 2026-05-06