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 0 7 236
A Quadratic Kalman Filter 0 0 0 67 0 1 16 205
Affine Feedforward Stochastic (AFS) Neural Network 0 0 0 0 0 0 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 0 9 223
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 0 0 74 0 0 15 167
Affine Term Structure Models 0 0 0 149 0 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 34 0 1 22 134
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 0 0 15 91
Bilateral Exposures and Systemic Solvency Risk 0 0 2 105 1 3 14 360
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 1 8 735
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 1 7 97
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 0 0 7 78
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 1 11 78
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 2 9 105
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 2 15 71
Consistent m-estimators in a semi-parametric model 0 0 2 28 0 0 23 225
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 50 0 1 15 156
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 0 66 0 1 22 178
Credit and liquidity risks in euro area sovereign yield curves 0 0 1 146 0 1 13 467
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 0 0 6 127
Default, liquidity and crises: an econometric framework 0 0 0 108 0 0 9 239
Disastrous Defaults 0 0 0 14 0 1 7 38
Disastrous Defaults 0 0 0 12 1 3 9 61
Econometric Asset Pricing Modelling 0 0 0 16 0 0 7 121
Econometric Asset Pricing Modelling 0 0 1 122 0 0 14 370
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 0 0 14 99
Econometric specification of the risk neutral valuation model 0 0 0 6 0 1 6 799
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 0 7 55
Estimation and test in probit models with serial correlation 0 0 0 64 1 1 9 894
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 20 0 1 16 86
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 22 1 2 12 136
Fourth order pseudo maximum likelihood methods 0 0 0 5 0 0 12 51
Functional Indirect Inference 0 0 0 18 0 0 5 62
General approach of serial correlation (a) 0 0 0 4 0 1 9 248
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 1 8 117
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 0 0 10 18
Indirect Inference 0 0 0 4 1 6 210 907
International Money and Stock Market Contingent Claims 0 0 0 38 0 1 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 2 13 826
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 0 1 122 0 1 6 418
Kernel m-estimators: non parametric diagnostics for structural models 0 0 1 19 0 1 7 315
Liquidation Equilibrium with Seniority and Hidden CDO 1 1 1 47 1 1 11 181
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 8 131
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 0 0 0 0 3 11
Modèles de comptage semi-paramétriques 0 0 0 11 1 1 15 119
Modèles de durée et effets de génération 0 0 0 2 0 0 3 245
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 0 3 318
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 0 0 6 57
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 31 0 0 10 165
New Information Response Functions 0 0 0 77 0 1 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 0 16 467
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 0 82 0 1 8 233
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 0 1 16 116
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 1 2 17 206
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 26 0 1 14 114
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 0 2 28 237
Pricing with Splines 0 0 0 34 0 2 8 80
Prévision de mesures de prix contingents 0 0 0 0 0 0 4 99
Pseudo maximum likelihood methods: theory 0 0 1 98 2 3 22 1,208
Pseudo maximum lilelihood methods: applications to poisson models 0 1 6 35 0 3 19 642
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 69 0 0 12 80
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 0 1 10 117
Qualitative threshold arch models 0 0 1 12 1 2 12 486
Regime Switching and Bond Pricing 0 0 0 30 0 0 3 127
Regime Switching and Bond Pricing 0 0 0 65 0 0 10 150
Required Capital for Long-Run Risks 0 0 0 0 1 1 10 12
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 6 0 1 7 431
Revisiting Identification and estimation in Structural VARMA Models 0 1 2 160 0 1 10 328
Simulated residuals 0 0 0 7 2 2 7 274
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 0 4 12
Stationary Bubble Equilibria in Rational Expectation Models 1 1 2 35 1 3 19 126
Statistical Inference for Independent Component Analysis 0 0 1 47 0 0 6 140
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 0 5 105
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 3 119 2 4 15 192
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 0 60 0 0 13 216
Switching VARMA Term Structure Models - Extended Version 0 0 0 49 0 0 11 198
Switching VARMA Term Structure Models - Extended Version 0 0 1 20 1 1 10 76
Taking into account extreme events in European option pricing 0 0 0 0 0 1 9 26
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 1 8 291
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 0 0 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 0 9 139
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 6 286
Une mod lisation s quentielle de la VaR 0 0 0 88 0 1 9 146
Total Working Papers 2 4 42 4,204 19 78 1,128 19,778

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 1 6 86
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 1 1 6 69
A Quadratic Kalman Filter 0 1 2 29 0 2 10 144
A Reappraisal of Misspecified Econometric Models 0 0 0 33 0 0 5 97
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 1 9 1 1 10 36
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion 0 1 4 4 0 2 16 29
Affine Models for Credit Risk Analysis 0 0 0 206 0 0 12 494
Asset pricing with Second-Order Esscher Transforms 0 0 1 22 0 2 19 99
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 1 2 265 0 1 9 509
Bayesian estimation of switching ARMA models 0 0 0 239 0 1 10 558
Bilateral exposures and systemic solvency risk 0 0 0 1 0 0 13 30
Bilateral exposures and systemic solvency risk 0 0 0 44 0 0 10 190
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 0 0 8 36
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 1 2 14 439
Composite indirect inference with application to corporate risks 0 0 0 7 0 0 11 53
Consistent Pseudo-Maximum Likelihood Estimators 0 1 2 17 1 3 20 103
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 9 102
Credit and liquidity in interbank rates: A quadratic approach 0 0 3 34 1 1 18 140
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 1 1 1 48 1 2 13 121
Default, Liquidity, and Crises: an Econometric Framework 0 0 0 56 1 3 14 193
Disastrous Defaults* 0 0 0 3 0 1 7 23
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 1 1 19 343
Disequilibrium econometrics in dynamic models 0 0 0 53 1 1 5 133
Econometric Asset Pricing Modelling 0 0 2 70 2 3 14 244
Econometric specification of stochastic discount factor models 0 0 1 167 1 2 14 335
Econometric specification of the risk neutral valuation model 0 0 0 97 1 2 10 262
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 0 6 125
Fourth order pseudo maximum likelihood methods 0 0 0 33 1 2 13 173
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 0 115 0 0 5 328
Generalised residuals 1 1 4 978 2 2 18 1,699
Granularity Adjustment for Efficient Portfolios 0 0 0 27 1 2 12 125
Granularity in a qualitative factor model 0 0 0 0 1 1 3 10
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 9 0 2 20 81
Indirect Inference 0 2 5 1,592 7 12 71 4,197
Infrequent Extreme Risks 0 0 0 20 0 1 6 99
Infrequent Extreme Risks 0 0 0 118 0 0 6 294
International money and stock market contingent claims 0 0 1 74 0 0 5 232
Introduction 0 0 0 28 0 1 12 86
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 0 0 5 33
Joint econometric modeling of spot electricity prices, forwards and options 0 0 0 26 0 0 6 79
Kernel-Based Indirect Inference 0 0 0 0 1 1 11 390
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 2 127 2 4 13 278
Kullback Causality Measures 0 0 0 23 1 2 9 65
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 0 8 1,230 1 7 42 4,578
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 0 11 28
Linear-price term structure models 0 0 0 30 1 1 13 91
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 1 1 7 240
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 1 1 9 86
Model Risk Management: Limits and Future of Bayesian Approaches 0 1 2 40 2 3 9 94
Model risk management: Valuation and governance of pseudo-models 0 0 0 14 0 0 6 30
Modèles de comptage semi-paramétriques 0 0 0 11 1 1 10 74
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 0 45 0 1 14 185
On the Problem of Missing Data in Linear Models 0 0 0 99 0 0 12 275
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 1 1 8 317
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 1 1 10 21
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 0 0 12 48
Prepayment analysis for securitization 0 0 0 132 0 0 3 290
Pricing default events: Surprise, exogeneity and contagion 0 0 1 31 0 1 12 160
Pricing with Splines 0 0 0 13 2 5 15 53
Pricing with finite dimensional dependence 0 0 0 7 0 0 5 70
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 2 4 17 966 8 19 63 2,547
Pseudo Maximum Likelihood Methods: Theory 0 2 14 1,565 1 12 55 3,808
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 1 1 12 135
Qualitative threshold ARCH models 0 0 0 280 0 0 20 663
Quelques développements récents des méthodes macroéconométriques 0 0 0 5 1 3 5 60
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 1 2 11 289
Regime Switching and Bond Pricing 0 0 0 12 1 2 7 80
Required Capital for Long-Run Risks 0 0 0 1 2 2 16 30
Simulated residuals 0 0 0 141 1 3 15 275
Simulation Based Inference in Models with Heterogeneity 0 1 3 58 0 2 23 126
Simulation-based inference: A survey with special reference to panel data models 1 1 1 326 1 1 38 642
Some useful equivalence properties of Hausman's test 0 0 0 33 0 1 4 103
Stationary bubble equilibria in rational expectation models 0 0 0 17 0 2 19 78
Statistical inference for independent component analysis: Application to structural VAR models 0 0 4 161 0 5 27 456
Staying at zero with affine processes: An application to term structure modelling 0 0 1 38 1 1 12 198
Staying at zero with affine processes: an application to term structure modelling 0 0 0 12 0 2 21 93
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 0 7 93
Switching VARMA Term Structure Models 0 0 1 38 0 0 11 146
Taking into account extreme events in European option pricing 0 0 0 14 2 3 7 88
Testing for Common Roots 1 1 1 32 1 2 6 208
Testing nested or non-nested hypotheses 0 0 0 137 1 1 10 341
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 1 3 15 128
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 1 1 4 275
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 2 2 9 49
The double default value-of-the-firm model 0 0 1 4 1 1 14 17
The econometrics of efficient portfolios 0 0 1 130 0 0 7 305
Un modèle agricole à long terme de simulation 0 0 0 4 2 2 12 45
Total Journal Articles 6 18 90 10,874 70 158 1,176 31,112

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 1 5 26 538
Statistics and Econometric Models 0 0 0 0 1 2 13 458
Statistics and Econometric Models 0 0 0 0 0 2 19 274
Statistics and Econometric Models 0 0 0 0 0 2 33 307
Statistics and Econometric Models 0 0 0 0 0 1 14 167
Time Series and Dynamic Models 0 0 0 0 0 3 16 187
Time Series and Dynamic Models 0 0 0 0 0 3 14 175
Total Books 0 0 0 0 2 18 135 2,106

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Testing non-nested hypotheses 0 1 1 259 0 1 5 610
Total Chapters 0 1 1 259 0 1 5 610

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Statistics updated 2026-08-07