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 3 108 0 0 8 235
A Quadratic Kalman Filter 0 0 0 67 1 9 11 200
Affine Model for Credit Risk Analysis 0 0 0 104 0 6 9 222
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 0 0 0 74 0 7 9 161
Affine Term Structure Models 0 0 0 149 1 5 7 307
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 1 2 3 293
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 0 5 11 85
Asset Pricing with Second-Order Esscher Transforms 0 0 0 34 0 12 19 130
Bilateral Exposures and Systemic Solvency Risk 0 1 2 105 0 4 11 354
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 4 8 734
Composite Indirect Inference with Application 0 0 1 44 0 6 12 81
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 3 6 95
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 0 2 6 77
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 1 6 73
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 2 5 101
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 2 7 10 66
Consistent m-estimators in a semi-parametric model 0 0 2 28 1 9 18 218
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 50 1 8 11 150
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 1 66 1 13 18 172
Credit and liquidity risks in euro area sovereign yield curves 0 0 0 145 0 7 10 464
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 0 2 6 126
Default, liquidity and crises: an econometric framework 0 0 0 108 1 6 7 237
Disastrous Defaults 0 0 0 12 0 2 5 56
Disastrous Defaults 0 0 0 14 1 2 4 35
Econometric Asset Pricing Modelling 0 0 1 122 3 7 11 367
Econometric Asset Pricing Modelling 0 0 0 16 0 4 5 118
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 1 5 11 96
Econometric specification of the risk neutral valuation model 0 0 0 6 1 1 7 798
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 5 7 54
Estimation and test in probit models with serial correlation 0 0 0 64 0 1 7 890
Fourth Order Pseudo Maximum Likelihood Methods 1 1 1 20 1 7 12 82
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 22 1 3 9 133
Fourth order pseudo maximum likelihood methods 0 0 0 5 2 6 9 48
Functional Indirect Inference 0 0 2 18 0 3 7 61
General approach of serial correlation (a) 0 0 0 4 0 4 8 247
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 1 5 7 115
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 1 4 9 17
Indirect Inference 0 0 0 4 17 139 199 893
International Money and Stock Market Contingent Claims 0 0 0 38 0 6 9 173
Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright 0 0 0 0 0 1 2 3
Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects 0 0 0 351 1 3 12 821
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 0 0 121 0 1 3 414
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 1 3 5 312
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 3 10 180
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 3 125
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 0 0 0 0 1 9
Modèles de comptage semi-paramétriques 0 0 0 11 0 5 13 117
Modèles de durée et effets de génération 0 0 0 2 0 0 1 243
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 1 1 2 317
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 0 1 2 53
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 31 2 5 7 162
New Information Response Functions 0 0 0 77 0 1 9 208
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 1 33 0 2 6 122
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 0 151 2 9 15 465
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 0 82 0 2 5 230
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 3 11 15 203
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 1 11 13 113
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 1 4 22 231
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 26 0 5 9 109
Pricing with Splines 0 0 0 34 0 2 5 77
Prévision de mesures de prix contingents 0 0 0 0 0 0 3 98
Pseudo maximum likelihood methods: theory 0 0 2 97 1 7 17 1,200
Pseudo maximum lilelihood methods: applications to poisson models 0 1 6 33 1 7 17 637
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 1 1 69 0 5 10 76
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 0 3 9 115
Qualitative threshold arch models 0 0 1 12 0 3 9 483
Regime Switching and Bond Pricing 0 0 0 30 0 1 3 126
Regime Switching and Bond Pricing 0 0 0 65 0 4 11 150
Required Capital for Long-Run Risks 0 0 0 0 1 7 9 11
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 0 2 6 429
Revisiting Identification and estimation in Structural VARMA Models 0 1 2 159 0 3 9 326
Simulated residuals 0 0 0 7 0 4 5 272
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 1 6 19 123
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 0 2 4 12
Statistical Inference for Independent Component Analysis 0 0 1 47 0 1 4 138
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 2 4 104
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 1 3 119 0 2 12 187
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 0 60 1 5 9 212
Switching VARMA Term Structure Models - Extended Version 0 0 0 49 1 6 8 195
Switching VARMA Term Structure Models - Extended Version 0 0 1 20 0 5 7 73
Taking into account extreme events in European option pricing 0 0 0 0 0 2 6 22
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 2 7 290
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 3 4 8 305
The Econometrics of Efficient Frontiers 0 0 0 36 0 4 7 78
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 0 1 7 137
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 3 283
Une mod lisation s quentielle de la VaR 0 0 0 88 0 5 6 143
Total Working Papers 1 6 36 4,186 59 487 916 19,503

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 4 4 84
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 0 3 6 68
A Quadratic Kalman Filter 1 1 1 28 2 3 9 139
A Reappraisal of Misspecified Econometric Models 0 0 0 33 0 2 4 96
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 1 1 9 0 5 6 32
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion 0 2 3 3 2 8 11 23
Affine Models for Credit Risk Analysis 0 0 0 206 0 6 10 492
Asset pricing with Second-Order Esscher Transforms 0 0 0 21 0 7 13 90
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 0 6 264 0 1 12 506
Bayesian estimation of switching ARMA models 0 0 0 239 1 5 11 555
Bilateral exposures and systemic solvency risk 0 0 1 44 0 3 10 188
Bilateral exposures and systemic solvency risk 0 0 0 1 1 6 11 28
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 0 4 5 33
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 1 6 13 437
Composite indirect inference with application to corporate risks 0 0 0 7 0 6 8 50
Consistent Pseudo-Maximum Likelihood Estimators 0 1 1 16 1 7 15 98
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 4 10 100
Credit and liquidity in interbank rates: A quadratic approach 0 1 2 33 0 6 16 136
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 0 0 47 1 7 11 117
Default, Liquidity, and Crises: an Econometric Framework 0 0 1 56 1 7 10 188
Disastrous Defaults* 0 0 0 3 0 5 5 21
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 0 10 14 338
Disequilibrium econometrics in dynamic models 0 0 0 53 0 0 2 130
Econometric Asset Pricing Modelling 0 0 2 70 1 5 8 238
Econometric specification of stochastic discount factor models 0 0 0 166 1 2 11 331
Econometric specification of the risk neutral valuation model 0 0 0 97 0 5 6 258
Evaluating Reserve Risk in a Regulatory Perspective 0 1 1 12 0 3 5 32
First-order identification in linear models 0 0 0 28 0 1 5 124
Fourth order pseudo maximum likelihood methods 0 0 0 33 1 5 8 168
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 2 115 0 2 9 328
Generalised residuals 0 1 8 977 1 2 20 1,693
Granularity Adjustment for Efficient Portfolios 0 0 0 27 0 4 7 119
Granularity in a qualitative factor model 0 0 0 0 0 1 2 9
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 9 0 6 21 75
Indirect Inference 1 2 6 1,590 5 16 64 4,173
Infrequent Extreme Risks 0 0 1 20 0 3 6 98
Infrequent Extreme Risks 0 0 0 118 1 2 3 291
International money and stock market contingent claims 0 1 1 74 0 4 4 231
Introduction 0 0 0 28 2 8 10 84
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 0 3 4 32
Joint econometric modeling of spot electricity prices, forwards and options 0 0 0 26 1 2 4 77
Kernel-Based Indirect Inference 0 0 0 0 0 4 7 386
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 2 3 8 272
Kullback Causality Measures 0 0 2 23 1 3 9 61
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 1 3 10 1,230 7 25 38 4,570
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 5 7 23
Linear-price term structure models 0 0 0 30 0 6 6 84
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 0 3 6 238
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 1 1 5 82
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 1 39 0 2 4 89
Model risk management: Valuation and governance of pseudo-models 0 0 0 14 0 3 5 29
Modèles de comptage semi-paramétriques 0 0 0 11 1 5 8 72
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 0 45 1 7 8 179
On the Problem of Missing Data in Linear Models 0 0 0 99 0 7 15 274
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 0 1 6 315
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 0 1 1 1 5 16
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 0 8 10 45
Prepayment analysis for securitization 0 0 0 132 0 1 4 290
Pricing default events: Surprise, exogeneity and contagion 0 1 2 31 0 6 9 156
Pricing with Splines 0 0 1 13 2 5 9 45
Pricing with finite dimensional dependence 0 0 0 7 0 3 6 69
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 4 12 960 2 10 48 2,522
Pseudo Maximum Likelihood Methods: Theory 3 5 14 1,561 7 18 48 3,789
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 9 10 133
Qualitative threshold ARCH models 0 0 1 280 2 16 19 661
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 4 10 286
Regime Switching and Bond Pricing 0 0 0 12 0 1 3 76
Required Capital for Long-Run Risks 0 0 0 1 0 4 14 26
Simulated residuals 0 0 0 141 1 5 10 269
Simulation Based Inference in Models with Heterogeneity 2 2 3 57 3 12 20 122
Simulation-based inference: A survey with special reference to panel data models 0 0 0 325 0 21 37 640
Some useful equivalence properties of Hausman's test 0 0 0 33 0 2 4 102
Stationary bubble equilibria in rational expectation models 0 0 1 17 3 13 20 76
Statistical inference for independent component analysis: Application to structural VAR models 0 1 3 160 2 9 29 448
Staying at zero with affine processes: An application to term structure modelling 0 0 2 38 1 6 10 193
Staying at zero with affine processes: an application to term structure modelling 0 0 0 12 2 9 17 89
Sufficient Linear Structures: Econometric Applications 0 0 0 17 3 3 5 91
Switching VARMA Term Structure Models 0 0 1 37 0 3 7 141
Taking into account extreme events in European option pricing 0 0 0 14 0 0 2 83
Testing for Common Roots 0 0 0 31 1 1 1 203
Testing nested or non-nested hypotheses 0 0 0 137 1 4 8 338
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 0 2 11 123
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 2 2 273
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 0 3 5 45
The double default value-of-the-firm model 0 0 1 4 2 7 10 13
The econometrics of efficient portfolios 0 0 1 129 2 2 7 303
Un modèle agricole à long terme de simulation 0 0 0 4 0 4 7 40
Total Journal Articles 8 27 98 10,846 72 458 954 30,747

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 9 23 529
Statistics and Econometric Models 0 0 0 0 1 6 13 455
Statistics and Econometric Models 0 0 0 0 2 9 18 269
Statistics and Econometric Models 0 0 0 0 1 6 11 163
Statistics and Econometric Models 0 0 0 0 3 12 38 305
Time Series and Dynamic Models 0 0 0 0 0 4 9 170
Time Series and Dynamic Models 0 0 0 0 1 4 12 183
Total Books 0 0 0 0 12 50 124 2,074

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 0 1 3 608
Total Chapters 0 0 0 258 0 1 3 608

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Statistics updated 2026-04-09