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 1 92 1 2 10 201
A Quadratic Kalman Filter 1 1 3 64 4 5 18 139
Affine Model for Credit Risk Analysis 0 1 1 94 0 2 5 194
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 1 7 29 29 4 17 33 33
Affine Term Structure Models 0 0 3 129 1 2 25 241
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 2 144 0 2 14 278
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 0 0 3 69
Asset Pricing with Second-Order Esscher Transforms 0 0 0 32 0 0 8 95
Bilateral Exposures and Systemic Solvency Risk 2 2 3 96 3 3 18 298
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 0 4 722
Composite Indirect Inference with Application 0 1 4 37 1 4 17 40
Composite Indirect Inference with Application to Corporate Risks 1 2 6 26 2 4 21 60
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 29 1 1 11 60
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 18 1 1 12 40
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 1 12 1 3 16 43
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 3 23 3 4 18 60
Consistent m-estimators in a semi-parametric model 0 1 1 13 1 2 17 173
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 0 0 0 47 1 3 16 124
Credit and Liquidity in Interbank Rates: a Quadratic Approach 1 1 4 60 2 3 19 128
Credit and liquidity risks in euro area sovereign yield curves 0 0 5 139 1 1 23 431
Default, Liquidity and Crises: An Econometric Framework 0 0 1 29 1 3 14 111
Default, liquidity and crises: an econometric framework 0 0 1 106 1 2 14 218
Econometric Asset Pricing Modelling 0 1 3 116 0 2 20 333
Econometric Asset Pricing Modelling 0 0 0 16 1 1 11 95
Econometric Specification of the Risk Neutral Valuation Model 0 0 1 26 1 1 8 75
Econometric specification of the risk neutral valuation model 1 2 4 5 2 3 15 784
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 17 0 0 2 40
Estimation and test in probit models with serial correlation 1 6 18 46 2 8 34 845
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 21 1 2 6 116
Fourth Order Pseudo Maximum Likelihood Methods 0 0 1 15 1 1 4 63
Fourth order pseudo maximum likelihood methods 0 0 1 5 1 2 15 36
Functional Indirect Inference 0 0 0 16 0 1 12 53
General approach of serial correlation (a) 0 0 0 3 0 0 8 226
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 4 69 1 2 14 59
Indirect Inference 0 0 0 4 2 7 18 671
International Money and Stock Market Contingent Claims 0 0 2 33 0 1 15 135
Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects 0 0 3 330 1 2 10 760
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 0 0 106 0 1 20 385
Kernel m-estimators: non parametric diagnostics for structural models 0 1 1 11 0 2 4 292
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 1 44 2 4 14 156
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 3 15 108
Modèles de comptage semi-paramétriques 0 0 0 10 1 1 9 100
Modèles de durée et effets de génération 0 0 1 1 0 0 3 234
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 0 5 313
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 31 0 2 9 147
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 1 7 0 0 8 44
New Information Response Functions 0 0 0 70 0 0 6 177
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 1 3 27 0 4 11 105
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 3 147 0 3 21 436
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 1 78 0 1 8 209
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 2 63 1 1 16 178
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 26 3 3 11 81
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 49 1 2 9 187
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 25 1 3 8 92
Pricing with Splines 0 0 1 32 0 0 5 64
Prévision de mesures de prix contingents 0 0 0 0 0 0 2 89
Pseudo maximum likelihood methods: theory 1 2 15 58 3 6 51 1,077
Pseudo maximum lilelihood methods: applications to poisson models 0 0 4 12 2 5 20 556
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 1 1 62 1 2 16 45
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 0 21 0 0 5 102
Qualitative threshold arch models 0 0 1 6 1 2 15 458
Regime Switching and Bond Pricing 0 0 2 64 1 1 16 118
Regime Switching and Bond Pricing 1 1 3 28 3 5 16 112
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 3 0 0 3 413
Revisiting Identification and estimation in Structural VARMA Models 0 1 6 100 1 3 18 214
Simulated residuals 0 1 3 5 0 1 6 256
Stationary Bubble Equilibria in Rational Expectation Models 0 2 11 20 1 3 30 64
Statistical Inference for Independent Component Analysis 0 0 0 43 1 2 16 122
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 2 60 1 4 25 56
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 1 29 1 2 15 84
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 0 1 54 1 3 36 152
Switching VARMA Term Structure Models - Extended Version 0 0 1 48 0 0 10 169
Switching VARMA Term Structure Models - Extended Version 0 0 0 19 0 0 2 60
Taking into account extreme events in European option pricing 0 0 0 0 0 0 6 12
Taking into account extreme events in European option pricing 0 0 0 0 0 0 4 11
Testing unknown linear restrictions on parameter functions 0 0 0 3 0 0 5 280
Testing, encompassing and simulating dynamic econometric models 1 1 3 5 2 2 10 281
The Econometrics of Efficient Frontiers 0 0 1 35 0 0 12 67
The Simulated Likelihood Ratio (SLR) Method 0 0 0 28 0 1 5 108
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 1 3 0 0 5 273
Une modélisation séquentielle de la VaR 0 0 0 88 0 1 2 133
Total Working Papers 11 36 181 3,613 70 170 1,061 16,669


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 1 20 0 1 5 63
A General Framework for Testing a Null Hypothesis in a “Mixed†Form 0 0 0 12 0 0 2 48
A Quadratic Kalman Filter 0 1 5 20 2 5 21 100
A Reappraisal of Misspecified Econometric Models 0 0 0 33 0 0 4 87
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 1 1 3 0 2 5 12
Affine Models for Credit Risk Analysis 0 0 1 203 2 2 12 477
Asset pricing with Second-Order Esscher Transforms 0 0 3 16 0 0 9 64
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 2 5 25 188 4 10 37 350
Bayesian estimation of switching ARMA models 0 0 1 231 0 1 5 528
Bilateral exposures and systemic solvency risk 0 0 0 0 1 1 1 1
Bilateral exposures and systemic solvency risk 0 0 2 41 3 3 16 155
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 5 0 3 8 20
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 1 3 3 80 2 6 18 403
Composite indirect inference with application to corporate risks 0 1 1 1 1 3 16 21
Consistent Pseudo-Maximum Likelihood Estimators 0 1 2 14 1 4 13 64
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 3 6 1 7 36 51
Credit and liquidity in interbank rates: A quadratic approach 0 0 4 21 2 2 16 80
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 0 5 28 1 1 12 62
Default, Liquidity, and Crises: an Econometric Framework 0 0 1 46 1 2 18 155
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 80 0 2 7 309
Disequilibrium econometrics in dynamic models 0 0 1 51 0 0 5 122
Econometric Asset Pricing Modelling 0 1 3 62 0 1 8 219
Econometric specification of stochastic discount factor models 0 1 1 159 0 1 6 298
Econometric specification of the risk neutral valuation model 0 0 2 95 1 1 11 243
Evaluating Reserve Risk in a Regulatory Perspective 0 0 0 7 1 1 3 20
First-order identification in linear models 0 0 0 28 0 0 6 119
Fourth order pseudo maximum likelihood methods 0 0 0 30 1 2 11 143
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 0 102 0 1 4 293
Generalised residuals 1 5 22 861 4 10 52 1,500
Granularity Adjustment for Efficient Portfolios 0 0 1 19 1 1 9 84
Indirect Inference 0 2 15 1,532 4 17 77 3,847
Infrequent Extreme Risks 0 0 0 116 0 2 6 283
Infrequent Extreme Risks 0 0 0 19 1 2 4 89
International money and stock market contingent claims 0 0 6 69 0 1 20 211
Introduction 1 1 6 18 1 4 15 51
Invited Editorial “The challenges imposed by low interest rates” 0 0 2 2 1 2 12 12
Joint econometric modeling of spot electricity prices, forwards and options 0 0 3 23 1 2 7 58
Kernel-Based Indirect Inference 0 0 0 0 0 1 6 368
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 2 3 113 0 3 6 240
Kullback Causality Measures 0 2 7 9 0 6 12 22
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 3 10 27 1,165 5 16 65 4,387
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 0 0 1 5 9
Linear-price term structure models 0 0 2 23 1 1 5 66
Liquidation equilibrium with seniority and hidden CDO 0 0 0 31 2 5 19 212
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 1 2 71
Model Risk Management: Limits and Future of Bayesian Approaches 0 8 15 15 1 11 26 26
Modèles de comptage semi-paramétriques 0 0 0 10 1 1 5 58
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 1 3 38 0 1 10 139
On the Problem of Missing Data in Linear Models 0 0 0 91 0 0 5 237
On the characterization of a joint probability distribution by conditional distributions 0 0 1 94 0 0 6 290
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 0 7 0 2 4 27
Prepayment analysis for securitization 0 0 1 131 1 2 6 280
Pricing default events: Surprise, exogeneity and contagion 0 0 3 21 2 4 15 121
Pricing with Splines 0 0 0 2 0 0 7 17
Pricing with finite dimensional dependence 0 0 0 5 0 0 2 53
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 1 3 14 887 1 7 41 2,316
Pseudo Maximum Likelihood Methods: Theory 0 4 33 1,456 6 22 115 3,483
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 0 2 116
Qualitative threshold ARCH models 3 3 10 270 3 3 18 607
Quelques développements récents des méthodes macroéconométriques 0 0 0 5 0 1 4 54
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 1 4 91 2 5 22 257
Regime Switching and Bond Pricing 0 0 0 7 1 1 11 58
Simulated residuals 0 0 0 140 0 0 4 248
Simulation Based Inference in Models with Heterogeneity 0 2 7 28 0 3 14 49
Simulation-based inference: A survey with special reference to panel data models 0 1 4 309 1 2 13 564
Some useful equivalence properties of Hausman's test 0 0 0 31 0 0 6 93
Statistical inference for independent component analysis: Application to structural VAR models 2 4 20 95 9 20 75 253
Staying at zero with affine processes: An application to term structure modelling 0 2 9 19 1 7 54 109
Staying at zero with affine processes: an application to term structure modelling 0 0 2 7 0 0 38 50
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 0 1 81
Switching VARMA Term Structure Models 0 0 0 33 0 2 7 122
Taking into account extreme events in European option pricing 0 0 0 13 0 2 6 68
Testing for Common Roots 0 0 0 28 0 1 4 186
Testing nested or non-nested hypotheses 0 0 1 126 1 3 14 308
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 58 1 1 8 105
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 0 3 266
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 2 1 3 6 12
The econometrics of efficient portfolios 0 0 1 123 0 0 8 279
Un modèle agricole à long terme de simulation 0 0 1 4 1 1 6 30
Total Journal Articles 14 65 289 9,807 78 242 1,203 26,979


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 10 25 86 324
Statistics and Econometric Models 0 0 0 0 4 28 66 195
Statistics and Econometric Models 0 0 0 0 0 1 6 100
Statistics and Econometric Models 0 0 0 0 2 6 30 206
Statistics and Econometric Models 0 0 0 0 1 9 26 127
Statistics and Econometric Models 2 volume set 0 0 0 0 3 3 13 52
Time Series and Dynamic Models 0 0 0 0 2 7 15 124
Time Series and Dynamic Models 0 0 0 0 1 2 10 79
Total Books 0 0 0 0 23 81 252 1,207


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 2 252 2 4 20 589
Total Chapters 0 1 2 252 2 4 20 589


Statistics updated 2020-08-05