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 3 105 0 0 5 224
A Quadratic Kalman Filter 0 0 1 66 1 3 10 184
Affine Model for Credit Risk Analysis 0 0 7 103 1 1 8 211
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion 1 1 6 71 1 4 18 147
Affine Term Structure Models 0 1 7 149 0 1 10 299
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 0 1 1 290
Asset Pricing with Second-Order Esscher Transforms 0 0 1 34 0 0 2 110
Asset Pricing with Second-Order Esscher Transforms 0 0 0 19 0 1 1 73
Bilateral Exposures and Systemic Solvency Risk 0 0 0 102 0 1 3 341
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 0 1 726
Composite Indirect Inference with Application 0 0 1 43 0 0 2 69
Composite Indirect Inference with Application to Corporate Risks 0 0 2 32 0 0 5 89
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 28 0 0 4 65
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 30 0 0 0 69
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 1 2 29 1 2 6 87
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 0 54
Consistent m-estimators in a semi-parametric model 0 0 0 24 0 0 3 194
Credit and Liquidity Risks in Euro-area Sovereign Yield Curves 1 1 1 50 2 2 4 136
Credit and Liquidity in Interbank Rates: a Quadratic Approach 0 0 1 65 0 0 3 151
Credit and liquidity risks in euro area sovereign yield curves 1 1 1 143 1 1 3 448
Default, Liquidity and Crises: An Econometric Framework 0 0 0 29 0 1 1 118
Default, liquidity and crises: an econometric framework 0 0 0 108 0 0 0 228
Disastrous Defaults 0 0 0 14 0 0 0 29
Disastrous Defaults 0 0 1 10 0 0 6 47
Econometric Asset Pricing Modelling 0 0 1 121 0 0 2 351
Econometric Asset Pricing Modelling 0 0 0 16 0 0 2 113
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 0 1 791
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 0 0 46
Estimation and test in probit models with serial correlation 1 1 1 64 1 1 2 882
Fourth Order Pseudo Maximum Likelihood Methods 0 0 0 21 0 0 0 122
Fourth Order Pseudo Maximum Likelihood Methods 0 0 0 18 0 0 0 69
Fourth order pseudo maximum likelihood methods 0 0 0 5 0 0 0 36
Functional Indirect Inference 0 0 0 16 0 0 0 54
General approach of serial correlation (a) 0 0 0 4 0 0 0 236
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 2 6 105
Identification and Estimation in Nonfundamental Structural Models 0 0 0 0 2 2 2 7
Indirect Inference 0 0 0 4 0 2 4 694
International Money and Stock Market Contingent Claims 0 0 2 37 1 1 3 157
Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright 0 0 0 0 0 0 0 0
Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects 1 2 2 349 3 5 6 802
Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options 0 0 6 117 0 0 7 406
Kernel m-estimators: non parametric diagnostics for structural models 0 0 3 18 0 0 3 306
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 0 0 170
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 2 2 3 118
Model Risk Management: Limits and Future of Bayesian Approaches 0 0 0 0 0 0 1 8
Modèles de comptage semi-paramétriques 0 0 0 11 0 0 1 104
Modèles de durée et effets de génération 0 0 0 2 0 0 1 241
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 0 0 154
Multi-Lag Term Structure Models with Stochastic Risk Premia 0 0 0 7 0 0 0 50
New Information Response Functions 0 1 1 77 0 1 1 197
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 0 2 151 0 0 3 449
No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth 0 1 3 32 0 1 3 116
Optimal Portfolio Allocation under Asset and Surplus VaR Constraints 0 0 0 82 0 0 4 224
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 1 66 0 0 1 187
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 1 28 0 0 4 99
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 1 26 0 0 2 100
Pricing and Inference with Mixtures of Conditionally Normal Processes 0 0 0 54 0 0 1 208
Pricing with Splines 0 0 1 34 0 0 1 72
Prévision de mesures de prix contingents 0 0 0 0 0 0 0 95
Pseudo maximum likelihood methods: theory 0 1 4 94 0 3 13 1,178
Pseudo maximum lilelihood methods: applications to poisson models 0 0 3 24 1 2 12 603
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 2 65 0 0 2 63
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 0 23 0 0 1 105
Qualitative threshold arch models 0 0 1 11 0 0 2 473
Regime Switching and Bond Pricing 0 0 0 65 0 0 2 136
Regime Switching and Bond Pricing 0 0 0 30 0 0 0 123
Required Capital for Long-Run Risks 0 0 0 0 0 0 1 1
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 5 0 0 0 423
Revisiting Identification and estimation in Structural VARMA Models 0 1 6 151 2 3 9 308
Simulated residuals 0 0 0 7 0 0 0 267
Stationary Bubble Equilibria in Rational Expectation Models 0 0 0 0 1 1 1 7
Stationary Bubble Equilibria in Rational Expectation Models 1 1 1 31 1 1 4 99
Statistical Inference for Independent Component Analysis 0 0 0 46 1 1 1 134
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 0 1 100
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 18 110 2 2 41 165
Staying at Zero with Affine Processes: An Application to Term Structure Modelling 0 1 1 58 12 13 14 198
Switching VARMA Term Structure Models - Extended Version 0 0 0 19 0 0 1 65
Switching VARMA Term Structure Models - Extended Version 0 0 1 49 0 0 1 186
Taking into account extreme events in European option pricing 0 0 0 0 0 0 0 16
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 0 282
Testing, encompassing and simulating dynamic econometric models 1 1 2 9 1 1 2 295
The Econometrics of Efficient Frontiers 0 0 0 36 0 0 0 71
The Simulated Likelihood Ratio (SLR) Method 0 0 0 33 0 0 3 130
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 1 278
Une modélisation séquentielle de la VaR 0 0 0 88 0 0 0 136
Total Working Papers 7 15 100 4,106 37 62 272 18,400

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 0 75
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 2 15 0 0 5 61
A Quadratic Kalman Filter 0 1 5 27 0 1 6 130
A Reappraisal of Misspecified Econometric Models 0 0 0 33 0 0 0 92
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 1 2 8 0 1 2 25
Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion 0 0 0 0 0 1 8 8
Affine Models for Credit Risk Analysis 0 0 0 206 0 0 1 482
Asset pricing with Second-Order Esscher Transforms 0 0 3 20 0 1 6 76
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 3 19 255 1 6 31 482
Bayesian estimation of switching ARMA models 0 0 1 239 0 0 2 541
Bilateral exposures and systemic solvency risk 0 0 0 1 0 0 0 16
Bilateral exposures and systemic solvency risk 0 0 1 43 2 2 4 178
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING 0 0 0 9 0 0 0 27
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 1 1 83 0 2 2 423
Composite indirect inference with application to corporate risks 0 0 0 7 0 0 0 40
Consistent Pseudo-Maximum Likelihood Estimators 1 1 1 15 1 1 3 83
Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations 0 0 0 10 0 0 1 86
Credit and liquidity in interbank rates: A quadratic approach 0 0 0 30 2 2 5 117
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks 0 0 2 45 0 0 5 102
Default, Liquidity, and Crises: an Econometric Framework 0 0 2 55 0 0 6 175
Disastrous Defaults* 0 0 2 3 0 0 7 13
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 1 85 0 0 4 323
Disequilibrium econometrics in dynamic models 0 0 0 52 0 0 0 124
Econometric Asset Pricing Modelling 0 0 2 67 0 0 2 226
Econometric specification of stochastic discount factor models 0 1 2 165 0 2 3 316
Econometric specification of the risk neutral valuation model 0 0 0 96 0 0 0 250
Evaluating Reserve Risk in a Regulatory Perspective 0 0 2 10 0 0 2 25
First-order identification in linear models 0 0 0 28 0 0 0 119
Fourth order pseudo maximum likelihood methods 0 0 2 33 0 0 3 157
From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral 0 0 3 113 0 0 4 319
Generalised residuals 0 2 19 964 1 5 34 1,663
Granularity Adjustment for Efficient Portfolios 0 0 4 27 0 0 5 111
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 1 8 1 2 7 49
Indirect Inference 0 3 8 1,578 1 13 53 4,081
Infrequent Extreme Risks 0 0 0 117 0 0 0 287
Infrequent Extreme Risks 0 0 0 19 0 0 0 91
International money and stock market contingent claims 0 0 1 73 0 1 4 226
Introduction 0 0 1 27 0 1 4 73
Invited Editorial “The challenges imposed by low interest rates” 0 0 0 6 0 0 0 26
Joint econometric modeling of spot electricity prices, forwards and options 0 0 0 25 0 0 0 67
Kernel-Based Indirect Inference 0 0 0 0 0 0 3 378
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 2 124 0 0 3 263
Kullback Causality Measures 0 0 0 20 0 0 2 51
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 0 9 1,219 2 2 19 4,530
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 1 1 15
Linear-price term structure models 0 0 1 30 0 0 1 78
Liquidation equilibrium with seniority and hidden CDO 0 0 0 34 1 1 2 231
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 1 1 2 76
Model Risk Management: Limits and Future of Bayesian Approaches 0 1 4 38 0 2 7 82
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 0 63
No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth 0 0 2 45 0 0 5 167
On the Problem of Missing Data in Linear Models 0 1 1 98 0 1 3 256
On the characterization of a joint probability distribution by conditional distributions 1 1 5 105 1 1 5 307
Optimal portfolio allocation under asset and surplus VaR constraints 0 0 1 1 0 0 1 9
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 0 10 0 0 0 34
Prepayment analysis for securitization 0 0 0 132 0 0 0 286
Pricing default events: Surprise, exogeneity and contagion 0 0 3 28 0 0 6 144
Pricing with Splines 0 0 4 11 0 0 5 30
Pricing with finite dimensional dependence 0 0 0 6 1 1 1 62
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 1 3 12 943 4 8 30 2,461
Pseudo Maximum Likelihood Methods: Theory 1 2 9 1,542 2 5 27 3,729
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 0 0 121
Qualitative threshold ARCH models 0 0 1 279 0 0 3 640
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 0 97 0 0 1 274
Regime Switching and Bond Pricing 0 1 2 11 0 1 3 71
Required Capital for Long-Run Risks 0 0 0 1 0 1 4 12
Simulated residuals 0 0 0 141 0 0 1 258
Simulation Based Inference in Models with Heterogeneity 1 2 7 52 2 4 11 95
Simulation-based inference: A survey with special reference to panel data models 0 1 5 323 0 1 7 598
Some useful equivalence properties of Hausman's test 0 0 0 33 0 0 0 96
Stationary bubble equilibria in rational expectation models 1 1 6 15 3 3 12 51
Statistical inference for independent component analysis: Application to structural VAR models 2 2 12 154 2 5 26 413
Staying at zero with affine processes: An application to term structure modelling 0 0 4 36 1 1 6 179
Staying at zero with affine processes: an application to term structure modelling 1 1 2 12 1 1 7 71
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 0 0 86
Switching VARMA Term Structure Models 0 1 2 36 0 1 5 133
Taking into account extreme events in European option pricing 0 1 1 14 1 2 3 79
Testing for Common Roots 0 0 0 31 0 0 1 202
Testing nested or non-nested hypotheses 0 1 1 134 0 3 4 327
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 61 0 0 1 110
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 0 1 271
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 1 5 0 0 1 40
The econometrics of efficient portfolios 0 1 1 128 0 1 3 296
Un modèle agricole à long terme de simulation 0 0 0 4 0 0 0 33
Total Journal Articles 9 33 186 10,685 31 88 442 29,552

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 2 9 497
Statistics and Econometric Models 0 0 0 0 1 2 16 251
Statistics and Econometric Models 0 0 0 0 2 7 35 436
Statistics and Econometric Models 0 0 0 0 2 4 10 259
Statistics and Econometric Models 0 0 0 0 1 4 9 152
Time Series and Dynamic Models 0 0 0 0 1 3 13 158
Time Series and Dynamic Models 0 0 0 0 0 3 24 167
Total Books 0 0 0 0 8 25 116 1,920

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 0 257 0 1 2 603
Total Chapters 0 0 0 257 0 1 2 603

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Statistics updated 2024-09-04