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Details about Alain Monfort

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Homepage:http://crest.fr/pageperso/monfort/monfort.htm
Workplace:Centre de Recherche en Économie et Statistique (CREST) (Research Center for Economics and Statistics), Groupe des Écoles Nationales d'Économie et Statistique (GENES) (National Economics and Statistics Schools Group), (more information at EDIRC)

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Last updated 2014-03-21. Update your information in the RePEc Author Service.

Short-id: pmo298


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Working Papers

2013

  1. Credit and Liquidity in Interbank Rates: a Quadratic Approach
    Working papers, Banque de France Downloads View citations (1)
  2. Liquidation Equilibrium with Seniority and Hidden CDO
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2013)
  3. Pricing Default Events: Surprise, Exogeneity and Contagion
    Working papers, Banque de France Downloads
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2013) Downloads
  4. Regime Switching and Bond Pricing
    Working papers, Banque de France Downloads
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2013) Downloads

2012

  1. Asset Pricing with Second-Order Esscher Transforms
    Working papers, Banque de France Downloads
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2010) Downloads View citations (5)

    See also Journal Article in Journal of Banking & Finance (2012)
  2. Bilateral Exposures and Systemic Solvency Risk
    Working papers, Banque de France Downloads View citations (4)
    See also Journal Article in Canadian Journal of Economics (2012)
  3. Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options
    Economics Papers from University Paris Dauphine, Paris Dauphine University Downloads
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2011) Downloads

    See also Journal Article in Review of Derivatives Research (2012)

2011

  1. Allocating Systematic and Unsystematic Risks in a Regulatory Perspective
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  2. Bilinear Term Structure Model
    Economics Papers from University Paris Dauphine, Paris Dauphine University
  3. Credit and Liquidity Risks in Euro-area Sovereign Yield Curves
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
    Also in Working papers, Banque de France (2011) Downloads View citations (2)
  4. Default, liquidity and crises: an econometric framework
    Working papers, Banque de France Downloads
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2010) Downloads View citations (1)

    See also Journal Article in Journal of Financial Econometrics (2013)
  5. Fourth Order Pseudo Maximum Likelihood Methods
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Post-Print, HAL (2011) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2011)
  6. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in Working papers, Banque de France (2009) Downloads View citations (16)

    See also Journal Article in Journal of Banking & Finance (2013)

2010

  1. Microinformation, Nonlinear Filtering and Granularity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Financial Econometrics (2010)

2009

  1. New Information Response Functions
    Working papers, Banque de France Downloads View citations (2)
  2. Optimal Portfolio Allocation under Asset and Surplus VaR Constraints
    Working papers, Banque de France Downloads
  3. Une modélisation séquentielle de la VaR
    Working papers, Banque de France Downloads

2008

  1. Econometric Asset Pricing Modelling
    Working papers, Banque de France Downloads View citations (12)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2007) Downloads View citations (1)

    See also Journal Article in Journal of Financial Econometrics (2008)
  2. Taking into account extreme events in European option pricing
    Economics Papers from University Paris Dauphine, Paris Dauphine University Downloads View citations (1)
    See also Journal Article in Financial Stability Review (2008)

2007

  1. Multi-Lag Term Structure Models with Stochastic Risk Premia
    Working papers, Banque de France Downloads View citations (1)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2006) Downloads View citations (2)
  2. Pricing and Inference with Mixtures of Conditionally Normal Processes
    Working papers, Banque de France Downloads
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2006) Downloads View citations (19)
  3. Quadratic Stochastic Intensity and Prospective Mortality Tables
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2008)
  4. Switching VARMA Term Structure Models - Extended Version
    Working papers, Banque de France Downloads View citations (7)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2007) Downloads View citations (7)

2006

  1. (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)

2005

  1. Affine Model for Credit Risk Analysis
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Journal of Financial Econometrics (2006)
  2. International Money and Stock Market Contingent Claims
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2010)

2003

  1. Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (41)

2002

  1. Affine Term Structure Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (12)
  2. Equidependence in Qualitative and Duration Models with Application to Credit Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  3. Pricing with Splines
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Annales d'Economie et de Statistique (2006)

1999

  1. Functional Indirect Inference
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

1998

  1. The Econometrics of Efficient Frontiers
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  2. The Simulated Likelihood Ratio (SLR) Method
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (4)

1997

  1. Econometric Specification of the Risk Neutral Valuation Model
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1997)

    See also Journal Article in Journal of Econometrics (2000)
  2. Modèles de comptage semi-paramétriques
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in L'Actualité Economique (1997)

1994

  1. Kernel m-estimators: non parametric diagnostics for structural models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (7)
  2. Testing, encompassing and simulating dynamic econometric models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (9)
    See also Journal Article in Econometric Theory (1995)

1993

  1. Modèles linéaires à facteurs et structure à terme des taux d'intérêt
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  2. Prévision de mesures de prix contingents
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1992

  1. Indirect Inference
    Working Papers, Toulouse - GREMAQ View citations (6)
    See also Journal Article in Journal of Applied Econometrics (1993)

1991

  1. Modèles de durée et effets de génération
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
  2. Qualitative threshold arch models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Journal of Econometrics (1992)
  3. Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)

1987

  1. Consistent m-estimators in a semi-parametric model
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (4)

1985

  1. Simulated residuals
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (4)
    See also Journal Article in Journal of Econometrics (1987)
  2. Testing unknown linear restrictions on parameter functions
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1984

  1. General approach of serial correlation (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (15)

1982

  1. Estimation and test in probit models with serial correlation
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (4)
  2. Pseudo maximum lilelihood methods: applications to poisson models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Econometrica (1984)
  3. Revision adaptative des anticipations et convergence vers les anticipations rationnelles
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1981

  1. Pseudo maximum likelihood methods: theory
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (31)
    See also Journal Article in Econometrica (1984)

1979

  1. Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Econometrica (1980)

Journal Articles

2013

  1. ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (07), 1350041-1-1350041-20 Downloads
  2. Default, Liquidity, and Crises: an Econometric Framework
    Journal of Financial Econometrics, 2013, 11, (2), 221-262 Downloads View citations (1)
    See also Working Paper (2011)
  3. Granularity Adjustment for Efficient Portfolios
    Econometric Reviews, 2013, 32, (4), 449-468 Downloads
  4. Linear-price term structure models
    Journal of Empirical Finance, 2013, 24, (C), 24-41 Downloads
  5. Liquidation equilibrium with seniority and hidden CDO
    Journal of Banking & Finance, 2013, 37, (12), 5261-5274 Downloads View citations (1)
    See also Working Paper (2013)
  6. No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
    Journal of Banking & Finance, 2013, 37, (2), 389-402 Downloads View citations (3)
    See also Working Paper (2011)
  7. Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model
    Annales d'Economie et de Statistique, 2013, (109-110), 2 Downloads

2012

  1. Asset pricing with Second-Order Esscher Transforms
    Journal of Banking & Finance, 2012, 36, (6), 1678-1687 Downloads
    See also Working Paper (2012)
  2. Bilateral exposures and systemic solvency risk
    Canadian Journal of Economics, 2012, 45, (4), 1273-1309 Downloads View citations (5)
    See also Working Paper (2012)
  3. Joint econometric modeling of spot electricity prices, forwards and options
    Review of Derivatives Research, 2012, 15, (3), 217-256 Downloads
    See also Working Paper (2012)

2011

  1. Fourth order pseudo maximum likelihood methods
    Journal of Econometrics, 2011, 162, (2), 278-293 Downloads View citations (1)
    See also Working Paper (2011)

2010

  1. International money and stock market contingent claims
    Journal of International Money and Finance, 2010, 29, (8), 1727-1751 Downloads View citations (3)
    See also Working Paper (2005)
  2. Microinformation, Nonlinear Filtering, and Granularity
    Journal of Financial Econometrics, 2010, 10, (1), 1-53 Downloads
    See also Working Paper (2010)

2008

  1. Econometric Asset Pricing Modelling
    Journal of Financial Econometrics, 2008, 6, (4), 407-458 Downloads View citations (17)
    See also Working Paper (2008)
  2. Quadratic stochastic intensity and prospective mortality tables
    Insurance: Mathematics and Economics, 2008, 43, (1), 174-184 Downloads View citations (2)
    See also Working Paper (2007)
  3. Taking into account extreme events in European option pricing
    Financial Stability Review, 2008, (12), 39-51 Downloads
    See also Working Paper (2008)

2007

  1. Econometric specification of stochastic discount factor models
    Journal of Econometrics, 2007, 136, (2), 509-530 Downloads View citations (23)
  2. Switching VARMA Term Structure Models
    Journal of Financial Econometrics, 2007, 5, (1), 105-153 Downloads View citations (14)

2006

  1. Affine Models for Credit Risk Analysis
    Journal of Financial Econometrics, 2006, 4, (3), 494-530 Downloads View citations (14)
    See also Working Paper (2005)
  2. Pricing with Splines
    Annales d'Economie et de Statistique, 2006, (82), 3-33 Downloads View citations (4)
    See also Working Paper (2002)

2005

  1. The econometrics of efficient portfolios
    Journal of Empirical Finance, 2005, 12, (1), 1-41 Downloads View citations (12)

2004

  1. Infrequent Extreme Risks
    The Geneva Papers on Risk and Insurance Theory, 2004, 29, (1), 5-22 Downloads View citations (2)
    Also in The Geneva Risk and Insurance Review, 2004, 29, (1), 5-22 (2004) Downloads View citations (2)

2003

  1. Kernel-Based Indirect Inference
    Journal of Financial Econometrics, 2003, 1, (3), 297-326 View citations (5)

2000

  1. Econometric specification of the risk neutral valuation model
    Journal of Econometrics, 2000, 94, (1-2), 117-143 Downloads View citations (5)
    See also Working Paper (1997)

1999

  1. Bayesian estimation of switching ARMA models
    Journal of Econometrics, 1999, 93, (2), 229-255 Downloads View citations (18)

1997

  1. Modèles de comptage semi-paramétriques
    L'Actualité Economique, 1997, 73, (1), 525-550 Downloads
    See also Working Paper (1997)

1996

  1. A Reappraisal of Misspecified Econometric Models
    Econometric Theory, 1996, 12, (04), 597-619 Downloads View citations (17)

1995

  1. Linear Factor Models and the Term Structure of Interest Rates
    Annales d'Economie et de Statistique, 1995, (40), 37-65 Downloads
  2. Prepayment analysis for securitization
    Journal of Empirical Finance, 1995, 2, (1), 45-70 Downloads
  3. Testing, Encompassing, and Simulating Dynamic Econometric Models
    Econometric Theory, 1995, 11, (02), 195-228 Downloads View citations (11)
    See also Working Paper (1994)

1993

  1. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 Downloads View citations (376)
    See also Working Paper (1992)
  2. Simulation-based inference: A survey with special reference to panel data models
    Journal of Econometrics, 1993, 59, (1-2), 5-33 Downloads View citations (93)
  3. Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié
    Annales d'Economie et de Statistique, 1993, (32), 81-111 Downloads

1992

  1. Exogenous and Endogenous Sampling
    Econometric Theory, 1992, 8, (03), 427-428 Downloads View citations (1)
    Also in Econometric Theory, 1991, 7, (03), 417-417 (1991) Downloads View citations (1)
  2. Qualitative threshold ARCH models
    Journal of Econometrics, 1992, 52, (1-2), 159-199 Downloads View citations (46)
    See also Working Paper (1991)
  3. Quelques développements récents des méthodes macroéconométriques
    L'Actualité Economique, 1992, 68, (1), 305-324 Downloads

1991

  1. Simulation Based Inference in Models with Heterogeneity
    Annales d'Economie et de Statistique, 1991, (20-21), 69-107 Downloads View citations (11)

1990

  1. From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral
    Journal of Applied Econometrics, 1990, 5, (3), 203-27 Downloads View citations (1)

1989

  1. A General Framework for Testing a Null Hypothesis in a “Mixed” Form
    Econometric Theory, 1989, 5, (01), 63-82 Downloads View citations (13)
  2. Testing for Common Roots
    Econometrica, 1989, 57, (1), 171-85 Downloads

1987

  1. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 Downloads View citations (116)
  2. Kullback Causality Measures
    Annales d'Economie et de Statistique, 1987, (6-7), 369-410 Downloads View citations (1)
  3. Mutual Independence off Test Statistics–Solution
    Econometric Theory, 1987, 3, (03), 464-464 Downloads
  4. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 Downloads View citations (19)
    See also Working Paper (1985)

1986

  1. Some useful equivalence properties of Hausman's test
    Economics Letters, 1986, 20, (1), 39-43 Downloads View citations (2)

1985

  1. A General Approach to Serial Correlation
    Econometric Theory, 1985, 1, (03), 315-340 Downloads View citations (21)

1984

  1. Pseudo Maximum Likelihood Methods: Applications to Poisson Models
    Econometrica, 1984, 52, (3), 701-20 Downloads View citations (222)
    See also Working Paper (1982)
  2. Pseudo Maximum Likelihood Methods: Theory
    Econometrica, 1984, 52, (3), 681-700 Downloads View citations (213)
    See also Working Paper (1981)

1983

  1. Testing nested or non-nested hypotheses
    Journal of Econometrics, 1983, 21, (1), 83-115 Downloads View citations (10)

1982

  1. Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
    Econometrica, 1982, 50, (1), 63-80 Downloads View citations (55)
  2. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
    Econometrica, 1982, 50, (2), 409-25 Downloads View citations (24)

1981

  1. Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
    Journal of Econometrics, 1981, 17, (1), 83-97 Downloads View citations (4)
  2. Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters
    Journal of Econometrics, 1981, 16, (1), 166-166 Downloads View citations (4)
  3. On the Problem of Missing Data in Linear Models
    Review of Economic Studies, 1981, 48, (4), 579-86 Downloads View citations (16)

1980

  1. Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
    Econometrica, 1980, 48, (3), 675-95 Downloads View citations (41)
    See also Working Paper (1979)
  2. Disequilibrium Econometrics in Simultaneous Equations Systems
    Econometrica, 1980, 48, (1), 75-96 Downloads View citations (8)
  3. Sufficient Linear Structures: Econometric Applications
    Econometrica, 1980, 48, (5), 1083-97 Downloads View citations (4)
  4. Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
    International Economic Review, 1980, 21, (1), 245-47 Downloads

1979

  1. Disequilibrium econometrics in dynamic models
    Journal of Econometrics, 1979, 11, (2-3), 353-361 Downloads View citations (9)
  2. On the characterization of a joint probability distribution by conditional distributions
    Journal of Econometrics, 1979, 10, (1), 115-118 Downloads View citations (3)

1978

  1. First-order identification in linear models
    Journal of Econometrics, 1978, 7, (3), 333-350 Downloads

1974

  1. Un modèle agricole à long terme de simulation
    Économie et Prévision, 1974, 16, (1), 27-51 Downloads

Books

1997

  1. Simulation-based Econometric Methods
    OUP Catalogue, Oxford University Press View citations (14)

Chapters

1986

  1. Testing non-nested hypotheses
    Chapter 44 in Handbook of Econometrics, 1986, vol. 4, pp 2583-2637 Downloads View citations (8)
 
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