Details about Alain Monfort

E-mail:
Homepage:	http://crest.fr/pageperso/monfort/monfort.htm
Workplace:	Centre de Recherche en Économie et Statistique (CREST) (Research Center for Economics and Statistics), Institut National de la Statistique et des Études Économiques (INSEE) (National Institute of Statistics and Economic Studies), Government of France, (more information at EDIRC)

Access statistics for papers by Alain Monfort.

Last updated 2009-11-10. Update your information in the RePEc Author Service.

Short-id: pmo298

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Working Papers

2009

1. A sequential modelling of the VaR
   Documents de Travail, Banque de France
2. New Information Response Functions
   Documents de Travail, Banque de France
3. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
   Documents de Travail, Banque de France
4. Optimal Portfolio Allocation under Asset and Surplus VaR Constraints
   Documents de Travail, Banque de France

2008

5. Econometric Asset Pricing Modelling
   Documents de Travail, Banque de France
   Also in Working Papers, Centre de Recherche en Economie et Statistique (2007)
   See also Journal Article in Journal of Financial Econometrics (2008)

2007

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

2006

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

2005

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

2003

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

2002

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

1997

17. Econometric specification of the risk neutral valuation model
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    Also in Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Journal of Econometrics (2000)

1994

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

1993

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

1992

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

1991

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

1987

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

1985

27. Simulated residuals
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Journal of Econometrics (1987)
28. Testing unknown linear restrictions on parameter functions
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1984

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

1982

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

1981

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

1979

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

Undated

35. Fourth Order Pseudo Maximum Likelihood Methods
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
36. Functional Indirect Inference
    Working Papers, Centre de Recherche en Economie et Statistique
37. Modèles de comptage semi-paramétriques
    Working Papers, Centre de Recherche en Economie et Statistique
38. The Econometrics of Efficient Frontiers
    Working Papers, Centre de Recherche en Economie et Statistique
39. The Simulated Likelihood Ratio (SLR) Method
    Working Papers, Centre de Recherche en Economie et Statistique View citations

Journal Articles

2008

1. Econometric Asset Pricing Modelling
   Journal of Financial Econometrics, 2008, 6, (4), 407-458 View citations
   See also Working Paper (2008)
2. Quadratic stochastic intensity and prospective mortality tables
   Insurance: Mathematics and Economics, 2008, 43, (1), 174-184 View citations
   See also Working Paper (2007)

2007

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

2006

5. Affine Models for Credit Risk Analysis
   Journal of Financial Econometrics, 2006, 4, (3), 494-530 View citations
   See also Working Paper (2005)
6. Pricing with Splines
   Annales d'Economie et de Statistique, 2006, (82), 01
   See also Working Paper (2002)

2005

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

2004

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

2003

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

2000

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

1999

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

1996

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

1995

13. Linear Factor Models and the Term Structure of Interest Rates
    Annales d'Economie et de Statistique, 1995, (40), 05
14. Prepayment analysis for securitization
    Journal of Empirical Finance, 1995, 2, (1), 45-70
15. Testing, Encompassing, and Simulating Dynamic Econometric Models
    Econometric Theory, 1995, 11, (02), 195-228 View citations
    See also Working Paper (1994)

1993

16. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 View citations
    See also Working Paper (1992)
17. Simulation-based inference: A survey with special reference to panel data models
    Journal of Econometrics, 1993, 59, (1-2), 5-33 View citations
18. 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), 05

1992

19. Qualitative threshold ARCH models
    Journal of Econometrics, 1992, 52, (1-2), 159-199 View citations
    See also Working Paper (1991)

1991

20. Exogenous and Endogenous Sampling
    Econometric Theory, 1991, 7, (03), 417-417
21. Simulation Based Inference in Models with Heterogeneity
    Annales d'Economie et de Statistique, 1991, (20-21), 05 View citations

1990

22. 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

1989

23. Testing for Common Roots
    Econometrica, 1989, 57, (1), 171-85

1987

24. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 View citations
25. Kullback Causality Measures
    Annales d'Economie et de Statistique, 1987, (6-7), 17 View citations
26. Mutual Independence off Test Statistics?Solution
    Econometric Theory, 1987, 3, (03), 464-464
27. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 View citations
    See also Working Paper (1985)

1986

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

1984

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

1983

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

1982

32. 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 View citations
33. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
    Econometrica, 1982, 50, (2), 409-25 View citations

1981

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

1980

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

1979

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

1978

43. First-order identification in linear models
    Journal of Econometrics, 1978, 7, (3), 333-350 View citations

Chapters

1986

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