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), Groupe des Écoles Nationales d'Économie et Statistique (GENES) (National Economics and Statistics Schools Group), (more information at EDIRC)

Access statistics for papers by Alain Monfort.

Last updated 2013-05-04. Update your information in the RePEc Author Service.

Short-id: pmo298

---

Jump to Journal Articles Books Chapters

Working Papers

2012

1. Asset Pricing with Second-Order Esscher Transforms
   Working papers, Banque de France
   Also in Working Papers, Centre de Recherche en Economie et Statistique (2010)
   See also Journal Article in Journal of Banking & Finance (2012)
2. Bilateral Exposures and Systemic Solvency Risk
   Working papers, Banque de France
   See also Journal Article in Canadian Journal of Economics (2012)

2011

3. Allocating Systematic and Unsystematic Risks in a Regulatory Perspective
   Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
4. Credit and Liquidity Risks in Euro-area Sovereign Yield Curves
   Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
   Also in Working papers, Banque de France (2011) View citations (1)
5. Default, liquidity and crises: an econometric framework
   Working papers, Banque de France
   Also in Working Papers, Centre de Recherche en Economie et Statistique (2010) View citations (1)
   See also Journal Article in Journal of Financial Econometrics (2013)
6. Fourth Order Pseudo Maximum Likelihood Methods
   Working Papers, Centre de Recherche en Economie et Statistique
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Post-Print, HAL (2011)
   See also Journal Article in Journal of Econometrics (2011)
7. Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options
   Working Papers, Centre de Recherche en Economie et Statistique
   See also Journal Article in Review of Derivatives Research (2012)
8. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
   Working Papers, Centre de Recherche en Economie et Statistique
   Also in Working papers, Banque de France (2009) View citations (5)
   See also Journal Article in Journal of Banking & Finance (2013)

2010

9. Microinformation, Nonlinear Filtering and Granularity
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article in Journal of Financial Econometrics (2012)

2009

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

2008

13. Econometric Asset Pricing Modelling
    Working papers, Banque de France View citations (5)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2007) View citations (1)
    See also Journal Article in Journal of Financial Econometrics (2008)
14. Taking into account extreme events in European option pricing
    Open Access publications from Université Paris-Dauphine, Université Paris-Dauphine
    See also Journal Article in Financial Stability Review (2008)

2007

15. Multi-Lag Term Structure Models with Stochastic Risk Premia
    Working papers, Banque de France View citations (1)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2006) View citations (2)
16. Pricing and Inference with Mixtures of Conditionally Normal Processes
    Working papers, Banque de France
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2006) View citations (12)
17. 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)
18. Switching VARMA Term Structure Models - Extended Version
    Working papers, Banque de France View citations (5)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2007) View citations (5)

2006

19. (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
    Working Papers, Centre de Recherche en Economie et Statistique View citations (2)

2005

20. 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)
21. International Money and Stock Market Contingent Claims
    Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
    See also Journal Article in Journal of International Money and Finance (2010)

2003

22. Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (32)

2002

23. Affine Term Structure Models
    Working Papers, Centre de Recherche en Economie et Statistique View citations (11)
24. Equidependence in Qualitative and Duration Models with Application to Credit Risk
    Working Papers, Centre de Recherche en Economie et Statistique View citations (2)
25. Pricing with Splines
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Annales d'Economie et de Statistique (2006)

1999

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

1998

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

1997

29. Econometric Specification of the Risk Neutral Valuation Model
    Working Papers, Centre de Recherche en Economie et Statistique
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1997)
    See also Journal Article in Journal of Econometrics (2000)
30. Modèles de comptage semi-paramétriques
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in L'Actualité Economique (1997)

1994

31. Kernel m-estimators: non parametric diagnostics for structural models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (7)
32. Testing, encompassing and simulating dynamic econometric models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (10)
    See also Journal Article in Econometric Theory (1995)

1993

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

1992

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

1991

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

1987

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

1985

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

1984

42. General approach of serial correlation (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (17)

1982

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

1981

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

1979

47. Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article in Econometrica (1980)

Journal Articles

2013

1. Default, Liquidity, and Crises: an Econometric Framework
   Journal of Financial Econometrics, 2013, 11, (2), 221-262
   See also Working Paper (2011)
2. Granularity Adjustment for Efficient Portfolios
   Econometric Reviews, 2013, 32, (4), 449-468
3. No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
   Journal of Banking & Finance, 2013, 37, (2), 389-402
   See also Working Paper (2011)

2012

4. Asset pricing with Second-Order Esscher Transforms
   Journal of Banking & Finance, 2012, 36, (6), 1678-1687
   See also Working Paper (2012)
5. Bilateral exposures and systemic solvency risk
   Canadian Journal of Economics, 2012, 45, (4), 1273-1309
   See also Working Paper (2012)
6. Joint econometric modeling of spot electricity prices, forwards and options
   Review of Derivatives Research, 2012, 15, (3), 217-256
   See also Working Paper (2011)
7. Microinformation, Nonlinear Filtering, and Granularity
   Journal of Financial Econometrics, 2012, 10, (1), 1-53
   See also Working Paper (2010)

2011

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

2010

9. International money and stock market contingent claims
   Journal of International Money and Finance, 2010, 29, (8), 1727-1751 View citations (2)
   See also Working Paper (2005)

2008

10. Econometric Asset Pricing Modelling
    Journal of Financial Econometrics, 2008, 6, (4), 407-458 View citations (8)
    See also Working Paper (2008)
11. Quadratic stochastic intensity and prospective mortality tables
    Insurance: Mathematics and Economics, 2008, 43, (1), 174-184 View citations (1)
    See also Working Paper (2007)
12. Taking into account extreme events in European option pricing
    Financial Stability Review, 2008, (12), 39-51
    See also Working Paper (2008)

2007

13. Econometric specification of stochastic discount factor models
    Journal of Econometrics, 2007, 136, (2), 509-530 View citations (15)
14. Switching VARMA Term Structure Models
    Journal of Financial Econometrics, 2007, 5, (1), 105-153 View citations (8)

2006

15. Affine Models for Credit Risk Analysis
    Journal of Financial Econometrics, 2006, 4, (3), 494-530 View citations (10)
    See also Working Paper (2005)
16. Pricing with Splines
    Annales d'Economie et de Statistique, 2006, (82), 3-33 View citations (1)
    See also Working Paper (2002)

2005

17. The econometrics of efficient portfolios
    Journal of Empirical Finance, 2005, 12, (1), 1-41 View citations (9)

2004

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

2003

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

2000

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

1999

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

1997

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

1996

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

1995

24. Linear Factor Models and the Term Structure of Interest Rates
    Annales d'Economie et de Statistique, 1995, (40), 37-65
25. Prepayment analysis for securitization
    Journal of Empirical Finance, 1995, 2, (1), 45-70 View citations (1)
26. Testing, Encompassing, and Simulating Dynamic Econometric Models
    Econometric Theory, 1995, 11, (02), 195-228 View citations (9)
    See also Working Paper (1994)

1993

27. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 View citations (301)
    See also Working Paper (1992)
28. Simulation-based inference: A survey with special reference to panel data models
    Journal of Econometrics, 1993, 59, (1-2), 5-33 View citations (80)
29. 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

1992

30. Exogenous and Endogenous Sampling
    Econometric Theory, 1992, 8, (03), 427-428 View citations (1)
    Also in Econometric Theory, 1991, 7, (03), 417-417 (1991) View citations (1)
31. Qualitative threshold ARCH models
    Journal of Econometrics, 1992, 52, (1-2), 159-199 View citations (40)
    See also Working Paper (1991)
32. Quelques développements récents des méthodes macroéconométriques
    L'Actualité Economique, 1992, 68, (1), 305-324

1991

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

1990

34. 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 View citations (1)

1989

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

1987

37. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 View citations (91)
38. Kullback Causality Measures
    Annales d'Economie et de Statistique, 1987, (6-7), 369-410
39. Mutual Independence off Test Statistics–Solution
    Econometric Theory, 1987, 3, (03), 464-464
40. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 View citations (15)
    See also Working Paper (1985)

1986

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

1985

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

1984

43. Pseudo Maximum Likelihood Methods: Applications to Poisson Models
    Econometrica, 1984, 52, (3), 701-20 View citations (184)
    See also Working Paper (1982)
44. Pseudo Maximum Likelihood Methods: Theory
    Econometrica, 1984, 52, (3), 681-700 View citations (160)
    See also Working Paper (1981)

1983

45. Testing nested or non-nested hypotheses
    Journal of Econometrics, 1983, 21, (1), 83-115 View citations (8)

1982

46. 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 (44)
47. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
    Econometrica, 1982, 50, (2), 409-25 View citations (12)

1981

48. Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
    Journal of Econometrics, 1981, 17, (1), 83-97 View citations (4)
49. 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 (4)
50. On the Problem of Missing Data in Linear Models
    Review of Economic Studies, 1981, 48, (4), 579-86 View citations (15)

1980

51. Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
    Econometrica, 1980, 48, (3), 675-95 View citations (33)
    See also Working Paper (1979)
52. Disequilibrium Econometrics in Simultaneous Equations Systems
    Econometrica, 1980, 48, (1), 75-96 View citations (8)
53. Sufficient Linear Structures: Econometric Applications
    Econometrica, 1980, 48, (5), 1083-97 View citations (3)
54. Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
    International Economic Review, 1980, 21, (1), 245-47

1979

55. Disequilibrium econometrics in dynamic models
    Journal of Econometrics, 1979, 11, (2-3), 353-361 View citations (7)
56. On the characterization of a joint probability distribution by conditional distributions
    Journal of Econometrics, 1979, 10, (1), 115-118 View citations (2)

1978

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

1974

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

Books

1997

1. Simulation-based Econometric Methods
   OUP Catalogue, Oxford University Press View citations (11)

Chapters

1986

1. Testing non-nested hypotheses
   Chapter 44 in Handbook of Econometrics, 1986, vol. 4, pp 2583-2637 View citations (9)