Alain Monfort
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Monfort |
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Centre de Recherche en Économie et Statistique (CREST)
Research profile
author of:
- Kullback Causality Measures (RePEc:adr:anecst:y:1987:i:6-7:p:369-410)
by Christian Gouriéroux & Alain Monfort & Eric Renault - Simulation Based Inference in Models with Heterogeneity (RePEc:adr:anecst:y:1991:i:20-21:p:69-107)
by Christian Gouriéroux & Alain Monfort - Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié (RePEc:adr:anecst:y:1993:i:32:p:81-111)
by Christian Gouriéroux & Alain Monfort & Eric Renault - Linear Factor Models and the Term Structure of Interest Rates (RePEc:adr:anecst:y:1995:i:40:p:37-65)
by Emmanuelle Clément & Christian Gourieroux & Alain Monfort - Pricing with Splines (RePEc:adr:anecst:y:2006:i:82:p:3-33)
by Christian Gouriéroux & Alain Monfort - Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model (RePEc:adr:anecst:y:2013:i:109-110:p:25-61)
by Christian Gouriéroux & Alain Monfort - Introduction (RePEc:adr:anecst:y:2017:i:125-126:p:1-7)
by Jacques Mairesse & Alain Monfort & Pierre Picard & Alain Trognon - Consistent Pseudo-Maximum Likelihood Estimators (RePEc:adr:anecst:y:2017:i:125-126:p:187-218)
by Christian Gouriéroux & Alain Monfort & Eric Renault - Model Risk Management: Limits and Future of Bayesian Approaches (RePEc:adr:anecst:y:2019:i:136:p:1-26)
by J.P. Florens & C. Gourieroux & A. Monfort - Pricing and Inference with Mixtures of Conditionally Normal Processes (RePEc:bfr:banfra:188)
by Bertholon, H. & Monfort, A. & Pegoraro, F. - Multi-Lag Term Structure Models with Stochastic Risk Premia (RePEc:bfr:banfra:189)
by Monfort, A. & Pegoraro, F. - Switching VARMA Term Structure Models - Extended Version (RePEc:bfr:banfra:191)
by Monfort, A. & Pegoraro, F. - Econometric Asset Pricing Modelling (RePEc:bfr:banfra:223)
by Bertholon, H. & Monfort, A. & Pegoraro, F. - No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth (RePEc:bfr:banfra:234)
by Jardet, C. & Monfort, A. & Pegoraro, F. - New Information Response Functions (RePEc:bfr:banfra:235)
by Jardet, C. & Monfort, A. & Pegoraro, F. - Une modélisation séquentielle de la VaR (RePEc:bfr:banfra:250)
by Alain Monfort. - Optimal Portfolio Allocation under Asset and Surplus VaR Constraints (RePEc:bfr:banfra:251)
by Monfort, A. - Default, liquidity and crises: an econometric framework (RePEc:bfr:banfra:340)
by Monfort, A. & Renne, J-P. - Credit and liquidity risks in euro area sovereign yield curves (RePEc:bfr:banfra:352)
by Monfort, A. & Renne, J-P. - Asset Pricing with Second-Order Esscher Transforms (RePEc:bfr:banfra:397)
by Monfort, A. & Pegoraro, F. - Bilateral Exposures and Systemic Solvency Risk (RePEc:bfr:banfra:414)
by Gourieroux, C. & Heam, J.C. & Monfort, A. - Credit and Liquidity in Interbank Rates: a Quadratic Approach (RePEc:bfr:banfra:446)
by Dubecq, S. & Monfort, A. & Renne, J-P. & Roussellet, G. - Pricing Default Events: Surprise, Exogeneity and Contagion (RePEc:bfr:banfra:455)
by Gouriéroux, C. & Monfort, A. & Renne, J-P. - Regime Switching and Bond Pricing (RePEc:bfr:banfra:456)
by Gouriéroux, C. & Monfort, A. & Pegoraro, F. & Renne, J-P. - A Quadratic Kalman Filter (RePEc:bfr:banfra:486)
by Monfort, A. & Renne, J.-P. & Roussellet, G. - Staying at Zero with Affine Processes: An Application to Term Structure Modelling (RePEc:bfr:banfra:558)
by A. Monfort & F. Pegoraro & J.-P. Renne & G. Roussellet - Disastrous Defaults (RePEc:bfr:banfra:778)
by Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul - Taking into account extreme events in European option pricing (RePEc:bfr:fisrev:2008:12:5)
by Idier, J. & Jardet, C. & Le Fol, G. & Monfort, A. & Pegoraro, J. - Staying at zero with affine processes : an application to term structure modelling (RePEc:bfr:rueban:2017:52)
by Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet - Fourth Order Pseudo Maximum Likelihood Methods (RePEc:chf:rpseri:rp0923)
by Alberto HOLLY & Alain MONFORT & Michael ROCKINGER - Microinformation, Nonlinear Filtering and Granularity (RePEc:chf:rpseri:rp1023)
by Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT - Bilateral exposures and systemic solvency risk (RePEc:cje:issued:v:45:y:2012:i:4:p:1273-1309)
by C. Gouriéroux & J.-C. Héam & A. Monfort - Pseudo maximum likelihood methods : theory (RePEc:cpm:cepmap:8129)
by Gourieroux Christian & Monfort Alain & Trognon A - Pseudo maximum lilelihood methods : applications to poisson models (RePEc:cpm:cepmap:8203)
by Gourieroux Christian & Monfort Alain & Trognon A - Revision adaptative des anticipations et convergence vers les anticipations rationnelles (RePEc:cpm:cepmap:8218)
by Gourieroux Christian & Laffont Jean-jacques & Monfort Alain - Estimation and test in probit models with serial correlation (RePEc:cpm:cepmap:8220)
by Gourieroux Christian & Monfort Alain & Trognon A - General approach of serial correlation (a) (RePEc:cpm:cepmap:8424)
by Gourieroux Christian & Monfort Alain & Trognon A - Simulated residuals (RePEc:cpm:cepmap:8502)
by Gourieroux Christian & Monfort Alain & Renault E & Trognon A - Testing unknown linear restrictions on parameter functions (RePEc:cpm:cepmap:8516)
by Gourieroux Christian & Monfort Alain & Renault E - Consistent m-estimators in a semi-parametric model (RePEc:cpm:cepmap:8720)
by Gourieroux Christian & Monfort Alain & Renault Eric - Qualitative threshold arch models (RePEc:cpm:cepmap:9109)
by Gourieroux Christian & Monfort Alain - Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form (RePEc:cpm:cepmap:9110)
by Gourieroux Christian & Monfort Alain & Renault E - Modèles de durée et effets de génération (RePEc:cpm:cepmap:9131)
by Gourieroux Christian & Monfort A - Modèles linéaires à facteurs et structure à terme des taux d'intérêt (RePEc:cpm:cepmap:9306)
by Gouriéroux, Christian & Monfort, Alain & Clément, E. - Prévision de mesures de prix contingents (RePEc:cpm:cepmap:9310)
by Gouriéroux, Christian & Monfort, Alain & Clément, E. - Kernel m-estimators : non parametric diagnostics for structural models (RePEc:cpm:cepmap:9405)
by Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos - Testing, encompassing and simulating dynamic econometric models (RePEc:cpm:cepmap:9406)
by Gouriéroux, Christian & Monfort, Alain - Econometric specification of the risk neutral valuation model (RePEc:cpm:cepmap:9706)
by Clément, E. & Gourieroux, Christian & Monfort, Alain - Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects (RePEc:cpr:ceprdp:4119)
by Monfort, Alain & Vitale, Giovanni & Rüffer, Rasmus & Renne, Jean-Paul - Affine Term Structure Models (RePEc:crs:wpaper:2002-49)
by Christian Gourieroux & Alain Monfort & Vassilis Polimenis - Pricing with Splines (RePEc:crs:wpaper:2002-50)
by Christian Gourieroux & Alain Monfort - Equidependence in Qualitative and Duration Models with Application to Credit Risk (RePEc:crs:wpaper:2002-51)
by Christian Gourieroux & Alain Monfort - International Money and Stock Market Contingent Claims (RePEc:crs:wpaper:2005-41)
by Christian Gourieroux & Alain Monfort & Razvan Sufana - Affine Model for Credit Risk Analysis (RePEc:crs:wpaper:2005-44)
by Christian Gourieroux & Alain Monfort & Vassilis Polimenis - Pricing and Inference with Mixtures of Conditionally Normal Processes (RePEc:crs:wpaper:2006-28)
by Henri Bertholon & Alain Monfort & Fulvio Pegoraro - Multi-Lag Term Structure Models with Stochastic Risk Premia (RePEc:crs:wpaper:2006-29)
by Alain Monfort & Fulvio Pegoraro - (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution (RePEc:crs:wpaper:2006-31)
by Christian Gourieroux & Alain Monfort - Econometric Asset Pricing Modelling (RePEc:crs:wpaper:2007-18)
by Henri Bertholon & Alain Monfort & Fulvio Pegoraro - Switching VARMA Term Structure Models - Extended Version (RePEc:crs:wpaper:2007-19)
by Alain Monfort & Fulvio Pegoraro - Quadratic Stochastic Intensity and Prospective Mortality Tables (RePEc:crs:wpaper:2007-30)
by Christian Gourieroux & Alain Monfort - Default, Liquidity and Crises : An Econometric Framework (RePEc:crs:wpaper:2010-46)
by Alain Monfort & Jean-Paul Renne - Asset Pricing with Second-Order Esscher Transforms (RePEc:crs:wpaper:2010-54)
by Alain MONFORT & Fulvio PEGORARO - No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth (RePEc:crs:wpaper:2011-03)
by Caroline JARDET & Alain MONFORT & Fulvio PEGORARO - Allocating Systematic and Unsystematic Risks in a Regulatory Perspective (RePEc:crs:wpaper:2011-04)
by Christian GOURIEROUX & Alain MONFORT - Fourth Order Pseudo Maximum Likelihood Methods (RePEc:crs:wpaper:2011-05)
by Alberto HOLLY & Alain MONFORT & Michael ROCKINGER - Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options (RePEc:crs:wpaper:2011-12)
by Alain Monfort & Olivier Féron - Credit and Liquidity Risks in Euro-area Sovereign Yield Curves (RePEc:crs:wpaper:2011-26)
by Alain Monfort & Jean-Paul Renne - Pricing Default Events : Surprise, Exogeneity and Contagion (RePEc:crs:wpaper:2013-03)
by Christian Gouriéroux & Alain Monfort & Jean-Paul Renne - Liquidation Equilibrium with Seniority and Hidden CDO (RePEc:crs:wpaper:2013-06)
by Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort - Regime Switching and Bond Pricing (RePEc:crs:wpaper:2013-48)
by Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne - Revisiting Identification and estimation in Structural VARMA Models (RePEc:crs:wpaper:2014-30)
by Christian Gouriéroux & Alain Monfort - Statistical Inference for Independent Component Analysis (RePEc:crs:wpaper:2015-03)
by Christian Gouriéroux & Alain Monfort - Statistical Inference for Independent Component Analysis: Application to Structural VAR Models (RePEc:crs:wpaper:2016-20)
by Christian Gouriéroux & Alain Monfort & Jean-Paul Renne - Stationary Bubble Equilibria in Rational Expectation Models (RePEc:crs:wpaper:2016-31)
by Christian Gouriéroux & Joann Jasiak & Alain Monfort - Composite Indirect Inference with Application to Corporate Risks (RePEc:crs:wpaper:2016-32)
by Christian Gouriéroux & Alain Monfort - Consistent Pseudo-Maximum Likelihood Estimators (RePEc:crs:wpaper:2016-33)
by Christian Gouriéroux & Alain Monfort & Eric Renault - Composite Indirect Inference with Application (RePEc:crs:wpaper:2017-07)
by Christian Gouriéroux & Alain Monfort - Identification and Estimation in Non-Fundamental Structural VARMA Models (RePEc:crs:wpaper:2017-08)
by Christian Gouriéroux & Alain Monfort & Jean-Paul Renne - Statistical Inference for Independent Component Analysis: Application to Structural VAR Models (RePEc:crs:wpaper:2017-09)
by Christian Gouriéroux & Alain Monfort & Jean-Paul Renne - Consistent Pseudo-Maximum Likelihood Estimators (RePEc:crs:wpaper:2017-10)
by Christian Gouriéroux & Alain Monfort & Eric Renault - Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations (RePEc:crs:wpaper:2018-08)
by Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian - Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion (RePEc:crs:wpaper:2020-01)
by Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET - Econometric Specification of the Risk Neutral Valuation Model (RePEc:crs:wpaper:97-33)
by E, Clement & Christian Gourieroux & Alain Monfort - Modèles de comptage semi-paramétriques (RePEc:crs:wpaper:97-34)
by Christian Gourieroux & Alain Monfort - The Simulated Likelihood Ratio (SLR) Method (RePEc:crs:wpaper:98-21)
by Monica Billio & Alain Monfort & Christian P, Robert - The Econometrics of Efficient Frontiers (RePEc:crs:wpaper:98-34)
by Christian Gourieroux & Alain Monfort - Functional Indirect Inference (RePEc:crs:wpaper:99-01)
by Monica Billio & Alain Monfort - Coherent Incurred Paid (Cip) Models For Claims Reserving (RePEc:cup:astinb:v:48:y:2018:i:02:p:749-777_00)
by Dupin, Gilles & Koenig, Emmanuel & Le Moine, Pierre & Monfort, Alain & Ratiarison, Eric - Statistics and Econometric Models (RePEc:cup:cbooks:9780521405515)
by Gourieroux,Christian & Monfort,Alain - Time Series and Dynamic Models (RePEc:cup:cbooks:9780521411462)
by Gourieroux,Christian & Monfort,Alain - Time Series and Dynamic Models (RePEc:cup:cbooks:9780521423083)
by Gourieroux,Christian & Monfort,Alain - Statistics and Econometric Models (RePEc:cup:cbooks:9780521471626)
by Gourieroux,Christian & Monfort,Alain - Statistics and Econometric Models (RePEc:cup:cbooks:9780521477444)
by Gourieroux,Christian & Monfort,Alain - Statistics and Econometric Models (RePEc:cup:cbooks:9780521477451)
by Gourieroux,Christian & Monfort,Alain - Testing, Encompassing, and Simulating Dynamic Econometric Models (RePEc:cup:etheor:v:11:y:1995:i:02:p:195-228_00)
by Gouriéroux, Christian & Monfort, Alain - A Reappraisal of Misspecified Econometric Models (RePEc:cup:etheor:v:12:y:1996:i:04:p:597-619_00)
by Monfort, Alain - A General Approach to Serial Correlation (RePEc:cup:etheor:v:1:y:1985:i:03:p:315-340_01)
by Gourieroux, C. & Monfort, A. & Trognon, A. - A General Framework for Testing a Null Hypothesis in a “Mixed” Form (RePEc:cup:etheor:v:5:y:1989:i:01:p:63-82_01)
by Gourieroux, C. & Monfort, A. - Regime switching in bond yield and spread dynamics (RePEc:dau:thesis:123456789/13651)
by Renne, Jean-Paul - Non-Negativity, Zero Lower Bound and Affine Interest Rate Models (RePEc:dau:thesis:123456789/15295)
by Roussellet, Guillaume - Disequilibrium Econometrics in Simultaneous Equations Systems (RePEc:ecm:emetrp:v:48:y:1980:i:1:p:75-96)
by Gourieroux, C & Laffont, J-J & Monfort, A - Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes (RePEc:ecm:emetrp:v:48:y:1980:i:3:p:675-95)
by Gourieroux, C & Laffont, J J & Monfort, A - Sufficient Linear Structures: Econometric Applications (RePEc:ecm:emetrp:v:48:y:1980:i:5:p:1083-97)
by Gourieroux, Christian & Monfort, Alain - Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters (RePEc:ecm:emetrp:v:50:y:1982:i:1:p:63-80)
by Gourieroux, Christian & Holly, Alberto & Monfort, Alain - Rational Expectations in Dynamic Linear Models: Analysis of the Solutions (RePEc:ecm:emetrp:v:50:y:1982:i:2:p:409-25)
by Gourieroux, C & Laffont, J J & Monfort, Alain - Pseudo Maximum Likelihood Methods: Theory (RePEc:ecm:emetrp:v:52:y:1984:i:3:p:681-700)
by Gourieroux, Christian & Monfort, Alain & Trognon, Alain - Pseudo Maximum Likelihood Methods: Applications to Poisson Models (RePEc:ecm:emetrp:v:52:y:1984:i:3:p:701-20)
by Gourieroux, Christian & Monfort, Alain & Trognon, Alain - Testing for Common Roots (RePEc:ecm:emetrp:v:57:y:1989:i:1:p:171-85)
by Gourieroux, Christian & Monfort, Alan & Renault, Eric - Required Capital for Long-Run Risks (RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002068)
by Gouriéroux, C. & Monfort, A. & Renne, J.-P. - Testing non-nested hypotheses (RePEc:eee:ecochp:4-44)
by Gourieroux, C. & Monfort, A. - Some useful equivalence properties of Hausman's test (RePEc:eee:ecolet:v:20:y:1986:i:1:p:39-43)
by Holly, Alberto & Monfort, Alain - On the characterization of a joint probability distribution by conditional distributions (RePEc:eee:econom:v:10:y:1979:i:1:p:115-118)
by Gourieroux, Christian & Monfort, Alain - Disequilibrium econometrics in dynamic models (RePEc:eee:econom:v:11:y:1979:i:2-3:p:353-361)
by Laffont, Jean-Jacques & Monfort, Alain - Econometric specification of stochastic discount factor models (RePEc:eee:econom:v:136:y:2007:i:2:p:509-530)
by Gourieroux, C. & Monfort, A. - Fourth order pseudo maximum likelihood methods (RePEc:eee:econom:v:162:y:2011:i:2:p:278-293)
by Holly, Alberto & Monfort, Alain & Rockinger, Michael - Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters (RePEc:eee:econom:v:16:y:1981:i:1:p:166-166)
by Gourieroux, Christian & Holly, Alberto & Monfort, Alain - Asymptotic properties of the maximum likelihood estimator in dichotomous logit models (RePEc:eee:econom:v:17:y:1981:i:1:p:83-97)
by Gourieroux, Christian & Monfort, Alain - Pricing default events: Surprise, exogeneity and contagion (RePEc:eee:econom:v:182:y:2014:i:2:p:397-411)
by Gouriéroux, C. & Monfort, A. & Renne, J.P. - A Quadratic Kalman Filter (RePEc:eee:econom:v:187:y:2015:i:1:p:43-56)
by Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume - Pricing with finite dimensional dependence (RePEc:eee:econom:v:187:y:2015:i:2:p:408-417)
by Gourieroux, C. & Monfort, A. - Statistical inference for independent component analysis: Application to structural VAR models (RePEc:eee:econom:v:196:y:2017:i:1:p:111-126)
by Gouriéroux, Christian & Monfort, Alain & Renne, Jean-Paul - Staying at zero with affine processes: An application to term structure modelling (RePEc:eee:econom:v:201:y:2017:i:2:p:348-366)
by Monfort, Alain & Pegoraro, Fulvio & Renne, Jean-Paul & Roussellet, Guillaume - Stationary bubble equilibria in rational expectation models (RePEc:eee:econom:v:218:y:2020:i:2:p:714-735)
by Gourieroux, C. & Jasiak, J. & Monfort, A. - Testing nested or non-nested hypotheses (RePEc:eee:econom:v:21:y:1983:i:1:p:83-115)
by Gourieroux, Christian & Monfort, Alain & Trognon, Alain - Simulated residuals (RePEc:eee:econom:v:34:y:1987:i:1-2:p:201-252)
by Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain - Generalised residuals (RePEc:eee:econom:v:34:y:1987:i:1-2:p:5-32)
by Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain - Qualitative threshold ARCH models (RePEc:eee:econom:v:52:y:1992:i:1-2:p:159-199)
by Gourieroux, Christian & Monfort, Alain - Simulation-based inference : A survey with special reference to panel data models (RePEc:eee:econom:v:59:y:1993:i:1-2:p:5-33)
by Gourieroux, Christian & Monfort, Alain - First-order identification in linear models (RePEc:eee:econom:v:7:y:1978:i:3:p:333-350)
by Monfort, Alain - Bayesian estimation of switching ARMA models (RePEc:eee:econom:v:93:y:1999:i:2:p:229-255)
by Billio, M. & Monfort, A. & Robert, C. P. - Econometric specification of the risk neutral valuation model (RePEc:eee:econom:v:94:y:2000:i:1-2:p:117-143)
by Clement, E. & Gourieroux, C. & Monfort, A. - Model risk management: Valuation and governance of pseudo-models (RePEc:eee:ecosta:v:17:y:2021:i:c:p:1-22)
by Gourieroux, C. & Monfort, A. - Composite indirect inference with application to corporate risks (RePEc:eee:ecosta:v:7:y:2018:i:c:p:30-45)
by Gourieroux, C. & Monfort, A. - The econometrics of efficient portfolios (RePEc:eee:empfin:v:12:y:2005:i:1:p:1-41)
by Gourieroux, C. & Monfort, A. - Linear-price term structure models (RePEc:eee:empfin:v:24:y:2013:i:c:p:24-41)
by Gourieroux, C. & Monfort, A. - Prepayment analysis for securitization (RePEc:eee:empfin:v:2:y:1995:i:1:p:45-70)
by De Toldi, M. & Gourieroux, C. & Monfort, A. - Quadratic stochastic intensity and prospective mortality tables (RePEc:eee:insuma:v:43:y:2008:i:1:p:174-184)
by Gourieroux, C. & Monfort, A. - Asset pricing with Second-Order Esscher Transforms (RePEc:eee:jbfina:v:36:y:2012:i:6:p:1678-1687)
by Monfort, Alain & Pegoraro, Fulvio - Liquidation equilibrium with seniority and hidden CDO (RePEc:eee:jbfina:v:37:y:2013:i:12:p:5261-5274)
by Gourieroux, C. & Heam, J.C. & Monfort, A. - No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth (RePEc:eee:jbfina:v:37:y:2013:i:2:p:389-402)
by Jardet, Caroline & Monfort, Alain & Pegoraro, Fulvio - Credit and liquidity in interbank rates: A quadratic approach (RePEc:eee:jbfina:v:68:y:2016:i:c:p:29-46)
by Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume - International money and stock market contingent claims (RePEc:eee:jimfin:v:29:y:2010:i:8:p:1727-1751)
by Gourieroux, C. & Monfort, A. & Sufana, R. - Indirect Inference (RePEc:fth:gremaq:92.279)
by Gourieroux, C. & Monfort, A. & Renault, E. - Fourth order pseudo maximum likelihood methods (RePEc:hal:journl:hal-00815562)
by Alberto Holly & Alain Monfort & Michael Rockinger - Model Risk Management: Limits and Future of Bayesian Approaches (RePEc:hal:journl:hal-02952910)
by Jean-Pierre Florens & Christian Gouriéroux & Alain Monfort - Stationary Bubble Equilibria in Rational Expectation Models (RePEc:hal:journl:hal-03330912)
by Christian Gouriéroux & Joann Jasiak & Alain Monfort - Identification and Estimation in Nonfundamental Structural Models (RePEc:hal:journl:hal-03330924)
by Christian Gourieroux & Alain Monfort & Jean-Paul Renne - Required Capital for Long-Run Risks (RePEc:hal:journl:hal-03865173)
by Christian Gourieroux & Alain Monfort & Jean-Paul Renne - Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright (RePEc:hal:journl:hal-04129309)
by Jean-Michel Beacco & Catherine Lubochinsky & Marie Brière & Alain Monfort & Caroline Hillairet & Sylvain Benoît - Taking into account extreme events in European option pricing (RePEc:hal:journl:halshs-00638450)
by Julien Idier & Caroline Jardet & Gaëlle Le Fol & Alain Monfort & Fulvio Pegoraro - Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment (RePEc:ier:iecrev:v:21:y:1980:i:1:p:245-47)
by Gourieroux, Christian & Laffont, Jean-Jacques & Monfort, Alain - Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion (RePEc:inm:ormnsc:v:67:y:2021:i:6:p:3674-3693)
by Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet - From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral (RePEc:jae:japmet:v:5:y:1990:i:3:p:203-27)
by Monfort, A & Rabemananjara, R - Indirect Inference (RePEc:jae:japmet:v:8:y:1993:i:s:p:s85-118)
by Gourieroux, C & Monfort, A & Renault, E - Infrequent Extreme Risks (RePEc:kap:geneva:v:29:y:2004:i:1:p:5-22)
by C. Gourieroux & A. Monfort - Joint econometric modeling of spot electricity prices, forwards and options (RePEc:kap:revdev:v:15:y:2012:i:3:p:217-256)
by Alain Monfort & Olivier Féron - Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes (RePEc:nbr:nberwo:0343)
by C. Gourieroux & Jean-Jacques Laffont & A. Monfort - Microinformation, Nonlinear Filtering, and Granularity (RePEc:oup:jfinec:v:10:y:2010:i:1:p:1-53)
by Patrick Gagliardini & Christian Gouriéroux & Alain Monfort - Default, Liquidity, and Crises: an Econometric Framework (RePEc:oup:jfinec:v:11:y:2013:i:2:p:221-262)
by Alain Monfort & Jean-Paul Renne - Regime Switching and Bond Pricing (RePEc:oup:jfinec:v:12:y:2014:i:2:p:237-277.)
by Christian Gourieroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne - Kernel-Based Indirect Inference (RePEc:oup:jfinec:v:1:y:2003:i:3:p:297-326)
by Monica Billio & Alain Monfort - Affine Models for Credit Risk Analysis (RePEc:oup:jfinec:v:4:y:2006:i:3:p:494-530)
by C. Gourieroux & A. Monfort & V. Polimenis - Switching VARMA Term Structure Models (RePEc:oup:jfinec:v:5:y:2007:i:1:p:105-153)
by Alain Monfort & Fulvio Pegoraro - Econometric Asset Pricing Modelling (RePEc:oup:jfinec:v:6:y:2008:i:4:p:407-458)
by H. Bertholon & A. Monfort & F. Pegoraro - On the Problem of Missing Data in Linear Models (RePEc:oup:restud:v:48:y:1981:i:4:p:579-586.)
by Christian Gourieroux & Alain Monfort - Identification and Estimation in Non-Fundamental Structural VARMA Models (RePEc:oup:restud:v:87:y:2020:i:4:p:1915-1953.)
by Christian Gouriéroux & Alain Monfort & Jean-Paul Renne - Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks (RePEc:oup:revfin:v:18:y:2014:i:6:p:2103-2151.)
by Alain Monfort & Jean-Paul Renne - Disastrous Defaults
[Risk premia and term premia in general equilibrium] (RePEc:oup:revfin:v:25:y:2021:i:6:p:1727-1772.)
by Christian Gouriéroux & Alain Monfort & Sarah Mouabbi & Jean-Paul Renne - Simulation-based Econometric Methods (RePEc:oxp:obooks:9780198774754)
by Gourieroux, Christian & Monfort, Alain - Invited Editorial “The challenges imposed by low interest rates” (RePEc:pal:assmgt:v:20:y:2019:i:6:d:10.1057_s41260-019-00124-6)
by Jean-Michel Beacco & Catherine Lubochinsky & Marie Brière & Alain Monfort & Caroline Hillairet & Sylvain Benoît - Optimal portfolio allocation under asset and surplus VaR constraints (RePEc:pal:assmgt:v:9:y:2008:i:3:d:10.1057_jam.2008.6)
by Alain Monfort - Infrequent Extreme Risks (RePEc:pal:genrir:v:29:y:2004:i:1:p:5-22)
by C. Gourieroux & A. Monfort - Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations (RePEc:pra:mprapa:79623)
by Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel - Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations (RePEc:pra:mprapa:87834)
by Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel - Un modèle agricole à long terme de simulation (RePEc:prs:ecoprv:ecop_0338-4217_1974_num_16_1_2037)
by Jean-Marie Ruch & Alain Monfort & Georges Winter - Quelques développements récents des méthodes macroéconométriques (RePEc:ris:actuec:v:68:y:1992:i:1:p:305-324)
by Monfort, Alain - Modèles de comptage semi-paramétriques (RePEc:ris:actuec:v:73:y:1997:i:1:p:525-550)
by Gouriéroux, Christian & Monfort, Alain - Granularity Adjustment for Efficient Portfolios (RePEc:taf:emetrv:v:32:y:2013:i:4:p:449-468)
by C. Gourieroux & A. Monfort - Disastrous Defaults (RePEc:tse:wpaper:125843)
by Gouriéroux, Christian & Monfort, Alain & Mouabbi, Sarah & Renne, Jean-Paul - Bilateral exposures and systemic solvency risk (RePEc:wly:canjec:v:45:y:2012:i:4:p:1273-1309)
by C. Gouriéroux & J.‐C. Héam & A. Monfort - Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations (RePEc:wly:emetrp:v:87:y:2019:i:1:p:327-345)
by C. Gouriéroux & A. Monfort & J.‐M. Zakoïan - Evaluating Reserve Risk in a Regulatory Perspective (RePEc:wri:journl:v:38:y:2015:i:2:p:157-183)
by Emmanuel Koenig & Pierre Le Moine & Alain Monfort & Eric Ratiarson - Allocating Systemic Risk In A Regulatory Perspective (RePEc:wsi:ijtafx:v:16:y:2013:i:07:n:s0219024913500416)
by C. Gourieroux & A. Monfort