A. Monfort

发表

Non-Gaussian State-Space Modeling of Nonstationary Time Series

C. Gouriéroux, A. Monfort, É. Renault, 2008 .

Switching state-space models likelihood function, filtering and smoothing

A. Monfort, Monica Billio, 1998 .

PSEUDO MAXIMUM LIKELIHOOD METHODS: THEORY

C. Gouriéroux, A. Monfort, A. Trognon, 1984 .

Bayesian estimation of switching ARMA models

C. Robert, A. Monfort, Monica Billio, 1999, Journal of Econometrics.

Simulation-based econometric methods

Christian Gourieroux, Alain Monfort, C. Gouriéroux, 1996 .

Kernel m-estimators: non parametric diagnostics for structural models

C. Gouriéroux, A. Monfort, C. Tenreiro, 1994 .

Kullback Causality Measures

C. Gouriéroux, A. Monfort, É. Renault, 1987 .

Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters

C. Gouriéroux, A. Monfort, A. Holly, 1982 .

Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters

C. Gouriéroux, A. Monfort, A. Holly, 1981 .

A General Approach to Serial Correlation

Alain Monfort, Christian Gourieroux, Alain Trognon, 1985, Econometric Theory.

Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations

C. Gouriéroux, A. Monfort, J. Zakoian, 2017 .

Pseudo Maximum Likelihood Methods: Applications to Poisson Models

C. Gourieroux, C. Gouriéroux, A. Monfort, 1984 .

DISEQUILIBRIUM ECONOMETRICS IN SIMULTANEOUS EQUATIONS SYSTEMS

Alain Monfort, Christian Gourieroux, Jean-Jacques Laffont, 1980 .

Fourth Order Pseudo Maximum Likelihood Methods

A. Monfort, M. Rockinger, A. Holly, 2008 .

Fourth Order Pseudo Maximum Likelihood Methods

A. Monfort, M. Rockinger, A. Holly, 2008 .

Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form

C. Gouriéroux, A. Monfort, É. Renault, 1996 .

A Reappraisal of Misspecified Econometric Models

A. Monfort, 1996, Econometric Theory.

Chapter 44 Testing non-nested hypotheses

C. Gouriéroux, A. Monfort, 1994 .

Qualitative threshold arch models

C. Gouriéroux, A. Monfort, 1992 .

Pricing with finite dimensional dependence

C. Gouriéroux, A. Monfort, 2015 .

Switching Varma Term Structure Models - Extended Version

A. Monfort, F. Pegoraro, 2006 .

Switching Varma Term Structure Models - Extended Version

A. Monfort, F. Pegoraro, 2006 .

Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution

C. Gouriéroux, A. Monfort, 2006 .

Simulation-based inference: A survey with special reference to panel data models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1993 .

THE SIMULATED LIKELIHOOD RATIO METHOD

C. Robert, A. Monfort, Monica Billio, 2002 .

THE SIMULATED LIKELIHOOD RATIO ( SLR ) METHODM

C. Robert, A. Monfort, Monica Billio, 1998 .

Statistical Inference for Independent Component Analysis: Application to Structural VAR Models

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2017 .

Fourth Order Pseudo Maximum Likelihood Methods

A. Monfort, M. Rockinger, A. Holly, 2008 .

The econometrics of efficient portfolios

C. Gouriéroux, A. Monfort, 2005 .

A Quadratic Kalman Filter

A. Monfort, Jean-Paul Renne, Guillaume Roussellet, 2014 .

Simulation Based Inference in Models with Heterogeneity

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1990 .

Identification and Estimation in Non-Fundamental Structural VARMA Models

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2019, The Review of Economic Studies.

Stationary bubble equilibria in rational expectation models

C. Gouriéroux, A. Monfort, J. Jasiak, 2020 .

Revisiting Identification and estimation in Structural VARMA Models

C. Gouriéroux, A. Monfort, 2014 .

Quadratic stochastic intensity and prospective mortality tables

C. Gouriéroux, A. Monfort, 2008 .

Prepayment analysis for securitization

C. Gouriéroux, A. Monfort, M. Toldi, 1995 .

Testing unknown linear restrictions on parameter functions

C. Gouriéroux, A. Monfort, É. Renault, 1985 .

No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

A. Monfort, F. Pegoraro, C. Jardet, 2009 .

Exogenous and Endogenous Sampling

A. Monfort, 1991, Econometric Theory.

Disastrous Defaults

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2020, Review of Finance.

Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment

J. Laffont, C. Gouriéroux, A. Monfort, 1980 .

Sufficient Linear Structures: Econometric Applications

C. Gouriéroux, A. Monfort, 1980 .

The Econometrics of Efficient Frontiers

C. Gouriéroux, A. Monfort, 1998 .

COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING

A. Monfort, G. Dupin, E. Koenig, 2017, ASTIN Bulletin.

The Double Default Value-of-the-Firm Model

C. Gouriéroux, A. Monfort, 2016 .

Joint econometric modeling of spot electricity prices, forwards and options

A. Monfort, O. Féron, 2012, Review of Derivatives Research.

Statistical Inference for Independent Component Analysis

C. Gouriéroux, A. Monfort, 2015 .

A General Framework for Testing a Null Hypothesis in a “Mixed” Form

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1989, Econometric Theory.

Infrequent Extreme Risks

C. Gouriéroux, A. Monfort, 2004 .

Econometric specification of the risk neutral valuation model

C. Gouriéroux, A. Monfort, E. Clement, 2000 .

Testing for Common Roots

C. Gouriéroux, A. Monfort, É. Renault, 1989 .

Rational Expectations in Dynamic Linear Models: Analysis of the Solutions

Alain Monfort, Christian Gourieroux, Jean-Jacques Laffont, 1982 .

Consistent pseudo-maximum likelihood estimators

C. Gouriéroux, A. Monfort, É. Renault, 2017 .

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

A. Monfort, F. Pegoraro, Jean-Paul Renne, 2016 .

Pricing Default Events: Surprise, Exogeneity and Contagion

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2013 .

From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral

A. Monfort, R. Rabemananjara, 1990 .

Affine Models for Credit Risk Analysis

Christian Gourieroux, Alain Monfort, Vassilis Polimenis, 2006 .

ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2013 .

Estimation par la méthode du pseudo-maximum de vraisemblance

C. Gouriéroux, A. Monfort, A. Trognon, 1983 .

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations

C. Gouriéroux, A. Monfort, J. Zakoian, 2019, Econometrica.

Persistence, Bias, Prediction and Averaging Estimators

A. Monfort, F. Pegoraro, C. Jardet, 2009 .

A Nonparametric Approach to Derivative Asset Pricing

A. Monfort, J. Theal, 2005 .

Model risk management: Valuation and governance of pseudo-models

Christian Gourieroux, A. Monfort, C. Gouriéroux, 2020 .

First-order identification in linear models

A. Monfort, 1978 .

Statistics and econometric models

Christian Gourieroux, Alain Monfort, C. Gouriéroux, 1995 .

Econometric specification of stochastic discount factor models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2007 .

Pricing with Splines

C. Gouriéroux, A. Monfort, 2006 .

Credit and Liquidity in Interbank Rates: A Quadratic Approach

A. Monfort, Jean-Paul Renne, S. Dubecq, 2016 .

BILINEAR TERM STRUCTURE MODEL

C. Gouriéroux, A. Monfort, 2010 .

Asset Pricing with Second-Order Esscher Transforms

Alain Monfort, A. Monfort, F. Pegoraro, 2010 .

Testing, Encompassing, and Simulating Dynamic Econometric Models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1995, Econometric Theory.

12 Pseudo-likelihood methods

C. Gouriéroux, A. Monfort, 1993 .

Testing nested or non-nested hypotheses

Alain Monfort, Christian Gourieroux, Alain Trognon, 1983 .

The Simulated Likelihood Ratio (SLR) Method

Alain Monfort, Christian P. Robert, Monica Billio, 1998 .

Is Economic Activity in the G7 Synchronized? Common Shocks Versus Spillover Effects

A. Monfort, G. Vitale, Jean-Paul Renne, 2003 .

Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks

Alain Monfort, Jean-Paul Renne, A. Monfort, 2014 .

Credit and liquidity risks in euro-area sovereign yield curves∗

A. Monfort, Jean-Paul Renne, 2011 .

Default, Liquidity and Crises: An Econometric Framework

A. Monfort, Jean-Paul Renne, 2011 .

DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES CREDIT AND LIQUIDITY RISKS IN EURO-AERA SOVEREIGN YIELD CURVES

A. Monfort, Jean-Paul Renne, 2007 .

New Information Response Functions

A. Monfort, F. Pegoraro, C. Jardet, 2009 .

Linear Factor Models and the Term Structure of Interest Rates

C. Gouriéroux, A. Monfort, E. Clement, 1995 .

Time Series And Dynamic Models

Christian Gourieroux, Alain Monfort, C. Gouriéroux, 1996 .

Pricing and Inference with Mixtures of Conditionally Normal Processes

Alain Monfort, Henri Bertholon, A. Monfort, 2007 .

Regime Switching and Bond Pricing

C. Gouriéroux, A. Monfort, F. Pegoraro, 2013 .

Regime Switching and Bond Pricing

C. Gouriéroux, A. Monfort, F. Pegoraro, 2013 .

Granularity Adjustment for Efficient Portfolios

C. Gouriéroux, A. Monfort, 2013 .

Microinformation, Nonlinear Filtering and Granularity

Alain Monfort, Christian Gourieroux, Patrick Gagliardini, 2010 .

Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes

Alain Monfort, Christian Gourieroux, Jean-Jacques Laffont, 1979 .

DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES A TERM STRUCTURE MODEL WITH LEVEL FACTOR CANNOT BE REALISTIC AND ARBITRAGE FREE Simon Dubecq and Christian Gourieroux

A. Monfort, J. Ingersoll, Z. Grbac, 2012 .

Joint econometric modeling of spot electricity prices, forwards and options

A. Monfort, O. Féron, 2012 .

Taking into account extreme events in European option pricing

A. Monfort, J. Idier, G. L. Fol, 2008 .

Bilateral Exposures and Systemic Solvency Risk

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2012 .

International Money and Stock Market Contingent Claims

C. Gouriéroux, A. Monfort, R. Sufana, 2010 .

Econometric Asset Pricing Modelling

A. Monfort, H. Bertholon, F. Pegoraro, 2008 .

Multi-Lag Term Structure Models with Stochastic Risk Premia

A. Monfort, F. Pegoraro, 2007 .

Credit and Liquidity Risks in Euro Area Sovereign Yield Curves

A. Monfort, Jean-Paul Renne, 2011 .

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

A. Monfort, F. Pegoraro, Jean-Paul Renne, 2017 .

DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES STAYING AT ZERO WITH AFFINE PROCESSES: AN APPLICATION TO TERM STRUCTURE MODELLING

A. Monfort, F. Pegoraro, Jean-Paul Renne, 2015 .

Optimal portfolio allocation under asset and surplus VaR constraints

A. Monfort, 2009 .

Liquidation equilibrium with seniority and hidden CDO

C. Gouriéroux, A. Monfort, J. Héam, 2013 .

Bilateral Exposures and Systemic Solvency Risk (Expositions Bilatérales Et Risque Systémique Pour La Solvabilité)

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2012 .

Required Capital for Long-run Risks

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2021, SSRN Electronic Journal.

A Quadratic Kalman Filter

A. Monfort, Jean-Paul Renne, Guillaume Roussellet, 2014 .

Staying at Zero with Affine Processes: An Application to Term Structure Modelling

A. Monfort, F. Pegoraro, Jean-Paul Renne, 2016 .

Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion

Alain MONFORT, Fulvio PEGORARO, Jean-Paul RENNE, 2020, Manag. Sci..

Regime Switching and Bond Pricing

C. Gouriéroux, A. Monfort, F. Pegoraro, 2014 .

Credit and liquidity risks in euro-area sovereign yield curves∗

A. Monfort, Jean-Paul Renne, 2011 .

A Quadratic Kalman Filter

A. Monfort, Jean-Paul Renne, Guillaume Roussellet, 2014 .

DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE

C. Gouriéroux, A. Monfort, 2010 .

Dynamic Conditional Beta

J. Wooldridge, R. Engle, A. Monfort, 2014 .

The Risk of Random Sets with Applications to Basket Derivatives

C. Gouriéroux, A. Monfort, Yangqiao Lu, 2023, SSRN Electronic Journal.

Financial Valuation and Risk Management Working Paper No . 620 Microinformation , Nonlinear Filtering and Granularity

C. Gouriéroux, A. Monfort, 2010 .

EQUATION MODELS WITH ENDOGENOUS SWITCHING REGIMES

J. Laffont, C. Gouriéroux, A. Monfort, 1980 .

Asset Pricing with Second-Order Esscher Transforms

A. Monfort, F. Pegoraro, 2010 .

On the Problem of Missing Data in Linear Models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1981 .

Default, Liquidity and Crises: An Econometric Framework

A. Monfort, Jean-Paul Renne, 2011 .

Série Scientifique Scientific Series Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors

Jean-Marie Dufour, A. Monfort, J. Jasiak, 2022 .

Disequilibrium econometrics in dynamic models

Alain Monfort, Jean-Jacques Laffont, J. Laffont, 1979 .

Default , liquidity and crises : an econometric framework ∗

A. Monfort, Jean-Paul Renne, Alain Monfort, 2010 .

Multi-Lag Term Structure Models with Stochastic Risk Premia

A. Monfort, F. Pegoraro, 2007 .

Granularity in a qualitative factor model

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2009 .

Allocating Systematic and Unsystematic Risks in a Regulatory Perspective

C. Gouriéroux, A. Monfort, 2011 .

Decomposing euro-area sovereign spreads : credit and liquidity risks ∗

A. Monfort, Jean-Paul Renne, Alain Monfort, 2022 .

Asymptotic properties of the maximum likelihood estimator in dichotomous logit models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1981 .

Econometric inference using simulation techniques

Herman K. van Dijk, Alain Monfort, Bryan W. Brown, 1995 .