Alain Monfort : Citation Profile


Are you Alain Monfort?

Centre de Recherche en Économie et Statistique (CREST)

25

H index

44

i10 index

3676

Citations

RESEARCH PRODUCTION:

83

Articles

85

Papers

7

Books

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   47 years (1974 - 2021). See details.
   Cites by year: 78
   Journals where Alain Monfort has often published
   Relations with other researchers
   Recent citing documents: 224.    Total self citations: 47 (1.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmo298
   Updated: 2023-01-28    RAS profile: 2023-01-03    
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Relations with other researchers


Works with:

Renne, Jean-Paul (10)

gourieroux, christian (9)

Zakoian, Jean-Michel (4)

Pegoraro, Fulvio (3)

Roussellet, Guillaume (3)

Mouabbi, Sarah (2)

Jasiak, Joann (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Alain Monfort.

Is cited by:

gourieroux, christian (57)

Minford, A. Patrick (54)

Sentana, Enrique (54)

Fiorentini, Gabriele (47)

Calzolari, Giorgio (35)

Renault, Eric (32)

Meenagh, David (31)

Santos Silva, João (31)

van soest, arthur (29)

Dionne, Georges (28)

Tenreyro, Silvana (23)

Cites to:

gourieroux, christian (70)

Pegoraro, Fulvio (32)

Singleton, Kenneth (26)

Garcia, René (24)

Jasiak, Joann (23)

Renault, Eric (23)

Ang, Andrew (20)

Duffie, Darrell (16)

POLIMENIS, VASSILIS (15)

Campbell, John (13)

Hansen, Lars (13)

Main data


Where Alain Monfort has published?


Journals with more than one article published# docs
Journal of Econometrics20
Annals of Economics and Statistics9
Econometrica8
The Journal of Financial Econometrics7
Journal of Banking & Finance4
Econometric Theory4
Journal of Empirical Finance3
L'Actualit Economique2
Review of Economic Studies2
Journal of Applied Econometrics2
Econometrics and Statistics2
Journal of Asset Management2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics38
Post-Print / HAL5
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Alain Monfort (2022 and 2021)


YearTitle of citing document
2022.

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2022Global Shipping Container Disruptions and U.S. Agricultural Exports. (2022). Zhuang, Xiting ; Steinbach, Sandro ; Carter, Colin A. In: Working Papers. RePEc:ags:iatrwp:320397.

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2021COVID-19 Trade Actions in the Agricultural and Food Sector. (2021). Steinbach, Sandro ; Ahn, Soojung. In: Journal of Food Distribution Research. RePEc:ags:jlofdr:317780.

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2022Dynamic Clearing and Contagion in Financial Networks. (2018). Feinstein, Zachary ; Bernstein, Alex ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1801.02091.

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2021Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372.

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2022Informational Content of Factor Structures in Simultaneous Binary Response Models. (2019). Maurel, Arnaud ; Zhang, Yichong ; Khan, Shakeeb. In: Papers. RePEc:arx:papers:1910.01318.

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2021Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games. (2019). Blevins, Jason ; Dearing, Adam. In: Papers. RePEc:arx:papers:1912.10488.

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2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2022Contingent Convertible Obligations and Financial Stability. (2020). Hurd, T R ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2006.01037.

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2022Optimal Network Compression. (2020). Feinstein, Zachary ; Amini, Hamed. In: Papers. RePEc:arx:papers:2008.08733.

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2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2021Identification at the Zero Lower Bound. (2021). Mavroeidis, Sophocles. In: Papers. RePEc:arx:papers:2103.12779.

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2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Deschatre, Thomas. In: Papers. RePEc:arx:papers:2103.16918.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2021MinP Score Tests with an Inequality Constrained Parameter Space. (2021). Yang, Yuhong ; Rahbek, Anders ; Lu, Zeng-Hua ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2107.06089.

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2022Time Series Estimation of the Dynamic Effects of Disaster-Type Shock. (2021). Ng, Serena ; Davis, Richard. In: Papers. RePEc:arx:papers:2107.06663.

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2023Nested Pseudo Likelihood Estimation of Continuous-Time Dynamic Discrete Games. (2021). Blevins, Jason ; Kim, Minhae. In: Papers. RePEc:arx:papers:2108.02182.

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2021Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

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2022Decomposing LIBOR in Transition: Evidence from the Futures Markets. (2022). Skov, Jacob Bjerre ; Skovmand, David. In: Papers. RePEc:arx:papers:2201.06930.

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2022When do you Stop Supporting your Bankrupt Subsidiary?. (2022). Detering, Nils ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:2201.12731.

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2022Long Run Risk in Stationary Structural Vector Autoregressive Models. (2022). Gourieroux, Christian ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2202.09473.

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2023Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685.

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2022Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683.

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2022Time-Varying Poisson Autoregression. (2022). Cavaliere, Giuseppe ; de Angelis, Luca ; D'Innocenzo, Enzo ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2207.11003.

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2022Estimating Option Pricing Models Using a Characteristic Function-Based Linear State Space Representation. (2022). Vladimirov, Evgenii ; Boswijk, Peter H. In: Papers. RePEc:arx:papers:2210.06217.

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2022Whats in a Bill? A Model of Imperfect Moral Hazard in Healthcare. (2022). Zhu, ED ; Anderson, David M ; Hoagland, Alex. In: Papers. RePEc:arx:papers:2211.01116.

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2022Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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2021Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21.

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2021The Cognitive Load of Financing Constraints: Evidence from Large-Scale Wage Surveys. (2021). Lelarge, Claire ; Berson, Clémence ; Lardeux, Raphael. In: Working papers. RePEc:bfr:banfra:836.

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2022Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367.

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2022A transformation?free linear regression for compositional outcomes and predictors. (2022). Datta, Abhirup ; Zeger, Scott ; Fiksel, Jacob. In: Biometrics. RePEc:bla:biomet:v:78:y:2022:i:3:p:974-987.

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2022Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693.

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2021Housing prices, volatility, and fundamental value. (2021). Tomat, Gian Maria. In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:3:n:e12191.

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2021A dynamic factor model approach to incorporate Big Data in state space models for official statistics. (2021). Smeekes, Stephan ; Palm, Franz ; Schiavoni, Caterina ; van den Brakel, Jan. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:1:p:324-353.

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2022Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29.

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2022The beaten paths effect on patient inter?regional mobility: An application to the Italian NHS. (2022). Martini, Gianmaria ; Berta, Paolo ; Vittadini, Giorgio ; Spinelli, Daniele. In: Papers in Regional Science. RePEc:bla:presci:v:101:y:2022:i:4:p:945-977.

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2021Conspicuous consumption and household indebtedness. (2021). Mori, Masaki ; Ok, Kwan. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:s2:p:557-586.

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2021The distribution of city sizes in Turkey: A failure of Zipf’s law due to concavity. (2021). Cieślik, Andrzej ; Cielik, Andrzej ; Duran, Hasan Engin. In: Regional Science Policy & Practice. RePEc:bla:rgscpp:v:13:y:2021:i:5:p:1702-1719.

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2021Non?Gaussian geostatistical modeling using (skew) t processes. (2021). Morales-Oñate, Víctor ; Morales-Onate, Victor ; Moralesoate, Victor ; Arellanovalle, Reinaldo B ; Caamaocarrillo, Christian ; Bevilacqua, Moreno. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:212-245.

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2021Determinants of foreign direct investment from Europe to Asia. (2021). Cieślik, Andrzej ; Cielik, Andrzej. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:6:p:1842-1858.

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2021The importance of supply and demand for oil prices: evidence from non-Gaussianity. (2021). Braun, Robin. In: Bank of England working papers. RePEc:boe:boeewp:0957.

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2022Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171.

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2021Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models. (2021). Blazsek, Szabolcs ; Alvaro, Escribano ; Adrian, Licht ; Szabolcs, Blazsek. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:53-66:n:3.

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2021Machine learning in international trade research - evaluating the impact of trade agreements. (2021). Zylkin, Thomas ; Santos Silva, João ; Rocha, Nadia ; Corradi, Valentina ; Breinlich, Holger ; J. M. C. Santos Silva, ; J. M. C. Santos Silva, ; Ruta, Michele. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1776.

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2021Trade, gravity and aggregation. (2021). Santos Silva, João ; Novy, Dennis ; J. M. C. Santos Silva, ; J. M. C. Santos Silva, ; Breinlich, Holger. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1802.

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2021Endogenous Spatial Production Networks: Quantitative Implications for Trade and Productivity. (2021). Panigrahi, Piyush. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9466.

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2021Moment tests of independent components. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2021_2102.

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2022PML vs minimum ? 2 : the comeback. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2210.

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2022Specification tests for non-Gaussian structural vector autoregressions. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2212.

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2021Spillover Effects in International Business Cycles. (2021). Perez Quiros, Gabriel ; Pacce, Matías ; Perez-Quiros, Gabriel ; Camacho, Maximo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15787.

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2021SVARs With Occasionally-Binding Constraints. (2021). Villalvazo, Sergio ; Schorfheide, Frank ; Aruoba, S. Boragan ; Mlikota, Marko. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15923.

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2021Endogenous Spatial Production Networks: Quantitative Implications for Trade & Productivity. (2021). Panigrahi, Piyush. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2314.

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2021Nonparametric Portfolio Efficiency Measurement with Higher Moments.. (2021). Kruger, Jens. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:130825.

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2021The unbearable lightness of equilibria in a low interest rate environment. (2021). Mavroeidis, Sophocles ; Ascari, Guido. In: Working Papers. RePEc:dnb:dnbwpp:734.

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2021Innovation Performance and the Signal Effect: Evidence from a European Program. (2021). Levratto, Nadine ; Quignon, Aurelien. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-34.

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2021Euro area sovereign bond risk premia during the Covid-19 pandemic. (2021). Grimm, Niklas ; Corradin, Stefano ; Schwaab, Bernd. In: Working Paper Series. RePEc:ecb:ecbwps:20212561.

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2021Bias-corrected Kullback–Leibler distance criterion based model selection with covariables missing at random. (2021). Qin, Jing ; Duan, Xiaogang ; Wang, Qihua ; Wei, Yuting. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:160:y:2021:i:c:s016794732100058x.

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2021Sovereign illiquidity and recessions.. (2021). Gutkowski, Violeta A. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920301974.

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2021The Jacobian of the exponential function. (2021). Sentana, Enrique ; Henk, ; Magnus, Jan R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000579.

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2022Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations. (2022). Skrobotov, Anton ; Karamysheva, Madina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s016518892200063x.

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2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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2022Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US. (2022). Rohloff, Hannes ; Herwartz, Helmut ; Wang, Shu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001622.

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2021Do weather extremes induce people to move? Evidence from Vietnam. (2021). Nguyen, Cuong. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:118-141.

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2021Global intersectoral production network and aggregate fluctuations. (2021). , Anh ; Barauskaite, Kristina. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001668.

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2021Does cultural distance hinder exports?: A comparative study of China and the United States. (2021). Wang, Zhixuan ; Lu, Cuicui ; Liu, Ailan. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002571.

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2022Donor aid allocation and accounting standards of recipients. (2022). Katayama, Hajime ; Takase, Koichi ; Nagae, Akira. In: Economic Modelling. RePEc:eee:ecmode:v:106:y:2022:i:c:s0264999321002911.

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2021New nonlinear estimators of the gravity equation. (2021). Nechi, Salem ; Mnasri, Ayman. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:192-202.

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2022Bias in instrumental-variable estimators of fixed-effect models for count data. (2022). Jochmans, Koen. In: Economics Letters. RePEc:eee:ecolet:v:212:y:2022:i:c:s0165176522000258.

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2021Estimation of a nonparametric model for bond prices from cross-section and time series information. (2021). LINTON, OLIVER ; la Vecchia, Davide ; Koo, Bonsoo. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:562-588.

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2021Missing observations in observation-driven time series models. (2021). Blasques, Francisco ; Koopman, S J ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:542-568.

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2021Generalized aggregation of misspecified models: With an application to asset pricing. (2021). Maasoumi, Esfandiar ; Gospodinov, Nikolay. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:451-467.

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2021Indirect inference for locally stationary models. (2021). Koo, Bonsoo ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:1-27.

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2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

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2021Robust estimation with exponentially tilted Hellinger distance. (2021). Antoine, Bertille ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:2:p:330-344.

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2021Identification of structural vector autoregressions through higher unconditional moments. (2021). Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:27-46.

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2022Robust likelihood estimation of dynamic panel data models. (2022). Arellano, Manuel ; Alvarez, Javier. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:1:p:21-61.

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2022Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

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2022Maximum likelihood estimation for score-driven models. (2022). Lucas, Andre ; Koopman, Siem Jan ; van Brummelen, Janneke ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:325-346.

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2022Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models. (2022). Petrova, Katerina. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:154-182.

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2022Affine arbitrage-free yield net models with application to the euro debt crisis. (2022). Niu, Linlin ; Zhang, Chen ; Hong, Zhiwu. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:201-220.

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2021Kernel-based Volatility Generalised Least Squares. (2021). Petrova, Katerina ; Kapetanios, George ; Chronopoulos, Ilias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:2-11.

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2021Forecasting bubbles with mixed causal-noncausal autoregressive models. (2021). Hecq, Alain ; Voisin, Elisa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:29-45.

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2022An indirect proof for the asymptotic properties of VARMA model estimators. (2022). Melard, Guy. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:96-111.

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2021Firm behavior and pollution in small geographies. (2021). Slechten, Aurelie ; Schiller, Anita R ; McComb, Robert P ; de Silva, Dakshina G. In: European Economic Review. RePEc:eee:eecrev:v:136:y:2021:i:c:s0014292121000957.

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2021Merchants of death: Arms imports and terrorism. (2021). Meierrieks, Daniel ; Auer, Daniel. In: European Economic Review. RePEc:eee:eecrev:v:137:y:2021:i:c:s0014292121001574.

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2021Effects of large gatherings on the COVID-19 epidemic: Evidence from professional and college sports. (2021). Wing, Coady ; Simon, Daniel H ; Minard, Paul ; Carlin, Patrick R. In: Economics & Human Biology. RePEc:eee:ehbiol:v:43:y:2021:i:c:s1570677x21000575.

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2021Household portfolio allocation, uncertainty, and risk. (2021). Spencer, Christopher ; Harris, Mark ; Brown, Sarah ; Gray, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:96-117.

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2021A survey of electricity spot and futures price models for risk management applications. (2021). Gruet, Pierre ; Feron, Olivier ; Deschatre, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003881.

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2022Do energy efficiency improvements reduce energy use? Empirical evidence on the economy-wide rebound effect in Europe and the United States. (2022). Stern, David ; Moneta, Alessio ; Bruns, Stephan ; Berner, Anne. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s014098832200113x.

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2021Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions. (2021). Stern, David ; Moneta, Alessio ; Bruns, Stephan B. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000633.

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2021Interbank funding, bank risk exposure and performance in the UK: A three-stage network DEA approach. (2021). Danso, Albert ; James, Gregory A ; Lartey, Theophilus. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000958.

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2021Leverage and systemic risk pro-cyclicality in the Chinese financial system. (2021). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002210.

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2022Systemic risk in the Chinese financial system: A panel Granger causality analysis. (2022). Urga, Giovanni ; Cincinelli, Peter ; Pellini, Elisabetta. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001405.

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2022The network structure of overnight index swap rates. (2022). Uddin, Ajim ; Taylor, Stephen ; Fang, Ming. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004141.

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2021A survival analysis of public guaranteed loans: Does financial intermediary matter?. (2021). Rossolini, Monica ; Cucinelli, Doriana ; Corbetta, Guido ; Caselli, Stefano. In: Journal of Financial Stability. RePEc:eee:finsta:v:54:y:2021:i:c:s1572308921000401.

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2022An integrated macroprudential stress test of bank liquidity and solvency. (2022). Wolfe, Simon ; Mishra, Tapas ; Gerding, Enrico ; Bakoush, Mohamed. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000377.

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2021Born to be similar? Global isomorphism and the emergence of latecomer business schools. (2021). Yoon, Hyungseok ; Lee, Sangho ; Wei, Yingqi ; Belkhouja, Mustapha. In: International Business Review. RePEc:eee:iburev:v:30:y:2021:i:5:s0969593121000706.

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2022Systemic risk: Conditional distortion risk measures. (2022). Laeven, Roger ; Zhang, Yiying ; Dhaene, Jan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:102:y:2022:i:c:p:126-145.

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2021Longevity risk and capital markets: The 2019-20 update. (2021). , Andrew ; Blake, David. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:99:y:2021:i:c:p:395-439.

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2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

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More than 100 citations found, this list is not complete...

Alain Monfort has edited the books:


YearTitleTypeCited

Works by Alain Monfort:


YearTitleTypeCited
1987Kullback Causality Measures In: Annals of Economics and Statistics.
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article17
1991Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics.
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article23
1993Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics.
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article4
1995Linear Factor Models and the Term Structure of Interest Rates In: Annals of Economics and Statistics.
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article0
2006Pricing with Splines In: Annals of Economics and Statistics.
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article2
2002Pricing with Splines.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2013Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model In: Annals of Economics and Statistics.
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article1
2017Introduction In: Annals of Economics and Statistics.
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article1
2017Consistent Pseudo-Maximum Likelihood Estimators In: Annals of Economics and Statistics.
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article1
2016Consistent Pseudo-Maximum Likelihood Estimators.(2016) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2017Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2019Model Risk Management: Limits and Future of Bayesian Approaches In: Annals of Economics and Statistics.
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article0
2019Model Risk Management: Limits and Future of Bayesian Approaches.(2019) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2007Pricing and Inference with Mixtures of Conditionally Normal Processes. In: Working papers.
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paper31
2006Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 31
paper
2007Multi-Lag Term Structure Models with Stochastic Risk Premia. In: Working papers.
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paper0
2006Multi-Lag Term Structure Models with Stochastic Risk Premia.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2007Switching VARMA Term Structure Models - Extended Version. In: Working papers.
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paper8
2007Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2008Econometric Asset Pricing Modelling. In: Working papers.
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paper19
2007Econometric Asset Pricing Modelling.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 19
paper
2008Econometric Asset Pricing Modelling.(2008) In: The Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 19
article
2009No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers.
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paper33
2011No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 33
paper
2013No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
article
2009New Information Response Functions. In: Working papers.
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paper6
2009Une modélisation séquentielle de la VaR In: Working papers.
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paper1
2009Optimal Portfolio Allocation under Asset and Surplus VaR Constraints In: Working papers.
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paper4
2008Optimal portfolio allocation under asset and surplus VaR constraints.(2008) In: Journal of Asset Management.
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This paper has another version. Agregated cites: 4
article
2011Default, liquidity and crises: an econometric framework In: Working papers.
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paper5
2010Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 5
paper
2013Default, Liquidity, and Crises: an Econometric Framework.(2013) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2011Credit and liquidity risks in euro area sovereign yield curves In: Working papers.
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paper13
2011Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2012Asset Pricing with Second-Order Esscher Transforms. In: Working papers.
[Full Text][Citation analysis]
paper14
2010Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
2012Asset pricing with Second-Order Esscher Transforms.(2012) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
[Full Text][Citation analysis]
paper40
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
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This paper has another version. Agregated cites: 40
article
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
[Full Text][Citation analysis]
paper19
2016Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
[Full Text][Citation analysis]
paper10
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2013Regime Switching and Bond Pricing. In: Working papers.
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paper3
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2014Regime Switching and Bond Pricing.(2014) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2014A Quadratic Kalman Filter In: Working papers.
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paper5
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
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paper30
2017Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque.
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This paper has another version. Agregated cites: 30
article
2017Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 30
article
2020Disastrous Defaults In: Working papers.
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paper1
2021Disastrous Defaults.(2021) In: TSE Working Papers.
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This paper has another version. Agregated cites: 1
paper
2008Taking into account extreme events in European option pricing. In: Financial Stability Review.
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article1
2008Taking into account extreme events in European option pricing.(2008) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009Fourth Order Pseudo Maximum Likelihood Methods In: Swiss Finance Institute Research Paper Series.
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paper7
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 7
paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2011Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2010Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series.
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paper3
2010Microinformation, Nonlinear Filtering, and Granularity.(2010) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
1981Pseudo maximum likelihood methods : theory In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper516
1984Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 516
article
1982Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange).
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paper669
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 669
article
1982Revision adaptative des anticipations et convergence vers les anticipations rationnelles In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1982Estimation and test in probit models with serial correlation In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper3
1984General approach of serial correlation (a). In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper38
1985A General Approach to Serial Correlation.(1985) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38
article
1985Simulated residuals In: CEPREMAP Working Papers (Couverture Orange).
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paper21
1987Simulated residuals.(1987) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
article
1985Testing unknown linear restrictions on parameter functions In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper1
1987Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper2
1991Qualitative threshold arch models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper68
1992Qualitative threshold ARCH models.(1992) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 68
article
1991Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1991Modèles de durée et effets de génération In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1993Modèles linéaires à facteurs et structure à terme des taux dintérêt In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1993Prévision de mesures de prix contingents In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1994Kernel m-estimators : non parametric diagnostics for structural models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper2
1994Testing, encompassing and simulating dynamic econometric models In: CEPREMAP Working Papers (Couverture Orange).
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paper26
1995Testing, Encompassing, and Simulating Dynamic Econometric Models.(1995) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26
article
1997Econometric specification of the risk neutral valuation model In: CEPREMAP Working Papers (Couverture Orange).
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paper5
1997Econometric Specification of the Risk Neutral Valuation Model.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2000Econometric specification of the risk neutral valuation model.(2000) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2003Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper65
2002Affine Term Structure Models In: Working Papers.
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paper15
2002Equidependence in Qualitative and Duration Models with Application to Credit Risk In: Working Papers.
[Full Text][Citation analysis]
paper3
2005International Money and Stock Market Contingent Claims In: Working Papers.
[Full Text][Citation analysis]
paper9
2010International money and stock market contingent claims.(2010) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2005Affine Model for Credit Risk Analysis In: Working Papers.
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paper16
2006Affine Models for Credit Risk Analysis.(2006) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
2006(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution In: Working Papers.
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paper11
2007Quadratic Stochastic Intensity and Prospective Mortality Tables In: Working Papers.
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paper6
2008Quadratic stochastic intensity and prospective mortality tables.(2008) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 6
article
2011Allocating Systematic and Unsystematic Risks in a Regulatory Perspective In: Working Papers.
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paper4
2011Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options In: Working Papers.
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paper4
2012Joint econometric modeling of spot electricity prices, forwards and options.(2012) In: Review of Derivatives Research.
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This paper has another version. Agregated cites: 4
article
2013Liquidation Equilibrium with Seniority and Hidden CDO In: Working Papers.
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paper13
2013Liquidation equilibrium with seniority and hidden CDO.(2013) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 13
article
2014Revisiting Identification and estimation in Structural VARMA Models In: Working Papers.
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paper4
2015Statistical Inference for Independent Component Analysis In: Working Papers.
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paper0
2016Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers.
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paper63
2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 63
paper
2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
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article
2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
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paper6
2020Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics.
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article
2020Stationary Bubble Equilibria in Rational Expectation Models.(2020) In: Post-Print.
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2016Composite Indirect Inference with Application to Corporate Risks In: Working Papers.
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paper3
2018Composite indirect inference with application to corporate risks.(2018) In: Econometrics and Statistics.
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2017Composite Indirect Inference with Application In: Working Papers.
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2017Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers.
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2020Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: Review of Economic Studies.
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2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers.
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2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
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2019Consistent Pseudo?Maximum Likelihood Estimators and Groups of Transformations.(2019) In: Econometrica.
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2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
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1997Modèles de comptage semi-paramétriques In: Working Papers.
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1997Modèles de comptage semi-paramétriques.(1997) In: L'Actualité Economique.
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article
1998The Simulated Likelihood Ratio (SLR) Method In: Working Papers.
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paper5
1998The Econometrics of Efficient Frontiers In: Working Papers.
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paper1
1999Functional Indirect Inference In: Working Papers.
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2018COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING In: ASTIN Bulletin.
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article0
1995Statistics and Econometric Models In: Cambridge Books.
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book193
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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This paper has another version. Agregated cites: 193
book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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book
1997Time Series and Dynamic Models In: Cambridge Books.
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book71
1997Time Series and Dynamic Models.(1997) In: Cambridge Books.
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1996A Reappraisal of Misspecified Econometric Models In: Econometric Theory.
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1989A General Framework for Testing a Null Hypothesis in a “Mixed” Form In: Econometric Theory.
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1980Disequilibrium Econometrics in Simultaneous Equations Systems. In: Econometrica.
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1980Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica.
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1979Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers.
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1980Sufficient Linear Structures: Econometric Applications. In: Econometrica.
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1982Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters. In: Econometrica.
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1982Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica.
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article47
1989Testing for Common Roots. In: Econometrica.
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1986Testing non-nested hypotheses In: Handbook of Econometrics.
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chapter8
1986Some useful equivalence properties of Hausmans test In: Economics Letters.
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article9
1979On the characterization of a joint probability distribution by conditional distributions In: Journal of Econometrics.
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1979Disequilibrium econometrics in dynamic models In: Journal of Econometrics.
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article8
2007Econometric specification of stochastic discount factor models In: Journal of Econometrics.
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article28
1981Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters In: Journal of Econometrics.
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1981Asymptotic properties of the maximum likelihood estimator in dichotomous logit models In: Journal of Econometrics.
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2015Pricing with finite dimensional dependence In: Journal of Econometrics.
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1983Testing nested or non-nested hypotheses In: Journal of Econometrics.
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article27
1987Generalised residuals In: Journal of Econometrics.
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article203
1993Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics.
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article149
1978First-order identification in linear models In: Journal of Econometrics.
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1999Bayesian estimation of switching ARMA models In: Journal of Econometrics.
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2021Model risk management: Valuation and governance of pseudo-models In: Econometrics and Statistics.
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2005The econometrics of efficient portfolios In: Journal of Empirical Finance.
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2013Linear-price term structure models In: Journal of Empirical Finance.
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1995Prepayment analysis for securitization In: Journal of Empirical Finance.
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1992Indirect Inference. In: Toulouse - GREMAQ.
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1993Indirect Inference..(1993) In: Journal of Applied Econometrics.
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2020Identification and Estimation in Nonfundamental Structural Models In: Post-Print.
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1980Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment. In: International Economic Review.
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1990From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral. In: Journal of Applied Econometrics.
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2004Infrequent Extreme Risks In: The Geneva Papers on Risk and Insurance Theory.
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2004Infrequent Extreme Risks.(2004) In: The Geneva Risk and Insurance Review.
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2003Kernel-Based Indirect Inference In: The Journal of Financial Econometrics.
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2007Switching VARMA Term Structure Models In: The Journal of Financial Econometrics.
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1981On the Problem of Missing Data in Linear Models In: Review of Economic Studies.
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2014Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance.
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1997Simulation-based Econometric Methods In: OUP Catalogue.
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2019Invited Editorial “The challenges imposed by low interest rates” In: Journal of Asset Management.
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2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations In: MPRA Paper.
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1974Un modèle agricole à long terme de simulation In: Économie et Prévision.
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1992Quelques développements récents des méthodes macroéconométriques In: L'Actualité Economique.
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2013Granularity Adjustment for Efficient Portfolios In: Econometric Reviews.
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2015Evaluating Reserve Risk in a Regulatory Perspective In: Journal of Insurance Issues.
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2013ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF).
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