Alain Monfort : Citation Profile


Are you Alain Monfort?

Centre de Recherche en Économie et Statistique (CREST)

22

H index

38

i10 index

3113

Citations

RESEARCH PRODUCTION:

83

Articles

86

Papers

7

Books

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   47 years (1974 - 2021). See details.
   Cites by year: 66
   Journals where Alain Monfort has often published
   Relations with other researchers
   Recent citing documents: 163.    Total self citations: 46 (1.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo298
   Updated: 2021-10-16    RAS profile: 2021-10-14    
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Relations with other researchers


Works with:

gourieroux, christian (13)

Renne, Jean-Paul (10)

Zakoian, Jean-Michel (4)

Roussellet, Guillaume (4)

Pegoraro, Fulvio (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:

Minford, A. Patrick (53)

gourieroux, christian (53)

Sentana, Enrique (46)

Fiorentini, Gabriele (43)

Calzolari, Giorgio (33)

Meenagh, David (31)

Renault, Eric (31)

Dionne, Georges (27)

Santos Silva, João (25)

van soest, arthur (23)

Stentoft, Lars (22)

Cites to:

gourieroux, christian (63)

Pegoraro, Fulvio (32)

Singleton, Kenneth (23)

Ang, Andrew (20)

Garcia, René (16)

Duffie, Darrell (16)

POLIMENIS, VASSILIS (15)

Jasiak, Joann (14)

Renault, Eric (13)

Jarrow, Robert (12)

Bekaert, Geert (11)

Main data


Where Alain Monfort has published?


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

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics38
Post-Print / HAL6
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Alain Monfort (2021 and 2020)


YearTitle of citing document
2020Structural Estimation of a Gravity Model of Trade with the Constant-Difference-of-Elasticities Preferences. (2020). Yang, Anton C. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304636.

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2020Dynamic score driven independent component analysis. (2020). Hafner, Christian ; Herwartz, Helmut. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020031.

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2021Dynamic 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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2020A multi-factor polynomial framework for long-term electricity forwards with delivery period. (2019). Regez, Markus ; Larsson, Martin ; Komaric, Vlatka ; Kleisinger-Yu, XI. In: Papers. RePEc:arx:papers:1908.08954.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

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2020Frequentist Shrinkage under Inequality Constraints. (2020). Bakhitov, Edvard. In: Papers. RePEc:arx:papers:2001.10586.

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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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2020The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04369.

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2020Microeconometrics with Partial Identification. (2020). Molinari, Francesca. In: Papers. RePEc:arx:papers:2004.11751.

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2021Contingent Convertible Obligations and Financial Stability. (2020). Hurd, T R ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2006.01037.

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2020Approximate Maximum Likelihood for Complex Structural Models. (2020). Frazier, David T ; Czellar, Veronika ; Renault, Eric. In: Papers. RePEc:arx:papers:2006.10245.

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2021Optimal Network Compression. (2020). Feinstein, Zachary ; Amini, Hamed. In: Papers. RePEc:arx:papers:2008.08733.

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

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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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2020Securities cross-holding in the Colombian financial system: A topological approach. (2020). León, Carlos ; Miguelez, Javier ; Leon, Carlos. In: Borradores de Economia. RePEc:bdr:borrec:1134.

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2020SOCIAL INVESTMENT AND YOUTH LABOR MARKET PARTICIPATION. (2020). Giannetti, Caterina ; Ecchia, Giulio ; Gagliardi, Francesca. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:38:y:2020:i:2:p:343-358.

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2020Market Power and Patent Strategies: Evidence from Renaissance Venice. (2020). graziano, clara ; Galasso, Alberto ; Comino, Stefano. In: Journal of Industrial Economics. RePEc:bla:jindec:v:68:y:2020:i:2:p:226-269.

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2020Robust estimation of stationary continuous‐time arma models via indirect inference. (2020). Kimmig, Sebastian ; Fasenhartmann, Vicky. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:620-651.

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2020A term structure model for dividends and interest rates. (2020). Willems, Sander ; Filipovi, Damir. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1461-1496.

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2020Overeducation and overskilling in the early careers of PhD graduates: Does international migration reduce labour market mismatch?. (2020). Grassi, Emanuele ; Ghosh, Sucharita. In: Papers in Regional Science. RePEc:bla:presci:v:99:y:2020:i:4:p:915-944.

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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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2020Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System. (2020). Edenhofer, Ottmar ; Friedrich, Marina ; Pahle, Michael ; Fries, Sebastien . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8637.

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2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions. (2020). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2020_2023.

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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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2020Unbundling Polarization. (2020). Trebbi, Francesco ; Kendall, Chad ; Canen, Nathan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14291.

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2020Information and Communication Technology and Intra-Regional Trade in the Economic Community of West African States: Ambivalent or Complementary?. (2020). Nguenkwe, Ronie Bertrand ; Epo, Boniface Ngah. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-01114.

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2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

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2020Spillover effects in international business cycles. (2020). Pacce, Matías ; Camacho, Maximo ; Perez-Quiros, Gabriel. In: Working Paper Series. RePEc:ecb:ecbwps:20202484.

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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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2020The construction of high-speed railway and urban innovation capacity: Based on the perspective of knowledge Spillover. (2020). Cai, Siyuan ; Wang, Jiating. In: China Economic Review. RePEc:eee:chieco:v:63:y:2020:i:c:s1043951x2030136x.

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2020Institutional investors and post-ICO performance: an empirical analysis of investor returns in initial coin offerings (ICOs). (2020). Momtaz, Paul P ; Fisch, Christian. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301231.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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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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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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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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2020Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads. (2020). Tsuruta, Masaru. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818306818.

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2020Water Resources as Determinants for Foreign Direct Investments in Land - A Gravity Analysis of Foreign Land Acquisitions. (2020). Hirsch, Cornelius ; See, Linda ; Krisztin, Tamas. In: Ecological Economics. RePEc:eee:ecolec:v:170:y:2020:i:c:s0921800919304252.

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2020Semiparametric quasi maximum likelihood estimation of the fractional response model. (2020). Montoya-Blandón, Santiago ; Jacho-Chávez, David ; Jacho-Chavez, David T ; Montoya-Blandon, Santiago. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303866.

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2020On the consistency of the logistic quasi-MLE under conditional symmetry. (2020). Wooldridge, Jeffrey M. In: Economics Letters. RePEc:eee:ecolet:v:194:y:2020:i:c:s0165176520302317.

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2020Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183.

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2020Determining individual or time effects in panel data models. (2020). Su, Liangjun ; Lu, Xun. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:60-83.

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2020Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70.

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2020Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Fusari, Nicola ; Barone-Adesi, Giovanni ; Sala, Carlo ; Mira, Antonietta. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449.

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2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

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2020Inference in second-order identified models. (2020). Kleibergen, Frank ; Hall, Alastair R ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:346-372.

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2020A Simple R-estimation method for semiparametric duration models. (2020). la Vecchia, Davide ; Hallin, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:736-749.

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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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2020GMM estimation of affine term structure models. (2020). Hlouskova, Jaroslava ; Sogner, Leopold. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:2-15.

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2020Identification of independent structural shocks in the presence of multiple Gaussian components. (2020). Maxand, Simone. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:55-68.

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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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2020The effect of monetary policy on bank competition using the Boone index. (2020). Glass, Anthony J ; Weyman-Jones, Thomas ; Kenjegalieva, Karligash. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1070-1087.

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2020Uncovering spatial productivity centers using asymmetric bidirectional spillovers. (2020). Kenjegalieva, Karligash ; Glass, Anthony J ; Douch, Mustapha. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:2:p:767-788.

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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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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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2020Public Procurement of Innovation: Evidence from a German Legislative Reform. (2020). Hünermund, Paul ; Czarnitzki, Dirk ; Moshgbar, Nima ; Hunermund, Paul. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:71:y:2020:i:c:s0167718720300436.

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2020Empirical analysis and forecasting of multiple yield curves. (2020). Lutkebohmert, Eva ; Gerhart, Christoph. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:95:y:2020:i:c:p:59-78.

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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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2020Modelling extremal dependence for operational risk by a bipartite graph. (2020). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620301217.

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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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2021When COVID-19 and guns meet: A rise in shootings. (2021). Phillips, Scott W ; Kim, Dae-Young. In: Journal of Criminal Justice. RePEc:eee:jcjust:v:73:y:2021:i:c:s0047235221000039.

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2020The central banks’ ability to control variability of money market interest rates: The case of inflation targeting countries. (2020). Brůna, Karel ; van Tran, Quang ; Bruna, Karel . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:176:y:2020:i:c:p:384-402.

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2020The term structure and inflation uncertainty. (2020). Orphanides, Athanasios ; Breach, Tomas ; Damico, Stefania. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:388-414.

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2021Index option returns and generalized entropy bounds. (2021). Liu, Yan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:3:p:1015-1036.

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2021Benchmark interest rates when the government is risky. (2021). Chernov, Mikhail ; Song, D ; Schmid, L ; Augustin, P. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:1:p:74-100.

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2021Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Langlois, Hugues ; Chaieb, Ines. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692.

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2021Exchange rates, foreign currency exposure and sovereign risk. (2021). Bernoth, Kerstin ; Herwartz, Helmut. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s0261560621001054.

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2020Changing attitudes to risk at older ages: The role of health and other life events. (2020). Mammi, Irene ; Bassoli, Elena ; Banks, James. In: Journal of Economic Psychology. RePEc:eee:joepsy:v:79:y:2020:i:c:s0167487018307311.

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2021Country competitiveness and investment allocation in the mining industry: A survey of the literature and new empirical evidence. (2021). Vásquez Cordano, Arturo ; Vásquez Cordano, Arturo ; Vásquez Cordano, Arturo ; Zevallos, Rodrigo Priale ; Vasquez, Arturo L ; Vásquez Cordano, Arturo. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001501.

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2021Solvency contagion risk in the Chinese commercial banks’ network. (2021). Wang, Xiasi ; Jin, Shuyue ; Chen, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:580:y:2021:i:c:s0378437121004015.

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2020The Matthew effect of a journals ranking. (2020). Drivas, Kyriakos ; Kremmydas, Dimitris. In: Research Policy. RePEc:eee:respol:v:49:y:2020:i:4:s0048733320300317.

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2020Firm ownership, quality of government and innovation: Evidence from patenting in the telecommunication industry. (2020). Florio, Massimo ; Clo, Stefano ; Rentocchini, Francesco. In: Research Policy. RePEc:eee:respol:v:49:y:2020:i:5:s0048733320300408.

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2021Patent Quality: Towards a Systematic Framework for Analysis and Measurement. (2021). Jaffe, Adam ; Higham, Kyle ; de Rassenfosse, Gaétan. In: Research Policy. RePEc:eee:respol:v:50:y:2021:i:4:s0048733321000196.

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2020Choking under pressure in archery. (2020). Castagnetti, Alessandro ; Bucciol, Alessandro. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:89:y:2020:i:c:s221480432030080x.

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2020Nonperforming loans and competing rules of monetary policy: A statistical identification approach. (2020). Moneta, Alessio ; Lopreite, Milena ; Califano, Andrea ; Brancaccio, Emiliano. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:53:y:2020:i:c:p:127-136.

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2020Corporate financial leverage and M&As choices: Evidence from the shipping industry. (2020). Alexandridis, George ; Visvikis, Ilias ; Gulnur, Arman ; Antypas, Nikolaos. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519308804.

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2021The gender of debt and credit: Insights from rural Tamil Nadu. (2021). Nordman, C J ; Guerin, I ; Reboul, E. In: World Development. RePEc:eee:wdevel:v:142:y:2021:i:c:s0305750x20304915.

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2021Financial Spillover and Contagion Risks in the Euro Area in 2007-2019. (2021). Vogel, Lukas ; Vašíček, Bořek ; Vaiek, Boek ; Perticari, Francesco ; Monteiro, Daniel ; Lorenzani, Dimitri ; Garcia, Roman. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:137.

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2021The effect of Long-Term Care (LTC) benefits on healthcare use. (2021). Nicodemo, Catia ; Lopez, Guillem ; Hernandez-Pizarro, Helena ; Serrano-Alarcon, Manuel. In: Working Papers. RePEc:fda:fdaddt:2021-12.

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2021IT and Urban Polarization. (2021). Pinheiro, Roberto ; Eeckhout, Jan ; Hedtrich, Christoph. In: Working Papers. RePEc:fip:fedcwq:93021.

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2021Refining Set-Identification in VARs through Independence. (2021). Drautzburg, Thorsten ; Wright, Jonathan H. In: Working Papers. RePEc:fip:fedpwp:93062.

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2021The Internationalization of State-Owned Enterprises: An Analysis of cross-border M&As. (2021). Ricchiuti, Giorgio ; Marvasi, Enrico ; Clo, Stefano. In: Working Papers - Economics. RePEc:frz:wpaper:wp2021_06.rdf.

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2020Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306.

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2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2020). Hofert, Marius ; Koike, Takaaki. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:6-:d:308941.

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2021Revisiting the Spatial Autoregressive Exponential Model for Counts and Other Nonnegative Variables, with Application to the Knowledge Production Function. (2021). Glorias, Ludgero ; Proena, Isabel. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:5:p:2843-:d:511640.

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2020Country Competitiveness and Investment Allocation in the Mining Industry: A survey of the literature and new empirical evidence. (2020). Vásquez Cordano, Arturo ; Vásquez Cordano, Arturo ; Vásquez Cordano, Arturo ; Vásquez Cordano, Arturo ; Zevallos, Rodrigo Priale. In: Documentos de Trabajo. RePEc:ger:dtrabj:004.

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2021Homeownership, Labour Market Transitions and Earnings. (2021). Lacroix, Guy ; Kamionka, Thierry. In: Working Papers. RePEc:hal:wpaper:hal-03290646.

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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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article4
1991Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics.
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article6
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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article0
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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article0
2002Pricing with Splines.(2002) In: Working Papers.
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This paper has another version. Agregated cites: 0
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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article0
2016Consistent Pseudo-Maximum Likelihood Estimators.(2016) In: Working Papers.
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paper
2017Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 0
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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paper29
2006Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 29
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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paper7
2007Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 7
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: 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.
[Full Text][Citation analysis]
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.
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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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paper1
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: 1
article
2011Default, liquidity and crises: an econometric framework In: Working papers.
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paper4
2010Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2013Default, Liquidity, and Crises: an Econometric Framework.(2013) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 4
article
2011Credit and liquidity risks in euro area sovereign yield curves In: Working papers.
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paper11
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: 11
paper
2012Asset Pricing with Second-Order Esscher Transforms. In: Working papers.
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paper12
2010Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2012Asset pricing with Second-Order Esscher Transforms.(2012) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 12
article
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
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paper35
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
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This paper has another version. Agregated cites: 35
article
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique.
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This paper has another version. Agregated cites: 35
article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
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paper16
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: 16
article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
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paper9
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 9
paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 9
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: Journal of Financial Econometrics.
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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.
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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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paper26
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: 26
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: 26
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.
[Full Text][Citation analysis]
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.
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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: 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).
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paper433
1984Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica.
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This paper has another version. Agregated cites: 433
article
1982Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange).
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paper560
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 560
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]
paper1
1984General approach of serial correlation (a). In: CEPREMAP Working Papers (Couverture Orange).
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paper33
1985A General Approach to Serial Correlation.(1985) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
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).
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paper1
1987Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1991Qualitative threshold arch models In: CEPREMAP Working Papers (Couverture Orange).
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paper65
1992Qualitative threshold ARCH models.(1992) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 65
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).
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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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paper19
1995Testing, Encompassing, and Simulating Dynamic Econometric Models.(1995) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
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.
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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.
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paper52
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.
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paper3
2005International Money and Stock Market Contingent Claims In: Working Papers.
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paper6
2010International money and stock market contingent claims.(2010) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 6
article
2005Affine Model for Credit Risk Analysis In: Working Papers.
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paper16
2006Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics.
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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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paper5
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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paper2
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: 2
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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paper32
2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
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paper
2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
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2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
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paper2
2020Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics.
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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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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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paper2
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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1998The Simulated Likelihood Ratio (SLR) Method In: Working Papers.
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paper4
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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1995Statistics and Econometric Models In: Cambridge Books.
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book133
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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book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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1997Time Series and Dynamic Models In: Cambridge Books.
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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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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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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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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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article21
1987Generalised residuals In: Journal of Econometrics.
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1993Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics.
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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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2008Taking into account extreme events in European option pricing 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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2003Kernel-Based Indirect Inference In: Journal of Financial Econometrics.
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2007Switching VARMA Term Structure Models In: Journal of Financial Econometrics.
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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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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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