Alain Monfort : Citation Profile


Are you Alain Monfort?

Centre de Recherche en Économie et Statistique (CREST)

21

H index

38

i10 index

2809

Citations

RESEARCH PRODUCTION:

79

Articles

64

Papers

8

Books

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   44 years (1974 - 2018). See details.
   Cites by year: 63
   Journals where Alain Monfort has often published
   Relations with other researchers
   Recent citing documents: 167.    Total self citations: 40 (1.4 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo298
   Updated: 2019-10-15    RAS profile: 2019-08-06    
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Relations with other researchers


Works with:

gourieroux, christian (25)

Renne, Jean-Paul (19)

Roussellet, Guillaume (7)

Zakoian, Jean-Michel (4)

Pegoraro, Fulvio (3)

Dubecq, Simon (2)

Héam, Jean-Cyprien (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 (48)

Sentana, Enrique (43)

Fiorentini, Gabriele (41)

Calzolari, Giorgio (33)

Renault, Eric (32)

Meenagh, David (31)

Santos Silva, João (25)

Tenreyro, Silvana (23)

Stentoft, Lars (22)

Dionne, Georges (22)

Cites to:

gourieroux, christian (58)

Pegoraro, Fulvio (30)

Singleton, Kenneth (23)

Ang, Andrew (20)

Duffie, Darrell (16)

Garcia, René (16)

Renault, Eric (16)

POLIMENIS, VASSILIS (15)

Jasiak, Joann (14)

Wu, Liuren (12)

Bekaert, Geert (11)

Main data


Where Alain Monfort has published?


Journals with more than one article published# docs
Journal of Econometrics19
Annals of Economics and Statistics8
Econometrica8
Journal of Financial Econometrics7
Econometric Theory7
Journal of Banking & Finance4
Journal of Empirical Finance3
L'Actualit Economique2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics37
Post-Print / HAL3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Alain Monfort (2019 and 2018)


YearTitle of citing document
2018Exploration vs Exploitation, Impulse Balance Equilibrium and a specification test for the El Farol bar problem. (2018). Pezanis-Christou, Paul ; Laisney, Francois ; Kirman, Alan. In: School of Economics Working Papers. RePEc:adl:wpaper:2018-11.

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2018Structural Gravity Model Estimates of Nested CES Import Demands for Soybeans. (2018). Hillberry, Russell ; Yao, Guolin . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274281.

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2018Inequality of Opportunity in Earnings in Rural China. (2018). Shi, X. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277016.

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2018Do Regulations to Protect Endangered Species on Private Lands Affect Local Employment? Evidence from the Listing of the Lesser Prairie Chicken. (2018). Melstrom, Richard ; Lee, Kangil ; Byl, Jacob P. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:276499.

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2019Indirect Inference With(Out) Constraints. (2016). Renault, Eric ; Frazier, David T. In: Papers. RePEc:arx:papers:1607.06163.

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2019Indirect Inference with a Non-Smooth Criterion Function. (2018). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

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2018Inference for Impulse Responses under Model Uncertainty. (2018). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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2017Bank Panics and Fire Sales, Insolvency and Illiquidity. (2017). Hurd, T R. In: Papers. RePEc:arx:papers:1711.05289.

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

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

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2018Evaluating regulatory reform of network industries: a survey of empirical models based on categorical proxies. (2018). Florio, Massimo ; Bastianin, Andrea ; Castelnovo, Paolo. In: Papers. RePEc:arx:papers:1810.03348.

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2018Using generalized estimating equations to estimate nonlinear models with spatial data. (2018). Lu, Cuicui ; Wooldridge, Jeffrey M ; Wang, Weining. In: Papers. RePEc:arx:papers:1810.05855.

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2019Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1905.01798.

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2019A 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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2019Dyadic Regression. (2019). Graham, Bryan S. In: Papers. RePEc:arx:papers:1908.09029.

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2017Quantitative Easing and Long-Term Yields in Small Open Economies. (2017). Diez de los Rios, Antonio ; Shamloo, Maral . In: Staff Working Papers. RePEc:bca:bocawp:17-26.

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2017Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data. (2017). Fique, Jose. In: Staff Working Papers. RePEc:bca:bocawp:17-30.

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2017Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-33.

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2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55.

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2019Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2018Bank capital constraints, lending supply and economic activity. (2018). Signoretti, Federico ; Nobili, Andrea ; Conti, Antonio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1199_18.

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2017Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks.. (2017). Idier, J ; Piquard, T. In: Working papers. RePEc:bfr:banfra:621.

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2017An analytical framework to calibrate macroprudential policy. (2017). Gabrieli, Silvia ; Scalone, V ; Piquard, T ; Lopez, P ; Idier, J ; Devulder, A ; Couaillier, C ; Bennani, T. In: Working papers. RePEc:bfr:banfra:648.

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2017Unconventional Monetary Policy and Bank Lending Relationships. (2017). Duquerroy, Anne ; Cahn, Christophe ; Mullins, W. In: Working papers. RePEc:bfr:banfra:659.

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2018Term premia: models and some stylised facts. (2018). Hördahl, Peter ; Cohen, Benjamin ; Xia, Dora ; Hordahl, Peter. In: BIS Quarterly Review. RePEc:bis:bisqtr:1809h.

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2018INTERACTION TERMS IN POISSON AND LOG LINEAR REGRESSION MODELS. (2018). Shang, Shengwu ; Fan, Maoyong ; Nesson, Erik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:e89-e96.

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2018Culturally clustered or in the cloud? How amenities drive firm location decision in Berlin. (2018). Moeller, Kristoffer. In: Journal of Regional Science. RePEc:bla:jregsc:v:58:y:2018:i:4:p:728-758.

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2018Threat of falling high status and corporate bribery: Evidence from the revealed accounting records of two South Korean presidents. (2018). Jeong, Yujin ; Siegel, Jordan I. In: Strategic Management Journal. RePEc:bla:stratm:v:39:y:2018:i:4:p:1083-1111.

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2018System dynamics at sixty: the path forward. (2018). Sterman, John. In: System Dynamics Review. RePEc:bla:sysdyn:v:34:y:2018:i:1-2:p:5-47.

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2018The Identification Zoo - Meanings of Identification in Econometrics. (2018). Lewbel, Arthur. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:957.

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2019Back to the real economy: the effects of risk perception shocks on the term premium and bank lending. (2019). Yung, Julieta ; Bluwstein, Kristina. In: Bank of England working papers. RePEc:boe:boeewp:0806.

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2019Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1916.

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2018Homeownership, Labour Market Transitions and Earnings. (2018). Lacroix, Guy ; Kamionka, Thierry. In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-35.

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2018Inference in Second-Order Identified Models. (2018). Dovonon, Prosper ; Hall, Alastair ; Kleibergen, Frank . In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-36.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2017Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; Hanson, Jesper ; Giuliodori, Massimo ; de Jong, Frank. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11932.

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2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857.

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2018A Practical Guide to Parallelization in Economics. (2018). Fernandez-Villaverde, Jesus ; Valencia, David Zarruk. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12890.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

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2018Seasonal quasi-vector autoregressive models for macroeconomic data. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:26316.

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2018Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27483.

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2018Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27484.

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2019Exchange Rates, Foreign Currency Exposure and Sovereign Risk. (2019). Bernoth, Kerstin ; Herwartz, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1792.

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2018Walk on the wild side: Multiplicative sunspots and temporarily unstable paths. (2018). Bonomolo, Paolo ; Ascari, Guido ; Lopes, Hedibert. In: DNB Working Papers. RePEc:dnb:dnbwpp:597.

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2017Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Working Paper Series. RePEc:ecb:ecbwps:20172056.

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2019Vector Autoregressive with Exogenous Variable Model and its Application in Modeling and Forecasting Energy Data: Case Study of PTBA and HRUM Energy. (2019). Usman, Mustofa ; Widiarti, Widiarti ; Wamiliana, Wamiliana ; Russels, Edwin ; Warsono, Warsono. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-02-45.

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2018FH Puzzle in the Eurozone: A time-varying analysis Preliminary Draft. (2018). Camarero, Mariam ; Tamarit, Cecilio ; Sapena, Juan. In: Working Papers. RePEc:eec:wpaper:1813.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

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2018A term structure model under cyclical fluctuations in interest rates. (2018). Novales, Alfonso ; Platania, Federico ; Moreno, Manuel . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:140-150.

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2018Moment-based tests for random effects in the two-way error component model with unbalanced panels. (2018). Wu, Jian Hong ; Xia, Qiang ; Li, Guodong. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:61-76.

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2017Identification and estimation of non-Gaussian structural vector autoregressions. (2017). Saikkonen, Pentti ; Meitz, Mika ; Lanne, Markku. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:288-304.

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2017Double instrumental variable estimation of interaction models with big data. (2017). gourieroux, christian ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:176-197.

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2017Scenario generation for long run interest rate risk assessment. (2017). Roussellet, Guillaume ; Engle, Robert ; Siriwardane, Emil. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:333-347.

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2018Identification and estimation of incomplete information games with multiple equilibria. (2018). Xiao, Ruli. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:328-343.

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2018Misspecification of noncausal order in autoregressive processes. (2018). Jasiak, Joann ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:226-248.

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2019Asymptotic properties of the maximum likelihood estimator in regime switching econometric models. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:442-467.

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2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

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2019Correlated random effects models with unbalanced panels. (2019). Wooldridge, Jeffrey. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:137-150.

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2019A Hausman test for the presence of market microstructure noise in high frequency data. (2019). Xiu, Dacheng ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:176-205.

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2019Closed-form results for vector moving average models with a univariate estimation approach. (2019). Sbrana, Giacomo ; Poloni, Federico. In: Econometrics and Statistics. RePEc:eee:ecosta:v:10:y:2019:i:c:p:27-52.

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2017Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18.

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2018A new particle filtering approach to estimate stochastic volatility models with Markov-switching. (2018). Karamé, Frédéric ; Karame, Frederic. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:204-230.

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2018Poverty accounting. (2018). Szirmai, Adam ; Bluhm, Richard ; de Crombrugghe, Denis. In: European Economic Review. RePEc:eee:eecrev:v:104:y:2018:i:c:p:237-255.

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2018Loss functions for Loss Given Default model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:348-360.

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2019A spatial productivity index in the presence of efficiency spillovers: Evidence for U.S. banks, 1992–2015. (2019). Glass, Anthony J ; Kenjegalieva, Karligash. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:3:p:1165-1179.

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2018Portfolio optimisation under flexible dynamic dependence modelling. (2018). Bernardi, Mauro ; Catania, Leopoldo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:1-18.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2018The effect of default rates on retail competition and pricing decisions of competitive retailers: The case of Alberta. (2018). Brown, David ; Eckert, Andrew. In: Energy Policy. RePEc:eee:enepol:v:118:y:2018:i:c:p:298-311.

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2018The “Hierarchy of Institutions” reconsidered: Monetary policy and its effect on the rule of law in interwar Poland. (2018). Hartwell, Christopher. In: Explorations in Economic History. RePEc:eee:exehis:v:68:y:2018:i:c:p:37-70.

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2018Investor sentiment and emerging stock market liquidity. (2018). Debata, Byomakesh ; Mahakud, Jitendra ; Dash, Saumya Ranjan. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:15-31.

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2018Interconnectedness as a source of uncertainty in systemic risk. (2018). Stiglitz, Joseph ; Battiston, Stefano ; Roukny, Tarik . In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:93-106.

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2018Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

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2018Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts. (2018). Gambaro, Anna Maria ; Ghilarducci, Alessandro ; Fusai, Gianluca ; Casalini, Riccardo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:81:y:2018:i:c:p:117-129.

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2019J-liquidity measure: The term structure of the liquidity premium in Japan. (2019). Hattori, Takahiro. In: Japan and the World Economy. RePEc:eee:japwor:v:49:y:2019:i:c:p:61-72.

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2019Detecting underestimates of risk in VaR models. (2019). Thiele, Stephen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:12-20.

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2018Bid-to-cover and yield changes around public debt auctions in the euro area. (2018). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:118-134.

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2018Fraud recovery and the quality of country governance. (2018). Curti, Filippo ; Mihov, Atanas . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:446-461.

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2018A path out: Prescription drug abuse, treatment, and suicide. (2018). Marshall, Guillermo ; Corredor-Waldron, Adriana ; Borgschulte, Mark. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:149:y:2018:i:c:p:169-184.

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2018Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2018Residential self-selection and travel mode use in a new inner-city development neighbourhood in Berlin. (2018). Jarass, Julia ; Scheiner, Joachim. In: Journal of Transport Geography. RePEc:eee:jotrge:v:70:y:2018:i:c:p:68-77.

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2018Evaluating regulatory reform of network industries: a survey of empirical models based on categorical proxies. (2018). Florio, Massimo ; Castelnovo, Paolo ; Bastianin, Andrea. In: Utilities Policy. RePEc:eee:juipol:v:55:y:2018:i:c:p:115-128.

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2018Technology adoption, consumer inattention and heuristic decision-making: Evidence from a UK district heating scheme. (2018). Giulietti, Monica ; Battisti, Giuliana ; Burlinson, Andrew. In: Research Policy. RePEc:eee:respol:v:47:y:2018:i:10:p:1873-1886.

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2018Mind the gap: Capturing value from basic research through combining mobile inventors and partnerships. (2018). Cassiman, Bruno ; Arts, Sam ; Veugelers, Reinhilde. In: Research Policy. RePEc:eee:respol:v:47:y:2018:i:9:p:1811-1824.

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2019Does learning from prior collaboration help firms to overcome the ‘two-worlds’ paradox in university-business collaboration?. (2019). Roper, Stephen ; Gkypali, Areti ; Hewitt-Dundas, Nola. In: Research Policy. RePEc:eee:respol:v:48:y:2019:i:5:p:1310-1322.

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2018The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach. (2018). Lange, Ronald Henry. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:164-182.

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2017How Germany benefits the most from its Eurozone membership. (2017). Juneja, Januj. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1074-1088.

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2018Generalized multinomial probit Model: Accommodating constrained random parameters. (2018). Paleti, Rajesh. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:118:y:2018:i:c:p:248-262.

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2018Land tenure security and investment: Does strength of land right really matter in rural Burkina Faso?. (2018). BAMBIO, Yiriyibin ; AGHA, Salima BOUAYAD . In: World Development. RePEc:eee:wdevel:v:111:y:2018:i:c:p:130-147.

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2018Reforming grants to tackle child poverty: An integrated macro-micro approach. (2018). Tiberti, Luca ; Mabugu, Ramos ; Chitiga, Margaret ; Maisonnave, Helene. In: World Development. RePEc:eee:wdevel:v:112:y:2018:i:c:p:272-281.

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2017The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1702.

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2017Measuring Inflation Anchoring and Uncertainty : A US and Euro Area Comparison. (2017). Renne, Jean-Paul ; Mouabbi, Sarah ; Grishchenko, Olesya. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-102.

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2018A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Andreasen, Martin M ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-56.

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2018Interest rate conundrums in the twenty-first century. (2018). Wright, Jonathan ; Lucca, David ; Hanson, Samuel. In: Staff Reports. RePEc:fip:fednsr:810.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

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2019Realized variance modeling: decoupling forecasting from estimation. (2019). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_05.

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2017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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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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article4
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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article0
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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This paper has another version. Agregated cites: 0
paper
2017Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers.
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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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paper27
2006Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers.
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This paper has another version. Agregated cites: 27
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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paper6
2007Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2008Econometric Asset Pricing Modelling. In: Working papers.
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paper18
2007Econometric Asset Pricing Modelling.(2007) In: Working Papers.
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This paper has another version. Agregated cites: 18
paper
2008Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 18
article
2009No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers.
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paper29
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: 29
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: 29
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
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.
[Full Text][Citation analysis]
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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paper10
2010Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
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: 10
article
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
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paper29
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
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This paper has another version. Agregated cites: 29
article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
[Full Text][Citation analysis]
paper11
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: 11
article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
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paper8
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 8
paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
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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paper1
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 1
article
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
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paper16
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: 16
article
2017Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
article
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
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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paper5
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 5
paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 5
article
2011Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print.
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This paper has another version. Agregated cites: 5
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.
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This paper has another version. Agregated cites: 3
article
2003Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers.
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paper51
2002Affine Term Structure Models In: Working Papers.
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paper13
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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paper5
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: 5
article
2005Affine Model for Credit Risk Analysis In: Working Papers.
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paper13
2006Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
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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paper5
2008Quadratic stochastic intensity and prospective mortality tables.(2008) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
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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paper1
2012Joint econometric modeling of spot electricity prices, forwards and options.(2012) In: Review of Derivatives Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2013Liquidation Equilibrium with Seniority and Hidden CDO In: Working Papers.
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paper10
2013Liquidation equilibrium with seniority and hidden CDO.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
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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paper12
2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
article
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: 12
paper
2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
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paper1
2016Composite Indirect Inference with Application to Corporate Risks In: Working Papers.
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paper1
2017Composite Indirect Inference with Application In: Working Papers.
[Full Text][Citation analysis]
paper0
2017Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers.
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paper0
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers.
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paper2
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
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This paper has another version. Agregated cites: 2
paper
2019Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations.(2019) In: Econometrica.
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This paper has another version. Agregated cites: 2
article
1997Econometric Specification of the Risk Neutral Valuation Model In: Working Papers.
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paper4
2000Econometric specification of the risk neutral valuation model.(2000) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
1997Modèles de comptage semi-paramétriques In: Working Papers.
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paper0
1997Modèles de comptage semi-paramétriques.(1997) In: L'Actualité Economique.
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This paper has another version. Agregated cites: 0
article
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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paper0
2018COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING In: ASTIN Bulletin: The Journal of the International Actuarial Association.
[Full Text][Citation analysis]
article0
1995Statistics and Econometric Models In: Cambridge Books.
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book125
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 125
book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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This paper has another version. Agregated cites: 125
book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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This paper has another version. Agregated cites: 125
book
1997Time Series and Dynamic Models In: Cambridge Books.
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book53
1997Time Series and Dynamic Models.(1997) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 53
book
1995Statistics and Econometric Models 2 volume set In: Cambridge Books.
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book53
1995Testing, Encompassing, and Simulating Dynamic Econometric Models In: Econometric Theory.
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article17
1996A Reappraisal of Misspecified Econometric Models In: Econometric Theory.
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article17
1985A General Approach to Serial Correlation In: Econometric Theory.
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article28
1987Mutual Independence off Test Statistics–Solution In: Econometric Theory.
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article0
1989A General Framework for Testing a Null Hypothesis in a “Mixed” Form In: Econometric Theory.
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article15
1991Exogenous and Endogenous Sampling In: Econometric Theory.
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article1
1992Exogenous and Endogenous Sampling.(1992) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
1980Disequilibrium Econometrics in Simultaneous Equations Systems. In: Econometrica.
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article10
1980Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica.
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article44
1979Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers.
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This paper has another version. Agregated cites: 44
paper
1980Sufficient Linear Structures: Econometric Applications. In: Econometrica.
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article7
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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article96
1982Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica.
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article36
1984Pseudo Maximum Likelihood Methods: Theory. In: Econometrica.
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article383
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models. In: Econometrica.
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article471
1989Testing for Common Roots. In: Econometrica.
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article1
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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article8
1979On the characterization of a joint probability distribution by conditional distributions In: Journal of Econometrics.
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article4
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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article25
1981Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters In: Journal of Econometrics.
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article6
1981Asymptotic properties of the maximum likelihood estimator in dichotomous logit models In: Journal of Econometrics.
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article6
2015Pricing with finite dimensional dependence In: Journal of Econometrics.
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article5
1983Testing nested or non-nested hypotheses In: Journal of Econometrics.
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article19
1987Simulated residuals In: Journal of Econometrics.
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article21
1987Generalised residuals In: Journal of Econometrics.
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article173
1992Qualitative threshold ARCH models In: Journal of Econometrics.
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article59
1993Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics.
[Full Text][Citation analysis]
article111
1978First-order identification in linear models In: Journal of Econometrics.
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article0
1999Bayesian estimation of switching ARMA models In: Journal of Econometrics.
[Full Text][Citation analysis]
article21
2018Composite indirect inference with application to corporate risks In: Econometrics and Statistics.
[Full Text][Citation analysis]
article1
2005The econometrics of efficient portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article15
2013Linear-price term structure models In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article1
1995Prepayment analysis for securitization In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article1
1992Indirect Inference. In: Toulouse - GREMAQ.
[Citation analysis]
paper523
1993Indirect Inference..(1993) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 523
article
1980Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment. In: International Economic Review.
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article0
1990From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
article1
2004Infrequent Extreme Risks In: The Geneva Papers on Risk and Insurance Theory.
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article1
2004Infrequent Extreme Risks.(2004) In: The Geneva Risk and Insurance Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2003Kernel-Based Indirect Inference In: Journal of Financial Econometrics.
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article6
2007Switching VARMA Term Structure Models In: Journal of Financial Econometrics.
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article9
1981On the Problem of Missing Data in Linear Models In: Review of Economic Studies.
[Full Text][Citation analysis]
article22
2014Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance.
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article14
1997Simulation-based Econometric Methods In: OUP Catalogue.
[Citation analysis]
book43
2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations In: MPRA Paper.
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paper0
1974Un modèle agricole à long terme de simulation In: Économie et Prévision.
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article1
1992Quelques développements récents des méthodes macroéconométriques In: L'Actualité Economique.
[Full Text][Citation analysis]
article0
2013Granularity Adjustment for Efficient Portfolios In: Econometric Reviews.
[Full Text][Citation analysis]
article0
2015Evaluating Reserve Risk in a Regulatory Perspective In: Journal of Insurance Issues.
[Full Text][Citation analysis]
article0
2013ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article2

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