21
H index
38
i10 index
2884
Citations
Alain Monfort : Citation Profile
Centre de Recherche en Économie et Statistique (CREST) | RESEARCH PRODUCTION: 79 Articles 65 Papers 8 Books 1 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
45 years (1974 - 2019). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Alain Monfort. | Is cited by:
| Cites to:
|
Main data
Where Alain Monfort has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 19 |
| Annals of Economics and Statistics | 9 |
| Econometrica | 8 |
| Journal of Financial Econometrics | 7 |
| Journal of Banking & Finance | 4 |
| Econometric Theory | 4 |
| Journal of Empirical Finance | 3 |
| Journal of Applied Econometrics | 2 |
| L'Actualit Economique | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Working Papers / Center for Research in Economics and Statistics | 38 |
| Post-Print / HAL | 3 |
| MPRA Paper / University Library of Munich, Germany | 2 |
| Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 2 |
Recent works citing Alain Monfort (2020 and 2019)
| Year | Title of citing document | |
|---|---|---|
| 2019 | The Identification Zoo: Meanings of Identification in Econometrics. (2019). Lewbel, Arthur. In: Journal of Economic Literature. RePEc:aea:jeclit:v:57:y:2019:i:4:p:835-903. Full description at Econpapers || Download paper | |
| 2019 | Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932. Full description at Econpapers || Download paper | |
| 2019 | Indirect Inference With(Out) Constraints. (2016). Renault, Eric ; Frazier, David T. In: Papers. RePEc:arx:papers:1607.06163. Full description at Econpapers || Download paper | |
| 2019 | Indirect Inference with a Non-Smooth Criterion Function. (2019). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365. Full description at Econpapers || Download paper | |
| 2019 | Inference for Impulse Responses under Model Uncertainty. (2019). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583. Full description at Econpapers || Download paper | |
| 2018 | Dynamic Clearing and Contagion in Financial Networks. (2018). Feinstein, Zachary ; Bernstein, Alex ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1801.02091. Full description at Econpapers || Download paper | |
| 2020 | Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372. Full description at Econpapers || Download paper | |
| 2019 | Modelling Extremal Dependence for Operational Risk by a Bipartite Graph. (2019). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver. In: Papers. RePEc:arx:papers:1902.03041. Full description at Econpapers || Download paper | |
| 2019 | Non-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. Full description at Econpapers || Download paper | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| 2019 | Dyadic Regression. (2019). Graham, Bryan S. In: Papers. RePEc:arx:papers:1908.09029. Full description at Econpapers || Download paper | |
| 2019 | Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794. Full description at Econpapers || Download paper | |
| 2019 | Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs. (2019). Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04087. Full description at Econpapers || Download paper | |
| 2019 | Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games. (2019). Blevins, Jason ; Dearing, Adam. In: Papers. RePEc:arx:papers:1912.10488. Full description at Econpapers || Download paper | |
| 2019 | Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator. (2019). Juneja, Sandeep ; Deo, Anand. In: Papers. RePEc:arx:papers:1912.12611. Full description at Econpapers || Download paper | |
| 2020 | Frequentist Shrinkage under Inequality Constraints. (2020). Bakhitov, Edvard. In: Papers. RePEc:arx:papers:2001.10586. Full description at Econpapers || Download paper | |
| 2020 | Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346. Full description at Econpapers || Download paper | |
| 2020 | The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04369. Full description at Econpapers || Download paper | |
| 2019 | Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16. Full description at Econpapers || Download paper | |
| 2018 | Bank 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. Full description at Econpapers || Download paper | |
| 2018 | Term premia: models and some stylised facts. (2018). Hördahl, Peter ; Cohen, Benjamin ; Xia, Dora ; Hordahl, Peter. In: BIS Quarterly Review. RePEc:bis:bisqtr:1809h. Full description at Econpapers || Download paper | |
| 2019 | The Identification Zoo - Meanings of Identification in Econometrics. (2019). Lewbel, Arthur. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:957. Full description at Econpapers || Download paper | |
| 2019 | Back 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. Full description at Econpapers || Download paper | |
| 2019 | Nonparametric 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. Full description at Econpapers || Download paper | |
| 2019 | Instrumental-Variable Estimation of Gravity Equations. (2019). Verardi, Vincenzo ; Jochmans, Koen. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1994. Full description at Econpapers || Download paper | |
| 2018 | Sovereign 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. Full description at Econpapers || Download paper | |
| 2020 | Unbundling Polarization. (2020). Trebbi, Francesco ; Kendall, Chad ; Canen, Nathan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14291. Full description at Econpapers || Download paper | |
| 2019 | Exchange Rates, Foreign Currency Exposure and Sovereign Risk. (2019). Bernoth, Kerstin ; Herwartz, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1792. Full description at Econpapers || Download paper | |
| 2020 | An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272. Full description at Econpapers || Download paper | |
| 2019 | Vector 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. Full description at Econpapers || Download paper | |
| 2019 | Punished banks acquisitions: Evidence from the U.S. banking industry. (2019). Tsoumas, Chris ; Travlos, Nickolaos G ; Staikouras, Panagiotis ; Papadimitri, Panagiota. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:744-764. Full description at Econpapers || Download paper | |
| 2018 | Measuring 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. Full description at Econpapers || Download paper | |
| 2020 | Semiparametric 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. Full description at Econpapers || Download paper | |
| 2018 | Misspecification 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. Full description at Econpapers || Download paper | |
| 2019 | Asymptotic 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. Full description at Econpapers || Download paper | |
| 2019 | Identification 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. Full description at Econpapers || Download paper | |
| 2019 | Correlated 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. Full description at Econpapers || Download paper | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| 2019 | Commercial and Residential Mortgage Defaults: Spatial Dependence with Frailty. (2019). Babii, Andrii ; Ghysels, Eric ; Chen, XI. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:47-77. Full description at Econpapers || Download paper | |
| 2019 | Closed-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. Full description at Econpapers || Download paper | |
| 2018 | Loss 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. Full description at Econpapers || Download paper | |
| 2019 | A 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. Full description at Econpapers || Download paper | |
| 2020 | The effect of monetary policy on bank competition using the Boone index. (2020). Weyman-Jones, Thomas ; Kenjegalieva, Karligash ; Glass, Anthony J. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1070-1087. Full description at Econpapers || Download paper | |
| 2018 | Portfolio 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. Full description at Econpapers || Download paper | |
| 2018 | Testing 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. Full description at Econpapers || Download paper | |
| 2019 | U.S. municipal yields and unfunded state pension liabilities. (2019). Ponds, Eduard ; Beetsma, Roel ; Leknit, Zina. In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:15-32. Full description at Econpapers || Download paper | |
| 2018 | Interconnectedness 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. Full description at Econpapers || Download paper | |
| 2018 | Longevity 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. Full description at Econpapers || Download paper | |
| 2019 | What are the real effects of financial market liquidity? Evidence on bank lending from the euro area. (2019). Pliszka, Kamil ; Foos, Daniel ; Dombret, Andreas R ; Schulz, Alexander. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:152-183. Full description at Econpapers || Download paper | |
| 2019 | J-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. Full description at Econpapers || Download paper | |
| 2019 | Detecting 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. Full description at Econpapers || Download paper | |
| 2019 | The information content of forward moments. (2019). Taamouti, Abderrahim ; Kagkadis, Anastasios ; Andreou, Panayiotis C ; Philip, Dennis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:527-541. Full description at Econpapers || Download paper | |
| 2018 | Bid-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. Full description at Econpapers || Download paper | |
| 2018 | Exploring 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. Full description at Econpapers || Download paper | |
| 2019 | Expectation and duration at the effective lower bound. (2019). King, Thomas B. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:3:p:736-760. Full description at Econpapers || Download paper | |
| 2019 | Data-driven structural BVAR analysis of unconventional monetary policy. (2019). Puonti, Paivi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:61:y:2019:i:c:1. Full description at Econpapers || Download paper | |
| 2019 | Robust estimation of generalized estimating equations with finite mixture correlation matrices and missing covariates at random for longitudinal data. (2019). Wang, Wenjun ; Tang, Niansheng. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:173:y:2019:i:c:p:640-655. Full description at Econpapers || Download paper | |
| 2019 | Does 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. Full description at Econpapers || Download paper | |
| 2018 | The 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. Full description at Econpapers || Download paper | |
| 2019 | On categorical time series models with covariates. (2019). Truquet, Lionel ; Fokianos, Konstantinos. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3446-3462. Full description at Econpapers || Download paper | |
| 2020 | Corporate financial leverage and M&As choices: Evidence from the shipping industry. (2020). Visvikis, Ilias ; Gulnur, Arman ; Antypas, Nikolaos ; Alexandridis, George. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519308804. Full description at Econpapers || Download paper | |
| 2019 | Novel approaches to coherency conditions in dynamic LDV models: quantifying financing constraints and a firms decision and ability to innovate. (2019). Savignac, Frédérique ; hajivassiliou, vassilis. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102544. Full description at Econpapers || Download paper | |
| 2019 | A nonlinear dynamic factor model of health and medical treatment. (2019). Peracchi, Franco ; Rossetti, Claudio. In: EIEF Working Papers Series. RePEc:eie:wpaper:1901. Full description at Econpapers || Download paper | |
| 2019 | A Calibration of the Term Premia to the Euro Area. (2019). McCoy, Eric. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:110. Full description at Econpapers || Download paper | |
| 2018 | A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Meldrum, Andrew C ; Andreasen, Martin M. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-56. Full description at Econpapers || Download paper | |
| 2019 | Realized variance modeling: decoupling forecasting from estimation. (2019). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_05. Full description at Econpapers || Download paper | |
| 2020 | Simultaneous 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. Full description at Econpapers || Download paper | |
| 2020 | Markov 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. Full description at Econpapers || Download paper | |
| 2018 | Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Debarsy, Nicolas ; Ertur, Cem ; Dossougoin, Cyrille. In: Post-Print. RePEc:hal:journl:hal-01744629. Full description at Econpapers || Download paper | |
| 2019 | Flexible (panel) regression models for bivariate count-continuous data with an insurance application. (2019). Lu, Yang. In: Post-Print. RePEc:hal:journl:hal-02419024. Full description at Econpapers || Download paper | |
| 2019 | Collusion between Retailers and Customers: The Case of Insurance Fraud in Taiwan. (2019). Picard, Pierre ; Wang, Kili . In: Working Papers. RePEc:hal:wpaper:hal-02045335. Full description at Econpapers || Download paper | |
| 2019 | Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: Working Papers. RePEc:hal:wpaper:hal-02089698. Full description at Econpapers || Download paper | |
| 2018 | Loss functions for LGD model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: Working Papers. RePEc:hal:wpaper:halshs-01516147. Full description at Econpapers || Download paper | |
| 2019 | Labour Supply, Service Intensity and Contract Choice: Theory and Evidence on Physicians. (2019). Jacquemet, Nicolas ; Fortin, Bernard ; Shearer, Bruce. In: Working Papers. RePEc:hal:wpaper:halshs-02158484. Full description at Econpapers || Download paper | |
| 2019 | Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: Working Papers. RePEc:hal:wpaper:halshs-02359503. Full description at Econpapers || Download paper | |
| 2019 | Econometrics with Partial Identification. (2019). Molinari, Francesca. In: CeMMAP working papers. RePEc:ifs:cemmap:25/19. Full description at Econpapers || Download paper | |
| 2018 | Long memory via networking. (2018). Schennach, Susanne. In: CeMMAP working papers. RePEc:ifs:cemmap:49/18. Full description at Econpapers || Download paper | |
| 2020 | The Impact of Trade Liberalization on Firms Product and Labor Market Power. (2020). Wiersma, Quint ; Dobbelaere, Sabien. In: IZA Discussion Papers. RePEc:iza:izadps:dp12951. Full description at Econpapers || Download paper | |
| 2019 | A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5. Full description at Econpapers || Download paper | |
| 2020 | Liquidity in Financial Networks. (2020). Hayakawa, Hitoshi. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-019-09895-x. Full description at Econpapers || Download paper | |
| 2020 | Measuring CoVaR: An Empirical Comparison. (2020). Sorrentino, Alberto Maria ; Bianchi, Michele Leonardo. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:2:d:10.1007_s10614-019-09901-2. Full description at Econpapers || Download paper | |
| 2019 | Improving automobile insurance ratemaking using telematics: incorporating mileage and driver behaviour data. (2019). Nielsen, Jens Perch ; Guillen, Montserrat ; Ayuso, Mercedes. In: Transportation. RePEc:kap:transp:v:46:y:2019:i:3:d:10.1007_s11116-018-9890-7. Full description at Econpapers || Download paper | |
| 2018 | Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803. Full description at Econpapers || Download paper | |
| 2018 | Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812. Full description at Econpapers || Download paper | |
| 2019 | Firm Behavior and Pollution in Small Geographies. (2019). De Silva, Dakshina ; Slechten, Aurelie ; Schiller, Anita ; McComb, Robert. In: Working Papers. RePEc:lan:wpaper:266151372. Full description at Econpapers || Download paper | |
| 2019 | Taxes, traffic jam and spillover in the metropolis. (2019). Steinbach, Sandro ; Masiero, Giuliano ; Filippini, Massimo. In: IdEP Economic Papers. RePEc:lug:wpidep:1903. Full description at Econpapers || Download paper | |
| 2020 | Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information. (2020). Linton, Oliver ; la Vecchia, Davide ; Koo, Bonsoo . In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-4. Full description at Econpapers || Download paper | |
| 2018 | Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: NBER Working Papers. RePEc:nbr:nberwo:24506. Full description at Econpapers || Download paper | |
| 2019 | Long-term Effects from Early Exposure to Research: Evidence from the NIH Yellow Berets. (2019). Heggeness, Misty L ; Greenblatt, Wesley H ; Azoulay, Pierre. In: NBER Working Papers. RePEc:nbr:nberwo:26069. Full description at Econpapers || Download paper | |
| 2019 | Mortgage Finance in the Face of Rising Climate Risk. (2019). Ouazad, Amine ; Kahn, Matthew. In: NBER Working Papers. RePEc:nbr:nberwo:26322. Full description at Econpapers || Download paper | |
| 2020 | The Rise of For-Profit Experimental Medicine. (2020). Fishman, Ariel ; Azoulay, Pierre. In: NBER Working Papers. RePEc:nbr:nberwo:26892. Full description at Econpapers || Download paper | |
| 2018 | Effects of asset purchases and financial stability measures on term premia in the euro area. (2018). Moessner, Richhild. In: National Institute of Economic and Social Research (NIESR) Discussion Papers. RePEc:nsr:niesrd:489. Full description at Econpapers || Download paper | |
| 2018 | Dealing with Systemic Sovereign Debt Crises: Fiscal Consolidation, Bail-Ins, or Bail-Outs?. (2018). Sandri, Damiano. In: IMF Economic Review. RePEc:pal:imfecr:v:66:y:2018:i:4:d:10.1057_s41308-018-0067-3. Full description at Econpapers || Download paper | |
| 2018 | Social Investment and youth labour market participation: a EU regional analysis. (2018). Giannetti, Caterina ; Ecchia, Giulio ; Gagliardi, Francesca. In: Discussion Papers. RePEc:pie:dsedps:2018/236. Full description at Econpapers || Download paper | |
| 2019 | Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:94154. Full description at Econpapers || Download paper | |
| 2019 | Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353. Full description at Econpapers || Download paper | |
| 2019 | Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. (2019). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:97382. Full description at Econpapers || Download paper | |
| 2019 | Proxy-SVAR as a Bridge for Identification with Higher Frequency Data. (2019). Vicondoa, Alejandro ; Gazzani, Andrea Giovanni. In: 2019 Meeting Papers. RePEc:red:sed019:855. Full description at Econpapers || Download paper | |
| 2019 | Determinants of Locational Patenting Behavior of Canadian Firms. (2019). ZHAO, Long ; Langinier, Corinne ; Eckert, Andrew. In: Working Papers. RePEc:ris:albaec:2019_003. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Alain Monfort has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Alain Monfort:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1987 | Kullback Causality Measures In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
| 1991 | Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
| 1993 | Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 1995 | Linear Factor Models and the Term Structure of Interest Rates In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2006 | Pricing with Splines In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2002 | Pricing with Splines.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2013 | Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2017 | Introduction In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2017 | Consistent Pseudo-Maximum Likelihood Estimators In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2016 | Consistent Pseudo-Maximum Likelihood Estimators.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2017 | Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | Model Risk Management: Limits and Future of Bayesian Approaches In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2007 | Pricing and Inference with Mixtures of Conditionally Normal Processes. In: Working papers. [Full Text][Citation analysis] | paper | 27 |
| 2006 | Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
| 2007 | Multi-Lag Term Structure Models with Stochastic Risk Premia. In: Working papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Multi-Lag Term Structure Models with Stochastic Risk Premia.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2007 | Switching VARMA Term Structure Models - Extended Version. In: Working papers. [Full Text][Citation analysis] | paper | 6 |
| 2007 | Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2008 | Econometric Asset Pricing Modelling. In: Working papers. [Full Text][Citation analysis] | paper | 18 |
| 2007 | Econometric Asset Pricing Modelling.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
| 2008 | Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2009 | No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers. [Full Text][Citation analysis] | paper | 29 |
| 2011 | No-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: 29 | paper | |
| 2013 | No-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 | |
| 2009 | New Information Response Functions. In: Working papers. [Full Text][Citation analysis] | paper | 6 |
| 2009 | Une modélisation séquentielle de la VaR In: Working papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Optimal Portfolio Allocation under Asset and Surplus VaR Constraints In: Working papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Default, liquidity and crises: an econometric framework In: Working papers. [Full Text][Citation analysis] | paper | 4 |
| 2010 | Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2013 | Default, Liquidity, and Crises: an Econometric Framework.(2013) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2011 | Credit and liquidity risks in euro area sovereign yield curves In: Working papers. [Full Text][Citation analysis] | paper | 11 |
| 2011 | Credit 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 | |
| 2012 | Asset Pricing with Second-Order Esscher Transforms. In: Working papers. [Full Text][Citation analysis] | paper | 10 |
| 2010 | Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2012 | Asset pricing with Second-Order Esscher Transforms.(2012) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2012 | Bilateral Exposures and Systemic Solvency Risk. In: Working papers. [Full Text][Citation analysis] | paper | 30 |
| 2012 | Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
| 2012 | Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | article | |
| 2013 | Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers. [Full Text][Citation analysis] | paper | 12 |
| 2016 | Credit 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: 12 | article | |
| 2013 | Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2014 | Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2013 | Regime Switching and Bond Pricing. In: Working papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Regime Switching and Bond Pricing.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2014 | Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2014 | A Quadratic Kalman Filter In: Working papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | A Quadratic Kalman Filter.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2015 | Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers. [Full Text][Citation analysis] | paper | 20 |
| 2017 | Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
| 2017 | Staying 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: 20 | article | |
| 2008 | Taking into account extreme events in European option pricing. In: Financial Stability Review. [Full Text][Citation analysis] | article | 1 |
| 2008 | Taking into account extreme events in European option pricing.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2008 | Taking into account extreme events in European option pricing.(2008) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2009 | Fourth Order Pseudo Maximum Likelihood Methods In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2011 | Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2011 | Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2011 | Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2010 | Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Microinformation, Nonlinear Filtering, and Granularity.(2010) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2003 | Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 51 |
| 2002 | Affine Term Structure Models In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2002 | Equidependence in Qualitative and Duration Models with Application to Credit Risk In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2005 | International Money and Stock Market Contingent Claims In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2010 | International 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 | |
| 2005 | Affine Model for Credit Risk Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 2006 | Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
| 2006 | (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2007 | Quadratic Stochastic Intensity and Prospective Mortality Tables In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2008 | Quadratic 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 | |
| 2011 | Allocating Systematic and Unsystematic Risks in a Regulatory Perspective In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2012 | Joint 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 | |
| 2013 | Liquidation Equilibrium with Seniority and Hidden CDO In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2013 | Liquidation equilibrium with seniority and hidden CDO.(2013) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
| 2014 | Revisiting Identification and estimation in Structural VARMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Statistical Inference for Independent Component Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
| 2017 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 17 | paper | |
| 2017 | Statistical 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: 17 | article | |
| 2016 | Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Composite Indirect Inference with Application to Corporate Risks In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Composite indirect inference with application to corporate risks.(2018) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2017 | Composite Indirect Inference with Application In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2018 | Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2019 | Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations.(2019) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2020 | Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Econometric Specification of the Risk Neutral Valuation Model In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2000 | Econometric 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 | |
| 1997 | Modèles de comptage semi-paramétriques In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Modèles de comptage semi-paramétriques.(1997) In: L'Actualité Economique. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 1998 | The Simulated Likelihood Ratio (SLR) Method In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 1998 | The Econometrics of Efficient Frontiers In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1999 | Functional Indirect Inference In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 0 |
| 1995 | Statistics and Econometric Models In: Cambridge Books. [Citation analysis] | book | 128 |
| 1995 | Statistics and Econometric Models.(1995) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 128 | book | |
| 1995 | Statistics and Econometric Models.(1995) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 128 | book | |
| 1995 | Statistics and Econometric Models.(1995) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 128 | book | |
| 1997 | Time Series and Dynamic Models In: Cambridge Books. [Citation analysis] | book | 54 |
| 1997 | Time Series and Dynamic Models.(1997) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 54 | book | |
| 1995 | Statistics and Econometric Models 2 volume set In: Cambridge Books. [Citation analysis] | book | 58 |
| 1995 | Testing, Encompassing, and Simulating Dynamic Econometric Models In: Econometric Theory. [Full Text][Citation analysis] | article | 18 |
| 1996 | A Reappraisal of Misspecified Econometric Models In: Econometric Theory. [Full Text][Citation analysis] | article | 17 |
| 1985 | A General Approach to Serial Correlation In: Econometric Theory. [Full Text][Citation analysis] | article | 31 |
| 1989 | A General Framework for Testing a Null Hypothesis in a “Mixed†Form In: Econometric Theory. [Full Text][Citation analysis] | article | 15 |
| 1980 | Disequilibrium Econometrics in Simultaneous Equations Systems. In: Econometrica. [Full Text][Citation analysis] | article | 11 |
| 1980 | Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica. [Full Text][Citation analysis] | article | 46 |
| 1979 | Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
| 1980 | Sufficient Linear Structures: Econometric Applications. In: Econometrica. [Full Text][Citation analysis] | article | 7 |
| 1982 | Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters. In: Econometrica. [Full Text][Citation analysis] | article | 98 |
| 1982 | Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica. [Full Text][Citation analysis] | article | 37 |
| 1984 | Pseudo Maximum Likelihood Methods: Theory. In: Econometrica. [Full Text][Citation analysis] | article | 390 |
| 1984 | Pseudo Maximum Likelihood Methods: Applications to Poisson Models. In: Econometrica. [Full Text][Citation analysis] | article | 485 |
| 1989 | Testing for Common Roots. In: Econometrica. [Full Text][Citation analysis] | article | 1 |
| 1986 | Testing non-nested hypotheses In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 8 |
| 1986 | Some useful equivalence properties of Hausmans test In: Economics Letters. [Full Text][Citation analysis] | article | 8 |
| 1979 | On the characterization of a joint probability distribution by conditional distributions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 1979 | Disequilibrium econometrics in dynamic models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 8 |
| 2007 | Econometric specification of stochastic discount factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
| 1981 | Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 1981 | Asymptotic properties of the maximum likelihood estimator in dichotomous logit models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2015 | Pricing with finite dimensional dependence In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 1983 | Testing nested or non-nested hypotheses In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
| 1987 | Simulated residuals In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
| 1987 | Generalised residuals In: Journal of Econometrics. [Full Text][Citation analysis] | article | 178 |
| 1992 | Qualitative threshold ARCH models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 61 |
| 1993 | Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 113 |
| 1978 | First-order identification in linear models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1999 | Bayesian estimation of switching ARMA models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 22 |
| 2005 | The econometrics of efficient portfolios In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 15 |
| 2013 | Linear-price term structure models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 3 |
| 1995 | Prepayment analysis for securitization In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 1 |
| 1992 | Indirect Inference. In: Toulouse - GREMAQ. [Citation analysis] | paper | 523 |
| 1993 | Indirect Inference..(1993) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 523 | article | |
| 1980 | Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment. In: International Economic Review. [Full Text][Citation analysis] | article | 0 |
| 1990 | From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2004 | Infrequent Extreme Risks In: The Geneva Papers on Risk and Insurance Theory. [Full Text][Citation analysis] | article | 1 |
| 2004 | Infrequent Extreme Risks.(2004) In: The Geneva Risk and Insurance Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2003 | Kernel-Based Indirect Inference In: Journal of Financial Econometrics. [Citation analysis] | article | 7 |
| 2007 | Switching VARMA Term Structure Models In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 9 |
| 1981 | On the Problem of Missing Data in Linear Models In: Review of Economic Studies. [Full Text][Citation analysis] | article | 22 |
| 2014 | Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance. [Full Text][Citation analysis] | article | 15 |
| 1997 | Simulation-based Econometric Methods In: OUP Catalogue. [Citation analysis] | book | 45 |
| 2019 | Invited Editorial “The challenges imposed by low interest rates” In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
| 2017 | Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1974 | Un modèle agricole à long terme de simulation In: Économie et Prévision. [Full Text][Citation analysis] | article | 1 |
| 1992 | Quelques développements récents des méthodes macroéconométriques In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| 2013 | Granularity Adjustment for Efficient Portfolios In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2015 | Evaluating Reserve Risk in a Regulatory Perspective In: Journal of Insurance Issues. [Full Text][Citation analysis] | article | 0 |
| 2013 | ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated May, 3 2020. Contact: CitEc Team