Alain Monfort : Citation Profile


Are you Alain Monfort?

Centre de Recherche en Économie et Statistique (CREST)

21

H index

38

i10 index

2884

Citations

RESEARCH PRODUCTION:

79

Articles

65

Papers

8

Books

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   45 years (1974 - 2019). See details.
   Cites by year: 64
   Journals where Alain Monfort has often published
   Relations with other researchers
   Recent citing documents: 126.    Total self citations: 40 (1.37 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo298
   Updated: 2020-05-16    RAS profile: 2020-04-08    
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Relations with other researchers


Works with:

gourieroux, christian (19)

Renne, Jean-Paul (13)

Roussellet, Guillaume (7)

Pegoraro, Fulvio (5)

Zakoian, Jean-Michel (4)

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)

Dionne, Georges (22)

Stentoft, Lars (22)

Cites to:

gourieroux, christian (57)

Pegoraro, Fulvio (30)

Singleton, Kenneth (23)

Ang, Andrew (20)

Duffie, Darrell (16)

Garcia, René (16)

POLIMENIS, VASSILIS (15)

Jasiak, Joann (14)

Renault, Eric (13)

Bekaert, Geert (11)

Jarrow, Robert (10)

Main data


Where Alain Monfort has published?


Journals with more than one article published# docs
Journal of Econometrics19
Annals of Economics and Statistics9
Econometrica8
Journal of Financial Econometrics7
Journal of Banking & Finance4
Econometric Theory4
Journal of Empirical Finance3
Journal of Applied Econometrics2
L'Actualit Economique2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics38
Post-Print / HAL3
MPRA Paper / University Library of Munich, Germany2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Alain Monfort (2020 and 2019)


YearTitle of citing document
2019The 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.

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: AMSE Working Papers. RePEc:aim:wpaimx:1932.

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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. (2019). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

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2019Inference for Impulse Responses under Model Uncertainty. (2019). Smeekes, Stephan ; Lieb, Lenard. In: Papers. RePEc:arx:papers:1709.09583.

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

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2020Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372.

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2019Modelling Extremal Dependence for Operational Risk by a Bipartite Graph. (2019). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver. In: Papers. RePEc:arx:papers:1902.03041.

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

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2019Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs. (2019). Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04087.

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

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2019Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator. (2019). Juneja, Sandeep ; Deo, Anand. In: Papers. RePEc:arx:papers:1912.12611.

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

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

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

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2019Composite 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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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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2019The Identification Zoo - Meanings of Identification in Econometrics. (2019). 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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2019Instrumental-Variable Estimation of Gravity Equations. (2019). Verardi, Vincenzo ; Jochmans, Koen. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1994.

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

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

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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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2019Punished 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.

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

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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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2019Commercial 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.

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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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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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2020The 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.

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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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2019U.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.

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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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2019What 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.

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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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2019The 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.

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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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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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2019Expectation 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.

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2019Data-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.

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2019Robust 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.

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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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2019On 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.

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2020Corporate 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.

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2019Novel 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.

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2019A nonlinear dynamic factor model of health and medical treatment. (2019). Peracchi, Franco ; Rossetti, Claudio. In: EIEF Working Papers Series. RePEc:eie:wpaper:1901.

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2019A Calibration of the Term Premia to the Euro Area. (2019). McCoy, Eric. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:110.

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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). Meldrum, Andrew C ; Andreasen, Martin M. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-56.

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

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

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2018Measuring 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.

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2019Flexible (panel) regression models for bivariate count-continuous data with an insurance application. (2019). Lu, Yang. In: Post-Print. RePEc:hal:journl:hal-02419024.

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2019Collusion between Retailers and Customers: The Case of Insurance Fraud in Taiwan. (2019). Picard, Pierre ; Wang, Kili . In: Working Papers. RePEc:hal:wpaper:hal-02045335.

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2019Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: Working Papers. RePEc:hal:wpaper:hal-02089698.

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2018Loss functions for LGD model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: Working Papers. RePEc:hal:wpaper:halshs-01516147.

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2019Labour 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.

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2019Quantitative Easing and the Term Premium as a Monetary Policy Instrument. (2019). Vaccaro-Grange, Etienne. In: Working Papers. RePEc:hal:wpaper:halshs-02359503.

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2019Econometrics with Partial Identification. (2019). Molinari, Francesca. In: CeMMAP working papers. RePEc:ifs:cemmap:25/19.

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2018Long memory via networking. (2018). Schennach, Susanne. In: CeMMAP working papers. RePEc:ifs:cemmap:49/18.

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2020The Impact of Trade Liberalization on Firms Product and Labor Market Power. (2020). Wiersma, Quint ; Dobbelaere, Sabien. In: IZA Discussion Papers. RePEc:iza:izadps:dp12951.

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2019A 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.

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2020Liquidity 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.

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2020Measuring 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.

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2019Improving 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.

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2018Identification 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.

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2018Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812.

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2019Firm Behavior and Pollution in Small Geographies. (2019). De Silva, Dakshina ; Slechten, Aurelie ; Schiller, Anita ; McComb, Robert. In: Working Papers. RePEc:lan:wpaper:266151372.

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2019Taxes, traffic jam and spillover in the metropolis. (2019). Steinbach, Sandro ; Masiero, Giuliano ; Filippini, Massimo. In: IdEP Economic Papers. RePEc:lug:wpidep:1903.

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2020Estimation 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.

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2018Sovereign 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.

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2019Long-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.

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2019Mortgage Finance in the Face of Rising Climate Risk. (2019). Ouazad, Amine ; Kahn, Matthew. In: NBER Working Papers. RePEc:nbr:nberwo:26322.

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2020The Rise of For-Profit Experimental Medicine. (2020). Fishman, Ariel ; Azoulay, Pierre. In: NBER Working Papers. RePEc:nbr:nberwo:26892.

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2018Effects 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.

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2018Dealing 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.

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2018Social 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.

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2019Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:94154.

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2019Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353.

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2019Two-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.

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2019Proxy-SVAR as a Bridge for Identification with Higher Frequency Data. (2019). Vicondoa, Alejandro ; Gazzani, Andrea Giovanni. In: 2019 Meeting Papers. RePEc:red:sed019:855.

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2019Determinants of Locational Patenting Behavior of Canadian Firms. (2019). ZHAO, Long ; Langinier, Corinne ; Eckert, Andrew. In: Working Papers. RePEc:ris:albaec:2019_003.

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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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paper
2017Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2019Model Risk Management: Limits and Future of Bayesian Approaches In: Annals of Economics and Statistics.
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article0
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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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.
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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.
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paper11
2011Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers.
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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.
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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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paper30
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
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This paper has another version. Agregated cites: 30
article
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique.
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This paper has another version. Agregated cites: 30
article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
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paper12
2016Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 12
article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
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paper9
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 9
paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 9
article
2013Regime Switching and Bond Pricing. In: Working papers.
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paper3
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 3
article
2014A Quadratic Kalman Filter In: Working papers.
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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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paper20
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: 20
article
2017Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 20
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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paper6
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 6
paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 6
article
2011Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print.
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This paper has another version. Agregated cites: 6
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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paper14
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.
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This paper has another version. Agregated cites: 5
article
2005Affine Model for Credit Risk Analysis In: Working Papers.
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paper14
2006Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 14
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.
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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.
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This paper has another version. Agregated cites: 1
article
2013Liquidation Equilibrium with Seniority and Hidden CDO In: Working Papers.
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paper11
2013Liquidation 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
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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paper17
2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
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paper
2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 17
article
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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paper2
2018Composite indirect inference with application to corporate risks.(2018) In: Econometrics and Statistics.
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This paper has another version. Agregated cites: 2
article
2017Composite Indirect Inference with Application In: Working Papers.
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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
2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
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paper0
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.
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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.
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article0
1995Statistics and Econometric Models In: Cambridge Books.
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book128
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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This paper has another version. Agregated cites: 128
book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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This paper has another version. Agregated cites: 128
book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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This paper has another version. Agregated cites: 128
book
1997Time Series and Dynamic Models In: Cambridge Books.
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book54
1997Time Series and Dynamic Models.(1997) In: Cambridge Books.
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This paper has another version. Agregated cites: 54
book
1995Statistics and Econometric Models 2 volume set In: Cambridge Books.
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book58
1995Testing, Encompassing, and Simulating Dynamic Econometric Models In: Econometric Theory.
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article18
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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article31
1989A General Framework for Testing a Null Hypothesis in a “Mixed†Form In: Econometric Theory.
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article15
1980Disequilibrium Econometrics in Simultaneous Equations Systems. In: Econometrica.
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article11
1980Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica.
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article46
1979Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers.
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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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article98
1982Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica.
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article37
1984Pseudo Maximum Likelihood Methods: Theory. In: Econometrica.
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article390
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models. In: Econometrica.
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article485
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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article26
1981Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters In: Journal of Econometrics.
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article7
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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article178
1992Qualitative threshold ARCH models In: Journal of Econometrics.
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article61
1993Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics.
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article113
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.
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article22
2005The econometrics of efficient portfolios In: Journal of Empirical Finance.
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article15
2013Linear-price term structure models In: Journal of Empirical Finance.
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article3
1995Prepayment analysis for securitization In: Journal of Empirical Finance.
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article1
1992Indirect Inference. In: Toulouse - GREMAQ.
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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.
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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.
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This paper has another version. Agregated cites: 1
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2003Kernel-Based Indirect Inference In: Journal of Financial Econometrics.
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article7
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.
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article22
2014Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance.
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article15
1997Simulation-based Econometric Methods In: OUP Catalogue.
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book45
2019Invited Editorial “The challenges imposed by low interest rates” In: Journal of Asset Management.
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article0
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.
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article0
2013Granularity Adjustment for Efficient Portfolios In: Econometric Reviews.
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article0
2015Evaluating Reserve Risk in a Regulatory Perspective In: Journal of Insurance Issues.
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article0
2013ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF).
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