Alain Monfort : Citation Profile

Centre de Recherche en Économie et Statistique (CREST)

26

H index

47

i10 index

4159

Citations

RESEARCH PRODUCTION:

88

Articles

87

Papers

7

Books

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   48 years (1974 - 2022). See details.
   Cites by year: 86
   Journals where Alain Monfort has often published
   Relations with other researchers
   Recent citing documents: 167.    Total self citations: 49 (1.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pmo298
   Updated: 2025-12-20    RAS profile: 2025-04-28    
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Relations with other researchers

Works with:

Renne, Jean-Paul (9)

Mouabbi, Sarah (3)

Roussellet, Guillaume (2)

Jasiak, Joann (2)

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

Is cited by:

Sentana, Enrique (59)

gourieroux, christian (57)

Minford, A. Patrick (57)

Fiorentini, Gabriele (54)

Dionne, Georges (45)

Calzolari, Giorgio (35)

Santos Silva, João (35)

Renault, Eric (32)

Meenagh, David (32)

van soest, arthur (29)

Moneta, Alessio (27)

Cites to:

gourieroux, christian (70)

Pegoraro, Fulvio (35)

Singleton, Kenneth (26)

Garcia, René (24)

Renault, Eric (23)

Jasiak, Joann (23)

Ang, Andrew (20)

Duffie, Darrell (16)

POLIMENIS, VASSILIS (15)

Campbell, John (14)

Hansen, Lars (14)

Main data

Where Alain Monfort has published?

Journals with more than one article published# docs
Journal of Econometrics20
Annals of Economics and Statistics9
Econometrica8
Journal of Financial Econometrics7
Journal of Banking & Finance4
Econometric Theory4
Journal of Empirical Finance3
Review of Finance2
The Review of Economic Studies2
Journal of Applied Econometrics2
Econometrics and Statistics2
Journal of Asset Management2
Journal of Credit Risk2
L'Actualit Economique2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics38
Post-Print / HAL7
MPRA Paper / University Library of Munich, Germany2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Alain Monfort (2025 and 2024)

YearTitle of citing document
2025Matching to Suppliers in the Production Network: a Quantitative Framework. (2025). Alfaro-Urea, Alonso ; Zacchia, Paolo. In: Documentos de Trabajo. RePEc:apk:doctra:2502.

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2024Dynamic Clearing and Contagion in Financial Networks. (2024). Feinstein, Zachary ; Banerjee, Tathagata ; Bernstein, Alex. In: Papers. RePEc:arx:papers:1801.02091.

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2024Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games. (2024). Blevins, Jason ; Dearing, Adam. In: Papers. RePEc:arx:papers:1912.10488.

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2024Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective. (2024). Detering, Nils ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:2201.12731.

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2024Medical Bill Shock and Imperfect Moral Hazard. (2024). Hoagland, Alex ; Zhu, ED ; Anderson, David M. In: Papers. RePEc:arx:papers:2211.01116.

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2025Cointegration with Occasionally Binding Constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2024Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions. (2024). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2024Structural Analysis of Vector Autoregressive Models. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Common Trends and Long-Run Identification in Nonlinear Structural VARs. (2024). Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2404.05349.

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2024Vector AutoRegressive Moving Average Models: A Review. (2024). Wilms, Ines ; Tsay, Ruey S ; Duker, Marie-Christine ; Matteson, David S. In: Papers. RePEc:arx:papers:2406.19702.

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2024The second-order Esscher martingale densities for continuous-time market models. (2024). Choulli, Tahir ; Vanmaele, Michele ; Elazkany, Ella. In: Papers. RePEc:arx:papers:2407.03960.

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2025Enhancing Preference-based Linear Bandits via Human Response Time. (2025). Ren, Zhaolin ; Zhang, Yuyang ; Li, Shen ; Shah, Julie A ; Liang, Claire. In: Papers. RePEc:arx:papers:2409.05798.

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2024Applications of the Second-Order Esscher Pricing in Risk Management. (2024). Vanmaele, Michele ; Elazkany, Ella ; Choulli, Tahir. In: Papers. RePEc:arx:papers:2410.21649.

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2025Probabilistic Targeted Factor Analysis. (2025). Montoya-Bland, Santiago ; Herculano, Miguel C. In: Papers. RePEc:arx:papers:2412.06688.

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2024A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598.

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2025Identification and Estimation of Simultaneous Equation Models Using Higher-Order Cumulant Restrictions. (2025). Jiang, Ziyu. In: Papers. RePEc:arx:papers:2501.06777.

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2025Pricing Carbon Allowance Options on Futures: Insights from High-Frequency Data. (2025). Bormetti, Giacomo ; Serafini, Simone. In: Papers. RePEc:arx:papers:2501.17490.

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2025Regression Modeling of the Count Relational Data with Exchangeable Dependencies. (2025). Fosdick, Bailey K ; Du, Wenqin ; Zhou, Wen. In: Papers. RePEc:arx:papers:2502.11255.

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2025Nonlinear Forecast Error Variance Decompositions with Hermite Polynomials. (2025). Lee, Quinlan. In: Papers. RePEc:arx:papers:2503.11416.

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2025On the Robustness of Mixture Models in the Presence of Hidden Markov Regimes with Covariate-Dependent Transition Probabilities. (2025). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Papers. RePEc:arx:papers:2504.21669.

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2025Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911.

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2025Conditional Method Confidence Set. (2025). Bauer, Lukas ; Kazak, Ekaterina. In: Papers. RePEc:arx:papers:2505.21278.

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2025Identification of Impulse Response Functions for Nonlinear Dynamic Models. (2025). Lee, Quinlan ; Gourieroux, Christian. In: Papers. RePEc:arx:papers:2506.13531.

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2025Handling Sparse Non-negative Data in Finance. (2025). Capponi, Agostino ; Qu, Zhaonan. In: Papers. RePEc:arx:papers:2509.01478.

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2025Out-of-sample gravity predictions and trade policy counterfactuals. (2025). Santos Silva, João ; Novy, Dennis ; Zylkin, Tom ; J. M. C. Santos Silva, ; Green, Nick ; Breinlich, Holger ; Apfel, Nicolas. In: Papers. RePEc:arx:papers:2509.11271.

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2025Generalized Covariance Estimator under Misspecification and Constraints. (2025). Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2509.13492.

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2025An Econometric Analysis of the Impact of Telecare on the Length of Stay in Hospital. (2025). Momanyi, Kevin. In: Papers. RePEc:arx:papers:2509.22706.

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2024Identification based on higher moments. (2024). Lewis, Daniel. In: CeMMAP working papers. RePEc:azt:cemmap:03/24.

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2024Implied probability kernel block bootstrap for time series moment condition models. (2024). Parente, Paulo ; Smith, Richard J. In: CeMMAP working papers. RePEc:azt:cemmap:08/24.

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2025Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition. (2025). Stevanovic, Dalibor ; Guay, Alain. In: Working Papers. RePEc:bbh:wpaper:25-03.

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2025Issuing European safe assets: how to get the most out of Eurobonds?. (2025). Tommasino, Pietro ; Pericoli, Marcello ; Pallara, Kevin. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_937_25.

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2024Oil price shocks in real time. (2024). Gazzani, Andrea Giovanni ; Veronese, Giovanni ; Venditti, Fabrizio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1448_24.

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2025German Inflation-Linked Bonds: Overpriced, yet Undervalued. (2025). Mouabbi, Sarah ; Paulson, Caroline ; Christensen, Jens. In: Working papers. RePEc:bfr:banfra:1012.

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2025The Shadow Rate Model: Let’s Make it Real!. (2025). Renne, Jean-Paul ; Guilloux-Nefussi, Sophie ; Golinski, Adam. In: Working papers. RePEc:bfr:banfra:1014.

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2024The Real Effects of Supply Chain Transparency Regulation: Evidence from Section 1502 of the Dodd–Frank Act. (2024). Eventov, Omri ; Baik, Bok ; Han, Russell ; Park, David. In: Journal of Accounting Research. RePEc:bla:joares:v:62:y:2024:i:2:p:551-587.

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2024Count network autoregression. (2024). Armillotta, Mirko ; Fokianos, Konstantinos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:584-612.

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2024Estimating gravity coefficients with multiple layers of heterogeneity. (2024). Lahiri, Sajal ; Kitenge, Erick. In: Review of International Economics. RePEc:bla:reviec:v:32:y:2024:i:3:p:1204-1237.

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2024The Linder hypothesis for foreign direct investment revisited. (2024). Steinbach, Sandro ; Kim, Dongin. In: Review of International Economics. RePEc:bla:reviec:v:32:y:2024:i:4:p:1901-1928.

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2024Estimating effects of staggered intervention with count and binary outcomes: a simulation study. (2024). McHale, John ; O'Neill, Stephen ; Harold, Jason ; Yadav, Anil. In: Research Technical Papers. RePEc:cbi:wpaper:4/rt/24.

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2024Comparative Advantage in the 24/7 Economy: Time-Zone Differences and Service Trade Flows. (2024). Marjit, Sugata ; Chattopadhyay, Siddhartha ; Aditya, Anwesha ; Roy, Arundhati Sinha. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11290.

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2024Method of Moments and Maximum Likelihood in the Laboratory. (2024). Levine, David K. In: Levine's Working Paper Archive. RePEc:cla:levarc:11694000000000208.

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2025Duration Dependence in Finding a Job: Applications, Interviews, and Job Offers. (2025). Zweimüller, Josef ; Osikominu, Aderonke ; Lalive, Rafael ; Pesaresi, Lorenzo ; Zweimueller, Josef ; Zuchuat, Jeremy. In: RF Berlin - CReAM Discussion Paper Series. RePEc:crm:wpaper:2515.

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2024Nonparametric portfolio efficiency measurement with higher moments. (2024). Kruger, Jens J. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:144371.

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2025Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions. (2025). Lütkepohl, Helmut ; Ltkepohl, Helmut ; Strohsal, Till. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2110.

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2024Institutional determinants of subjective well-being in developing countries: Insights from Ethiopia. (2024). Tekleselassie, Tsegay. In: Economics Bulletin. RePEc:ebl:ecbull:eb-24-00301.

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2024Consistent Distribution–Free Affine–Invariant Tests for the Validity of Independent Component Models. (2024). Hallin, Marc ; Meintanis, Simos ; Nordhausen, Klaus. In: Working Papers ECARES. RePEc:eca:wpaper:2013/368952.

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2025Time-varying risk aversion and inflation-consumption correlation in an equilibrium term structure model. (2025). Renne, Jean-Paul ; Lemke, Wolfgang ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20253012.

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2024Introducing sspaneltvp: a code to estimating state-space time varying parameter models in panels. An application to Okun’s law.. (2024). Tamarit, Cecilio ; Camarero, Mariam ; Sapena, Juan. In: Working Papers. RePEc:eec:wpaper:2405.

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2024Information effects of high-speed rail: Evidence from patent citations in China. (2024). Yi, Wei ; Long, Cheryl Xiaoning. In: China Economic Review. RePEc:eee:chieco:v:84:y:2024:i:c:s1043951x2400004x.

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2024Bayesian estimation of large-scale simulation models with Gaussian process regression surrogates. (2024). Barde, Sylvain. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:196:y:2024:i:c:s0167947324000562.

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2025Small area prediction of counts under machine learning-type mixed models. (2025). Schmid, Timo ; Frink, Nicolas. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:211:y:2025:i:c:s0167947325000945.

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2025Mitigating the health impact of a famine: Evidence from the 1985 Ethiopian emergency food aid. (2025). di Falco, Salvatore ; Han, Kyungbo. In: Journal of Development Economics. RePEc:eee:deveco:v:176:y:2025:i:c:s0304387825000823.

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2024Identification of vector autoregressive models with nonlinear contemporaneous structure. (2024). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000447.

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2024Frictionless house-price momentum. (2024). Moura, Alban ; Fve, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001921.

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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2024Climate pattern effects on global economic conditions. (2024). Pourroy, Marc ; Ginn, William ; Dufrnot, Gilles. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002773.

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2025Examining the transmission of credit and liquidity risks: A network analysis for EMU sovereign debt markets. (2025). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gmez-Puig, Marta ; Fernandez-Perez, Adrin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000476.

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2024Time aggregation of mixed causal–noncausal models. (2024). Telg, Sean. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524005032.

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2025Information matrix tests for multinomial logit models. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000175.

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2025Structural stability of functional data — A new adjusted-range-based self-normalization approach. (2025). Hong, Yongmiao ; Xu, Weichao ; Sun, Jiajing ; Lin, Zhuo. In: Economics Letters. RePEc:eee:ecolet:v:253:y:2025:i:c:s0165176525001879.

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2024Simultaneously Incomplete and Incoherent (SII) Dynamic LDV Models: With an Application to Financing Constraints and Firms’ Decision to Innovate. (2024). Savignac, Frédérique ; hajivassiliou, vassilis. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002622.

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2024Nested Pseudo likelihood estimation of continuous-time dynamic discrete games. (2024). Blevins, Jason ; Kim, Minhae. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623002920.

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2024Kolmogorov–Smirnov type testing for structural breaks: A new adjusted-range based self-normalization approach. (2024). LINTON, OLIVER ; Hong, Yongmiao ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196.

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2024Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639.

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2024Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation. (2024). Funovits, Bernd. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s030440762400112x.

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2024Estimating option pricing models using a characteristic function-based linear state space representation. (2024). Laeven, Roger ; Vladimirov, Evgenii ; Boswijk, Peter H. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624002094.

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2024Specification tests for non-Gaussian structural vector autoregressions. (2024). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001490.

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2024Testing for strong exogeneity in Proxy-VARs. (2024). Keweloh, Sascha A ; Bruns, Martin. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002215.

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2024Pseudo-variance quasi-maximum likelihood estimation of semi-parametric time series models. (2024). Armillotta, Mirko ; Gorgi, Paolo. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002458.

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2024Consistent causal inference for high-dimensional time series. (2024). Cordoni, Francesco ; Sancetta, Alessio. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002537.

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2025Natural disasters as macroeconomic tail risks. (2025). Moench, Emanuel ; Chavleishvili, Sulkhan. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002653.

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2025Bond risk premiums at the zero lower bound. (2025). Meldrum, Andrew ; Jrgensen, Kasper ; Andreasen, Martin M. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002902.

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2025The term structure of macroeconomic risks at the effective lower bound. (2025). Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623000143.

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2025Weak identification in discrete choice models. (2025). Zhao, Xueyan ; Zhang, Lina ; Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002112.

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2025Long-run risk in stationary vector autoregressive models. (2025). Jasiak, Joann ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002562.

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2025Model Risk of Volatility Models. (2025). Lazar, Emese ; Zhang, Ning. In: Econometrics and Statistics. RePEc:eee:ecosta:v:35:y:2025:i:c:p:1-22.

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2025Did the COVID-19 pandemic change the importance of health for life satisfaction? Evidence from France. (2025). Wolff, François-Charles ; Tessier, Philippe. In: Economics & Human Biology. RePEc:eee:ehbiol:v:56:y:2025:i:c:s1570677x25000012.

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2025Contagion network, portfolio credit risk, and financial crisis. (2025). Li, Bingqing ; Fu, Michael C ; Wu, Rongwen. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:942-957.

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2024Time-varying variance decomposition of macro-finance term structure models. (2024). Hansen, Anne Lundgaard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000975.

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2024Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Herwartz, Helmut ; Theilen, Bernd. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968.

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2024Renewable energy investment under stochastic interest rate with regime-switching volatility. (2024). Detemple, Jerome ; Kitapbayev, Yerkin ; Reppen, Max A. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004420.

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2025Supply chain digitization and continuous green innovation: Evidence from China. (2025). Jiang, Gaoyang ; Peng, Jie ; Liang, Xintong ; Pan, Junyu. In: Energy Economics. RePEc:eee:eneeco:v:142:y:2025:i:c:s0140988324008673.

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2025Innovating under pressure: How geopolitical risk exposure drives energy innovation in firms. (2025). Wen, Lulu ; Wang, Chunfeng ; Fang, Zhenming ; Yao, Shouyu ; Cui, Xin. In: Energy Economics. RePEc:eee:eneeco:v:148:y:2025:i:c:s0140988325004608.

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2024Pricing CBOE VIX in non-affine GARCH models with variance risk premium. (2024). Tong, Chen. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001454.

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2024Time-varying default risk of Chinese-listed companies: From empirical test to theoretical conjecture. (2024). Qin, Zhaohui ; Chen, Yijie ; Fan, Yali ; Wang, Xiaowan ; Andrianarimanana, Mihasina Harinaivo ; Duok, Dhornor Tarir. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324008699.

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2024Mispricing of debt expansion in the eurozone sovereign credit market. (2024). Zenios, Stavros ; Lotfi, Somayyeh ; Milidonis, Andreas. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001158.

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2025Estimating the impact of COVID-19 on mortality using granular data. (2025). van Berkum, Frank ; Melenberg, Bertrand ; Vellekoop, Michel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:121:y:2025:i:c:p:144-156.

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2024Reconciling interest rates evidence with theory: Rejecting unit roots when the HD(1) is a competing alternative. (2024). Palandri, Alessandro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:161:y:2024:i:c:s0378426624000335.

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2024Operational loss recoveries and the macroeconomic environment: Evidence from the U.S. banking sector. (2024). Frame, Scott W ; McLemore, Ping ; Lazaryan, Nika ; Mihov, Atanas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001377.

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2025Modeling and pricing credit risk with a focus on recovery risk. (2025). Liu, Haibo ; Tang, Qihe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002310.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2025Financing decentralized digital platform growth: The role of crypto funds in blockchain-based startups. (2025). Cumming, Douglas ; Schermann, Niclas ; Momtaz, Paul P ; Drobetz, Wolfgang. In: Journal of Business Venturing. RePEc:eee:jbvent:v:40:y:2025:i:1:s0883902624000727.

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2024Calibration and validation of macroeconomic simulation models by statistical causal search. (2024). Pallante, Gianluca ; Moneta, Alessio ; Martinoli, Mario. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:228:y:2024:i:c:s0167268124004001.

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2025Climate change and fractional outcomes: A long-run panel study of U.S. crop failure rates and pasture rates. (2025). Kim, Seung Min ; Mendelsohn, Robert. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:130:y:2025:i:c:s0095069624001906.

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2024Is it alpha or beta? Decomposing hedge fund returns when models are misspecified. (2024). Scaillet, Olivier ; Ardia, David ; Gagliardini, Patrick ; Barras, Laurent. In: Journal of Financial Economics. RePEc:eee:jfinec:v:154:y:2024:i:c:s0304405x2400028x.

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2024Deep trade agreements and agri-food global value chain integration. (2024). Steinbach, Sandro ; Kim, Dongin ; Zurita, Carlos. In: Food Policy. RePEc:eee:jfpoli:v:127:y:2024:i:c:s0306919224000976.

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2024Smart systemic-risk scores. (2024). Benoit, Sylvain. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001699.

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2025Bond supply expectations and the term structure of interest rates. (2025). Dufour, Alfonso ; Billio, Monica ; Busetto, F ; Varotto, S. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:150:y:2025:i:c:s0261560624002043.

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2025Markov switching multiple-equation tensor regressions. (2025). Craiu, Radu V ; Casarin, Roberto ; Wang, Qing. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:208:y:2025:i:c:s0047259x25000223.

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2025Voting governance and value creation in decentralized autonomous organizations (DAOs). (2025). Bellavitis, Cristiano ; Momtaz, Paul P. In: Journal of Business Venturing Insights. RePEc:eee:jobuve:v:23:y:2025:i:c:s2352673425000241.

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2024Did grain futures prices overreact to the Russia–Ukraine war due to herding?. (2024). Steinbach, Sandro ; Carter, Colin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000412.

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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.
[Full Text][Citation analysis]		article18
1991Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article23
1993Tests 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]		article4
1995Linear Factor Models and the Term Structure of Interest Rates In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2006Pricing with Splines In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article2
2002Pricing with Splines.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2013Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article1
2017Introduction In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article1
2017Consistent Pseudo-Maximum Likelihood Estimators In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article1
2016Consistent Pseudo-Maximum Likelihood Estimators.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2017Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2019Model Risk Management: Limits and Future of Bayesian Approaches In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2019Model Risk Management: Limits and Future of Bayesian Approaches.(2019) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2007Pricing and Inference with Mixtures of Conditionally Normal Processes. In: Working papers.
[Full Text][Citation analysis]		paper34
2006Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2007Multi-Lag Term Structure Models with Stochastic Risk Premia. In: Working papers.
[Full Text][Citation analysis]		paper0
2006Multi-Lag Term Structure Models with Stochastic Risk Premia.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2007Switching VARMA Term Structure Models - Extended Version. In: Working papers.
[Full Text][Citation analysis]		paper14
2007Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2008Econometric Asset Pricing Modelling. In: Working papers.
[Full Text][Citation analysis]		paper22
2007Econometric Asset Pricing Modelling.(2007) In: Working Papers.
[Full Text][Citation analysis]
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2008Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2009No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers.
[Full Text][Citation analysis]		paper40
2011No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2013No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
2009New Information Response Functions. In: Working papers.
[Full Text][Citation analysis]		paper6
2009Une mod lisation s quentielle de la VaR In: Working papers.
[Full Text][Citation analysis]		paper1
2009Optimal Portfolio Allocation under Asset and Surplus VaR Constraints In: Working papers.
[Full Text][Citation analysis]		paper4
2008Optimal portfolio allocation under asset and surplus VaR constraints.(2008) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2011Default, liquidity and crises: an econometric framework In: Working papers.
[Full Text][Citation analysis]		paper7
2010Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2013Default, Liquidity, and Crises: an Econometric Framework.(2013) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2011Credit and liquidity risks in euro area sovereign yield curves In: Working papers.
[Full Text][Citation analysis]		paper14
2011Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2012Asset Pricing with Second-Order Esscher Transforms. In: Working papers.
[Full Text][Citation analysis]		paper20
2010Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2012Asset pricing with Second-Order Esscher Transforms.(2012) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
[Full Text][Citation analysis]		paper51
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		article
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
[Full Text][Citation analysis]		paper26
2016Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
[Full Text][Citation analysis]		paper9
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2013Regime Switching and Bond Pricing. In: Working papers.
[Full Text][Citation analysis]		paper6
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2014A Quadratic Kalman Filter In: Working papers.
[Full Text][Citation analysis]		paper8
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
[Full Text][Citation analysis]		paper46
2017Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46		article
2017Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 46		article
2020Disastrous Defaults In: Working papers.
[Full Text][Citation analysis]		paper2
2021Disastrous Defaults*.(2021) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2021Disastrous Defaults.(2021) In: TSE Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2008Taking into account extreme events in European option pricing. In: Financial Stability Review.
[Full Text][Citation analysis]		article1
2008Taking into account extreme events in European option pricing.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2009Fourth Order Pseudo Maximum Likelihood Methods In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper7
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2011Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2010Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper3
2010Microinformation, Nonlinear Filtering, and Granularity.(2010) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
1981Pseudo maximum likelihood methods : theory In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper591
1984Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 591		article
1982Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper796
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 796		article
1982Revision adaptative des anticipations et convergence vers les anticipations rationnelles In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
1982Estimation and test in probit models with serial correlation In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper3
1984General approach of serial correlation (a). In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper40
1985A General Approach to Serial Correlation.(1985) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
1985Simulated residuals In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper22
1987Simulated residuals.(1987) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
1985Testing unknown linear restrictions on parameter functions In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper1
1987Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper2
1991Qualitative threshold arch models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper69
1992Qualitative threshold ARCH models.(1992) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 69		article
1991Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
1991Modèles de durée et effets de génération In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
1993Modèles linéaires à facteurs et structure à terme des taux dintérêt In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
1993Prévision de mesures de prix contingents In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
1994Kernel m-estimators : non parametric diagnostics for structural models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper2
1994Testing, encompassing and simulating dynamic econometric models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper28
1995Testing, Encompassing, and Simulating Dynamic Econometric Models.(1995) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
1997Econometric specification of the risk neutral valuation model In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper6
1997Econometric Specification of the Risk Neutral Valuation Model.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2000Econometric specification of the risk neutral valuation model.(2000) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2003Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper70
2002Affine Term Structure Models In: Working Papers.
[Full Text][Citation analysis]		paper15
2002Equidependence in Qualitative and Duration Models with Application to Credit Risk In: Working Papers.
[Full Text][Citation analysis]		paper3
2005International Money and Stock Market Contingent Claims In: Working Papers.
[Full Text][Citation analysis]		paper9
2010International money and stock market contingent claims.(2010) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2005Affine Model for Credit Risk Analysis In: Working Papers.
[Full Text][Citation analysis]		paper18
2006Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2006(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution In: Working Papers.
[Full Text][Citation analysis]		paper11
2007Quadratic Stochastic Intensity and Prospective Mortality Tables In: Working Papers.
[Full Text][Citation analysis]		paper6
2008Quadratic stochastic intensity and prospective mortality tables.(2008) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2011Allocating Systematic and Unsystematic Risks in a Regulatory Perspective In: Working Papers.
[Full Text][Citation analysis]		paper4
2011Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options In: Working Papers.
[Full Text][Citation analysis]		paper4
2012Joint econometric modeling of spot electricity prices, forwards and options.(2012) In: Review of Derivatives Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2013Liquidation Equilibrium with Seniority and Hidden CDO In: Working Papers.
[Full Text][Citation analysis]		paper13
2013Liquidation equilibrium with seniority and hidden CDO.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2014Revisiting Identification and estimation in Structural VARMA Models In: Working Papers.
[Full Text][Citation analysis]		paper5
2015Statistical Inference for Independent Component Analysis In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers.
[Full Text][Citation analysis]		paper112
2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 112		paper
2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 112		article
2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
[Full Text][Citation analysis]		paper9
2020Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 9		article
2020Stationary Bubble Equilibria in Rational Expectation Models.(2020) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2016Composite Indirect Inference with Application to Corporate Risks In: Working Papers.
[Full Text][Citation analysis]		paper3
2018Composite indirect inference with application to corporate risks.(2018) In: Econometrics and Statistics.
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This paper has nother version. Agregated cites: 3		article
2017Composite Indirect Inference with Application In: Working Papers.
[Full Text][Citation analysis]		paper2
2017Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers.
[Full Text][Citation analysis]		paper15
2020Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers.
[Full Text][Citation analysis]		paper3
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2019Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations.(2019) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
[Full Text][Citation analysis]		paper10
2021Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion.(2021) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
1997Modèles de comptage semi-paramétriques In: Working Papers.
[Full Text][Citation analysis]		paper0
1997Modèles de comptage semi-paramétriques.(1997) In: L'Actualité Economique.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
1998The Simulated Likelihood Ratio (SLR) Method In: Working Papers.
[Full Text][Citation analysis]		paper5
1998The Econometrics of Efficient Frontiers In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Functional Indirect Inference In: Working Papers.
[Full Text][Citation analysis]		paper0
2018COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING In: ASTIN Bulletin.
[Full Text][Citation analysis]		article0
1995Statistics and Econometric Models In: Cambridge Books.
[Citation analysis]		book207
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 207		book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 207		book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
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1997Time Series and Dynamic Models In: Cambridge Books.
[Citation analysis]		book74
1997Time Series and Dynamic Models.(1997) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 74		book
1996A Reappraisal of Misspecified Econometric Models In: Econometric Theory.
[Full Text][Citation analysis]		article20
1989A General Framework for Testing a Null Hypothesis in a “Mixed” Form In: Econometric Theory.
[Full Text][Citation analysis]		article21
1980Disequilibrium Econometrics in Simultaneous Equations Systems. In: Econometrica.
[Full Text][Citation analysis]		article18
1980Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica.
[Full Text][Citation analysis]		article83
1979Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 83		paper
1980Sufficient Linear Structures: Econometric Applications. In: Econometrica.
[Full Text][Citation analysis]		article10
1982Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters. In: Econometrica.
[Full Text][Citation analysis]		article164
1982Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica.
[Full Text][Citation analysis]		article53
1989Testing for Common Roots. In: Econometrica.
[Full Text][Citation analysis]		article1
2022Required Capital for Long-Run Risks In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2022Required Capital for Long-Run Risks.(2022) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1986Testing non-nested hypotheses In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter8
1986Some useful equivalence properties of Hausmans test In: Economics Letters.
[Full Text][Citation analysis]		article9
1979On the characterization of a joint probability distribution by conditional distributions In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
1979Disequilibrium econometrics in dynamic models In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2007Econometric specification of stochastic discount factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article31
1981Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
1981Asymptotic properties of the maximum likelihood estimator in dichotomous logit models In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2015Pricing with finite dimensional dependence In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
1983Testing nested or non-nested hypotheses In: Journal of Econometrics.
[Full Text][Citation analysis]		article28
1987Generalised residuals In: Journal of Econometrics.
[Full Text][Citation analysis]		article219
1993Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics.
[Full Text][Citation analysis]		article156
1978First-order identification in linear models In: Journal of Econometrics.
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1999Bayesian estimation of switching ARMA models In: Journal of Econometrics.
[Full Text][Citation analysis]		article26
2021Model risk management: Valuation and governance of pseudo-models In: Econometrics and Statistics.
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2005The econometrics of efficient portfolios In: Journal of Empirical Finance.
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2013Linear-price term structure models In: Journal of Empirical Finance.
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1995Prepayment analysis for securitization In: Journal of Empirical Finance.
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1992Indirect Inference. In: Toulouse - GREMAQ.
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1993Indirect Inference..(1993) In: Journal of Applied Econometrics.
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2020Identification and Estimation in Nonfundamental Structural Models In: Post-Print.
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2019Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright In: Post-Print.
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1980Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment. In: International Economic Review.
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1990From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral. In: Journal of Applied Econometrics.
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2004Infrequent Extreme Risks In: The Geneva Papers on Risk and Insurance Theory.
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2004Infrequent Extreme Risks.(2004) In: The Geneva Risk and Insurance Review.
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2003Kernel-Based Indirect Inference In: Journal of Financial Econometrics.
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2007Switching VARMA Term Structure Models In: Journal of Financial Econometrics.
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1981On the Problem of Missing Data in Linear Models In: The Review of Economic Studies.
[Full Text][Citation analysis]		article27
2014Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance.
[Full Text][Citation analysis]		article41
1997Simulation-based Econometric Methods In: OUP Catalogue.
[Citation analysis]		book71
2019Invited Editorial “The challenges imposed by low interest rates” In: Journal of Asset Management.
[Full Text][Citation analysis]		article0
2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations In: MPRA Paper.
[Full Text][Citation analysis]		paper0
1974Un modèle agricole à long terme de simulation In: Économie et Prévision.
[Full Text][Citation analysis]		article4
1992Quelques développements récents des méthodes macroéconométriques In: L'Actualité Economique.
[Full Text][Citation analysis]		article0
Granularity in a qualitative factor model In: Journal of Credit Risk.
[Full Text][Citation analysis]		article0
The double default value-of-the-firm model In: Journal of Credit Risk.
[Full Text][Citation analysis]		article0
2013Granularity Adjustment for Efficient Portfolios In: Econometric Reviews.
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2015Evaluating Reserve Risk in a Regulatory Perspective In: Journal of Insurance Issues.
[Full Text][Citation analysis]		article0
2013ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article8

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