Alain Monfort : Citation Profile

Centre de Recherche en Économie et Statistique (CREST)

25

H index

46

i10 index

4040

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: 84
   Journals where Alain Monfort has often published
   Relations with other researchers
   Recent citing documents: 108.    Total self citations: 49 (1.2 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo298
   Updated: 2025-04-19    RAS profile: 2025-03-14    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Renne, Jean-Paul (9)

Mouabbi, Sarah (3)

Jasiak, Joann (2)

Roussellet, Guillaume (2)

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

Is cited by:

gourieroux, christian (57)

Sentana, Enrique (57)

Minford, A. Patrick (57)

Fiorentini, Gabriele (52)

Dionne, Georges (45)

Calzolari, Giorgio (35)

Renault, Eric (32)

Meenagh, David (32)

Santos Silva, João (32)

van soest, arthur (29)

Moneta, Alessio (26)

Cites to:

gourieroux, christian (70)

Pegoraro, Fulvio (35)

Singleton, Kenneth (26)

Garcia, René (24)

Jasiak, Joann (23)

Renault, Eric (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
Econometric Theory4
Journal of Banking & Finance4
Journal of Empirical Finance3
Econometrics and Statistics2
Review of Finance2
Journal of Asset Management2
L'Actualit Economique2
Journal of Credit Risk2
The Review of Economic Studies2
Journal of Applied Econometrics2

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

Recent works citing Alain Monfort (2025 and 2024)

YearTitle of citing document
2025.

Full description at Econpapers || Download paper

2025.

Full description at Econpapers || Download paper

2024Dynamic Clearing and Contagion in Financial Networks. (2018). Feinstein, Zachary ; Bernstein, Alex ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1801.02091.

Full description at Econpapers || Download paper

2024Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games. (2019). Blevins, Jason ; Dearing, Adam. In: Papers. RePEc:arx:papers:1912.10488.

Full description at Econpapers || Download paper

2024When do you Stop Supporting your Bankrupt Subsidiary?. (2022). Detering, Nils ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:2201.12731.

Full description at Econpapers || Download paper

2024Whats in a Bill? A Model of Imperfect Moral Hazard in Healthcare. (2022). Zhu, ED ; Anderson, David M ; Hoagland, Alex. In: Papers. RePEc:arx:papers:2211.01116.

Full description at Econpapers || Download paper

2025Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

Full description at Econpapers || Download paper

2024Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

Full description at Econpapers || Download paper

2024Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Probabilistic Targeted Factor Analysis. (2024). Montoya-Bland, Santiago ; Herculano, Miguel C. In: Papers. RePEc:arx:papers:2412.06688.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2025.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Oil price shocks in real time. (2024). Gazzani, Andrea Giovanni ; Veronese, Giovanni ; Venditti, Fabrizio. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393223001630.

Full description at Econpapers || Download paper

2024Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011.

Full description at Econpapers || Download paper

2024A method to measure bank output while excluding credit risk and retaining liquidity effects. (2024). Bruno, Olivier ; Groslambert, Bertrand ; Chiappini, Raphael. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:167-179.

Full description at Econpapers || Download paper

2024Anatomy of sovereign yield behaviour using textual news. (2024). Sensoy, Ahmet ; Akhtaruzzaman, Md ; Dann, Susan ; Pradhan, HK ; Banerjee, Ameet Kumar. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002514.

Full description at Econpapers || Download paper

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: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119379.

Full description at Econpapers || Download paper

2024Interaction between Sovereign Quanto Credit Default Swap Spreads and Currency Options. (2024). Tsuruta, Masaru. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:2:p:85-:d:1341039.

Full description at Econpapers || Download paper

2024Modeling the Nexus between European Carbon Emission Trading and Financial Market Returns: Practical Implications for Carbon Risk Reduction and Hedging. (2024). Hannoon, Azzam ; Mohsen, Mujeeb Saif ; Tabash, Mosab I. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:147-:d:1370634.

Full description at Econpapers || Download paper

2025The Assessment of the Potential of Russian Grain Trade in Asian and African Countries: A Gravity Model Approach. (2025). Kurnikova, Marina Viktorovna ; Guseva, Maria Sergeevna ; Khmeleva, Galina Anatolievna ; Kandrashina, Elena Alexandrovna. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:2:p:413-:d:1562175.

Full description at Econpapers || Download paper

2024A method to measure bank output while excluding credit risk and retaining liquidity effects. (2024). Chiappini, Raphaël ; Bruno, Olivier ; Groslambert, Bertrand. In: Post-Print. RePEc:hal:journl:hal-04452785.

Full description at Econpapers || Download paper

2024Private Wealth Over the Life Cycle: A Meeting Between Microsimulation and Structural Approaches. (2024). Wilner, Lionel ; Galiana, Lino. In: Post-Print. RePEc:hal:journl:hal-04799408.

Full description at Econpapers || Download paper

2024Participation in global value chains, human capital and total factor productivity in Morocco: Estimation using « ARDL bound testing ». (2024). Bensbahou, Aziz ; Alaoui, Hasna Mrani. In: Post-Print. RePEc:hal:journl:hal-04828266.

Full description at Econpapers || Download paper

2024Climate pattern effects on global economic conditions. (2024). Pourroy, Marc ; Ginn, William ; Dufrnot, Gilles. In: Post-Print. RePEc:hal:journl:hal-04828849.

Full description at Econpapers || Download paper

2024The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins. (2024). Kiran, Seluk ; Soylu, Pinar Kaya ; Baci, Mahmut. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10532-x.

Full description at Econpapers || Download paper

2025A New Look at Cross-Country Aggregation in the Global VAR Approach: Theory and Monte Carlo Simulation. (2025). GÜNDÜZ, HALİL ; Yucel, Eray M ; Gunduz, Halil Ibrahim ; Emirmahmutoglu, Furkan. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10569-6.

Full description at Econpapers || Download paper

2024Decentralized finance (DeFi) markets for startups: search frictions, intermediation, and the efficiency of the ICO market. (2024). Momtaz, Paul P. In: Small Business Economics. RePEc:kap:sbusec:v:63:y:2024:i:4:d:10.1007_s11187-024-00886-3.

Full description at Econpapers || Download paper

2024The Decline of Religiosity in America: Evidence from a Structural Model of Endogenous Church Differentiation. (2024). Sanches, Fabio Miessi ; Corbi, Raphael. In: Working Papers, Department of Economics. RePEc:spa:wpaper:2024wpecon32.

Full description at Econpapers || Download paper

2024Left-truncated health insurance claims data: theoretical review and empirical application. (2024). Wied, Dominik ; Weissbach, Rafael ; Drre, Achim ; Doblhammer, Gabriele ; Fink, Anne. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:108:y:2024:i:1:d:10.1007_s10182-023-00471-1.

Full description at Econpapers || Download paper

2024The effect of research intensity on total factor productivity in OECD countries during 1890–2018: evidence from a new Poisson pseudo maximum likelihood estimation approach. (2024). Sahu, Pritish Kumar ; Solarin, Sakiru Adebola. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:3:d:10.1007_s11135-023-01747-z.

Full description at Econpapers || Download paper

2024Modelling labour productivity and the role of research intensity in 129 years: evidence from a new dynamic instrumental variable estimation approach. (2024). Bello, Mufutau Opeyemi ; Solarin, Sakiru Adebola. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:58:y:2024:i:3:d:10.1007_s11135-023-01766-w.

Full description at Econpapers || Download paper

2024A Generalization of the Spatial Binary Model to the Longitudinal Spatial Setup. (2024). Sutradhar, Brajendra C. In: Sankhya A: The Indian Journal of Statistics. RePEc:spr:sankha:v:86:y:2024:i:1:d:10.1007_s13171-023-00319-5.

Full description at Econpapers || Download paper

2024In-Person Schooling and Youth Suicide: Evidence from School Calendars and Pandemic School Closures. (2024). Schaller, Jessamyn ; Sabia, Joseph J ; Hansen, Benjamin. In: Journal of Human Resources. RePEc:uwp:jhriss:v:59:y:2024:i:s:p:s227-s255.

Full description at Econpapers || Download paper

2024Binary endogenous treatment in stochastic frontier models with an application to soil conservation in El Salvador. (2024). Wall, Alan ; Perezurdiales, Maria ; Centorrino, Samuele ; Bravoureta, Boris. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:3:p:365-382.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

2024Higher-Order Moment Inequality Restrictions for SVARs. (2024). ferroni, filippo ; Melosi, Leonardo ; Andrade, Philippe. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1537.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

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]		paper13
2007Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2008Econometric Asset Pricing Modelling. In: Working papers.
[Full Text][Citation analysis]		paper21
2007Econometric Asset Pricing Modelling.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2008Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		article
2009No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers.
[Full Text][Citation analysis]		paper38
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: 38		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: 38		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]		paper19
2010Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		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: 19		article
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
[Full Text][Citation analysis]		paper50
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		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: 50		article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
[Full Text][Citation analysis]		paper23
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: 23		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]		paper5
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2014A Quadratic Kalman Filter In: Working papers.
[Full Text][Citation analysis]		paper6
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
[Full Text][Citation analysis]		paper39
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: 39		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: 39		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]		paper570
1984Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 570		article
1982Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper765
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 765		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]		paper21
1987Simulated residuals.(1987) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		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]		paper27
1995Testing, Encompassing, and Simulating Dynamic Econometric Models.(1995) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		article
1997Econometric specification of the risk neutral valuation model In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper5
1997Econometric Specification of the Risk Neutral Valuation Model.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		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: 5		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]		paper102
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: 102		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: 102		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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper14
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: 14		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]		paper6
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: 6		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]
This paper has nother version. Agregated cites: 207		book
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]		article17
1980Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica.
[Full Text][Citation analysis]		article82
1979Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 82		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]		article50
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]		article0
2022Required Capital for Long-Run Risks.(2022) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		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]		article29
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]		article6
1983Testing nested or non-nested hypotheses In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
1987Generalised residuals In: Journal of Econometrics.
[Full Text][Citation analysis]		article213
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.
[Full Text][Citation analysis]		article0
1999Bayesian estimation of switching ARMA models In: Journal of Econometrics.
[Full Text][Citation analysis]		article25
2021Model risk management: Valuation and governance of pseudo-models In: Econometrics and Statistics.
[Full Text][Citation analysis]		article0
2005The econometrics of efficient portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article17
2013Linear-price term structure models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article2
1995Prepayment analysis for securitization In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article2
1992Indirect Inference. In: Toulouse - GREMAQ.
[Citation analysis]		paper530
1993Indirect Inference..(1993) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 530		article
2020Identification and Estimation in Nonfundamental Structural Models In: Post-Print.
[Citation analysis]		paper2
2019Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright In: Post-Print.
[Citation analysis]		paper0
1980Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment. In: International Economic Review.
[Full Text][Citation analysis]		article0
1990From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article3
2004Infrequent Extreme Risks In: The Geneva Papers on Risk and Insurance Theory.
[Full Text][Citation analysis]		article3
2004Infrequent Extreme Risks.(2004) In: The Geneva Risk and Insurance Review.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2003Kernel-Based Indirect Inference In: Journal of Financial Econometrics.
[Citation analysis]		article10
2007Switching VARMA Term Structure Models In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article14
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]		article38
1997Simulation-based Econometric Methods In: OUP Catalogue.
[Citation analysis]		book68
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]		article3
1992Quelques développements récents des méthodes macroéconométriques In: L'Actualité Economique.
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article0
In: .
[Full Text][Citation analysis]		article0
2013Granularity Adjustment for Efficient Portfolios In: Econometric Reviews.
[Full Text][Citation analysis]		article0
2015Evaluating Reserve Risk in a Regulatory Perspective In: Journal of Insurance Issues.
[Full Text][Citation analysis]		article0
2013ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article8

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team