Alain Monfort : Citation Profile


Are you Alain Monfort?

Centre de Recherche en Économie et Statistique (CREST)

25

H index

45

i10 index

3927

Citations

RESEARCH PRODUCTION:

86

Articles

87

Papers

7

Books

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   48 years (1974 - 2022). See details.
   Cites by year: 81
   Journals where Alain Monfort has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 49 (1.23 %)

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   Permalink: http://citec.repec.org/pmo298
   Updated: 2024-07-05    RAS profile: 2023-11-07    
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Relations with other researchers


Works with:

Renne, Jean-Paul (8)

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:

Sentana, Enrique (58)

gourieroux, christian (57)

Minford, A. Patrick (57)

Fiorentini, Gabriele (52)

Calzolari, Giorgio (35)

Dionne, Georges (35)

Santos Silva, João (32)

Renault, Eric (32)

Meenagh, David (32)

van soest, arthur (29)

Moneta, Alessio (24)

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
Journal of Applied Econometrics2
Journal of Asset Management2
L'Actualit Economique2
Econometrics and Statistics2
The Review of Economic Studies2

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 (2024 and 2023)


YearTitle of citing document
2023.

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2023.

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

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2023Nested Pseudo Likelihood Estimation of Continuous-Time Dynamic Discrete Games. (2021). Blevins, Jason ; Kim, Minhae. In: Papers. RePEc:arx:papers:2108.02182.

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2023Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043.

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

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2023Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685.

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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.

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2023Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2023Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

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

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2023Credit Valuation Adjustment in Financial Networks. (2023). Zlati, Vinko ; Battiston, Stefano ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2305.16434.

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2023Optimizing B2B Product Offers with Machine Learning, Mixed Logit, and Nonlinear Programming. (2023). Horn, Elizabeth ; Park, Stella ; Colias, John V. In: Papers. RePEc:arx:papers:2308.07830.

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2023Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2310.08173.

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

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

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2024.

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2023Firms innovation and university cooperation. New evidence from a survey of Italian firms.. (2023). Rigon, Massimiliano ; Cortelezzi, Flavia ; Bragoli, Daniela. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1400_23.

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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.

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2023Constructing Efficient Simulated Moments Using Temporal Convolutional Networks. (2023). Creel, Michael ; Chassot, Jonathan. In: Working Papers. RePEc:bge:wpaper:1412.

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2023.

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2023Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796.

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2023When stronger patent law reduces patenting: Empirical evidence. (2023). Xiong, XI ; I. P. L. Png, ; Hou, Yun. In: Strategic Management Journal. RePEc:bla:stratm:v:44:y:2023:i:4:p:977-1012.

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2023How did Brexit impact EU trade? Evidence from real data. (2023). Kapar, Burcu ; Buigut, Steven. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:6:p:1566-1581.

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2023Service trade restrictiveness and foreign direct investment—Evidence from greenfield FDI in business services. (2023). Marschinski, Robert ; Jungmittag, Andre. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:6:p:1711-1758.

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2023.

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2023UK monetary and fiscal policy since the Great Recession- an evaluation. (2023). Minford, A. Patrick ; Wang, Ziqing ; Meenagh, David ; Mai, Vo Phuong. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/9.

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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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2023Interbank asset-liability networks with fire sale management. (2023). Haaj, Grzegorz ; Feinstein, Zachary. In: Working Paper Series. RePEc:ecb:ecbwps:20232806.

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2023Mean regression model for the zero-truncated Poisson distribution and its generalization. (2023). Liang, Jiajuan ; Tian, Guo-Liang ; Sun, Yuan ; Shi, Jianhua. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:179:y:2023:i:c:s0167947322002304.

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2023Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362.

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2023Multivariate stress scenario selection in interbank networks. (2023). Kwon, Eunji ; Kim, Kyoung-Kuk ; Ahn, Dohyun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:154:y:2023:i:c:s0165188923001185.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2023The impact of economic policy uncertainty on stock prices. (2023). Ginn, William. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523004585.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Quasi score-driven models. (2023). Laurent, Sebastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:251-275.

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2023Maximum likelihood estimation of stochastic frontier models with endogeneity. (2023). Pérez-Urdiales, María ; Perez-Urdiales, Maria ; Centorrino, Samuele. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:82-105.

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2023A corrected Clarke test for model selection and beyond. (2023). Min, Aleksey ; Fermanian, Jean-David ; Bruck, Florian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:105-132.

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2023Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201.

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2023Refining set-identification in VARs through independence. (2023). Wright, Jonathan H ; Drautzburg, Thorsten. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1827-1847.

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2023Wald, QLR, and score tests when parameters are subject to linear inequality constraints. (2023). Shi, Xuetao ; Fan, Yanqin. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2005-2026.

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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

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2023Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604.

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2023Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models. (2023). Francq, Christian ; Aknouche, Abdelhakim. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s030440762100213x.

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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). Hong, Yongmiao ; Linton, Oliver ; Wang, Shouyang ; Sun, Jiajing ; McCabe, Brendan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003196.

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2023Euro area sovereign bond risk premia before and during the Covid-19 pandemic. (2023). Schwaab, Bernd ; Corradin, Stefano. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000314.

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2023General equilibrium models with rationing: The making of a ‘European specialty’. (2023). Plassard, Romain ; Renault, Matthieu. In: European Economic Review. RePEc:eee:eecrev:v:159:y:2023:i:c:s0014292123001988.

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2023Subsidize or Not: The Competition of Credit Card and Online Credit in Platform-based Supply Chain System. (2023). Dong, YU ; Zha, Yong ; Li, Quan. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:644-658.

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2023Asymptotically tight conic approximations for chance-constrained AC optimal power flow. (2023). Pan, Kai ; Cheng, Jianqiang ; Fathabad, Abolhassan Mohammadi ; Yang, Boshi. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:738-753.

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2023Simulation of multidimensional diffusions with sticky boundaries via Markov chain approximation. (2023). Zhang, Gongqiu ; Li, Lingfei ; Meier, Christian. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1292-1308.

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2023Optimal network compression. (2023). Feinstein, Zachary ; Amini, Hamed. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:3:p:1439-1455.

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2023An empirical application of Particle Markov Chain Monte Carlo to frailty correlated default models. (2023). Nguyen, HA. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:103-121.

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2023Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919.

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2023Public support and energy innovation: Why do firms react differently?. (2023). Zhang, Lin. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000269.

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2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

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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.

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2023Asset purchase bailouts and endogenous implicit guarantees. (2023). Mengus, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:142:y:2023:i:c:s0022199623000235.

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2023The globalization of corporate control. (2023). Papaioannou, Elias ; Nikalexi, Katerina ; Fonseca, Luis. In: Journal of International Economics. RePEc:eee:inecon:v:146:y:2023:i:c:s0022199623000405.

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2023Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259.

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2023Term premium in a fractionally cointegrated yield curve. (2023). Abbritti, Mirko ; Moreno, Antonio ; Gil-Alana, Luis ; Carcel, Hector. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000171.

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2023Local banking markets and barriers to entrepreneurship in minority and other areas. (2023). Prieger, James. In: Journal of Economics and Business. RePEc:eee:jebusi:v:124:y:2023:i:c:s0148619523000012.

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2023Coherence without rationality at the zero lower bound. (2023). McClung, Nigel ; Ascari, Guido ; Mavroeidis, Sophocles. In: Journal of Economic Theory. RePEc:eee:jetheo:v:214:y:2023:i:c:s0022053123001412.

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2023Monetary policy and information shocks in a block-recursive SVAR. (2023). Seepe, Andre ; Hetzenecker, Stephan ; Keweloh, Sascha A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000931.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis N ; Bampinas, Georgios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001031.

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2023Eurozone government bond spreads: A tale of different ECB policy regimes. (2023). Pieterse-Bloem, Mary. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001663.

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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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2023Institutional determinants of internal conflicts in fragile developing countries. (2023). Véganzonès, Marie-Ange ; Veganzones-Varoudakis, Marie-Ange ; All, Syed Muhammad. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:5:p:910-934.

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2023Oil & gas induced economic fluctuations and self-employment. (2023). Upton, Gregory B ; Unel, Bulent. In: Labour Economics. RePEc:eee:labeco:v:82:y:2023:i:c:s0927537123000374.

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2023The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis. (2023). Shouyang, Wang ; Yahan, Wang ; Fangcheng, Tang ; Kun, Guo ; Jiajia, Liu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:105-119.

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2023Decomposing the yield curve with linear regressions and survey information. (2023). Halberstadt, Arne. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:25-39.

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2023State-owned Enterprises in the global market: Varieties of government control and internationalization strategies. (2023). Ricchiuti, Giorgio ; Marvasi, Enrico ; Clo, Stefano. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:64:y:2023:i:c:p:25-40.

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2023Does exporting cause productivity growth? Evidence from Chilean firms. (2023). Coad, Alex ; Ciarli, Tommaso ; Moneta, Alessio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:228-239.

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2023The impact of COVID-19 on mobility choices in Switzerland. (2023). Axhausen, Kay W ; Tchervenkov, Christopher ; Schatzmann, Thomas ; Molloy, Joseph ; Schoeman, Beaumont ; Hintermann, Beat. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:169:y:2023:i:c:s0965856423000022.

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

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2023A two-step estimator for multilevel latent class analysis with covariates. (2023). Kuha, Jouni ; Oser, Jennifer ; Bakk, Zsuzsa ; di Mari, Roberto. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119994.

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2023Tax and International Trade in the SADC Region:A Panel Gravity Model Approach. (2023). Yuni, Denis Nfor ; Tota, Joalane Rosina. In: International Journal of Economics & Business Administration (IJEBA). RePEc:ers:ijebaa:v:xi:y:2023:i:4:p:24-44.

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2023.

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2023Why Does the Yield Curve Predict GDP Growth? The Role of Banks. (2023). Wei, Min ; Schneider, Andres ; Minoiu, Camelia. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96648.

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2023Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666.

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2023Climate Shocks in the Anthropocene Era: Should Net Domestic Product Be Affected by Climate Disasters. (2023). Sliker, Brian ; Nakamura, Leonard I. In: Working Papers. RePEc:fip:fedpwp:97213.

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2023Regional Wealth Data Acquisition and Modeling: Innovations Needed for Advancement in Sustainable Wealth in Energy-Rich Regions. (2023). Ghadimi, Hodjat ; Hubbart, Jason A. In: Challenges. RePEc:gam:jchals:v:14:y:2023:i:4:p:51-:d:1295505.

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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.

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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.

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2023.

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2023Managing Information Sensitivity: The Relationship between the Interbank Offered Rate and the Characteristics of Bank-Issued Wealth Management Products in China. (2023). Chen, Chunhui ; Bai, Gang. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:2:p:1392-:d:1032318.

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2023A Hybrid Approach for the Assessment of Risk Spillover to ESG Investment in Financial Networks. (2023). Wu, Desheng ; Qin, Kun ; Li, Lei. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:6123-:d:1114244.

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2023Sovereign bond and CDS market contagion: A story from the Eurozone crisis. (2023). Panagiotidis, Theodore ; Politsidis, Panagiotis ; Bampinas, Georgios. In: Post-Print. RePEc:hal:journl:hal-04164277.

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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.

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2023Duration Dependence in Finding a Job: Applications, Interviews, and Job Offers. (2023). Lalive, Rafael ; Zuchuat, Jeremy ; Zweimuller, Josef ; Pesaresi, Lorenzo ; Osikominu, Aderonke. In: IZA Discussion Papers. RePEc:iza:izadps:dp16602.

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2023Securitization of pandemic risk by using coronabond. (2023). Khordj, Mohamed ; le Fur, Eric ; Haffar, Adlane. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:2:d:10.1007_s11408-023-00425-2.

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2023How relative marginal tax rates affect establishment entry at state borders. (2023). Orazem, Peter F ; Ma, Liyuan ; Duncan, Kevin D ; Chen, Yulong. In: Small Business Economics. RePEc:kap:sbusec:v:60:y:2023:i:3:d:10.1007_s11187-022-00624-7.

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2023Resampling-Based Maximum Likelihood Estimation. (). Ito, Takahiro. In: GSICS Working Paper Series. RePEc:kcs:wpaper:40.

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More than 100 citations found, this list is not complete...

Alain Monfort has edited the books:


YearTitleTypeCited

Works by Alain Monfort:


YearTitleTypeCited
1987Kullback Causality Measures In: Annals of Economics and Statistics.
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article18
1991Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics.
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article23
1993Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics.
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article4
1995Linear Factor Models and the Term Structure of Interest Rates In: Annals of Economics and Statistics.
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article0
2006Pricing with Splines In: Annals of Economics and Statistics.
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article2
2002Pricing with Splines.(2002) In: Working Papers.
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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.
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article1
2017Introduction In: Annals of Economics and Statistics.
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article1
2017Consistent Pseudo-Maximum Likelihood Estimators In: Annals of Economics and Statistics.
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article1
2016Consistent Pseudo-Maximum Likelihood Estimators.(2016) In: Working Papers.
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This paper has nother version. Agregated cites: 1
paper
2017Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers.
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This paper has nother version. Agregated cites: 1
paper
2019Model Risk Management: Limits and Future of Bayesian Approaches In: Annals of Economics and Statistics.
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article0
2019Model Risk Management: Limits and Future of Bayesian Approaches.(2019) In: Post-Print.
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This paper has nother version. Agregated cites: 0
paper
2007Pricing and Inference with Mixtures of Conditionally Normal Processes. In: Working papers.
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paper34
2006Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers.
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paper
2007Multi-Lag Term Structure Models with Stochastic Risk Premia. In: Working papers.
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paper0
2006Multi-Lag Term Structure Models with Stochastic Risk Premia.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2007Switching VARMA Term Structure Models - Extended Version. In: Working papers.
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paper13
2007Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 13
paper
2008Econometric Asset Pricing Modelling. In: Working papers.
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paper21
2007Econometric Asset Pricing Modelling.(2007) In: Working Papers.
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paper
2008Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics.
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article
2009No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers.
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paper38
2011No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.(2011) In: Working Papers.
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This paper has 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.
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This paper has nother version. Agregated cites: 38
article
2009New Information Response Functions. In: Working papers.
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paper6
2009Une modélisation séquentielle de la VaR In: Working papers.
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paper1
2009Optimal Portfolio Allocation under Asset and Surplus VaR Constraints In: Working papers.
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paper4
2008Optimal portfolio allocation under asset and surplus VaR constraints.(2008) In: Journal of Asset Management.
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This paper has nother version. Agregated cites: 4
article
2011Default, liquidity and crises: an econometric framework In: Working papers.
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paper6
2010Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 6
paper
2013Default, Liquidity, and Crises: an Econometric Framework.(2013) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 6
article
2011Credit and liquidity risks in euro area sovereign yield curves In: Working papers.
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paper14
2011Credit and Liquidity Risks in Euro-area Sovereign Yield Curves.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 14
paper
2012Asset Pricing with Second-Order Esscher Transforms. In: Working papers.
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paper16
2010Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers.
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This paper has nother version. Agregated cites: 16
paper
2012Asset pricing with Second-Order Esscher Transforms.(2012) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 16
article
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
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paper49
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
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This paper has nother version. Agregated cites: 49
article
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics/Revue canadienne d'économique.
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This paper has nother version. Agregated cites: 49
article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
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paper21
2016Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 21
article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
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paper9
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
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This paper has nother version. Agregated cites: 9
paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 9
article
2013Regime Switching and Bond Pricing. In: Working papers.
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paper4
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
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This paper has nother version. Agregated cites: 4
paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 4
article
2014A Quadratic Kalman Filter In: Working papers.
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paper5
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 5
article
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
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paper37
2017Staying at zero with affine processes : an application to term structure modelling.(2017) In: Rue de la Banque.
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This paper has nother version. Agregated cites: 37
article
2017Staying at zero with affine processes: An application to term structure modelling.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 37
article
2020Disastrous Defaults In: Working papers.
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paper2
2021Disastrous Defaults*.(2021) In: Review of Finance.
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article
2021Disastrous Defaults.(2021) In: TSE Working Papers.
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This paper has nother version. Agregated cites: 2
paper
2008Taking into account extreme events in European option pricing. In: Financial Stability Review.
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article1
2008Taking into account extreme events in European option pricing.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 1
paper
2009Fourth Order Pseudo Maximum Likelihood Methods In: Swiss Finance Institute Research Paper Series.
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paper7
2011Fourth Order Pseudo Maximum Likelihood Methods.(2011) In: Working Papers.
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This paper has nother version. Agregated cites: 7
paper
2011Fourth order pseudo maximum likelihood methods.(2011) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 7
article
2011Fourth order pseudo maximum likelihood methods.(2011) In: Post-Print.
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This paper has nother version. Agregated cites: 7
paper
2010Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series.
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paper3
2010Microinformation, Nonlinear Filtering, and Granularity.(2010) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 3
article
1981Pseudo maximum likelihood methods : theory In: CEPREMAP Working Papers (Couverture Orange).
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paper550
1984Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica.
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This paper has nother version. Agregated cites: 550
article
1982Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange).
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paper734
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica.
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This paper has nother version. Agregated cites: 734
article
1982Revision adaptative des anticipations et convergence vers les anticipations rationnelles In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1982Estimation and test in probit models with serial correlation In: CEPREMAP Working Papers (Couverture Orange).
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paper3
1984General approach of serial correlation (a). In: CEPREMAP Working Papers (Couverture Orange).
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paper39
1985A General Approach to Serial Correlation.(1985) In: Econometric Theory.
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This paper has nother version. Agregated cites: 39
article
1985Simulated residuals In: CEPREMAP Working Papers (Couverture Orange).
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paper21
1987Simulated residuals.(1987) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 21
article
1985Testing unknown linear restrictions on parameter functions In: CEPREMAP Working Papers (Couverture Orange).
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paper1
1987Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange).
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paper2
1991Qualitative threshold arch models In: CEPREMAP Working Papers (Couverture Orange).
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paper69
1992Qualitative threshold ARCH models.(1992) In: Journal of Econometrics.
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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).
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paper0
1991Modèles de durée et effets de génération In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1993Modèles linéaires à facteurs et structure à terme des taux dintérêt In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1993Prévision de mesures de prix contingents In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1994Kernel m-estimators : non parametric diagnostics for structural models In: CEPREMAP Working Papers (Couverture Orange).
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paper2
1994Testing, encompassing and simulating dynamic econometric models In: CEPREMAP Working Papers (Couverture Orange).
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paper26
1995Testing, Encompassing, and Simulating Dynamic Econometric Models.(1995) In: Econometric Theory.
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This paper has nother version. Agregated cites: 26
article
1997Econometric specification of the risk neutral valuation model In: CEPREMAP Working Papers (Couverture Orange).
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paper5
1997Econometric Specification of the Risk Neutral Valuation Model.(1997) In: Working Papers.
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This paper has nother version. Agregated cites: 5
paper
2000Econometric specification of the risk neutral valuation model.(2000) In: Journal of Econometrics.
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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.
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paper67
2002Affine Term Structure Models In: Working Papers.
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paper15
2002Equidependence in Qualitative and Duration Models with Application to Credit Risk In: Working Papers.
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paper3
2005International Money and Stock Market Contingent Claims In: Working Papers.
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paper9
2010International money and stock market contingent claims.(2010) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 9
article
2005Affine Model for Credit Risk Analysis In: Working Papers.
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paper18
2006Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 18
article
2006(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution In: Working Papers.
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paper11
2007Quadratic Stochastic Intensity and Prospective Mortality Tables In: Working Papers.
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paper6
2008Quadratic stochastic intensity and prospective mortality tables.(2008) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 6
article
2011Allocating Systematic and Unsystematic Risks in a Regulatory Perspective In: Working Papers.
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paper4
2011Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options In: Working Papers.
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paper4
2012Joint econometric modeling of spot electricity prices, forwards and options.(2012) In: Review of Derivatives Research.
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This paper has nother version. Agregated cites: 4
article
2013Liquidation Equilibrium with Seniority and Hidden CDO In: Working Papers.
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paper13
2013Liquidation equilibrium with seniority and hidden CDO.(2013) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 13
article
2014Revisiting Identification and estimation in Structural VARMA Models In: Working Papers.
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paper4
2015Statistical Inference for Independent Component Analysis In: Working Papers.
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paper0
2016Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers.
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paper85
2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
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paper
2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 85
article
2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
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paper8
2020Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 8
article
2020Stationary Bubble Equilibria in Rational Expectation Models.(2020) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 8
paper
2016Composite Indirect Inference with Application to Corporate Risks In: Working Papers.
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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.
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paper2
2017Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers.
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paper12
2020Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: The Review of Economic Studies.
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This paper has nother version. Agregated cites: 12
article
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers.
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paper3
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
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This paper has nother version. Agregated cites: 3
paper
2019Consistent Pseudo?Maximum Likelihood Estimators and Groups of Transformations.(2019) In: Econometrica.
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This paper has nother version. Agregated cites: 3
article
2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
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paper5
2021Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion.(2021) In: Management Science.
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This paper has nother version. Agregated cites: 5
article
1997Modèles de comptage semi-paramétriques In: Working Papers.
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paper0
1997Modèles de comptage semi-paramétriques.(1997) In: L'Actualité Economique.
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This paper has nother version. Agregated cites: 0
article
1998The Simulated Likelihood Ratio (SLR) Method In: Working Papers.
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paper5
1998The Econometrics of Efficient Frontiers In: Working Papers.
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paper1
1999Functional Indirect Inference In: Working Papers.
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paper0
2018COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING In: ASTIN Bulletin.
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article0
1995Statistics and Econometric Models In: Cambridge Books.
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book202
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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1995Statistics and Econometric Models.(1995) In: Cambridge Books.
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1997Time Series and Dynamic Models In: Cambridge Books.
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1997Time Series and Dynamic Models.(1997) In: Cambridge Books.
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book
1996A Reappraisal of Misspecified Econometric Models In: Econometric Theory.
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article20
1989A General Framework for Testing a Null Hypothesis in a “Mixed” Form In: Econometric Theory.
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article21
1980Disequilibrium Econometrics in Simultaneous Equations Systems. In: Econometrica.
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1980Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica.
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1979Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers.
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1980Sufficient Linear Structures: Econometric Applications. In: Econometrica.
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article10
1982Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters. In: Econometrica.
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article163
1982Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica.
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article49
1989Testing for Common Roots. In: Econometrica.
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2022Required Capital for Long-Run Risks In: Journal of Economic Dynamics and Control.
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2022Required Capital for Long-Run Risks.(2022) In: Post-Print.
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1986Testing non-nested hypotheses In: Handbook of Econometrics.
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chapter8
1986Some useful equivalence properties of Hausmans test In: Economics Letters.
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1979On the characterization of a joint probability distribution by conditional distributions In: Journal of Econometrics.
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1979Disequilibrium econometrics in dynamic models In: Journal of Econometrics.
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article8
2007Econometric specification of stochastic discount factor models In: Journal of Econometrics.
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article29
1981Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters In: Journal of Econometrics.
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1981Asymptotic properties of the maximum likelihood estimator in dichotomous logit models In: Journal of Econometrics.
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2015Pricing with finite dimensional dependence In: Journal of Econometrics.
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1983Testing nested or non-nested hypotheses In: Journal of Econometrics.
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article27
1987Generalised residuals In: Journal of Econometrics.
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1993Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics.
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article153
1978First-order identification in linear models In: Journal of Econometrics.
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1999Bayesian estimation of switching ARMA models In: Journal of Econometrics.
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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.
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2014Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks In: Review of Finance.
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1997Simulation-based Econometric Methods In: OUP Catalogue.
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2019Invited Editorial “The challenges imposed by low interest rates” In: Journal of Asset Management.
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2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations In: MPRA Paper.
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1974Un modèle agricole à long terme de simulation In: Économie et Prévision.
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1992Quelques développements récents des méthodes macroéconométriques In: L'Actualité Economique.
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2013Granularity Adjustment for Efficient Portfolios In: Econometric Reviews.
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2015Evaluating Reserve Risk in a Regulatory Perspective In: Journal of Insurance Issues.
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2013ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF).
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