Alain Monfort : Citation Profile

Centre de Recherche en Économie et Statistique (CREST)

26

H index

48

i10 index

4250

Citations

RESEARCH PRODUCTION:

88

Articles

88

Papers

7

Books

1

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   52 years (1974 - 2026). See details.
   Cites by year: 81
   Journals where Alain Monfort has often published
   Relations with other researchers
   Recent citing documents: 147.    Total self citations: 49 (1.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pmo298
   Updated: 2026-07-04    RAS profile: 2026-05-09    
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Relations with other researchers

Works with:

Renne, Jean-Paul (6)

Mouabbi, Sarah (3)

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 (60)

Minford, A. Patrick (57)

gourieroux, christian (57)

Fiorentini, Gabriele (55)

Dionne, Georges (45)

Santos Silva, João (37)

Calzolari, Giorgio (35)

Renault, Eric (32)

Meenagh, David (32)

van soest, arthur (29)

Moneta, Alessio (27)

Cites to:

gourieroux, christian (70)

Pegoraro, Fulvio (35)

Singleton, Kenneth (26)

Garcia, René (24)

Jasiak, Joann (23)

Renault, Eric (23)

Ang, Andrew (20)

Duffie, Darrell (16)

POLIMENIS, VASSILIS (15)

Hansen, Lars (14)

Campbell, John (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
Journal of Credit Risk2
Econometrics and Statistics2
The Review of Economic Studies2
Journal of Applied Econometrics2
L'Actualit Economique2
Review of Finance2
Journal of Asset Management2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics38
Post-Print / HAL7
TSE Working Papers / Toulouse School of Economics (TSE)2
MPRA Paper / University Library of Munich, Germany2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Alain Monfort (2026 and 2025)

YearTitle of citing document
2025Changing Income Risk across the US Skill Distribution: Evidence from a Generalized Kalman Filter. (2025). Rothbaum, Jonathan ; Schmidt, Lawrence ; Herkenhoff, Kyle ; Braxton, Carter J. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:12:p:4438-75.

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2026Unpacking interstate tomato trade in Nigeria: A Gravity-Based Structural PPML Approach. (2026). Reardon, Thomas ; Saweda, Lenis ; Li, Mingda. In: 100th Annual Conference, March 23-25, 2026, Wadham College, University of Oxford, Oxford, UK. RePEc:ags:aes026:397920.

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

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

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

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

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

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

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2026Applications of the Second-Order Esscher Pricing in Risk Management. (2024). Vanmaele, Michele ; Elazkany, Ella ; Choulli, Tahir. In: Papers. RePEc:arx:papers:2410.21649.

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2026Probabilistic Targeted Factor Analysis. (2025). Montoya-Bland, Santiago ; Herculano, Miguel C. In: Papers. RePEc:arx:papers:2412.06688.

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

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

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

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

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

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2026Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911.

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

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

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

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2026Out-of-sample gravity predictions and trade policy counterfactuals. (2025). Santos Silva, João ; Novy, Dennis ; Zylkin, Tom ; J. M. C. Santos Silva, ; Green, Nick ; Breinlich, Holger ; Apfel, Nicolas. In: Papers. RePEc:arx:papers:2509.11271.

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

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

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2026Statistical Inference in Large Multi-way Networks. (2026). Wilner, Lionel ; Chon, Philippe ; Resende, Lucas ; Lecu, Guillaume. In: Papers. RePEc:arx:papers:2512.02203.

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2026Quantitative Methods in Finance. (2026). Vansteenberghe, Eric. In: Papers. RePEc:arx:papers:2601.12896.

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2026Efficient Monte Carlo Valuation of Corporate Bonds in Financial Networks. (2026). Capponi, Agostino ; Ahn, Dohyun. In: Papers. RePEc:arx:papers:2602.12770.

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2026Shock Propagation and Macroeconomic Fluctuations. (2026). Mandel, Antoine ; Veetil, Vipin P. In: Papers. RePEc:arx:papers:2603.05367.

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2026Insider and stealth trading with dynamic legal risk. (2026). Xia, Weixuan ; Qiao, Bixing. In: Papers. RePEc:arx:papers:2605.27684.

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2026The Balance Property: The Constrained Case, with a View on Risk Sharing. (2026). Wuthrich, Mario V. In: Papers. RePEc:arx:papers:2606.07276.

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

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

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

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

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2026Inflation and Growth Risk: Balancing the Scales with Surveys. (2026). Tschopp, Adrien ; Mouabbi, Sarah ; Renne, Jean-Paul. In: Working papers. RePEc:bfr:banfra:1036.

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2026Paths to the Rainforests: Ancestral Beliefs and Fertility in Sub-Saharan Africa. (2026). Alvarez-Aragon, Pablo. In: Working Papers. RePEc:bol:bodewp:wp1226.

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2026The Spillovers of LSAPs on Banks in the Euro Area. (2026). Tischbirek, Andreas ; Graziano, Marco ; Koechlin, Marius. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12409.

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2026A spectral framework for non-gaussian SVARs. (2026). Stevanovic, Dalibor ; Guay, Alain. In: CIRANO Working Papers. RePEc:cir:cirwor:2026s-02.

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2025Testing shock independence in Gaussian structural VARs. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2532.

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

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

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2025Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions. (2025). Strohsal, Till ; Lütkepohl, Helmut ; Ltkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2146.

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

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2026Climate policy uncertainty, environmental risk aversion, and import structure adjustment. (2026). Zhou, Yuding ; Wang, Xiaosong ; Tian, Siyuan ; Li, LE. In: Journal of Asian Economics. RePEc:eee:asieco:v:102:y:2026:i:c:s1049007825002209.

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2026Pension fund investment and firm innovation. (2026). Schneider, Cédric ; Pinkus, David ; Pozzoli, Dario. In: Journal of Corporate Finance. RePEc:eee:corfin:v:97:y:2026:i:c:s0929119925001865.

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

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

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

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2025SVAR identification with nowcasted macroeconomic data. (2025). Longo, Luigi ; Corsi, Fulvio ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:179:y:2025:i:c:s0165188925001423.

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

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

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

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

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

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

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

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

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

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

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2025Warning words in a warming world: Central bank communication and climate change. (2025). Deyris, Jrme ; Scalisi, Ginevra ; Campiglio, Emanuele ; Romelli, Davide. In: European Economic Review. RePEc:eee:eecrev:v:178:y:2025:i:c:s0014292125001515.

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

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

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2026The impact of health status on household portfolio efficiency: Insights from medical insurance. (2026). , Qiangli ; Dong, Jingxuan ; Cheung, Adrian. In: Emerging Markets Review. RePEc:eee:ememar:v:70:y:2026:i:c:s1566014125001542.

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

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

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

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

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

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2025The tails of gravity: Using expectiles to quantify the trade-margins effects of economic integration agreements. (2025). Santos Silva, João ; Clance, Matthew ; Bergstrand, Jeffrey ; Santos Silva, J. M. C., . In: Journal of International Economics. RePEc:eee:inecon:v:157:y:2025:i:c:s0022199625001023.

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

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

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

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

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2026Investor heterogeneity and venture performance. (2026). Mnkemeyer, Marwin ; Rennertseder, Kathrin ; Schrder, Henning. In: Journal of Business Venturing. RePEc:eee:jbvent:v:41:y:2026:i:1:s0883902625000527.

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

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2026The benchmark greenium. (2026). Damico, Stefania ; Klausmann, Johannes ; Pancost, Aaron N. In: Journal of Financial Economics. RePEc:eee:jfinec:v:176:y:2026:i:c:s0304405x25002259.

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2025Poor health and food insecurity among food assistance recipients: Evidence from France. (2025). Wolff, François-Charles ; Vandroux, Romane. In: Food Policy. RePEc:eee:jfpoli:v:134:y:2025:i:c:s0306919225001009.

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

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

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

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2025Valuation of European call options for the Scott’s stochastic volatility model: An explicit finite difference scheme. (2025). Marn-Snchez, Freddy H ; Hurtado, Santiago Medina ; Zambrano, Cristhian Montoya ; Barrera, Alejandro Pinilla. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:236:y:2025:i:c:p:411-425.

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2025Sinking ships: Liquidity constraints and return predictability in recessions. (2025). Doshchyn, Artur. In: Journal of Monetary Economics. RePEc:eee:moneco:v:151:y:2025:i:c:s0304393225000170.

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2025Energy price uncertainty and renewable energy technological innovation: Evidence from listed Chinese firms. (2025). Li, Jianglong ; Chen, Chien-Ming ; Wan, Jun ; Zhang, Ling ; Lin, Tao. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:213:y:2025:i:c:s1364032125001200.

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2024Liquidity pressure and the sovereign-bank diabolic loop. (2024). Hassan, M. Kabir ; Janbaz, M ; Floreani, J ; Dreassi, A. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1039-1057.

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2026The impact of supply-demand innovation policy instrument mix on firm innovation: Empirical analysis from the perspective of firm life cycle. (2026). Yu, Ziming ; Ye, Xuanting ; Yin, Ximing ; Men, Xiaojie ; Liang, Wenting ; Zhang, Jian. In: Technovation. RePEc:eee:techno:v:150:y:2026:i:c:s0166497225002275.

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2025Regional economic impacts assessment using SCGE model: Investigating strategic coordination between road network development and industrial policies. (2025). Katayama, Shintaro ; Koike, Atsushi ; Sato, Keisuke. In: Transport Policy. RePEc:eee:trapol:v:172:y:2025:i:c:s0967070x2500294x.

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2025Solar power play: Uncovering political capture in distributing electricity access. (2025). Borsky, Stefan ; Zaman, Rafia. In: World Development. RePEc:eee:wdevel:v:193:y:2025:i:c:s0305750x25001044.

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2026Climate change impacts on commodity price stability through changing ENSO patterns. (2026). Ginn, William ; Pourroy, Marc ; Dufrnot, Gilles. In: World Development. RePEc:eee:wdevel:v:197:y:2026:i:c:s0305750x25002517.

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2025Strategic vulnerabilities of emerging market MNCs – How litigation experiences in weak patent systems increase the risks of patent litigation abroad. (2025). Sofka, Wolfgang ; Papageorgiadis, Nikolaos ; Sahasranamam, Sreevas ; Mukundhan, K V. In: Journal of World Business. RePEc:eee:worbus:v:60:y:2025:i:3:s1090951625000136.

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2025Unlocking new methods to estimate country‐specific effects and trade elasticities with the structural gravity model. (2025). Yotov, Yoto ; Theodorakopoulos, Angelos ; Larch, Mario ; Freeman, Rebecca. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128233.

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2025Warning words in a warming world: central bank communication and climate change. (2025). Romelli, Davide ; Scalisi, Ginevra ; Deyris, Jrme ; Campiglio, Emanuele. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:128518.

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2025Why Does the Yield Curve Predict GDP Growth? The Role of Banks. (2025). Wei, Min ; Minoiu, Camelia ; Schneider, Andrs. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:101197.

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2025Higher-order Moment Inequality Restrictions for SVARs. (2025). Melosi, Leonardo ; ferroni, filippo ; Andrade, Philippe. In: Working Papers. RePEc:fip:fedbwp:99752.

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2026The Spillovers of LSAPs on Banks in the Euro Area. (2026). Tischbirek, Andreas ; Koechlin, Marius ; Graziano, Marco. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:102399.

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2025Monetary Policy Transmission Under Global Versus Local Geopolitical Risk: Exploring Time-Varying Granger Causality, Frequency Domain, and Nonlinear Territory in Tunisia. (2025). Trabelsi, Emna. In: Economies. RePEc:gam:jecomi:v:13:y:2025:i:7:p:185-:d:1688738.

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2025Robustness and Efficiency Considerations When Testing Process Reliability with a Limit of Detection. (2025). Cook, Richard J ; Bumbulis, Laura S. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:8:p:1274-:d:1633535.

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

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2026Identification partielle: méthodes et conséquences pour les applications empiriques. (2014). Magnac, Thierry. In: IDEI Working Papers. RePEc:ide:wpaper:27852.

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2026Some Perils of Policy Rule Regression. (2004). Fève, Patrick ; Carrillo, Julio. In: IDEI Working Papers. RePEc:ide:wpaper:2870.

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2026Technology Shocks and Employment: Do We Really Need DSGE Models with a Fall in Hours?. (2005). Matheron, Julien ; Fève, Patrick ; Dupaigne, Martial. In: IDEI Working Papers. RePEc:ide:wpaper:4482.

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2026Parametric Binary Choice Models. (2005). Magnac, Thierry ; Lechner, Michael ; Lollivier, Stefan. In: IDEI Working Papers. RePEc:ide:wpaper:5512.

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2025Exact Simulation of Quadratic Intensity Models. (2025). Qu, Yan ; Zhao, Hongbiao ; Liu, Anxin ; Dassios, Angelos. In: INFORMS Journal on Computing. RePEc:inm:orijoc:v:37:y:2025:i:5:p:1182-1201.

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2024Fiscal Limits and the Pricing of Eurobonds. (2024). Renne, Jean-Paul ; Pallara, Kevin. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:2:p:1216-1237.

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

Alain Monfort has edited the books:

YearTitleTypeCited

Works by Alain Monfort:

YearTitleTypeCited
1987Kullback Causality Measures In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article18
1991Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article23
1993Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article4
1995Linear Factor Models and the Term Structure of Interest Rates In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2006Pricing with Splines In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article2
2002Pricing with Splines.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2013Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article1
2017Introduction In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article1
2017Consistent Pseudo-Maximum Likelihood Estimators In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article1
2016Consistent Pseudo-Maximum Likelihood Estimators.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2017Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2019Model Risk Management: Limits and Future of Bayesian Approaches In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article0
2019Model Risk Management: Limits and Future of Bayesian Approaches.(2019) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2007Pricing and Inference with Mixtures of Conditionally Normal Processes. In: Working papers.
[Full Text][Citation analysis]		paper34
2006Pricing and Inference with Mixtures of Conditionally Normal Processes.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 34		paper
2007Multi-Lag Term Structure Models with Stochastic Risk Premia. In: Working papers.
[Full Text][Citation analysis]		paper0
2006Multi-Lag Term Structure Models with Stochastic Risk Premia.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2007Switching VARMA Term Structure Models - Extended Version. In: Working papers.
[Full Text][Citation analysis]		paper14
2007Switching VARMA Term Structure Models - Extended Version.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2008Econometric Asset Pricing Modelling. In: Working papers.
[Full Text][Citation analysis]		paper23
2007Econometric Asset Pricing Modelling.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2008Econometric Asset Pricing Modelling.(2008) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		article
2009No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth. In: Working papers.
[Full Text][Citation analysis]		paper40
2011No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2013No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
2009New Information Response Functions. In: Working papers.
[Full Text][Citation analysis]		paper6
2009Une mod lisation s quentielle de la VaR In: Working papers.
[Full Text][Citation analysis]		paper1
2009Optimal Portfolio Allocation under Asset and Surplus VaR Constraints In: Working papers.
[Full Text][Citation analysis]		paper4
2008Optimal portfolio allocation under asset and surplus VaR constraints.(2008) In: Journal of Asset Management.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2011Default, liquidity and crises: an econometric framework In: Working papers.
[Full Text][Citation analysis]		paper8
2010Default, Liquidity and Crises : An Econometric Framework.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		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: 8		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]		paper21
2010Asset Pricing with Second-Order Esscher Transforms.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		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: 21		article
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
[Full Text][Citation analysis]		paper53
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 53		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: 53		article
2013Credit and Liquidity in Interbank Rates: a Quadratic Approach. In: Working papers.
[Full Text][Citation analysis]		paper26
2016Credit and liquidity in interbank rates: A quadratic approach.(2016) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
[Full Text][Citation analysis]		paper9
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2013Regime Switching and Bond Pricing. In: Working papers.
[Full Text][Citation analysis]		paper7
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2014A Quadratic Kalman Filter In: Working papers.
[Full Text][Citation analysis]		paper8
2015A Quadratic Kalman Filter.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2015Staying at Zero with Affine Processes: An Application to Term Structure Modelling. In: Working papers.
[Full Text][Citation analysis]		paper49
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: 49		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: 49		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
2026Disastrous Defaults.(2026) 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]		paper605
1984Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 605		article
1982Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper820
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 820		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]		paper23
1987Simulated residuals.(1987) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		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]		paper3
1991Qualitative threshold arch models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper69
1992Qualitative threshold ARCH models.(1992) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 69		article
1991Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
1991Modèles de durée et effets de génération In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
1993Modèles linéaires à facteurs et structure à terme des taux dintérêt In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
1993Prévision de mesures de prix contingents In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper0
1994Kernel m-estimators : non parametric diagnostics for structural models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper2
1994Testing, encompassing and simulating dynamic econometric models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper28
1995Testing, Encompassing, and Simulating Dynamic Econometric Models.(1995) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
1997Econometric specification of the risk neutral valuation model In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper6
1997Econometric Specification of the Risk Neutral Valuation Model.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2000Econometric specification of the risk neutral valuation model.(2000) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2003Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper77
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]		paper22
2006Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		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]		paper14
2013Liquidation equilibrium with seniority and hidden CDO.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2014Revisiting Identification and estimation in Structural VARMA Models In: Working Papers.
[Full Text][Citation analysis]		paper6
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]		paper119
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: 119		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: 119		article
2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
[Full Text][Citation analysis]		paper10
2020Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2020Stationary Bubble Equilibria in Rational Expectation Models.(2020) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 10		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]		paper15
2020Identification and Estimation in Non-Fundamental Structural VARMA Models.(2020) In: The Review of Economic Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers.
[Full Text][Citation analysis]		paper4
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2019Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations.(2019) In: Econometrica.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2020Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion In: Working Papers.
[Full Text][Citation analysis]		paper13
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: 13		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]		book209
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 209		book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 209		book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
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1997Time Series and Dynamic Models In: Cambridge Books.
[Citation analysis]		book76
1997Time Series and Dynamic Models.(1997) In: Cambridge Books.
[Citation analysis]
This paper has nother version. Agregated cites: 76		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]		article20
1980Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica.
[Full Text][Citation analysis]		article83
1979Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 83		paper
1980Sufficient Linear Structures: Econometric Applications. In: Econometrica.
[Full Text][Citation analysis]		article10
1982Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters. In: Econometrica.
[Full Text][Citation analysis]		article164
1982Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica.
[Full Text][Citation analysis]		article53
1989Testing for Common Roots. In: Econometrica.
[Full Text][Citation analysis]		article1
2022Required Capital for Long-Run Risks In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article1
2022Required Capital for Long-Run Risks.(2022) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1986Testing non-nested hypotheses In: Handbook of Econometrics.
[Full Text][Citation analysis]		chapter8
1986Some useful equivalence properties of Hausmans test In: Economics Letters.
[Full Text][Citation analysis]		article9
1979On the characterization of a joint probability distribution by conditional distributions In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
1979Disequilibrium econometrics in dynamic models In: Journal of Econometrics.
[Full Text][Citation analysis]		article8
2007Econometric specification of stochastic discount factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article31
1981Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
1981Asymptotic properties of the maximum likelihood estimator in dichotomous logit models In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2015Pricing with finite dimensional dependence In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
1983Testing nested or non-nested hypotheses In: Journal of Econometrics.
[Full Text][Citation analysis]		article28
1987Generalised residuals In: Journal of Econometrics.
[Full Text][Citation analysis]		article223
1993Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics.
[Full Text][Citation analysis]		article157
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]		article26
2021Model risk management: Valuation and governance of pseudo-models In: Econometrics and Statistics.
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2005The econometrics of efficient portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article18
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.
[Citation analysis]		paper2
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.
[Citation analysis]		article10
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.
[Full Text][Citation analysis]		article43
1997Simulation-based Econometric Methods In: OUP Catalogue.
[Citation analysis]		book73
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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Granularity in a qualitative factor model In: Journal of Credit Risk.
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The double default value-of-the-firm model In: Journal of Credit Risk.
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2013Granularity Adjustment for Efficient Portfolios In: Econometric Reviews.
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2026Affine Feedforward Stochastic (AFS) Neural Network In: TSE Working Papers.
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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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