Alain Monfort

Available identifiers

zbMath Open monfort.alainMaRDI QIDQ341898

List of research outcomes

Publication	Date of Publication	Type
Required capital for long-run risks	2022-12-12	Paper
Identification and Estimation in Non-Fundamental Structural VARMA Models	2022-11-11	Paper
Granularity Adjustment for Efficient Portfolios	2022-05-31	Paper
Disastrous Defaults	2022-01-19	Paper
Stationary bubble equilibria in rational expectation models	2021-02-09	Paper
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations	2019-07-19	Paper
Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks*	2018-11-09	Paper
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING	2018-06-06	Paper
Staying at zero with affine processes: an application to term structure modelling	2017-11-07	Paper
Statistical inference for independent component analysis: application to structural VAR models	2016-11-17	Paper
Fourth order pseudo maximum likelihood methods	2016-08-12	Paper
Econometric specification of stochastic discount factor models	2016-05-02	Paper
Some useful equivalence properties of Hausman's test	2016-01-01	Paper
A quadratic Kalman filter	2015-09-01	Paper
Pricing with finite dimensional dependence	2015-06-08	Paper
Erratum to ``Pricing default events: surprise, exogeneity and contagion	2014-11-24	Paper
Pricing default events: surprise, exogeneity and contagion	2014-08-06	Paper
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE	2014-02-11	Paper
Joint econometric modeling of spot electricity prices, forwards and options	2013-02-01	Paper
DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE	2011-03-25	Paper
BILINEAR TERM STRUCTURE MODEL	2011-02-02	Paper
Encompassing and indirect inference	2009-02-03	Paper
Quadratic stochastic intensity and prospective mortality tables	2008-08-18	Paper
Switching state-space models: likelihood function, filtering and smoothing	2000-09-26	Paper
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form	1996-11-11	Paper
https://portal.mardi4nfdi.de/entity/Q4870467	1996-03-19	Paper
Time Series and Dynamic Models	1996-03-19	Paper
Simulation-based inference. A survey with special reference to panel data models	1993-12-02	Paper
Qualitative threshold ARCH models	1992-06-28	Paper
From a var model to a structural model, with an application to the wage–price spiral	1990-01-01	Paper
Testing For Common Roots	1989-01-01	Paper
Simulated residuals	1987-01-01	Paper
Generalised residuals	1987-01-01	Paper
Pseudo Maximum Likelihood Methods: Theory	1984-01-01	Paper
Pseudo Maximum Likelihood Methods: Applications to Poisson Models	1984-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3696346	1984-01-01	Paper
Testing nested or non-nested hypotheses	1983-01-01	Paper
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions	1982-01-01	Paper
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters	1982-01-01	Paper
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models	1981-01-01	Paper
On the Problem of Missing Data in Linear Models	1981-01-01	Paper
Disequilibrium Econometrics in Simultaneous Equations Systems	1980-01-01	Paper
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes	1980-01-01	Paper
Sufficient Linear Structures: Econometric Applications	1980-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3896388	1980-01-01	Paper
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment	1980-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3920516	1980-01-01	Paper
Disequilibrium econometrics in dynamic models	1979-01-01	Paper
First-order identification in linear models	1978-01-01	Paper

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