Details about Alain Monfort

Homepage:	https://crest.science/user/Alain-MONFORT/
Workplace:	Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics), (more information at EDIRC)

Access statistics for papers by Alain Monfort.

Last updated 2024-11-09. Update your information in the RePEc Author Service.

Short-id: pmo298

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Jump to Journal Articles Books Edited books Chapters

Working Papers

2022

1. Required Capital for Long-Run Risks
   Post-Print, HAL
   See also Journal Article Required Capital for Long-Run Risks, Journal of Economic Dynamics and Control, Elsevier (2022) (2022)

2021

2. Disastrous Defaults
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (1)
   Also in Working papers, Banque de France (2020) View citations (1)
   See also Journal Article Disastrous Defaults*, Review of Finance, European Finance Association (2021) View citations (1) (2021)

2020

3. Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion
   Working Papers, Center for Research in Economics and Statistics View citations (4)
   See also Journal Article Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion, Management Science, INFORMS (2021) View citations (1) (2021)
4. Identification and Estimation in Nonfundamental Structural Models
   Post-Print, HAL View citations (2)
5. Stationary Bubble Equilibria in Rational Expectation Models
   Post-Print, HAL View citations (3)
   Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (5)
   See also Journal Article Stationary bubble equilibria in rational expectation models, Journal of Econometrics, Elsevier (2020) View citations (3) (2020)

2019

6. Invited Editorial \textquotedblleftThe challenges imposed by low interest rates\textquotedblright
   Post-Print, HAL
7. Model Risk Management: Limits and Future of Bayesian Approaches
   Post-Print, HAL View citations (1)
   See also Journal Article Model Risk Management: Limits and Future of Bayesian Approaches, Annals of Economics and Statistics, GENES (2019) View citations (1) (2019)

2018

8. Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
   MPRA Paper, University Library of Munich, Germany
   Also in Working Papers, Center for Research in Economics and Statistics (2018)
   See also Journal Article Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations, Econometrica, Econometric Society (2019) View citations (3) (2019)

2017

9. Composite Indirect Inference with Application
   Working Papers, Center for Research in Economics and Statistics View citations (2)
10. Consistent Pseudo-Maximum Likelihood Estimators
    Working Papers, Center for Research in Economics and Statistics View citations (1)
    Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (1)
    See also Journal Article Consistent Pseudo-Maximum Likelihood Estimators, Annals of Economics and Statistics, GENES (2017) View citations (1) (2017)
11. Identification and Estimation in Non-Fundamental Structural VARMA Models
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Identification and Estimation in Non-Fundamental Structural VARMA Models, The Review of Economic Studies, Review of Economic Studies Ltd (2020) View citations (14) (2020)
12. Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations
    MPRA Paper, University Library of Munich, Germany
13. Statistical Inference for Independent Component Analysis: Application to Structural VAR Models
    Working Papers, Center for Research in Economics and Statistics View citations (95)
    Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (2)
    See also Journal Article Statistical inference for independent component analysis: Application to structural VAR models, Journal of Econometrics, Elsevier (2017) View citations (95) (2017)

2016

14. Composite Indirect Inference with Application to Corporate Risks
    Working Papers, Center for Research in Economics and Statistics View citations (2)
    See also Journal Article Composite indirect inference with application to corporate risks, Econometrics and Statistics, Elsevier (2018) View citations (2) (2018)

2015

15. Statistical Inference for Independent Component Analysis
    Working Papers, Center for Research in Economics and Statistics
16. Staying at Zero with Affine Processes: An Application to Term Structure Modelling
    Working papers, Banque de France View citations (13)
    See also Journal Article Staying at zero with affine processes: An application to term structure modelling, Journal of Econometrics, Elsevier (2017) View citations (30) (2017)

2014

17. A Quadratic Kalman Filter
    Working papers, Banque de France
    See also Journal Article A Quadratic Kalman Filter, Journal of Econometrics, Elsevier (2015) View citations (7) (2015)
18. Revisiting Identification and estimation in Structural VARMA Models
    Working Papers, Center for Research in Economics and Statistics View citations (5)

2013

19. Credit and Liquidity in Interbank Rates: a Quadratic Approach
    Working papers, Banque de France View citations (6)
    See also Journal Article Credit and liquidity in interbank rates: A quadratic approach, Journal of Banking & Finance, Elsevier (2016) View citations (17) (2016)
20. Liquidation Equilibrium with Seniority and Hidden CDO
    Working Papers, Center for Research in Economics and Statistics View citations (11)
    See also Journal Article Liquidation equilibrium with seniority and hidden CDO, Journal of Banking & Finance, Elsevier (2013) View citations (13) (2013)
21. Pricing Default Events: Surprise, Exogeneity and Contagion
    Working Papers, Center for Research in Economics and Statistics
    Also in Working papers, Banque de France (2013)
    See also Journal Article Pricing default events: Surprise, exogeneity and contagion, Journal of Econometrics, Elsevier (2014) View citations (11) (2014)
22. Regime Switching and Bond Pricing
    Working papers, Banque de France View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2013) View citations (2)
    See also Journal Article Regime Switching and Bond Pricing, Journal of Financial Econometrics, Oxford University Press (2014) View citations (4) (2014)

2012

23. Asset Pricing with Second-Order Esscher Transforms
    Working papers, Banque de France View citations (14)
    Also in Working Papers, Center for Research in Economics and Statistics (2010) View citations (7)
    See also Journal Article Asset pricing with Second-Order Esscher Transforms, Journal of Banking & Finance, Elsevier (2012) View citations (12) (2012)
24. Bilateral Exposures and Systemic Solvency Risk
    Working papers, Banque de France View citations (48)
    See also Journal Article Bilateral exposures and systemic solvency risk, Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons (2012) View citations (21) (2012)

2011

25. Allocating Systematic and Unsystematic Risks in a Regulatory Perspective
    Working Papers, Center for Research in Economics and Statistics View citations (4)
26. Credit and Liquidity Risks in Euro-area Sovereign Yield Curves
    Working Papers, Center for Research in Economics and Statistics View citations (14)
    Also in Working papers, Banque de France (2011) View citations (14)
27. Default, liquidity and crises: an econometric framework
    Working papers, Banque de France View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2010) View citations (3)
    See also Journal Article Default, Liquidity, and Crises: an Econometric Framework, Journal of Financial Econometrics, Oxford University Press (2013) View citations (6) (2013)
28. Fourth Order Pseudo Maximum Likelihood Methods
    Working Papers, Center for Research in Economics and Statistics View citations (6)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009)
    Post-Print, HAL (2011) View citations (7)
    See also Journal Article Fourth order pseudo maximum likelihood methods, Journal of Econometrics, Elsevier (2011) View citations (7) (2011)
29. Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Joint econometric modeling of spot electricity prices, forwards and options, Review of Derivatives Research, Springer (2012) View citations (4) (2012)
30. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth
    Working Papers, Center for Research in Economics and Statistics View citations (3)
    Also in Working papers, Banque de France (2009) View citations (19)
    See also Journal Article No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth, Journal of Banking & Finance, Elsevier (2013) View citations (24) (2013)

2010

31. Microinformation, Nonlinear Filtering and Granularity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
    See also Journal Article Microinformation, Nonlinear Filtering, and Granularity, Journal of Financial Econometrics, Oxford University Press (2010) View citations (1) (2010)

2009

32. New Information Response Functions
    Working papers, Banque de France View citations (7)
33. Optimal Portfolio Allocation under Asset and Surplus VaR Constraints
    Working papers, Banque de France View citations (1)
    See also Journal Article Optimal portfolio allocation under asset and surplus VaR constraints, Journal of Asset Management, Palgrave Macmillan (2008) View citations (3) (2008)
34. Une modélisation séquentielle de la VaR
    Working papers, Banque de France View citations (1)

2008

35. Econometric Asset Pricing Modelling
    Working papers, Banque de France View citations (22)
    Also in Working Papers, Center for Research in Economics and Statistics (2007) View citations (2)
    See also Journal Article Econometric Asset Pricing Modelling, Journal of Financial Econometrics, Oxford University Press (2008) View citations (27) (2008)
36. Taking into account extreme events in European option pricing
    Post-Print, HAL
    See also Journal Article Taking into account extreme events in European option pricing, Financial Stability Review, Banque de France (2008) View citations (1) (2008)

2007

37. Multi-Lag Term Structure Models with Stochastic Risk Premia
    Working papers, Banque de France View citations (2)
    Also in Working Papers, Center for Research in Economics and Statistics (2006) View citations (2)
38. Pricing and Inference with Mixtures of Conditionally Normal Processes
    Working papers, Banque de France View citations (4)
    Also in Working Papers, Center for Research in Economics and Statistics (2006) View citations (34)
39. Quadratic Stochastic Intensity and Prospective Mortality Tables
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Quadratic stochastic intensity and prospective mortality tables, Insurance: Mathematics and Economics, Elsevier (2008) View citations (8) (2008)
40. Switching VARMA Term Structure Models - Extended Version
    Working papers, Banque de France View citations (19)
    Also in Working Papers, Center for Research in Economics and Statistics (2007) View citations (26)

2006

41. (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
    Working Papers, Center for Research in Economics and Statistics View citations (11)

2005

42. Affine Model for Credit Risk Analysis
    Working Papers, Center for Research in Economics and Statistics View citations (3)
    See also Journal Article Affine Models for Credit Risk Analysis, Journal of Financial Econometrics, Oxford University Press (2006) View citations (30) (2006)
43. International Money and Stock Market Contingent Claims
    Working Papers, Center for Research in Economics and Statistics View citations (5)
    See also Journal Article International money and stock market contingent claims, Journal of International Money and Finance, Elsevier (2010) View citations (7) (2010)

2003

44. Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (67)

2002

45. Affine Term Structure Models
    Working Papers, Center for Research in Economics and Statistics View citations (22)
46. Equidependence in Qualitative and Duration Models with Application to Credit Risk
    Working Papers, Center for Research in Economics and Statistics View citations (3)
47. Pricing with Splines
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Pricing with Splines, Annals of Economics and Statistics, GENES (2006) View citations (6) (2006)

1999

48. Functional Indirect Inference
    Working Papers, Center for Research in Economics and Statistics

1998

49. The Econometrics of Efficient Frontiers
    Working Papers, Center for Research in Economics and Statistics View citations (1)
50. The Simulated Likelihood Ratio (SLR) Method
    Working Papers, Center for Research in Economics and Statistics View citations (6)

1997

51. Econometric Specification of the Risk Neutral Valuation Model
    Working Papers, Center for Research in Economics and Statistics
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1997)
    See also Journal Article Econometric specification of the risk neutral valuation model, Journal of Econometrics, Elsevier (2000) View citations (6) (2000)
52. Modèles de comptage semi-paramétriques
    Working Papers, Center for Research in Economics and Statistics
    See also Journal Article Modèles de comptage semi-paramétriques, L'Actualité Economique, Société Canadienne de Science Economique (1997) (1997)

1994

53. Kernel m-estimators: non parametric diagnostics for structural models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (2)
54. Testing, encompassing and simulating dynamic econometric models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
    See also Journal Article Testing, Encompassing, and Simulating Dynamic Econometric Models, Econometric Theory, Cambridge University Press (1995) View citations (25) (1995)

1993

55. Modèles linéaires à facteurs et structure à terme des taux d'intérêt
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
56. Prévision de mesures de prix contingents
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1992

57. Indirect Inference
    Working Papers, Toulouse - GREMAQ View citations (6)
    See also Journal Article Indirect Inference, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1993) View citations (528) (1993)

1991

58. Modèles de durée et effets de génération
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
59. Qualitative threshold arch models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article Qualitative threshold ARCH models, Journal of Econometrics, Elsevier (1992) View citations (71) (1992)
60. Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1987

61. Consistent m-estimators in a semi-parametric model
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (2)

1985

62. Simulated residuals
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article Simulated residuals, Journal of Econometrics, Elsevier (1987) View citations (21) (1987)
63. Testing unknown linear restrictions on parameter functions
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)

1984

64. General approach of serial correlation (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
    See also Journal Article A General Approach to Serial Correlation, Econometric Theory, Cambridge University Press (1985) View citations (40) (1985)

1982

65. Estimation and test in probit models with serial correlation
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (3)
66. Pseudo maximum lilelihood methods: applications to poisson models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article Pseudo Maximum Likelihood Methods: Applications to Poisson Models, Econometrica, Econometric Society (1984) View citations (760) (1984)
67. Revision adaptative des anticipations et convergence vers les anticipations rationnelles
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1981

68. Pseudo maximum likelihood methods: theory
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article Pseudo Maximum Likelihood Methods: Theory, Econometrica, Econometric Society (1984) View citations (571) (1984)

1979

69. Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes, Econometrica, Econometric Society (1980) View citations (84) (1980)

Journal Articles

2022

1. Required Capital for Long-Run Risks
   Journal of Economic Dynamics and Control, 2022, 144, (C)
   See also Working Paper Required Capital for Long-Run Risks, Post-Print (2022) (2022)

2021

2. Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion
   Management Science, 2021, 67, (6), 3674-3693 View citations (1)
   See also Working Paper Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion, Working Papers (2020) View citations (4) (2020)
3. Disastrous Defaults*
   (Risk premia and term premia in general equilibrium)
   Review of Finance, 2021, 25, (6), 1727-1772 View citations (1)
   See also Working Paper Disastrous Defaults, TSE Working Papers (2021) View citations (1) (2021)
4. Model risk management: Valuation and governance of pseudo-models
   Econometrics and Statistics, 2021, 17, (C), 1-22

2020

5. Identification and Estimation in Non-Fundamental Structural VARMA Models
   The Review of Economic Studies, 2020, 87, (4), 1915-1953 View citations (14)
   See also Working Paper Identification and Estimation in Non-Fundamental Structural VARMA Models, Working Papers (2017) (2017)
6. Stationary bubble equilibria in rational expectation models
   Journal of Econometrics, 2020, 218, (2), 714-735 View citations (3)
   See also Working Paper Stationary Bubble Equilibria in Rational Expectation Models, Post-Print (2020) View citations (3) (2020)

2019

7. Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations
   Econometrica, 2019, 87, (1), 327-345 View citations (3)
   See also Working Paper Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations, MPRA Paper (2018) (2018)
8. Invited Editorial “The challenges imposed by low interest rates”
   Journal of Asset Management, 2019, 20, (6), 413-420
9. Model Risk Management: Limits and Future of Bayesian Approaches
   Annals of Economics and Statistics, 2019, (136), 1-26 View citations (1)
   See also Working Paper Model Risk Management: Limits and Future of Bayesian Approaches, Post-Print (2019) View citations (1) (2019)

2018

10. COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING
    ASTIN Bulletin, 2018, 48, (2), 749-777
11. Composite indirect inference with application to corporate risks
    Econometrics and Statistics, 2018, 7, (C), 30-45 View citations (2)
    See also Working Paper Composite Indirect Inference with Application to Corporate Risks, Working Papers (2016) View citations (2) (2016)

2017

12. Consistent Pseudo-Maximum Likelihood Estimators
    Annals of Economics and Statistics, 2017, (125-126), 187-218 View citations (1)
    See also Working Paper Consistent Pseudo-Maximum Likelihood Estimators, Working Papers (2017) View citations (1) (2017)
13. Introduction
    Annals of Economics and Statistics, 2017, (125-126), 1-7
14. Statistical inference for independent component analysis: Application to structural VAR models
    Journal of Econometrics, 2017, 196, (1), 111-126 View citations (95)
    See also Working Paper Statistical Inference for Independent Component Analysis: Application to Structural VAR Models, Working Papers (2017) View citations (95) (2017)
15. Staying at zero with affine processes: An application to term structure modelling
    Journal of Econometrics, 2017, 201, (2), 348-366 View citations (30)
    Also in Rue de la Banque, 2017, (52) (2017) View citations (25)
    See also Working Paper Staying at Zero with Affine Processes: An Application to Term Structure Modelling, Working papers (2015) View citations (13) (2015)

2016

16. Credit and liquidity in interbank rates: A quadratic approach
    Journal of Banking & Finance, 2016, 68, (C), 29-46 View citations (17)
    See also Working Paper Credit and Liquidity in Interbank Rates: a Quadratic Approach, Working papers (2013) View citations (6) (2013)

2015

17. A Quadratic Kalman Filter
    Journal of Econometrics, 2015, 187, (1), 43-56 View citations (7)
    See also Working Paper A Quadratic Kalman Filter, Working papers (2014) (2014)
18. Evaluating Reserve Risk in a Regulatory Perspective
    Journal of Insurance Issues, 2015, 38, (2), 157-183
19. Pricing with finite dimensional dependence
    Journal of Econometrics, 2015, 187, (2), 408-417 View citations (5)

2014

20. Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks
    Review of Finance, 2014, 18, (6), 2103-2151 View citations (39)
21. Pricing default events: Surprise, exogeneity and contagion
    Journal of Econometrics, 2014, 182, (2), 397-411 View citations (11)
    See also Working Paper Pricing Default Events: Surprise, Exogeneity and Contagion, Working Papers (2013) (2013)
22. Regime Switching and Bond Pricing
    Journal of Financial Econometrics, 2014, 12, (2), 237-277 View citations (4)
    See also Working Paper Regime Switching and Bond Pricing, Working papers (2013) View citations (2) (2013)

2013

23. ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (07), 1-20 View citations (8)
24. Default, Liquidity, and Crises: an Econometric Framework
    Journal of Financial Econometrics, 2013, 11, (2), 221-262 View citations (6)
    See also Working Paper Default, liquidity and crises: an econometric framework, Working papers (2011) View citations (2) (2011)
25. Granularity Adjustment for Efficient Portfolios
    Econometric Reviews, 2013, 32, (4), 449-468
26. Linear-price term structure models
    Journal of Empirical Finance, 2013, 24, (C), 24-41 View citations (2)
27. Liquidation equilibrium with seniority and hidden CDO
    Journal of Banking & Finance, 2013, 37, (12), 5261-5274 View citations (13)
    See also Working Paper Liquidation Equilibrium with Seniority and Hidden CDO, Working Papers (2013) View citations (11) (2013)
28. No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth
    Journal of Banking & Finance, 2013, 37, (2), 389-402 View citations (24)
    See also Working Paper No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth, Working Papers (2011) View citations (3) (2011)
29. Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model
    Annals of Economics and Statistics, 2013, (109-110), 25-61 View citations (1)

2012

30. Asset pricing with Second-Order Esscher Transforms
    Journal of Banking & Finance, 2012, 36, (6), 1678-1687 View citations (12)
    See also Working Paper Asset Pricing with Second-Order Esscher Transforms, Working papers (2012) View citations (14) (2012)
31. Bilateral exposures and systemic solvency risk
    Canadian Journal of Economics/Revue canadienne d'économique, 2012, 45, (4), 1273-1309 View citations (21)
    Also in Canadian Journal of Economics, 2012, 45, (4), 1273-1309 (2012) View citations (47)
    See also Working Paper Bilateral Exposures and Systemic Solvency Risk, Working papers (2012) View citations (48) (2012)
32. Joint econometric modeling of spot electricity prices, forwards and options
    Review of Derivatives Research, 2012, 15, (3), 217-256 View citations (4)
    See also Working Paper Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options, Working Papers (2011) (2011)

2011

33. Fourth order pseudo maximum likelihood methods
    Journal of Econometrics, 2011, 162, (2), 278-293 View citations (7)
    See also Working Paper Fourth Order Pseudo Maximum Likelihood Methods, Working Papers (2011) View citations (6) (2011)

2010

34. International money and stock market contingent claims
    Journal of International Money and Finance, 2010, 29, (8), 1727-1751 View citations (7)
    See also Working Paper International Money and Stock Market Contingent Claims, Working Papers (2005) View citations (5) (2005)
35. Microinformation, Nonlinear Filtering, and Granularity
    Journal of Financial Econometrics, 2010, 10, (1), 1-53 View citations (1)
    See also Working Paper Microinformation, Nonlinear Filtering and Granularity, Swiss Finance Institute Research Paper Series (2010) View citations (3) (2010)

2008

36. Econometric Asset Pricing Modelling
    Journal of Financial Econometrics, 2008, 6, (4), 407-458 View citations (27)
    See also Working Paper Econometric Asset Pricing Modelling, Working papers (2008) View citations (22) (2008)
37. Optimal portfolio allocation under asset and surplus VaR constraints
    Journal of Asset Management, 2008, 9, (3), 178-192 View citations (3)
    See also Working Paper Optimal Portfolio Allocation under Asset and Surplus VaR Constraints, Working papers (2009) View citations (1) (2009)
38. Quadratic stochastic intensity and prospective mortality tables
    Insurance: Mathematics and Economics, 2008, 43, (1), 174-184 View citations (8)
    See also Working Paper Quadratic Stochastic Intensity and Prospective Mortality Tables, Working Papers (2007) (2007)
39. Taking into account extreme events in European option pricing
    Financial Stability Review, 2008, (12), 39-51 View citations (1)
    See also Working Paper Taking into account extreme events in European option pricing, Post-Print (2008) (2008)

2007

40. Econometric specification of stochastic discount factor models
    Journal of Econometrics, 2007, 136, (2), 509-530 View citations (37)
41. Switching VARMA Term Structure Models
    Journal of Financial Econometrics, 2007, 5, (1), 105-153 View citations (27)

2006

42. Affine Models for Credit Risk Analysis
    Journal of Financial Econometrics, 2006, 4, (3), 494-530 View citations (30)
    See also Working Paper Affine Model for Credit Risk Analysis, Working Papers (2005) View citations (3) (2005)
43. Pricing with Splines
    Annals of Economics and Statistics, 2006, (82), 3-33 View citations (6)
    See also Working Paper Pricing with Splines, Working Papers (2002) (2002)

2005

44. The econometrics of efficient portfolios
    Journal of Empirical Finance, 2005, 12, (1), 1-41 View citations (17)

2004

45. Infrequent Extreme Risks
    The Geneva Risk and Insurance Review, 2004, 29, (1), 5-22 View citations (4)
    Also in The Geneva Papers on Risk and Insurance Theory, 2004, 29, (1), 5-22 (2004) View citations (4)

2003

46. Kernel-Based Indirect Inference
    Journal of Financial Econometrics, 2003, 1, (3), 297-326 View citations (10)

2000

47. Econometric specification of the risk neutral valuation model
    Journal of Econometrics, 2000, 94, (1-2), 117-143 View citations (6)
    See also Working Paper Econometric Specification of the Risk Neutral Valuation Model, Working Papers (1997) (1997)

1999

48. Bayesian estimation of switching ARMA models
    Journal of Econometrics, 1999, 93, (2), 229-255 View citations (26)

1997

49. Modèles de comptage semi-paramétriques
    L'Actualité Economique, 1997, 73, (1), 525-550
    See also Working Paper Modèles de comptage semi-paramétriques, Working Papers (1997) (1997)

1996

50. A Reappraisal of Misspecified Econometric Models
    Econometric Theory, 1996, 12, (4), 597-619 View citations (20)

1995

51. Linear Factor Models and the Term Structure of Interest Rates
    Annals of Economics and Statistics, 1995, (40), 37-65
52. Prepayment analysis for securitization
    Journal of Empirical Finance, 1995, 2, (1), 45-70 View citations (2)
53. Testing, Encompassing, and Simulating Dynamic Econometric Models
    Econometric Theory, 1995, 11, (2), 195-228 View citations (25)
    See also Working Paper Testing, encompassing and simulating dynamic econometric models, CEPREMAP Working Papers (Couverture Orange) (1994) View citations (1) (1994)

1993

54. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 View citations (528)
    See also Working Paper Indirect Inference, Working Papers (1992) View citations (6) (1992)
55. Simulation-based inference: A survey with special reference to panel data models
    Journal of Econometrics, 1993, 59, (1-2), 5-33 View citations (155)
56. Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié
    Annals of Economics and Statistics, 1993, (32), 81-111 View citations (4)

1992

57. Qualitative threshold ARCH models
    Journal of Econometrics, 1992, 52, (1-2), 159-199 View citations (71)
    See also Working Paper Qualitative threshold arch models, CEPREMAP Working Papers (Couverture Orange) (1991) (1991)
58. Quelques développements récents des méthodes macroéconométriques
    L'Actualité Economique, 1992, 68, (1), 305-324

1991

59. Simulation Based Inference in Models with Heterogeneity
    Annals of Economics and Statistics, 1991, (20-21), 69-107 View citations (23)

1990

60. From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral
    Journal of Applied Econometrics, 1990, 5, (3), 203-27 View citations (3)

1989

61. A General Framework for Testing a Null Hypothesis in a “Mixed” Form
    Econometric Theory, 1989, 5, (1), 63-82 View citations (24)
62. Testing for Common Roots
    Econometrica, 1989, 57, (1), 171-85 View citations (1)

1987

63. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 View citations (209)
64. Kullback Causality Measures
    Annals of Economics and Statistics, 1987, (6-7), 369-410 View citations (19)
65. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 View citations (21)
    See also Working Paper Simulated residuals, CEPREMAP Working Papers (Couverture Orange) (1985) (1985)

1986

66. Some useful equivalence properties of Hausman's test
    Economics Letters, 1986, 20, (1), 39-43 View citations (9)

1985

67. A General Approach to Serial Correlation
    Econometric Theory, 1985, 1, (3), 315-340 View citations (40)
    See also Working Paper General approach of serial correlation (a), CEPREMAP Working Papers (Couverture Orange) (1984) View citations (1) (1984)

1984

68. Pseudo Maximum Likelihood Methods: Applications to Poisson Models
    Econometrica, 1984, 52, (3), 701-20 View citations (760)
    See also Working Paper Pseudo maximum lilelihood methods: applications to poisson models, CEPREMAP Working Papers (Couverture Orange) (1982) (1982)
69. Pseudo Maximum Likelihood Methods: Theory
    Econometrica, 1984, 52, (3), 681-700 View citations (571)
    See also Working Paper Pseudo maximum likelihood methods: theory, CEPREMAP Working Papers (Couverture Orange) (1981) (1981)

1983

70. Testing nested or non-nested hypotheses
    Journal of Econometrics, 1983, 21, (1), 83-115 View citations (27)

1982

71. Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
    Econometrica, 1982, 50, (1), 63-80 View citations (163)
72. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
    Econometrica, 1982, 50, (2), 409-25 View citations (50)

1981

73. Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
    Journal of Econometrics, 1981, 17, (1), 83-97 View citations (9)
74. Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters
    Journal of Econometrics, 1981, 16, (1), 166-166 View citations (9)
75. On the Problem of Missing Data in Linear Models
    The Review of Economic Studies, 1981, 48, (4), 579-586 View citations (27)

1980

76. Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
    Econometrica, 1980, 48, (3), 675-95 View citations (84)
    See also Working Paper Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes, NBER Working Papers (1979) View citations (1) (1979)
77. Disequilibrium Econometrics in Simultaneous Equations Systems
    Econometrica, 1980, 48, (1), 75-96 View citations (17)
78. Sufficient Linear Structures: Econometric Applications
    Econometrica, 1980, 48, (5), 1083-97 View citations (10)
79. Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
    International Economic Review, 1980, 21, (1), 245-47

1979

80. Disequilibrium econometrics in dynamic models
    Journal of Econometrics, 1979, 11, (2-3), 353-361 View citations (8)
81. On the characterization of a joint probability distribution by conditional distributions
    Journal of Econometrics, 1979, 10, (1), 115-118 View citations (5)

1978

82. First-order identification in linear models
    Journal of Econometrics, 1978, 7, (3), 333-350

1974

83. Un modèle agricole à long terme de simulation
    Économie et Prévision, 1974, 16, (1), 27-51 View citations (1)

Books

1997

1. Simulation-based Econometric Methods
   OUP Catalogue, Oxford University Press View citations (67)
2. Time Series and Dynamic Models
   Cambridge Books, Cambridge University Press View citations (75)
   Also in Cambridge Books, Cambridge University Press (1997) View citations (75)

1995

3. Statistics and Econometric Models
   Cambridge Books, Cambridge University Press View citations (207)
   Also in Cambridge Books, Cambridge University Press (1995) View citations (207)
   Cambridge Books, Cambridge University Press (1995) View citations (207)
   Cambridge Books, Cambridge University Press (1995) View citations (209)

Edited books

2015

1. Non-Negativity, Zero Lower Bound and Affine Interest Rate Models
   Economics Thesis from University Paris Dauphine, Paris Dauphine University

2013

2. Regime switching in bond yield and spread dynamics
   Economics Thesis from University Paris Dauphine, Paris Dauphine University

Chapters

1986

1. Testing non-nested hypotheses
   Chapter 44 in Handbook of Econometrics, 1986, vol. 4, pp 2583-2637 View citations (8)