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Information about:
Alain Monfort

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Personal Details

First Name: Alain
Middle Name:
Last Name: Monfort
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RePEc Short-ID: pmo298

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Homepage: http://crest.fr/pageperso/monfort/monfort.htm
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This author is among the top 5% authors according to these criteria:
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  10. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  11. Number of Citations, Weighted by Recursive Impact Factor
  12. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
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  14. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  19. h, where author has written h papers that have each been cited at least h times.
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  26. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
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  28. Wu-Index

Works

| Working papers | Articles | Chapters | Books | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  1. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Documents de Travail 234, Banque de France. [Downloadable!]

  2. Monfort, A., 2009. "Optimal Portfolio Allocation under Asset and Surplus VaR Constraints," Documents de Travail 251, Banque de France. [Downloadable!]

  3. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Documents de Travail 235, Banque de France. [Downloadable!]

  4. Alain Monfort., 2009. "A sequential modelling of the VaR," Documents de Travail 250, Banque de France. [Downloadable!]

  5. Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Documents de Travail 223, Banque de France. [Downloadable!]
    Other versions:
    Published as:

  6. Christian Gourieroux ; Alain Monfort, 2007. "Quadratic Stochastic Intensity and Prospective Mortality Tables," Working Papers 2007-30, Centre de Recherche en Economie et Statistique, revised 2007. [Downloadable!]
    Published as:

  7. Alain Monfort ; Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Centre de Recherche en Economie et Statistique, revised 2007. [Downloadable!]
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  8. Henri Bertholon ; Alain Monfort ; Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Centre de Recherche en Economie et Statistique, revised 2006. [Downloadable!]
    Other versions:

  9. Christian Gourieroux ; Alain Monfort, 2006. "(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution," Working Papers 2006-31, Centre de Recherche en Economie et Statistique, revised 2006. [Downloadable!]

  10. Alain Monfort ; Fulvio Pegoraro, 2006. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers 2006-29, Centre de Recherche en Economie et Statistique, revised 2006. [Downloadable!]
    Other versions:

  11. Christian Gourieroux ; Alain Monfort ; Vassilis Polimenis, 2005. "Affine Model for Credit Risk Analysis," Working Papers 2005-44, Centre de Recherche en Economie et Statistique, revised 2005. [Downloadable!]
    Published as:

  12. Christian Gourieroux ; Alain Monfort ; Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Centre de Recherche en Economie et Statistique, revised 2005. [Downloadable!]

  13. Monfort, Alain & Renne, Jean-Paul & Rüffer, Rasmus & Vitale, Giovanni, 2003. "Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects," CEPR Discussion Papers 4119, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  14. Christian Gourieroux ; Alain Monfort, 2002. "“Equidependence in Qualitative and Duration Models with Application to Credit Risk”," Working Papers 2002-51, Centre de Recherche en Economie et Statistique. [Downloadable!]

  15. Christian Gourieroux ; Alain Monfort, 2002. "Pricing with Splines," Working Papers 2002-50, Centre de Recherche en Economie et Statistique. [Downloadable!]
    Published as:

  16. Christian Gourieroux ; Alain Monfort ; Vassilis Polimenis, 2002. "Affine Term Structure Models," Working Papers 2002-49, Centre de Recherche en Economie et Statistique. [Downloadable!]

  17. Clément, E. & Gourieroux, Christian & Monfort, Alain, 1997. "Econometric specification of the risk neutral valuation model," CEPREMAP Working Papers (Couverture Orange) 9706, CEPREMAP.
    Other versions:
    Published as:

  18. Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.

  19. Gouriéroux, Christian & Monfort, Alain, 1994. "Testing, encompassing and simulating dynamic econometric models," CEPREMAP Working Papers (Couverture Orange) 9406, CEPREMAP.
    Published as:

  20. Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993. "Prévision de mesures de prix contingents," CEPREMAP Working Papers (Couverture Orange) 9310, CEPREMAP.

  21. Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993. "Modèles linéaires à facteurs et structure à terme des taux d'intérêt," CEPREMAP Working Papers (Couverture Orange) 9306, CEPREMAP.

  22. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
    Published as:

  23. Gourieroux Christian & Monfort Alain & Renault E, 1991. "Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form," CEPREMAP Working Papers (Couverture Orange) 9110, CEPREMAP.

  24. Gourieroux Christian & Monfort Alain, 1991. "Qualitative threshold arch models," CEPREMAP Working Papers (Couverture Orange) 9109, CEPREMAP.
    Published as:

  25. Gourieroux Christian & Monfort A, 1991. "Modèles de durée et effets de génération," CEPREMAP Working Papers (Couverture Orange) 9131, CEPREMAP.

  26. Gourieroux Christian & Monfort Alain & Renault Eric, 1987. "Consistent m-estimators in a semi-parametric model," CEPREMAP Working Papers (Couverture Orange) 8720, CEPREMAP.

  27. Gourieroux Christian & Monfort Alain & Renault E, 1985. "Testing unknown linear restrictions on parameter functions," CEPREMAP Working Papers (Couverture Orange) 8516, CEPREMAP.

  28. Gourieroux Christian & Monfort Alain & Renault E & Trognon A, 1985. "Simulated residuals," CEPREMAP Working Papers (Couverture Orange) 8502, CEPREMAP.
    Published as:

  29. Gourieroux Christian & Monfort Alain & Trognon A, 1984. "General approach of serial correlation (a)," CEPREMAP Working Papers (Couverture Orange) 8424, CEPREMAP.

  30. Gourieroux Christian & Laffont Jean-jacques & Monfort Alain, 1982. "Revision adaptative des anticipations et convergence vers les anticipations rationnelles," CEPREMAP Working Papers (Couverture Orange) 8218, CEPREMAP.

  31. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Estimation and test in probit models with serial correlation," CEPREMAP Working Papers (Couverture Orange) 8220, CEPREMAP.

  32. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
    Published as:

  33. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
    Published as:

  34. C. Gourieroux & Jean-Jacques Laffont & A. Monfort, 1979. "Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes," NBER Working Papers 0343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  35. Monica Billio ; Alain Monfort, . "Functional Indirect Inference," Working Papers 99-01, Centre de Recherche en Economie et Statistique. [Downloadable!]

  36. Christian Gourieroux ; Alain Monfort, . "The Econometrics of Efficient Frontiers," Working Papers 98-34, Centre de Recherche en Economie et Statistique. [Downloadable!]

  37. Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, . "Fourth Order Pseudo Maximum Likelihood Methods," Swiss Finance Institute Research Paper Series 09-23, Swiss Finance Institute. [Downloadable!]

  38. Christian Gourieroux ; Alain Monfort, . "Modèles de comptage semi-paramétriques," Working Papers 97-34, Centre de Recherche en Economie et Statistique. [Downloadable!]

  39. Monica Billio ; Alain Monfort ; Christian P, Robert, . "The Simulated Likelihood Ratio (SLR) Method," Working Papers 98-21, Centre de Recherche en Economie et Statistique. [Downloadable!]

Articles

  1. H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall. [Downloadable!] (restricted)
    Other versions:

  2. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August. [Downloadable!] (restricted)
    Other versions:

  3. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February. [Downloadable!] (restricted)

  4. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 5(1), pages 105-153. [Downloadable!] (restricted)

  5. C. Gourieroux & A. Monfort & V. Polimenis, 2006. "Affine Models for Credit Risk Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 494-530. [Downloadable!] (restricted)
    Other versions:

  6. Christian Gourieroux & Alain Monfort, 2006. "Pricing with Splines," Annales d'Economie et de Statistique, ADRES, issue 82, pages 01, Avril-Jui. [Downloadable!]
    Other versions:

  7. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January. [Downloadable!] (restricted)

  8. C. Gourieroux & A. Monfort, 2004. "Infrequent Extreme Risks," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 29(1), pages 5-22, 06. [Downloadable!]

  9. Monica Billio & Alain Monfort, 2003. "Kernel-Based Indirect Inference," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 297-326.

  10. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143. [Downloadable!] (restricted)
    Other versions:

  11. Billio, M. & Monfort, A. & Robert, C. P., 1999. "Bayesian estimation of switching ARMA models," Journal of Econometrics, Elsevier, vol. 93(2), pages 229-255, December. [Downloadable!] (restricted)

  12. Monfort, Alain, 1996. "A Reappraisal of Misspecified Econometric Models," Econometric Theory, Cambridge University Press, vol. 12(04), pages 597-619, October. [Downloadable!]

  13. De Toldi, M. & Gourieroux, C. & Monfort, A., 1995. "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 45-70, March. [Downloadable!] (restricted)

  14. Emmanuelle Clement & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annales d'Economie et de Statistique, ADRES, issue 40, pages 05, Octobre-D. [Downloadable!]

  15. Gouri?roux, Christian & Monfort, Alain, 1995. "Testing, Encompassing, and Simulating Dynamic Econometric Models," Econometric Theory, Cambridge University Press, vol. 11(02), pages 195-228, February. [Downloadable!]
    Other versions:

  16. Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September. [Downloadable!] (restricted)

  17. Christian Gourieroux & Alain Monfort & Eric Renault, 1993. "Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié," Annales d'Economie et de Statistique, ADRES, issue 32, pages 05, Octobre-D. [Downloadable!]

  18. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De. [Downloadable!] (restricted)
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  19. Gourieroux, Christian & Monfort, Alain, 1992. "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199. [Downloadable!] (restricted)
    Other versions:

  20. Monfort, Alain, 1991. "Exogenous and Endogenous Sampling," Econometric Theory, Cambridge University Press, vol. 7(03), pages 417-417, September. [Downloadable!]

  21. Christian Gourieroux & Alain Monfort, 1991. "Simulation Based Inference in Models with Heterogeneity," Annales d'Economie et de Statistique, ADRES, issue 20-21, pages 05, Octobre-m. [Downloadable!]

  22. Monfort, A & Rabemananjara, R, 1990. "From a VAR Model to a Structural Model, with an Application to the Wage-Price Spiral," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 5(3), pages 203-27, July-Sept. [Downloadable!] (restricted)

  23. Gourieroux, Christian & Monfort, Alan & Renault, Eric, 1989. "Testing for Common Roots," Econometrica, Econometric Society, vol. 57(1), pages 171-85, January. [Downloadable!] (restricted)

  24. Monfort, Alain, 1987. "Mutual Independence off Test Statistics?Solution," Econometric Theory, Cambridge University Press, vol. 3(03), pages 464-464, June. [Downloadable!]

  25. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Simulated residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 201-252. [Downloadable!] (restricted)
    Other versions:

  26. Christian Gourieroux & Alain Monfort & Eric Renault, 1987. "Kullback Causality Measures," Annales d'Economie et de Statistique, ADRES, issue 6-7, pages 17, Avril-Sep. [Downloadable!]

  27. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32. [Downloadable!] (restricted)

  28. Holly, Alberto & Monfort, Alain, 1986. "Some useful equivalence properties of Hausman's test," Economics Letters, Elsevier, vol. 20(1), pages 39-43. [Downloadable!] (restricted)

  29. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-20, May. [Downloadable!] (restricted)
    Other versions:

  30. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May. [Downloadable!] (restricted)
    Other versions:

  31. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January. [Downloadable!] (restricted)

  32. Gourieroux, C & Laffont, J J & Monfort, Alain, 1982. "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions," Econometrica, Econometric Society, vol. 50(2), pages 409-25, March. [Downloadable!] (restricted)

  33. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1982. "Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters," Econometrica, Econometric Society, vol. 50(1), pages 63-80, January. [Downloadable!] (restricted)

  34. Gourieroux, Christian & Monfort, Alain, 1981. "Asymptotic properties of the maximum likelihood estimator in dichotomous logit models," Journal of Econometrics, Elsevier, vol. 17(1), pages 83-97, September. [Downloadable!] (restricted)

  35. Gourieroux, Christian & Monfort, Alain, 1981. "On the Problem of Missing Data in Linear Models," Review of Economic Studies, Blackwell Publishing, vol. 48(4), pages 579-86, October. [Downloadable!] (restricted)

  36. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1981. "Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters," Journal of Econometrics, Elsevier, vol. 16(1), pages 166-166, May. [Downloadable!] (restricted)

  37. Gourieroux, C & Laffont, J-J & Monfort, A, 1980. "Disequilibrium Econometrics in Simultaneous Equations Systems," Econometrica, Econometric Society, vol. 48(1), pages 75-96, January. [Downloadable!] (restricted)

  38. Gourieroux, C & Laffont, J J & Monfort, A, 1980. "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes," Econometrica, Econometric Society, vol. 48(3), pages 675-95, April. [Downloadable!] (restricted)
    Other versions:

  39. Gourieroux, Christian & Monfort, Alain, 1980. "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, vol. 48(5), pages 1083-97, July. [Downloadable!] (restricted)

  40. Gourieroux, Christian & Laffont, Jean-Jacques & Monfort, Alain, 1980. "Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 245-47, February. [Downloadable!] (restricted)

  41. Gourieroux, Christian & Monfort, Alain, 1979. "On the characterization of a joint probability distribution by conditional distributions," Journal of Econometrics, Elsevier, vol. 10(1), pages 115-118, April. [Downloadable!] (restricted)

  42. Laffont, Jean-Jacques & Monfort, Alain, 1979. "Disequilibrium econometrics in dynamic models," Journal of Econometrics, Elsevier, vol. 11(2-3), pages 353-361. [Downloadable!] (restricted)

  43. Monfort, Alain, 1978. "First-order identification in linear models," Journal of Econometrics, Elsevier, vol. 7(3), pages 333-350, April. [Downloadable!] (restricted)

  44. RePEc:pal:genrir:v:29:y:2004:i:1:p:5-22 is not listed on IDEAS

Chapters

  1. Gourieroux, C. & Monfort, A., 1986. "Testing non-nested hypotheses," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 44, pages 2583-2637 Elsevier. [Downloadable!] (restricted)

Books

  1. RePEc:cup:cbooks:9780521423083 is not listed on IDEAS

  2. RePEc:cup:cbooks:9780521477451 is not listed on IDEAS

  3. RePEc:cup:cbooks:9780521471626 is not listed on IDEAS

  4. RePEc:cup:cbooks:9780521411462 is not listed on IDEAS

  5. RePEc:cup:cbooks:9780521478373 is not listed on IDEAS

  6. RePEc:cup:cbooks:9780521405515 is not listed on IDEAS

  7. RePEc:cup:cbooks:9780521477444 is not listed on IDEAS

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2009-10-24
  2. NEP-CBA: Central Banking (3) 2009-07-17 2009-07-17 2009-10-24 Author is listed
  3. NEP-ECM: Econometrics (2) 2009-07-17 2009-10-24 Author is listed
  4. NEP-ETS: Econometric Time Series (1) 2009-07-17
  5. NEP-MAC: Macroeconomics (2) 2004-02-29 2009-07-17 Author is listed
  6. NEP-RMG: Risk Management (1) 2009-10-24
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This page was last updated on 2009-11-10.

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