Alain MONFORT

Alain MONFORT
CREST Emeritus
Emeritus
Finance
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2021

  • Affine modeling of credit risk, pricing of credit events, and contagion

    Management science, vol. 67, iss. 6, pp. 3674-3693, 2021.
    By A. Monfort, F. Pegoraro, J. -P. Renne, and G. Roussellet

    [DOI] [Bibtex] 

    @article{Monfort20213674,
author={Monfort, A. and Pegoraro, F. and Renne, J.-P. and Roussellet, G.},
title={Affine modeling of credit risk, pricing of credit events, and contagion},
journal={Management Science},
year={2021},
volume={67},
number={6},
pages={3674-3693},
doi={10.1287/mnsc.2020.3658},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85109495049&doi=10.1287%2fmnsc.2020.3658&partnerID=40&md5=bcc429503bdfca364f590b7f66caf1a2},
publisher={INFORMS Inst.for Operations Res.and the Management Sciences},
}

  • Model risk management: valuation and governance of pseudo-models

    Econometrics and statistics, vol. 17, pp. 1-22, 2021.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20211,
author={Gourieroux, C. and Monfort, A.},
title={Model risk management: Valuation and governance of pseudo-models},
journal={Econometrics and Statistics},
year={2021},
volume={17},
pages={1-22},
doi={10.1016/j.ecosta.2020.08.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090560723&doi=10.1016%2fj.ecosta.2020.08.001&partnerID=40&md5=7a713cc7d6af50cdfa3db8e10bc00d97},
publisher={Elsevier B.V.},
}

2020

  • Stationary bubble equilibria in rational expectation models

    Journal of econometrics, vol. 218, iss. 2, pp. 714-735, 2020.
    By C. Gourieroux, J. Jasiak, and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2020714,
author={Gourieroux, C. and Jasiak, J. and Monfort, A.},
title={Stationary bubble equilibria in rational expectation models},
journal={Journal of Econometrics},
year={2020},
volume={218},
number={2},
pages={714-735},
doi={10.1016/j.jeconom.2020.04.035},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85084479427&doi=10.1016%2fj.jeconom.2020.04.035&partnerID=40&md5=818f4b1129fb9dee19a7590892b39213},
publisher={Elsevier Ltd},
}

  • Identification and estimation in non-fundamental structural varma models

    Review of economic studies, vol. 87, iss. 4, pp. 1915-1953, 2020.
    By C. Gouriéroux, A. Monfort, and J. -P. Renne

    [DOI] [Bibtex] 

    @article{Gouriéroux20201915,
author={Gouriéroux, C. and Monfort, A. and Renne, J.-P.},
title={Identification and Estimation in Non-Fundamental Structural VARMA Models},
journal={Review of Economic Studies},
year={2020},
volume={87},
number={4},
pages={1915-1953},
doi={10.1093/restud/rdz028},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089421211&doi=10.1093%2frestud%2frdz028&partnerID=40&md5=9762f4996ab46f25d83fa9e41ea5a954},
publisher={Oxford University Press},
}

2019

  • Invited editorial “the challenges imposed by low interest rates”

    Journal of asset management, vol. 20, iss. 6, pp. 413-420, 2019.
    By J. -M. Beacco, C. Lubochinsky, M. Brière, A. Monfort, C. Hillairet, and S. Benoît

    [DOI] [Bibtex] 

    @article{Beacco2019413,
author={Beacco, J.-M. and Lubochinsky, C. and Brière, M. and Monfort, A. and Hillairet, C. and Benoît, S.},
title={Invited Editorial “The challenges imposed by low interest rates”},
journal={Journal of Asset Management},
year={2019},
volume={20},
number={6},
pages={413-420},
doi={10.1057/s41260-019-00124-6},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85067235762&doi=10.1057%2fs41260-019-00124-6&partnerID=40&md5=2cfc42aaf4bd03a60ab20b64429c65ce},
publisher={Palgrave Macmillan Ltd.},
}

  • Model risk management: limits and future of bayesian approaches

    Annals of economics and statistics, , iss. 136, pp. 1-26, 2019.
    By J. P. Florens, C. Gourieroux, and A. Monfort

    [DOI] [Bibtex] 

    @article{Florens20191,
author={Florens, J.P. and Gourieroux, C. and Monfort, A.},
title={Model risk management: Limits and future of Bayesian approaches},
journal={Annals of Economics and Statistics},
year={2019},
number={136},
pages={1-26},
doi={10.15609/annaeconstat2009.136.0001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079370522&doi=10.15609%2fannaeconstat2009.136.0001&partnerID=40&md5=04947ebd017088f3405cc2985fc5d294},
publisher={GENES (Groupe des Ecoles en Economie et Statistiques)},
}

  • Consistent pseudo-maximum likelihood estimators and groups of transformations

    Econometrica, vol. 87, iss. 1, pp. 327-345, 2019.
    By C. Gouriéroux, A. Monfort, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Gouriéroux2019327,
author={Gouriéroux, C. and Monfort, A. and Zakoian, J.-M.},
title={Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations},
journal={Econometrica},
year={2019},
volume={87},
number={1},
pages={327-345},
doi={10.3982/ECTA14727},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060941030&doi=10.3982%2fECTA14727&partnerID=40&md5=84db0982ba3299f9e96a04cdb695d80d},
publisher={Blackwell Publishing Ltd},
}

2018

  • Composite indirect inference with application to corporate risks

    Econometrics and statistics, vol. 7, pp. 30-45, 2018.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux201830,
author={Gourieroux, C. and Monfort, A.},
title={Composite indirect inference with application to corporate risks},
journal={Econometrics and Statistics},
year={2018},
volume={7},
pages={30-45},
doi={10.1016/j.ecosta.2017.09.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85044762324&doi=10.1016%2fj.ecosta.2017.09.003&partnerID=40&md5=8ead36afa2921ff50b2b7449fd35f907},
publisher={Elsevier B.V.},
}

  • Coherent incurred paid (cip) models for claims reserving

    Astin bulletin, vol. 48, iss. 2, pp. 749-777, 2018.
    By G. Dupin, E. Koenig, P. Le Moine, A. Monfort, and E. Ratiarison

    [DOI] [Bibtex] 

    @article{Dupin2018749,
author={Dupin, G. and Koenig, E. and Le Moine, P. and Monfort, A. and Ratiarison, E.},
title={Coherent incurred paid (CIP) models for claims reserving},
journal={ASTIN Bulletin},
year={2018},
volume={48},
number={2},
pages={749-777},
doi={10.1017/asb.2017.36},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85042211328&doi=10.1017%2fasb.2017.36&partnerID=40&md5=80b3f598599ec03312dd666353e74a07},
publisher={Cambridge University Press},
}

2017

  • Staying at zero with affine processes: an application to term structure modelling

    Journal of econometrics, vol. 201, iss. 2, pp. 348-366, 2017.
    By A. Monfort, F. Pegoraro, J. -P. Renne, and G. Roussellet

    [DOI] [Bibtex] 

    @article{Monfort2017348,
author={Monfort, A. and Pegoraro, F. and Renne, J.-P. and Roussellet, G.},
title={Staying at zero with affine processes: An application to term structure modelling},
journal={Journal of Econometrics},
year={2017},
volume={201},
number={2},
pages={348-366},
doi={10.1016/j.jeconom.2017.08.013},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029574651&doi=10.1016%2fj.jeconom.2017.08.013&partnerID=40&md5=43c832f1a9aaa31262be596b3bdef7b5},
publisher={Elsevier Ltd},
}

  • Statistical inference for independent component analysis: application to structural var models

    Journal of econometrics, vol. 196, iss. 1, pp. 111-126, 2017.
    By C. Gouriéroux, A. Monfort, and J. -P. Renne

    [DOI] [Bibtex] 

    @article{Gouriéroux2017111,
author={Gouriéroux, C. and Monfort, A. and Renne, J.-P.},
title={Statistical inference for independent component analysis: Application to structural VAR models},
journal={Journal of Econometrics},
year={2017},
volume={196},
number={1},
pages={111-126},
doi={10.1016/j.jeconom.2016.09.007},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84995684270&doi=10.1016%2fj.jeconom.2016.09.007&partnerID=40&md5=de26355805da30478535e93bc1ef15ac},
publisher={Elsevier Ltd},
}

2016

  • Credit and liquidity in interbank rates: a quadratic approach

    Journal of banking and finance, vol. 68, pp. 29-46, 2016.
    By S. Dubecq, A. Monfort, J. -P. Renne, and G. Roussellet

    [DOI] [Bibtex] 

    @article{Dubecq201629,
author={Dubecq, S. and Monfort, A. and Renne, J.-P. and Roussellet, G.},
title={Credit and liquidity in interbank rates: A quadratic approach},
journal={Journal of Banking and Finance},
year={2016},
volume={68},
pages={29-46},
doi={10.1016/j.jbankfin.2016.03.014},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84963768344&doi=10.1016%2fj.jbankfin.2016.03.014&partnerID=40&md5=bab329e97fe2487078a5ffb5ebe43954},
publisher={Elsevier},
}

  • The double default value-of-the-firm model

    Journal of credit risk, vol. 12, iss. 2, pp. 47-76, 2016.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux201647,
author={Gourieroux, C. and Monfort, A.},
title={The double default value-of-the-firm model},
journal={Journal of Credit Risk},
year={2016},
volume={12},
number={2},
pages={47-76},
doi={10.21314/JCR.2016.207},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973454169&doi=10.21314%2fJCR.2016.207&partnerID=40&md5=da3c0fef401dcdd24dca3cf0c02de72a},
publisher={Incisive Media Ltd.},
}

2015

  • Pricing with finite dimensional dependence

    Journal of econometrics, vol. 187, iss. 2, pp. 408-417, 2015.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2015408,
author={Gourieroux, C. and Monfort, A.},
title={Pricing with finite dimensional dependence},
journal={Journal of Econometrics},
year={2015},
volume={187},
number={2},
pages={408-417},
doi={10.1016/j.jeconom.2015.02.027},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84945459025&doi=10.1016%2fj.jeconom.2015.02.027&partnerID=40&md5=644ea4f2aa31a12080164ea208115f50},
publisher={Elsevier Ltd},
}

  • A quadratic kalman filter

    Journal of econometrics, vol. 187, iss. 1, pp. 43-56, 2015.
    By A. Monfort, J. -P. Renne, and G. Roussellet

    [DOI] [Bibtex] 

    @article{Monfort201543,
author={Monfort, A. and Renne, J.-P. and Roussellet, G.},
title={A Quadratic Kalman Filter},
journal={Journal of Econometrics},
year={2015},
volume={187},
number={1},
pages={43-56},
doi={10.1016/j.jeconom.2015.01.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929615719&doi=10.1016%2fj.jeconom.2015.01.003&partnerID=40&md5=2171d359aea7d4b643a15fc46eae34a2},
publisher={Elsevier Ltd},
}

2014

  • Regime switching and bond pricing

    Journal of financial econometrics, vol. 12, iss. 2, pp. 237-277, 2014.
    By C. Gourieroux, A. Monfort, F. Pegoraro, and J. -P. Renne

    [DOI] [Bibtex] 

    @article{Gourieroux2014237,
author={Gourieroux, C. and Monfort, A. and Pegoraro, F. and Renne, J.-P.},
title={Regime switching and bond pricing},
journal={Journal of Financial Econometrics},
year={2014},
volume={12},
number={2},
pages={237-277},
doi={10.1093/jjfinec/nbt019},
art_number={nbt019},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940248130&doi=10.1093%2fjjfinec%2fnbt019&partnerID=40&md5=239f464b75f1d998f307edf5c944264b},
}

  • Erratum: pricing default events: surprise, exogeneity and contagion (journal of econometrics (2014) 182:2 (397-411))

    Journal of econometrics, vol. 183, iss. 2, p. 150, 2014.
    By C. Gouriéroux, A. Monfort, and J. P. Renne

    [DOI] [Bibtex] 

    @article{Gouriéroux2014150,
author={Gouriéroux, C. and Monfort, A. and Renne, J.P.},
title={Erratum: Pricing default events: Surprise, exogeneity and contagion (Journal of Econometrics (2014) 182:2 (397-411))},
journal={Journal of Econometrics},
year={2014},
volume={183},
number={2},
pages={150},
doi={10.1016/j.jeconom.2014.10.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84922655528&doi=10.1016%2fj.jeconom.2014.10.001&partnerID=40&md5=796f47cfa496f9b5dc64b0992068ac35},
publisher={Elsevier Ltd},
}

  • Pricing default events: surprise, exogeneity and contagion

    Journal of econometrics, vol. 182, iss. 2, pp. 397-411, 2014.
    By C. Gouriéroux, A. Monfort, and J. P. Renne

    [DOI] [Bibtex] 

    @article{Gouriéroux2014397,
author={Gouriéroux, C. and Monfort, A. and Renne, J.P.},
title={Pricing default events: Surprise, exogeneity and contagion},
journal={Journal of Econometrics},
year={2014},
volume={182},
number={2},
pages={397-411},
doi={10.1016/j.jeconom.2014.05.005},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904968834&doi=10.1016%2fj.jeconom.2014.05.005&partnerID=40&md5=b0421a667620f0c6de257e9c81aeee1a},
publisher={Elsevier Ltd},
}

2013

  • Liquidation equilibrium with seniority and hidden cdo

    Journal of banking and finance, vol. 37, iss. 12, pp. 5261-5274, 2013.
    By C. Gourieroux, J. C. Heam, and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20135261,
author={Gourieroux, C. and Heam, J.C. and Monfort, A.},
title={Liquidation equilibrium with seniority and hidden CDO},
journal={Journal of Banking and Finance},
year={2013},
volume={37},
number={12},
pages={5261-5274},
doi={10.1016/j.jbankfin.2013.04.016},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84886089497&doi=10.1016%2fj.jbankfin.2013.04.016&partnerID=40&md5=a455d2662f09ce950e360277779f36b5},
}

  • Linear-price term structure models

    Journal of empirical finance, vol. 24, pp. 24-41, 2013.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux201324,
author={Gourieroux, C. and Monfort, A.},
title={Linear-price term structure models},
journal={Journal of Empirical Finance},
year={2013},
volume={24},
pages={24-41},
doi={10.1016/j.jempfin.2013.07.004},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883523553&doi=10.1016%2fj.jempfin.2013.07.004&partnerID=40&md5=b0356ea49f8debecd7691d0e27fb4f0a},
}

  • Allocating systemic risk in a regulatory perspective

    International journal of theoretical and applied finance, vol. 16, iss. 7, 2013.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2013,
author={Gourieroux, C. and Monfort, A.},
title={Allocating systemic risk in a regulatory perspective},
journal={International Journal of Theoretical and Applied Finance},
year={2013},
volume={16},
number={7},
doi={10.1142/S0219024913500416},
art_number={1350041},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84894115970&doi=10.1142%2fS0219024913500416&partnerID=40&md5=7457e05c1b98493400f9a7db5a40fff2},
}

  • Default, liquidity, and crises: an econometric framework

    Journal of financial econometrics, vol. 11, iss. 2, pp. 221-262, 2013.
    By A. Monfort and J. -P. Renne

    [DOI] [Bibtex] 

    @article{Monfort2013221,
author={Monfort, A. and Renne, J.-P.},
title={Default, liquidity, and crises: An econometric framework},
journal={Journal of Financial Econometrics},
year={2013},
volume={11},
number={2},
pages={221-262},
doi={10.1093/jjfinec/nbs020},
art_number={nbs020},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84875255758&doi=10.1093%2fjjfinec%2fnbs020&partnerID=40&md5=15a0f8aa4ce0742ad76f2b29b8b5e3c3},
}

  • No-arbitrage near-cointegrated var(p) term structure models, term premia and gdp growth

    Journal of banking and finance, vol. 37, iss. 2, pp. 389-402, 2013.
    By C. Jardet, A. Monfort, and F. Pegoraro

    [DOI] [Bibtex] 

    @article{Jardet2013389,
author={Jardet, C. and Monfort, A. and Pegoraro, F.},
title={No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth},
journal={Journal of Banking and Finance},
year={2013},
volume={37},
number={2},
pages={389-402},
doi={10.1016/j.jbankfin.2012.09.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84869871533&doi=10.1016%2fj.jbankfin.2012.09.003&partnerID=40&md5=24b51c8dc2cab95af0b842884e067521},
}

2012

  • Bilateral exposures and systemic solvency risk

    Canadian journal of economics, vol. 45, iss. 4, pp. 1273-1309, 2012.
    By C. Gouriéroux, J. -C. Héam, and A. Monfort

    [DOI] [Bibtex] 

    @article{Gouriéroux20121273,
author={Gouriéroux, C. and Héam, J.-C. and Monfort, A.},
title={Bilateral exposures and systemic solvency risk},
journal={Canadian Journal of Economics},
year={2012},
volume={45},
number={4},
pages={1273-1309},
doi={10.1111/j.1540-5982.2012.01750.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874746866&doi=10.1111%2fj.1540-5982.2012.01750.x&partnerID=40&md5=022cdb902fd0990deabf57622b1e6494},
}

  • Joint econometric modeling of spot electricity prices, forwards and options

    Review of derivatives research, vol. 15, iss. 3, pp. 217-256, 2012.
    By A. Monfort and O. Féron

    [DOI] [Bibtex] 

    @article{Monfort2012217,
author={Monfort, A. and Féron, O.},
title={Joint econometric modeling of spot electricity prices, forwards and options},
journal={Review of Derivatives Research},
year={2012},
volume={15},
number={3},
pages={217-256},
doi={10.1007/s11147-012-9075-z},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84866441766&doi=10.1007%2fs11147-012-9075-z&partnerID=40&md5=88e77488e8b6d93d8e28191b25583842},
}

  • Asset pricing with second-order esscher transforms

    Journal of banking and finance, vol. 36, iss. 6, pp. 1678-1687, 2012.
    By A. Monfort and F. Pegoraro

    [DOI] [Bibtex] 

    @article{Monfort20121678,
author={Monfort, A. and Pegoraro, F.},
title={Asset pricing with Second-Order Esscher Transforms},
journal={Journal of Banking and Finance},
year={2012},
volume={36},
number={6},
pages={1678-1687},
doi={10.1016/j.jbankfin.2012.01.014},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859636881&doi=10.1016%2fj.jbankfin.2012.01.014&partnerID=40&md5=cb2e55c1f285c01cacd4790ee6d50811},
}

  • Microinformation, nonlinear filtering, and granularity

    Journal of financial econometrics, vol. 10, iss. 1, pp. 1-53, 2012.
    By P. Gagliardini, C. Gouriéroux, and A. Monfort

    [DOI] [Bibtex] 

    @article{Gagliardini20121,
author={Gagliardini, P. and Gouriéroux, C. and Monfort, A.},
title={Microinformation, nonlinear filtering, and granularity},
journal={Journal of Financial Econometrics},
year={2012},
volume={10},
number={1},
pages={1-53},
doi={10.1093/jjfinec/nbr010},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84855407558&doi=10.1093%2fjjfinec%2fnbr010&partnerID=40&md5=f42ab724122e9f76025dd47b0c30e14d},
}

2011

  • Fourth order pseudo maximum likelihood methods

    Journal of econometrics, vol. 162, iss. 2, pp. 278-293, 2011.
    By A. Holly, A. Monfort, and M. Rockinger

    [DOI] [Bibtex] 

    @article{Holly2011278,
author={Holly, A. and Monfort, A. and Rockinger, M.},
title={Fourth order pseudo maximum likelihood methods},
journal={Journal of Econometrics},
year={2011},
volume={162},
number={2},
pages={278-293},
doi={10.1016/j.jeconom.2011.01.004},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79955072472&doi=10.1016%2fj.jeconom.2011.01.004&partnerID=40&md5=a0301cdef77c05af178b5854e8cce7bf},
}

  • Domain restrictions on interest rates implied by no arbitrage

    Mathematical finance, vol. 21, iss. 2, pp. 281-291, 2011.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2011281,
author={Gourieroux, C. and Monfort, A.},
title={Domain Restrictions On Interest Rates Implied 
    By No Arbitrage},
journal={Mathematical Finance},
year={2011},
volume={21},
number={2},
pages={281-291},
doi={10.1111/j.1467-9965.2010.00429.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79851479819&doi=10.1111%2fj.1467-9965.2010.00429.x&partnerID=40&md5=afb2ffc5120593c972007f35f3eef4c7},
}

  • Bilinear term structure model

    Mathematical finance, vol. 21, iss. 1, pp. 1-19, 2011.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20111,
author={Gourieroux, C. and Monfort, A.},
title={Bilinear term structure model},
journal={Mathematical Finance},
year={2011},
volume={21},
number={1},
pages={1-19},
doi={10.1111/j.1467-9965.2010.00424.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78650116712&doi=10.1111%2fj.1467-9965.2010.00424.x&partnerID=40&md5=ced5c242c2cd906f82f820d655a1ffef},
}

2010

  • International money and stock market contingent claims

    Journal of international money and finance, vol. 29, iss. 8, pp. 1727-1751, 2010.
    By C. Gourieroux, A. Monfort, and R. Sufana

    [DOI] [Bibtex] 

    @article{Gourieroux20101727,
author={Gourieroux, C. and Monfort, A. and Sufana, R.},
title={International money and stock market contingent claims},
journal={Journal of International Money and Finance},
year={2010},
volume={29},
number={8},
pages={1727-1751},
doi={10.1016/j.jimonfin.2010.06.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78149470599&doi=10.1016%2fj.jimonfin.2010.06.001&partnerID=40&md5=a46527c1997904d4f4bcd7b6a50e2168},
}

2008

  • Econometric asset pricing modelling

    Journal of financial econometrics, vol. 6, iss. 4, pp. 407-458, 2008.
    By H. Bertholon, A. Monfort, and F. Pegoraro

    [DOI] [Bibtex] 

    @article{Bertholon2008407,
author={Bertholon, H. and Monfort, A. and Pegoraro, F.},
title={Econometric asset pricing modelling},
journal={Journal of Financial Econometrics},
year={2008},
volume={6},
number={4},
pages={407-458},
doi={10.1093/jjfinec/nbn011},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-53849147903&doi=10.1093%2fjjfinec%2fnbn011&partnerID=40&md5=b1f916ddb71abeac3603d7a77d161d30},
}

  • Quadratic stochastic intensity and prospective mortality tables

    Insurance: mathematics and economics, vol. 43, iss. 1, pp. 174-184, 2008.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2008174,
author={Gourieroux, C. and Monfort, A.},
title={Quadratic stochastic intensity and prospective mortality tables},
journal={Insurance: Mathematics and Economics},
year={2008},
volume={43},
number={1},
pages={174-184},
doi={10.1016/j.insmatheco.2008.05.010},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-47249103759&doi=10.1016%2fj.insmatheco.2008.05.010&partnerID=40&md5=ec26f6e565bce13a6da5eb57a746cc0d},
}

2007

  • Switching varma term structure models

    Journal of financial econometrics, vol. 5, iss. 1, pp. 105-153, 2007.
    By A. Monfort and F. Pegoraro

    [DOI] [Bibtex] 

    @article{Monfort2007105,
author={Monfort, A. and Pegoraro, F.},
title={Switching VARMA term structure models},
journal={Journal of Financial Econometrics},
year={2007},
volume={5},
number={1},
pages={105-153},
doi={10.1093/jjfinec/nbl009},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846688166&doi=10.1093%2fjjfinec%2fnbl009&partnerID=40&md5=aa1f6668db1a0b9448ad7ad71107b07b},
}

2006

  • Affine models for credit risk analysis

    Journal of financial econometrics, vol. 4, iss. 3, pp. 494-530, 2006.
    By C. Gourieroux, A. Monfort, and V. Polimenis

    [DOI] [Bibtex] 

    @article{Gourieroux2006494,
author={Gourieroux, C. and Monfort, A. and Polimenis, V.},
title={Affine models for credit risk analysis},
journal={Journal of Financial Econometrics},
year={2006},
volume={4},
number={3},
pages={494-530},
doi={10.1093/jjfinec/nbj012},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33748105105&doi=10.1093%2fjjfinec%2fnbj012&partnerID=40&md5=1566039f4c452fa3259a7333d8524f98},
}

2005

  • The econometrics of efficient portfolios

    Journal of empirical finance, vol. 12, iss. 1, pp. 1-41, 2005.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20051,
author={Gourieroux, C. and Monfort, A.},
title={The econometrics of efficient portfolios},
journal={Journal of Empirical Finance},
year={2005},
volume={12},
number={1},
pages={1-41},
doi={10.1016/j.jempfin.2003.07.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12744272959&doi=10.1016%2fj.jempfin.2003.07.001&partnerID=40&md5=ebdc4e9792021ac40e6462cb7182e6bd},
}

2004

  • Infrequent extreme risks

    Geneva papers on risk and insurance theory, vol. 29, iss. 1, pp. 5-22, 2004.
    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20045,
author={Gourieroux, C. and Monfort, A.},
title={Infrequent extreme risks},
journal={GENEVA Papers on Risk and Insurance Theory},
year={2004},
volume={29},
number={1},
pages={5-22},
doi={10.1023/B:GEPA.0000032563.83435.50},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3142720428&doi=10.1023%2fB%3aGEPA.0000032563.83435.50&partnerID=40&md5=f39e5e76d3ee119402b4fecba5b3c1c7},
}

2000

  • Econometric specification of the risk neutral valuation model

    Journal of econometrics, vol. 94, iss. 1-2, pp. 117-143, 2000.
    By E. Clement, C. Gourieroux, and A. Monfort

    [DOI] [Bibtex] 

    @article{Clement2000117,
author={Clement, E. and Gourieroux, C. and Monfort, A.},
title={Econometric specification of the risk neutral valuation model},
journal={Journal of Econometrics},
year={2000},
volume={94},
number={1-2},
pages={117-143},
doi={10.1016/S0304-4076(99)00019-6},
art_number={2063},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0346932402&doi=10.1016%2fS0304-4076%2899%2900019-6&partnerID=40&md5=0d964d76b370755251e95c7bf8c52d6b},
}

1999

  • Bayesian estimation of switching arma models

    Journal of econometrics, vol. 93, iss. 2, pp. 229-255, 1999.
    By M. Billio, A. Monfort, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Billio1999229,
author={Billio, M. and Monfort, A. and Robert, C.P.},
title={Bayesian estimation of switching ARMA models},
journal={Journal of Econometrics},
year={1999},
volume={93},
number={2},
pages={229-255},
doi={10.1016/S0304-4076(99)00010-X},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0001958038&doi=10.1016%2fS0304-4076%2899%2900010-X&partnerID=40&md5=a165d6c95e81d778f58f986177ef2d58},
publisher={Elsevier BV},
}

1998

  • Switching state-space models likelihood function, filtering and smoothing

    Journal of statistical planning and inference, vol. 68, iss. 1, pp. 65-103, 1998.
    By M. Billio and A. Monfort

    [DOI] [Bibtex] 

    @article{Billio199865,
author={Billio, M. and Monfort, A.},
title={Switching state-space models likelihood function, filtering and smoothing},
journal={Journal of Statistical Planning and Inference},
year={1998},
volume={68},
number={1},
pages={65-103},
doi={10.1016/S0378-3758(97)00136-5},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032063451&doi=10.1016%2fS0378-3758%2897%2900136-5&partnerID=40&md5=ba3b9f849f6c70df14978d271286b96d},
publisher={Elsevier},
}