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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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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@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}, }