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Alain Monfort

Global rank #1298 98%

Institution: Centre de Recherche en Économie et Statistique (CREST)

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://crest.science/user/Alain-MONFORT/

First Publication: 1978

Most Recent: 2022

RePEc ID: pmo298 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 1.17 0.00 1.17
Last 10 Years 1.34 1.84 1.68 0.00 10.72
All Time 2.35 16.59 10.39 0.00 53.79

Publication Statistics

Raw Publications 37
Coauthorship-Adjusted Count 31.13

Publications (37)

Year Article Journal Tier Authors
2022 Required Capital for Long-Run Risks Journal of Economic Dynamics and Control B 3
2021 Rethinking macroeconomics: what failed, and how to repair it Review of Finance B 4
2020 Stationary bubble equilibria in rational expectation models Journal of Econometrics A 3
2020 Identification and Estimation in Non-Fundamental Structural VARMA Models Review of Economic Studies S 3
2019 Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations Econometrica S 3
2017 Statistical inference for independent component analysis: Application to structural VAR models Journal of Econometrics A 3
2017 Staying at zero with affine processes: An application to term structure modelling Journal of Econometrics A 4
2016 Credit and liquidity in interbank rates: A quadratic approach Journal of Banking & Finance B 4
2015 Pricing with finite dimensional dependence Journal of Econometrics A 2
2015 A Quadratic Kalman Filter Journal of Econometrics A 3
2014 Pricing default events: Surprise, exogeneity and contagion Journal of Econometrics A 3
2014 Decomposing Euro-Area Sovereign Spreads: Credit and Liquidity Risks Review of Finance B 2
2013 Liquidation equilibrium with seniority and hidden CDO Journal of Banking & Finance B 3
2013 No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth Journal of Banking & Finance B 3
2012 Asset pricing with Second-Order Esscher Transforms Journal of Banking & Finance B 2
2012 Bilateral exposures and systemic solvency risk Canadian Journal of Economics C 3
2011 Fourth order pseudo maximum likelihood methods Journal of Econometrics A 3
2010 International money and stock market contingent claims Journal of International Money and Finance B 3
2007 Econometric specification of stochastic discount factor models Journal of Econometrics A 2
2000 Econometric specification of the risk neutral valuation model Journal of Econometrics A 3
1999 Bayesian estimation of switching ARMA models Journal of Econometrics A 3
1996 A Reappraisal of Misspecified Econometric Models Econometric Theory B 1
1995 Testing, Encompassing, and Simulating Dynamic Econometric Models Econometric Theory B 2
1993 Simulation-based inference : A survey with special reference to panel data models Journal of Econometrics A 2
1992 Qualitative threshold ARCH models Journal of Econometrics A 2
1989 A General Framework for Testing a Null Hypothesis in a “Mixed” Form Econometric Theory B 2
1987 Generalised residuals Journal of Econometrics A 4
1987 Simulated residuals Journal of Econometrics A 4
1986 Some useful equivalence properties of Hausman's test Economics Letters C 2
1985 A General Approach to Serial Correlation Econometric Theory B 3
1983 Testing nested or non-nested hypotheses Journal of Econometrics A 3
1981 Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters Journal of Econometrics A 3
1981 Asymptotic properties of the maximum likelihood estimator in dichotomous logit models Journal of Econometrics A 2
1981 On the Problem of Missing Data in Linear Models Review of Economic Studies S 2
1979 On the characterization of a joint probability distribution by conditional distributions Journal of Econometrics A 2
1979 Disequilibrium econometrics in dynamic models Journal of Econometrics A 2
1978 First-order identification in linear models Journal of Econometrics A 1