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Economics and Finance

D-Index
43
Citations
12459
World Ranking
1927
National Ranking
39

Overview

Alain Monfort is affiliated with the École Nationale de la Statistique et de l'Administration Économique in France, specializing in the fields of Economics, Econometrics, and Finance. Their research outputs primarily focus on finance-related topics, contributing to an understanding of credit risk, financial regulations, and related economic processes.

Their recent academic contributions include papers such as "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion" published in 2020 in Management Science. This work is among several that address financial risk modeling and pricing mechanisms in credit markets.

Frequent co-authors associated with Alain Monfort include:

  • Christian Gouriéroux
  • Jean-Paul Renne
  • Sarah Mouabbi
  • Lu Yang
  • Fulvio Pegoraro

Monfort's work has been published in various venues, reflecting a broad engagement with different research communities. Notable publication venues include:

  • SSRN Electronic Journal
  • Management Science
  • Journal of Econometrics
  • European Finance Review
  • Journal of Economic Dynamics and Control

Their scholarly interests span multiple subfields, with a concentration on:

  • Finance
  • Economics and Econometrics
  • General Economics, Econometrics and Finance
  • Management Science and Operations Research
  • Statistics and Probability

Main research topics addressed by Monfort include:

  • Credit Risk and Financial Regulations
  • Banking Stability, Regulation, Efficiency
  • Stochastic Processes and Financial Applications
  • Monetary Policy and Economic Impact
  • Climate Change Policy and Economics
  • Risk and Portfolio Optimization
  • Financial Risk and Volatility Modeling

Examples of Monfort's recent papers are:

  • "Affine Modeling of Credit Risk, Pricing of Credit Events, and Contagion" (2020), Management Science
  • "Stationary bubble equilibria in rational expectation models" (2020), Journal of Econometrics
  • "Disastrous Defaults" (2020), European Finance Review
  • "Required Capital for Long-Run Risks" (2022), Journal of Economic Dynamics and Control
  • "Ultra Long Run Term Structure Models" (2022), SSRN Electronic Journal

Best Publications

  • PSEUDO MAXIMUM LIKELIHOOD METHODS: THEORY

    Christian Gourieroux;Alain Monfort;Alain Trognon

  • Simulation-based econometric methods

    Christian Gourieroux;Alain Monfort

  • Pseudo Maximum Likelihood Methods: Applications to Poisson Models

    Christian Gourieroux;Alain Monfort;Alain Trognon

  • Statistics and Econometric Models

    Christian Gourieroux;Alain Monfort

  • Likelihood ration test, Wald test and Kuhn-Tucker test in linear-models with inequality constraints on the regression parameters Likelihood Ratio Test, Wald Test and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters

    Christian Gourieroux;Alberto Holly;Alain Monfort

  • Statistics and econometric models

    Christian Gourieroux;Alain Monfort;Quang Vuong

  • Time series and dynamic models

    Christian Gourieroux;Alain Monfort;Giampiero Gallo

  • Simulation-based inference: a survey with special reference to panel data models

    Christian Gourieroux;Alain Monfort

  • Qualitative threshold ARCH models

    Christian Gourieroux;Alain Monfort

  • Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes

    C. Gourieroux;Jean-Jacques Laffont;A. Monfort

  • Time Series and Dynamic Models

    Christian Gourieroux;Alain Monfort

  • Rational Expectations in Dynamic Linear Models: Analysis of the Solutions

    Christian Gouriéroux;Jean-Jacques Laffont;Alain Monfort

  • Testing non-nested hypotheses

    Christian Gourieroux;Alain Monfort

  • Statistical inference for independent component analysis: Application to structural VAR models

    Christian Gouriéroux;Alain Monfort;Jean-Paul Renne

  • DISEQUILIBRIUM ECONOMETRICS IN SIMULTANEOUS EQUATIONS SYSTEMS

    Christian Gouriéroux;Jean-Jacques Laffont;Alain Monfort

  • Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects

    Alain Monfort;Jean-Paul Renne;Rasmus Rüffer;Giovanni Vitale

  • Is Economic Activity in the G7 Synchronized? Common Shocks versus Spillover Effects

    Alain Monfort;Alain Monfort;Alain Monfort;Jean-Paul Renne;Rasmus Rueffer;Giovanni Vitale

  • On the Problem of Missing Data in Linear Models

    Christian Gourieroux;Alain Monfort

  • Testing nested or non-nested hypotheses

    Christian Gourieroux;Alain Monfort;Alain Trognon

  • Statistics and Econometric Models: Frontmatter

    Christian Gourieroux;Alain Monfort;Quang Vuong

  • Simulation Based Inference in Models with Heterogeneity

    Christian Gourieroux;Alain Monfort

Frequent Co-Authors

Christian Gourieroux
Christian Gourieroux Toulouse School of Economics
Monica Billio
Monica Billio Ca Foscari University of Venice
Jean-Jacques Laffont
Jean-Jacques Laffont University of Southern California
Eric Renault
Eric Renault University of Warwick
Michael Rockinger
Michael Rockinger University of Lausanne
Jean-Michel Zakoian
Jean-Michel Zakoian École Nationale de la Statistique et de l'Administration Économique
Herman K. van Dijk
Herman K. van Dijk Erasmus University Rotterdam
Jacques Mairesse
Jacques Mairesse Maastricht University
Lucio Sarno
Lucio Sarno University of Cambridge

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