Alain Monfort

National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

15 Boulevard Gabriel Peri

Malakoff Cedex, 1 92245

France

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Maastricht University

P.O. Box 616

Maastricht, Limburg 6200MD

Netherlands

SCHOLARLY PAPERS

33

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Scholarly Papers (33)

Staying at Zero with Affine Processes: An Application to Term-Structure Modelling

Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper
Number of pages: 44 Posted: 15 Mar 2014 Last Revised: 24 Aug 2016
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 453 (89,262)
Citation 9

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Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off Probabilities

Staying at Zero with Affine Processes: An Application to Term Structure Modelling

Banque de France Working Paper No. 558
Number of pages: 45 Posted: 13 Jun 2015
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 34 (619,287)
Citation 14

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Zero Lower Bound, Affine Process, Term-Structure Model, Lift-Off probabilities

2.
Downloads 365 (115,402)
Citation 16

A Quadratic Kalman Filter

Number of pages: 39 Posted: 21 Dec 2013 Last Revised: 25 Nov 2014
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 307 (138,372)
Citation 1

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Non-linear filtering, non-linear smoothing, quadratic model, Kalman filter, Pseudo-maximum likelihood

A Quadratic Kalman Filter

Banque de France Working Paper No. 486
Number of pages: 52 Posted: 13 Jun 2014
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 58 (498,087)
Citation 16

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non-linear filtering, non-linear smoothing, quadratic model, Kalman filter, pseudo-maximum likelihood

3.
Downloads 352 (120,189)
Citation 4

Econometric Asset Pricing Modelling

Number of pages: 50 Posted: 03 Mar 2008 Last Revised: 02 Jan 2011
Henri Bertholon, Alain Monfort and Fulvio Pegoraro
Conservatoire National des Arts et Métiers (CNAM), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 298 (142,648)
Citation 2

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Direct Modelling, Risk-Neutral Constrained Direct Modelling, Back Modelling, Internal Consistency Conditions (ICCs), identification problem, Car and Extended Car processes, Laplace Transform.

Econometric Asset Pricing Modelling

Banque de France Working Paper No. 223
Number of pages: 57 Posted: 17 Sep 2010
Henri Bertholon, Alain Monfort and Fulvio Pegoraro
Conservatoire National des Arts et Métiers (CNAM), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 54 (514,972)
Citation 3

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Direct Modelling, Risk-Neutral Constrained Direct Modelling, Back Modelling, Internal Consistency Conditions (ICCs), identification problem, Car and Extended Car processes, Laplace Transform

Pricing and Inference with Mixtures of Conditionally Normal Processes

Number of pages: 49 Posted: 03 Jul 2007 Last Revised: 16 Jun 2009
Henri Bertholon, Alain Monfort and Fulvio Pegoraro
Conservatoire National des Arts et Métiers (CNAM), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 181 (230,714)
Citation 10

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Derivative Pricing, Stochastic Discount Factor, Implied Volatility, Mixture of Normal Distributions, Mixture of Conditionally Normal Processes, Nonparametric Kernel Estimation, Mixed-Normal GARCH Processes, Switching Regime Models

Pricing and Inference with Mixtures of Conditionally Normal Processes

Banque de France Working Paper No. 188
Number of pages: 59 Posted: 09 Oct 2010
Henri Bertholon, Alain Monfort and Fulvio Pegoraro
Conservatoire National des Arts et Métiers (CNAM), National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 66 (466,544)
Citation 37

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Derivative Pricing, Stochastic Discount Factor, Implied Volatility, Mixture of Normal Distributions, Mixture of Conditionally Normal Processes, Nonparametric Kernel Estimation, Mixed-Normal GARCH Processes, Switching Regime Models

No-Arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth

EFA 2009 Bergen Meetings Paper
Number of pages: 35 Posted: 10 Feb 2009 Last Revised: 20 Jan 2011
Caroline Jardet, Alain Monfort and Fulvio Pegoraro
Banque de France, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 186 (225,231)
Citation 10

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Averaging Estimators, Persistence Problem, Near-Cointegration Analysis, No-Arbitrage Affine Term Structure Model, Term Premia, GDP Growth, New Information Response Functions

No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth

Number of pages: 38 Posted: 16 Sep 2010 Last Revised: 09 Jun 2011
Caroline Jardet, Alain Monfort and Fulvio Pegoraro
Banque de France, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 47 (547,560)
Citation 36

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Averaging Estimators, Persistence Problem, Near-Cointegration Analysis, No-Arbitrage Affine Term Structure Model, Term Premia, GDP Growth, New Information Response Functions

Multi-Lag Term Structure Models with Stochastic Risk Premia

Number of pages: 44 Posted: 03 Jul 2007
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 155 (263,396)
Citation 3

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Discrete-time Affine Term Structure Models, Stochastic Discount Factor, Gaussian VAR(p) processes, Stochastic risk premia, Moving Average or discrete-time HJM representations, Exact Fitting of the currently-observed yield curve.

Multi-Lag Term Structure Models with Stochastic Risk Premia

Banque de France Working Paper No. 189
Number of pages: 51 Posted: 09 Oct 2010
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 21 (715,176)
Citation 20

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Discrete-time Affine Term Structure Models, Stochastic Discount Factor, Gaussian VAR(p) processes, Stochastic risk premia, Moving Average or discrete-time HJM representations, Exact Fitting of the currently-observed yield curve

Multi-Lag Term Structure Models with Stochastic Risk Premia

Banque de France Working Paper No. 189
Number of pages: 51 Posted: 06 Oct 2010
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 15 (768,579)
Citation 20

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Discrete-time Affine Term Structure Models, Stochastic Discount Factor, Gaussian VAR(p) processes, Stochastic risk premia, Moving Average or discrete-time HJM representations, Exact Fitting of the currently-observed yield curve

7.
Downloads 184 (227,363)

Disastrous Defaults

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 01 Jun 2018 Last Revised: 24 Oct 2020
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 157 (260,652)

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Disaster Risk, Systemic Entities, Default Dependencies, Credit Derivatives, Equilibrium Model

Disastrous Defaults

Banque de France Working Paper No. 778
Number of pages: 65 Posted: 15 Sep 2020
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 27 (667,009)

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Disaster Risk, Systemic Entities, Default Dependencies, Credit Derivatives, Equilibrium Model.

8.

Credit and Liquidity in Interbank Rates: A Quadratic Approach

Number of pages: 57 Posted: 28 Sep 2013 Last Revised: 19 Mar 2016
affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and McGill University - Desautels Faculty of Management
Downloads 161 (254,700)
Citation 17

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Quadratic term-structure model, liquidity risk, credit risk, interbank market, unconventional monetary policy

9.

Fourth Order Pseudo Maximum Likelihood Methods

Swiss Finance Institute Research Paper No. 09-23
Number of pages: 47 Posted: 11 Jul 2009
Alberto Holly, Alain Monfort and Michael Rockinger
University of Lausanne, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 144 (278,668)
Citation 4

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Quartic Exponential Family, Pseudo Maximum Likelihood, Skewness, Kurtosis

Switching Varma Term Structure Models - Extended Version

Number of pages: 47 Posted: 03 Jul 2007
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 112 (337,535)
Citation 2

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Affine Term Structure Models, Stochastic Discount Factor, Car processes, Switching Regimes, VARMA processes, Lags, Positivity, Derivative Pricing.

Switching Varma Term Structure Models - Extended Version

Banque de France Working Paper No. 191
Number of pages: 54 Posted: 24 Sep 2010
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 32 (632,058)
Citation 26

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Affine Term Structure Models, Stochastic Discount Factor, Car processes, Switching Regimes, VARMA processes, Lags, Positivity, Derivative Pricing

11.

Bilateral Exposures and Systemic Solvency Risk

Banque de France Working Paper No. 414
Number of pages: 52 Posted: 22 Dec 2012
University of Toronto - Department of Economics, Banque de France and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 136 (291,383)
Citation 10

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contagion, systemic risk, solvency, clearing, liquidation equilibrium, impulse response, Value-of-the Firm Model

12.
Downloads 132 (297,984)
Citation 18

Asset Pricing with Second-Order Esscher Transforms

Number of pages: 32 Posted: 25 Mar 2010 Last Revised: 12 Jul 2010
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 86 (401,569)

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Second-Order Esscher Transform, Exponential-Quadratic Stochastic Discount Factor, No-Arbitrage Asset Pricing Models, Security Market Economies.

Asset Pricing with Second-Order Esscher Transforms

Banque de France Working Paper No. 397
Number of pages: 36 Posted: 12 Sep 2012
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 46 (552,577)
Citation 19

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second-order Esscher transform, exponential-quadratic stochastic discount factor, non-linear stochastic risk-correction coefficients, variance-covariance spread, second-order GARCH option pricing model

13.

Microinformation, Nonlinear Filtering and Granularity

Swiss Finance Institute Research Paper No. 10-23
Number of pages: 59 Posted: 13 Jun 2010 Last Revised: 23 Jun 2010
University of Lugano, University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 128 (305,062)
Citation 2

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Kalman Filter, Nonlinear State Space, Granularity, Repeated Observations, Value-at-Risk, Credit Risk, Loss Given Default, Basel 2

14.

Credit and Liquidity Risks in Euro Area Sovereign Yield Curves

Banque de France Working Paper No. 352
Number of pages: 46 Posted: 29 Nov 2011
Alain Monfort and Jean-Paul Renne
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 124 (312,236)
Citation 29

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default risk, liquidity risk, term structure of interest rates, regime-switching, euro-area spreads

15.

Optimal Portfolio Allocation Under Asset and Surplus VAR Constraints

Banque de France Working Paper No. 251
Number of pages: 42 Posted: 27 Jun 2010
Alain Monfort
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 113 (333,486)
Citation 32

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Asset Liability Management, interest rates, Asset VaR constraint, Surplus VaR constraint, Optimal Portfolio

16.

Default, Liquidity and Crises: An Econometric Framework

Banque de France Working Paper No. 340
Number of pages: 44 Posted: 19 Aug 2011 Last Revised: 11 Dec 2011
Alain Monfort and Jean-Paul Renne
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 89 (389,454)
Citation 20

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credit risk, liquidity risk, term structure, affine model, regime switching, car process

17.

A Sequential Modelling of the VaR

Number of pages: 37 Posted: 27 Jun 2010
Alain Monfort
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 80 (414,911)

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VaR, factor models, correlation, volatility clustering, Kalman filter

18.

Pricing Default Events: Surprise, Exogeneity and Contagion

Banque de France Working Paper No. 455
Number of pages: 51 Posted: 22 Oct 2013
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 69 (450,057)
Citation 14

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Credit Derivative, Default Event, Default Intensity, Frailty, Contagion, Credit Spread Puzzle

19.

Regime Switching and Bond Pricing

Banque de France Working Paper No. 456
Number of pages: 49 Posted: 22 Oct 2013
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 67 (457,007)
Citation 13

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term structure, regime switching, affine models, car process, multi-horizon Laplace transform, contagion, default risk, monetary policy

20.
Downloads 58 (490,540)
Citation 18

New Information Response Functions

Banque de France Working Paper No. 235
Number of pages: 18 Posted: 16 Sep 2010
Caroline Jardet, Alain Monfort and Fulvio Pegoraro
Banque de France, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 33 (625,726)
Citation 18

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impulse response functions, innovation, new information

New Information Response Functions

Number of pages: 13 Posted: 17 Jun 2009
Caroline Jardet, Alain Monfort and Fulvio Pegoraro
Banque de France, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center
Downloads 25 (682,407)
Citation 18

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impulse response functions, innovation, new information

21.

Required Capital for Long-run Risks

Number of pages: 40 Posted: 21 Aug 2021
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 46 (542,146)

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Long-Run Risk, Required Capital, Risk Profile, Prudential Supervision, Pension Fund, Transition Risks, Low Carbon, ESG Risk.

22.

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

Number of pages: 45 Posted: 08 Jan 2004
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), European Central Bank (ECB) and European Central Bank (ECB)
Downloads 34 (604,683)
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Dynamic Factor, Kalman Filter, business cycles synchronization

23.

Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes

NBER Working Paper No. w0343
Number of pages: 49 Posted: 15 Feb 2001 Last Revised: 11 Jun 2022
University of Toronto - Department of Economics, University of Southern California - Department of Economics (Deceased) and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 28 (642,027)
Citation 2

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24.

Ultra Long Run Term Structure Models

Number of pages: 75 Posted: 21 Jul 2022
Christian Gourieroux, Yang Lu and Alain Monfort
University of Toronto - Department of Economics, Dept. Maths & Statis, Concordia University and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 26 (655,770)

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Term Structure, Ultra Long Run Risk, Ultimate Rates, Absence of Arbitrage Opportunity, Fair Value, Context Effects, Term Sub- stituability, Prudential Supervision, Accounting

25.

Bilinear Term Structure Model

Mathematical Finance, Vol. 21, Issue 1, pp. 1-19, 2010
Number of pages: 19 Posted: 01 Jan 2011
Christian Gourieroux and Alain Monfort
University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 3 (861,806)

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affine term structure, quadratic term structure, monetary policy, credit risk, Wishart process, bilinear process

26.

Domain Restrictions on Interest Rates Implied by No Arbitrage

Mathematical Finance, Vol. 21, Issue 2, pp. 281-291, 2011
Number of pages: 11 Posted: 14 Feb 2011
Christian Gourieroux and Alain Monfort
University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 2 (874,666)

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arbitrage free, interest rates, affine term structure, BrennanSchwartz model, regulation

27.

The Double Default Value-of-the-Firm Model

Journal of Credit Risk, Vol. 12, No. 2, 2016
Number of pages: 30 Posted: 14 Jun 2016
Christian Gourieroux and Alain Monfort
University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 0 (905,910)
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default, vulnerable option, counterparty credit risk, counterparty valuation adjustment, value of firm

28.

Bilateral Exposures and Systemic Solvency Risk (Expositions Bilatérales Et Risque Systémique Pour La Solvabilité)

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 45, Issue 4, pp. 1273-1309, 2012
Number of pages: 37 Posted: 10 Sep 2015
University of Toronto - Department of Economics, Banque de France and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 0 (905,910)
Citation 2

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29.

Econometric Asset Pricing Modelling

Journal of Financial Econometrics, Vol. 6, Issue 4, pp. 407-458, 2008
Posted: 16 Oct 2008
H. Bertholon, Alain Monfort and F. Pegoraro
affiliation not provided to SSRN, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and affiliation not provided to SSRN

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C1, C5, G12, back modelling, Car and extended Car processes, direct modelling, identification problem, internal consistency conditions, Laplace transform, risk-neutral constrained direct modelling

30.

Affine Models for Credit Risk Analysis

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 494-530, 2006
Posted: 29 Feb 2008
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Aristotle University of Thessaloniki

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affine model, affine process, CaR process, credit risk, loss-given-default, stochastic discount factor, term structure, through-the-cycle, WAR process

31.

Kernel-Based Indirect Inference

Journal of Financial Econometrics, Vol. 1, pp. 297-326, 2003
Posted: 29 Feb 2008
Alain Monfort
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

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binding functions, dynamic latent variable models, factor GARCH models, indirect inference, nonparametric kernel estimation

32.

Kernel-Based Indirect Inference

Journal of Financial Econometrics, Vol. 1, No. 3, pp. 297-326, 2003
Posted: 29 Feb 2008
Monica Billio, Monica Billio and Alain Monfort
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)

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binding functions, dynamic latent variable models, factor GARCH models, indirect inference, nonparametric kernel estimation

Switching Varma Term Structure Models

Journal of Financial Econometrics, Vol. 5, No. 1, pp. 105-153, 2007
Posted: 03 Jul 2007
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center

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Affine Term Structure Models, Stochastic Discount Factor, Car(p) processes, Switching Regimes, VARMA processes, Lags, Expectation Hypothesis Puzzle.

Switching Varma Term Structure Models

Journal of Financial Econometrics, Vol. 5, Issue 1, pp. 105-153, 2007
Posted: 16 Jun 2008
Alain Monfort and Fulvio Pegoraro
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Banque de France - Economics and Finance Research Center

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affine term structure models, Car(p) processes, expectation hypothesis puzzle, lags, stochastic discount factor, switching regimes, VARMA processes