Zobrazeno 1 - 10
of 176
pro vyhledávání: '"Alain Monfort"'
Publikováno v:
Management Science. 67:3674-3693
We propose a discrete-time affine pricing model that simultaneously allows for (i) the presence of systemic entities by departing from the no-jump condition on the factors’ conditional distribution, (ii) contagion effects, and (iii) the pricing of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::24d8f09dbbbd9e34ab58bddc0214a6bb
https://doi.org/10.1287/mnsc.2020.3658
https://doi.org/10.1287/mnsc.2020.3658
Publikováno v:
Review of Finance. 25:1727-1772
We define a disastrous default as the default of a systemic entity. Such an event is expected to have a negative effect on the economy and to be contagious. Bringing macroeconomic structure to a no-arbitrage asset-pricing framework, we exploit prices
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1d333602ebef27d4c3243c0a4678fb9a
https://doi.org/10.1093/rof/rfaa042
https://doi.org/10.1093/rof/rfaa042
Autor:
Alain Monfort, Christian Gourieroux
Publikováno v:
Econometrics and Statistics. 17:1-22
The standard estimation approaches and their implementation generally assume well-specified models. What is feasible and unfeasible when the models are misspecified is discussed. An adjustment method is introduced for forecasts based on misspecified
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4d48e4aac262341b0d7d098a503a0ee1
https://doi.org/10.1016/j.ecosta.2020.08.001
https://doi.org/10.1016/j.ecosta.2020.08.001
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5cfde231529f54287873f9fa4f9aa57d
https://doi.org/10.2139/ssrn.4160206
https://doi.org/10.2139/ssrn.4160206
Autor:
Alain Monfort, Jean Michel Beacco, Catherine Lubochinsky, Caroline Hillairet, Marie Brière, Sylvain Benoit
Publikováno v:
Journal of Asset Management. 20:413-420
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a87f72ed0b33d9bc839f5c06b186a414
https://doi.org/10.1057/s41260-019-00124-6
https://doi.org/10.1057/s41260-019-00124-6
Publikováno v:
Econometrica. 87:327-345
In a transformation model $\by_t = c [\ba(\bx_t,\bbeta), \bu_t]$, where the errors $\bu_t$ are i.i.d and independent of the explanatory variables $\bx_t$, the parameters can be estimated by a pseudo-maximum likelihood (PML) method, that is, by using
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3e36ebed2fbf4efec3b4644d7b8fa15f
https://doi.org/10.3982/ecta14727
https://doi.org/10.3982/ecta14727
Publikováno v:
SSRN Electronic Journal.
One of the objectives of the recent prudential regulation is to separate the computation of required capital for short- and long-run risks. This paper provides a coherent framework to define, compute, and update these components. We provide different
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2ebba165cfa8d56e51cb62effdfc817f
https://doi.org/10.2139/ssrn.3907847
https://doi.org/10.2139/ssrn.3907847
Publikováno v:
Journal of Econometrics
Journal of Econometrics, Elsevier, 2020, 218 (2), pp.714-735. ⟨10.1016/j.jeconom.2020.04.035⟩
Journal of Econometrics, Elsevier, 2020, 218 (2), pp.714-735. ⟨10.1016/j.jeconom.2020.04.035⟩
National audience; A linear rational expectation model with current expectations admits a unique linear stationary dynamic equilibrium only under specific restrictions on the parameter values. This paper shows that, in general, there is a multiplicit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5958c6a91c7f659e2ca8a57a2ae9ff2f
https://hal.archives-ouvertes.fr/hal-03330912
https://hal.archives-ouvertes.fr/hal-03330912
Publikováno v:
Review of Economic Studies
Review of Economic Studies, Oxford University Press (OUP), 2020, 87 (4), pp.1915-1953. ⟨10.1093/restud/rdz028⟩
The Review of Economic Studies, vol. 87, no. 4, pp. 1915-1953
Review of Economic Studies, Oxford University Press (OUP), 2020, 87 (4), pp.1915-1953. ⟨10.1093/restud/rdz028⟩
The Review of Economic Studies, vol. 87, no. 4, pp. 1915-1953
The basic assumption of a structural vector autoregressive moving average (SVARMA) model is that it is driven by a white noise whose components are uncorrelated or independent and can be interpreted as economic shocks, called “structural” shocks.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::78a843634975cd00e732bee17fa69f9b
https://hal.archives-ouvertes.fr/hal-03330924
https://hal.archives-ouvertes.fr/hal-03330924
Autor:
Alain Monfort, Christian Gourieroux
Publikováno v:
Econometrics and Statistics. 7:30-45
It is frequent to deal with parametric models that are difficult to analyze, due to the large number of data and/or parameters, complicated nonlinearities, or unobservable variables. The aim is to explain how to analyze such models by means of a set
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::05ad8d830468743f21af9a05979324a3
https://doi.org/10.1016/j.ecosta.2017.09.003
https://doi.org/10.1016/j.ecosta.2017.09.003