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, 6200MD

Netherlands

SCHOLARLY PAPERS

32

DOWNLOADS
Rank 18,584

SSRN RANKINGS

Top 18,584

in Total Papers Downloads

3,499

SSRN CITATIONS
Rank 2,157

SSRN RANKINGS

Top 2,157

in Total Papers Citations

63

CROSSREF CITATIONS

541

Scholarly Papers (32)

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 449 (81,896)
Citation 9

Abstract:

Loading...

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 (574,406)
Citation 14

Abstract:

Loading...

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

2.
Downloads 358 (107,229)
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 302 (128,435)
Citation 1

Abstract:

Loading...

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 56 (468,831)
Citation 16

Abstract:

Loading...

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

3.
Downloads 345 (111,762)
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 295 (131,684)
Citation 2

Abstract:

Loading...

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 50 (493,805)
Citation 3

Abstract:

Loading...

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 176 (216,902)
Citation 10

Abstract:

Loading...

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 61 (449,441)
Citation 37

Abstract:

Loading...

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 185 (207,606)
Citation 10

Abstract:

Loading...

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 46 (512,009)
Citation 36

Abstract:

Loading...

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 154 (243,162)
Citation 3

Abstract:

Loading...

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 19 (679,082)
Citation 20

Abstract:

Loading...

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 12 (736,692)
Citation 20

Abstract:

Loading...

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.

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 159 (237,620)
Citation 17

Abstract:

Loading...

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

8.
Downloads 152 (245,321)

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), Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 130 (278,482)

Abstract:

Loading...

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), Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 22 (655,641)

Abstract:

Loading...

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

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 (310,749)
Citation 2

Abstract:

Loading...

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 29 (605,117)
Citation 26

Abstract:

Loading...

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

10.

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 139 (263,576)
Citation 4

Abstract:

Loading...

Quartic Exponential Family, Pseudo Maximum Likelihood, Skewness, Kurtosis

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 133 (272,845)
Citation 10

Abstract:

Loading...

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

12.
Downloads 130 (277,414)
Citation 19

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 84 (375,743)
Citation 2

Abstract:

Loading...

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 (512,009)
Citation 19

Abstract:

Loading...

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 126 (284,099)
Citation 2

Abstract:

Loading...

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 121 (292,593)
Citation 29

Abstract:

Loading...

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 111 (311,019)
Citation 32

Abstract:

Loading...

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 88 (361,809)
Citation 20

Abstract:

Loading...

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 79 (385,986)

Abstract:

Loading...

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 66 (426,001)
Citation 14

Abstract:

Loading...

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 63 (436,251)
Citation 13

Abstract:

Loading...

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

20.
Downloads 57 (457,970)
Citation 22

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 32 (586,209)
Citation 18

Abstract:

Loading...

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 (632,977)
Citation 5

Abstract:

Loading...

impulse response functions, innovation, new information

21.

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 (560,971)
  • Add to Cart

Abstract:

Loading...

Dynamic Factor, Kalman Filter, business cycles synchronization

22.

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 31 (577,511)

Abstract:

Loading...

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

23.

Number of pages: 49 Posted: 15 Feb 2001 Last Revised: 15 Jun 2020
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 27 (601,671)
Citation 2

Abstract:

Loading...

24.

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 2 (789,795)
  • Add to Cart

Abstract:

Loading...

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

25.

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 1 (801,364)
  • Add to Cart

Abstract:

Loading...

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

26.

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 (818,713)
  • Add to Cart

Abstract:

Loading...

default, vulnerable option, counterparty credit risk, counterparty valuation adjustment, value of firm

27.

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 (818,713)
Citation 2
  • Add to Cart

Abstract:

Loading...

28.

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

Abstract:

Loading...

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

29.

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

Abstract:

Loading...

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

30.

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)

Abstract:

Loading...

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

31.

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)

Abstract:

Loading...

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

Abstract:

Loading...

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

Abstract:

Loading...

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