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person:"Monfort, Alain"
~person:"Gourinchas, Pierre-Olivier"
~subject:"ARMA model"
~subject:"Portfolio-Management"
~subject:"Ökonometrisches Modell"
~type_genre:"Aufsatz in Zeitschrift"
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Yield curve
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11
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7
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Monfort, Alain
Gourinchas, Pierre-Olivier
Jarrow, Robert A.
4
Bianchi, Robert
3
Tarelli, Andrea
3
Abid, Ilyes
2
Almeida, Caio
2
Azar, Samih Antoine
2
Barnard, Brian
2
Caldeira, João F.
2
Carcano, Nicola
2
Chang, Hao
2
Drew, Michael E.
2
El Karoui, Nicole
2
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2
Fabozzi, Frank J.
2
Fergusson, K.
2
Guidolin, Massimo
2
Hata, Hiroaki
2
Hillairet, Caroline
2
Ilomäki, Jukka
2
Koijen, Ralph S. J.
2
Li, Duan
2
Li, Haitao
2
Lin, Mucai
2
Lioui, Abraham
2
Mele, Antonio
2
Mkaouar, Farid
2
Moura, Guilherme Valle
2
Mrad, Mohamed
2
Niu, Linlin
2
Nowman, Kalid Ben
2
Obayashi, Yoshiki
2
Pegoraro, Fulvio
2
Prigent, Jean-Luc
2
Prisman, Eliezer Zeev
2
Renne, Jean-Paul
2
Santos, André A. P.
2
Shalen, Catherine T.
2
Soto, Gloria M.
2
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Management science : journal of the Institute for Operations Research and the Management Sciences
1
The American economic review
1
The journal of asset management
1
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ECONIS (ZBW)
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1
Affine modeling of credit risk, pricing of credit events, and contagion
Monfort, Alain
;
Pegoraro, Fulvio
;
Renne, Jean-Paul
; …
- In:
Management science : journal of the Institute for …
67
(
2021
)
6
,
pp. 3674-3693
Persistent link: https://www.econbiz.de/10012606968
Saved in:
2
Default, liquidity, and crises : an econometric framework
Monfort, Alain
;
Renne, Jean-Paul
- In:
Journal of financial econometrics : official journal of …
11
(
2013
)
2
,
pp. 221-262
Persistent link: https://www.econbiz.de/10009745893
Saved in:
3
An equilibrium model of "global imbalances" and low interest rates
Caballero, Ricardo J.
;
Farhi, Emmanuel
;
Gourinchas, …
- In:
The American economic review
98
(
2008
)
1
,
pp. 358-393
Persistent link: https://www.econbiz.de/10003740673
Saved in:
4
Optimal portfolio allocation under asset and surplus VaR constraints
Monfort, Alain
- In:
The journal of asset management
9
(
2008/09
)
3
,
pp. 178-192
Persistent link: https://www.econbiz.de/10003764508
Saved in:
5
Switiching VARMA term structure models
Monfort, Alain
;
Pegoraro, Fulvio
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
1
,
pp. 105-153
Persistent link: https://www.econbiz.de/10003518289
Saved in:
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