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BILINEAR TERM STRUCTURE MODEL
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No-arbitrage near-cointegrated VAR(p) term structure models, term premia and GDP growth
Jardet, Caroline
;
Monfort, Alain
;
Pegoraro, Fulvio
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2009
Persistent link: https://www.econbiz.de/10003882004
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2
New information response functions
Jardet, Caroline
;
Monfort, Alain
;
Pegoraro, Fulvio
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2009
Persistent link: https://www.econbiz.de/10003882012
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3
Une modélisation séquentielle de la VaR
Monfort, Alain
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2009
Persistent link: https://www.econbiz.de/10003882287
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4
Optimal portfolio allocation under asset and surplus VaR constraints
Monfort, Alain
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2009
Persistent link: https://www.econbiz.de/10003882289
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5
Credit and liquidity risks in euro-area sovereign yield curves
Monfort, Alain
;
Renne, Jean-Paul
-
2011
Persistent link: https://www.econbiz.de/10009381803
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6
Default, liquidity and crises : an econometric framework
Monfort, Alain
;
Renne, Jean-Paul
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2011
Persistent link: https://www.econbiz.de/10009381919
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7
Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain
;
Pegoraro, Fulvio
;
Renne, Jean-Paul
; …
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2015
Persistent link: https://www.econbiz.de/10011305204
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8
Asset pricing with Second-Order Esscher Transforms
Monfort, Alain
;
Pegoraro, Fulvio
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2012
Persistent link: https://www.econbiz.de/10009663960
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9
Bilateral exposures and systemic solvency risk
Gouriéroux, Christian
;
Heam, Jean-Cyprien
;
Monfort, Alain
-
2012
Persistent link: https://www.econbiz.de/10009714009
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10
Regime switching and bond pricing
Gouriéroux, Christian
;
Monfort, Alain
;
Pegoraro, Fulvio
; …
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2013
Persistent link: https://www.econbiz.de/10010200003
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