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Bayesian estimation of switching ARMA models
Billio, Monica; Monfort, Alain; Robert, Christian P. - 1996
Persistent link: https://www.econbiz.de/10000952928
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The simulated likelihood ratio (SLR) method
Billio, Monica; Monfort, Alain; Robert, Christian P. - 1998
Persistent link: https://www.econbiz.de/10000986955
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Switching state space models : likelihood function, filtering and smoothing
Billio, Monica; Monfort, Alain - 1995
Persistent link: https://www.econbiz.de/10000924125
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Bayesian estimation of switching ARMA models
Billio, Monica; Monfort, Alain; Robert, Christian P. - In: Journal of econometrics 93 (1999) 2, pp. 229-255
Persistent link: https://www.econbiz.de/10001406655
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Functional indirect inference
Billio, Monica; Monfort, Alain - 1999
Persistent link: https://www.econbiz.de/10001355607
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A Quadratic Kalman Filter
Monfort, Alain; Renne, Jean-Paul; Roussellet, Guillaume - In: Journal of econometrics 187 (2015) 1, pp. 43-56
Persistent link: https://www.econbiz.de/10011498735
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Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - 2015
Persistent link: https://www.econbiz.de/10011305204
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Affine modeling of credit risk, pricing of credit events and contagion
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - 2019 - This version: December 2019
Persistent link: https://www.econbiz.de/10012237594
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Staying at zero with affine processes : an application to term structure modelling
Monfort, Alain; Pegoraro, Fulvio; Renne, Jean-Paul; … - In: Journal of econometrics 201 (2017) 2, pp. 348-366
Persistent link: https://www.econbiz.de/10011920515
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A quadratic Kalman filter
Monfort, Alain; Renne, Jean-Paul; Roussellet, Guillaume - 2014
Persistent link: https://www.econbiz.de/10010438259