Alain Monfort is a French econometrician, Professor at CNAM (Conservatoire National des Arts et Métiers) and CREST. He has worked extensively with Christian Gourieroux on theoretical econometrics, statistical inference, and financial modelling.
Score/Kuhn-Tucker tests (Gourieroux-Holly-Monfort 1982): LR, Wald, and Kuhn-Tucker tests in linear models with inequality constraints on regression parameters.
Stochastic discount factor modelling (Gourieroux-Monfort 2007): Exponential-affine/Esscher SDF convention for derivative pricing in incomplete discrete-time markets; semi-parametric pricing; CIR extension via autoregressive gamma processes.
Affine term structure modelling (Gourieroux-Monfort-Polimenis 2002a): Discrete-time affine term structure models via the AR-Gamma framework.