| Publication | Date of Publication | Type |
|---|
| Should Macroeconomic Forecasters Use Daily Financial Data and How? | 2025-01-20 | Paper |
| Moment-Implied Densities: Properties and Applications | 2025-01-20 | Paper |
| Comment | 2025-01-20 | Paper |
| Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences | 2025-01-20 | Paper |
| Rejoinder | 2025-01-20 | Paper |
| Machine Learning Time Series Regressions With an Application to Nowcasting | 2024-10-17 | Paper |
| Machine learning panel data regressions with heavy-tailed dependent data: theory and application | 2023-11-17 | Paper |
| IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS | 2023-03-06 | Paper |
| State Space Models and MIDAS Regressions | 2022-05-31 | Paper |
| Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality | 2021-02-09 | Paper |
| Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors | 2021-02-04 | Paper |
| On the Size Distortion from Linearly Interpolating Low-frequency Series for Cointegration Tests | 2020-11-10 | Paper |
| Mixed-Frequency Vector Autoregressive Models | 2020-07-10 | Paper |
| Mixed data sampling (MIDAS) regression models | 2020-07-10 | Paper |
| ET INTERVIEW: JEAN-PIERRE FLORENS | 2020-05-27 | Paper |
| Commercial and residential mortgage defaults: spatial dependence with frailty | 2019-09-02 | Paper |
| A component model for dynamic correlations | 2016-08-12 | Paper |
| Volatility forecasting and microstructure noise | 2016-08-10 | Paper |
| Regression models with mixed sampling frequencies | 2016-08-04 | Paper |
| Macroeconomics and the reality of mixed frequency data | 2016-07-12 | Paper |
| Quality control for structural credit risk models | 2016-06-22 | Paper |
| Monitoring disruptions in financial markets | 2016-06-10 | Paper |
| Predicting volatility: getting the most out of return data sampled at different frequencies | 2016-06-10 | Paper |
| Testing for Granger causality with mixed frequency data | 2016-03-01 | Paper |
| Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series | 2015-11-13 | Paper |
| HYBRID-GARCH: A Generic Class of Models for Volatility Predictions using High Frequency Data | 2015-11-03 | Paper |
| ECONOMETRIC ANALYSIS OF VOLATILITY COMPONENT MODELS | 2015-04-24 | Paper |
| Stochastic volatility duration models | 2014-03-07 | Paper |
| HYBRID GARCH Models and Intra-Daily Return Periodicity | 2013-06-14 | Paper |
| Efficient estimation of general dynamic models with a continuum of moment conditions | 2012-09-23 | Paper |
| THE ET INTERVIEW: CHRISTIAN GOURIÉROUX AND ALAIN MONFORT | 2012-08-30 | Paper |
| A component model for dynamic correlations | 2011-09-01 | Paper |
| Sampling Frequency and Window Length Trade-offs in Data-Driven Volatility Estimation: Appraising the Accuracy of Asymptotic Approximations | 2010-06-30 | Paper |
| Structural Breaks in Financial Time Series | 2009-11-27 | Paper |
| MIDAS Regressions: Further Results and New Directions | 2007-04-18 | Paper |
| MIDAS Regressions: Further Results and New Directions | 2007-02-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3374321 | 2006-03-09 | Paper |
| GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model | 2006-01-27 | Paper |
| TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS | 2005-09-05 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4450672 | 2004-02-15 | Paper |
| Alternative models for stock price dynamics. | 2003-08-07 | Paper |
| Structural change tests for simulated method of moments. | 2003-06-09 | Paper |
| TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING | 2002-04-02 | Paper |
| TIME-SERIES MODEL WITH PERIODIC STOCHASTIC REGIME SWITCHING | 2002-02-18 | Paper |
| The Econometric Analysis of Seasonal Time Series | 2002-02-03 | Paper |
| Nonparametric estimation of American options' exercise boundaries and call prices | 2000-10-26 | Paper |
| Predictive tests for structural change with unknown breakpoint | 2000-09-24 | Paper |
| American options with stochastic dividends and volatility: a nonparametric investigation | 2000-03-19 | Paper |
| Kernel autocorrelogram for time-deformed processes | 1999-08-23 | Paper |
| On Periodic Structures and Testing for Seasonal Unit Roots | 1998-02-22 | Paper |
| On seasonality and business cycle durations: A nonparametric investigation | 1997-08-12 | Paper |
| Changes in seasonal patterns | 1997-02-27 | Paper |
| The effect of linear filters on dynamic time series with structural change | 1996-02-12 | Paper |
| Changes in seasonal patterns. Are they cyclical? | 1995-01-11 | Paper |
| Generalized Predictive Tests and Structural Change Analysis in Econometrics | 1994-03-27 | Paper |
| The effect of seasonal adjustment filters on tests for a unit root (with discussion) | 1993-02-04 | Paper |
| Testing nonnested Euler conditions with quadrature-based methods of approximation | 1990-01-01 | Paper |
| Are consumption-based intertemporal capital asset pricing models structural? | 1990-01-01 | Paper |
| A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator | 1990-01-01 | Paper |
