| Publication | Date of Publication | Type |
|---|
| LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices | 2022-06-22 | Paper |
| Understanding temporal aggregation effects on kurtosis in financial indices | 2022-03-16 | Paper |
| Similarity-based model for ordered categorical data | 2022-03-04 | Paper |
| Hybrid stochastic local unit roots | 2020-02-17 | Paper |
| Robustness of binary choice models to conditional heteroscedasticity | 2018-09-11 | Paper |
| IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS | 2018-09-06 | Paper |
| A multivariate stochastic unit root model with an application to derivative pricing | 2016-11-17 | Paper |
| A similarity-based approach to prediction | 2016-08-12 | Paper |
| A complete asymptotic series for the autocovariance function of a long memory process | 2016-06-22 | Paper |
| Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes | 2016-04-25 | Paper |
| NORMING RATES AND LIMIT THEORY FOR SOME TIME‐VARYING COEFFICIENT AUTOREGRESSIONS | 2015-03-04 | Paper |
| A similarity-based approach to time-varying coefficient non-stationary autoregression | 2014-11-26 | Paper |
| ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES | 2012-04-24 | Paper |
| ASYMPTOTIC THEORY FOR EMPIRICAL SIMILARITY MODELS | 2010-08-13 | Paper |
| GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION | 2010-04-08 | Paper |
| Refined Inference on Long Memory in Realized Volatility | 2008-11-19 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3498017 | 2008-05-28 | Paper |
| VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES | 2006-03-22 | Paper |
| Expansions for approximate maximum likelihood estimators of the fractional difference parameter | 2006-01-24 | Paper |
| ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS | 2005-06-07 | Paper |
| Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra | 2005-05-20 | Paper |
| EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER | 2005-03-07 | Paper |
| THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR | 2004-06-18 | Paper |
| Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process | 2004-05-18 | Paper |
| Asymptotic theory for multivariate GARCH processes. | 2003-04-02 | Paper |
| Penalised maximum likelihood estimation for fractional Gaussian processes | 2003-03-10 | Paper |
| Second-Order Noncausality in Multivariate GARCH Processes | 2001-09-23 | Paper |
| Improved Small Sample Inference in the Mixed Linear Model: Bartlett Correction and Adjusted Likelihood | 2001-08-17 | Paper |
| VALID EDGEWORTH EXPANSION FOR THE SAMPLE AUTOCORRELATION FUNCTION UNDER LONG RANGE DEPENDENCE | 2001-05-16 | Paper |
| SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL | 2001-03-29 | Paper |
| Approximate estimation in nonlinear panel data models | 1998-05-13 | Paper |
| Miscellanea. From unbiased linear estimating equations to unbiased estimators | 1998-01-01 | Paper |
| A Laplace approximation to the moments of a ratio of quadratic forms | 1995-02-22 | Paper |
| Saddlepoint approximation for the least squares estimator in first-order autoregression | 1995-02-22 | Paper |
| Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables | 1995-01-08 | Paper |
| Bounds on the effect of heteroscedasticity on the chow test for structural change | 1994-01-20 | Paper |
| The optimal size of a preliminary test for linear restrictions when estimating the regression scale parameter | 1992-06-28 | Paper |
