Publication | Date of Publication | Type |
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Dynamic Score-Driven Independent Component Analysis | 2024-03-05 | Paper |
A dynamic conditional score model for the log correlation matrix | 2023-11-17 | Paper |
A simple solution of the spurious regression problem | 2023-03-30 | Paper |
Asymmetric volatility impulse response functions | 2023-01-30 | Paper |
Reconciling negative return skewness with positive time-varying risk premia | 2022-09-14 | Paper |
Identification of structural multivariate GARCH models | 2022-03-16 | Paper |
The “wrong skewness” problem in stochastic frontier models: A new approach | 2022-02-24 | Paper |
Inference in stochastic frontier analysis with dependent error terms | 2021-02-18 | Paper |
WITHDRAWN: ``Inference in stochastic frontier analysis with dependent error terms | 2021-02-18 | Paper |
Erratum to: ``Inference in stochastic frontier analysis with dependent error terms | 2021-02-18 | Paper |
Cross-correlating wavelet coefficients with applications to high-frequency financial time series | 2020-10-21 | Paper |
Estimation of a multiplicative correlation structure in the large dimensional case | 2020-06-18 | Paper |
Statistics of Financial Markets | 2019-09-26 | Paper |
The effect of additive outliers on a fractional unit root test | 2018-11-12 | Paper |
Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case" | 2018-10-15 | Paper |
On Asymptotic Theory for ARCH (∞) Models | 2017-12-01 | Paper |
AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL | 2017-09-15 | Paper |
WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS | 2017-08-22 | Paper |
Efficient estimation of a multivariate multiplicative volatility model | 2016-08-04 | Paper |
Temporal aggregation of multivariate GARCH processes | 2016-06-03 | Paper |
Looking Backward and Looking Forward | 2016-05-12 | Paper |
Analytical quasi maximum likelihood inference in multivariate volatility models | 2015-10-14 | Paper |
An ARCH model without intercept | 2015-10-05 | Paper |
A note on the Tobit model in the presence of a duration variable | 2015-09-29 | Paper |
On heterogeneous latent class models with applications to the analysis of rating scores | 2015-03-05 | Paper |
Statistics of financial markets. An introduction | 2015-02-16 | Paper |
Efficient estimation of a semiparametric dynamic copula model | 2014-04-14 | Paper |
Estimating Autocorrelations in the Presence of Deterministic Trends | 2013-06-14 | Paper |
A Lagrange multiplier test for causality in variance | 2013-01-08 | Paper |
Econometric analysis of volatile art markets | 2012-12-30 | Paper |
On the estimation of dynamic conditional correlation models | 2012-12-30 | Paper |
SEMIPARAMETRIC MULTIVARIATE VOLATILITY MODELS | 2012-05-14 | Paper |
Handbook of Volatility Models and Their Applications | 2012-04-19 | Paper |
Multivariate Time Series Models for Asset Prices | 2012-01-10 | Paper |
LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION | 2012-01-04 | Paper |
Statistics of financial markets. An introduction. | 2010-12-03 | Paper |
Semi-Parametric Modelling of Correlation Dynamics | 2010-06-30 | Paper |
Causality and forecasting in temporally aggregated multivariate GARCH processes | 2010-06-08 | Paper |
Deciding between GARCH and stochastic volatility via strong decision rules | 2009-12-10 | Paper |
A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets | 2009-10-16 | Paper |
On asymptotic theory for multivariate GARCH models | 2009-09-28 | Paper |
ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL | 2009-06-11 | Paper |
Multivariate mixed normal conditional heteroskedasticity | 2009-05-29 | Paper |
Statistics of financial markets. An introduction. | 2008-01-30 | Paper |
Ridge regression revisited | 2008-01-24 | Paper |
Estimation of temporally aggregated multivariate GARCH models | 2007-12-19 | Paper |
Analytical quasi maximum likelihood inference in multivariate volatility models | 2007-03-16 | Paper |
Durations, volume and the prediction of financial returns in transaction time | 2005-10-17 | Paper |
Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility | 2004-11-29 | Paper |
Statistics of financial markets. An introduction. | 2004-10-04 | Paper |
Nonparametric Multistep-Ahead Prediction in Time Series Analysis | 2004-09-24 | Paper |
Simple approximations for option pricing under mean reversion and stochastic volatility | 2004-03-16 | Paper |
https://portal.mardi4nfdi.de/entity/Q4425019 | 2003-09-09 | Paper |
https://portal.mardi4nfdi.de/entity/Q2752735 | 2001-10-17 | Paper |
Testing for linear autoregressive dynamics under heteroskedasticity | 2001-04-04 | Paper |
Discrete time option pricing with flexible volatility estimation | 2000-11-01 | Paper |
Structural analysis of portfolio risk using beta impulse response functions | 2000-08-24 | Paper |
Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models | 2000-06-14 | Paper |