| Publication | Date of Publication | Type |
|---|
Required capital for long-run risks
Journal of Economic Dynamics and Control | 2022-12-12 | Paper |
Identification and Estimation in Non-Fundamental Structural VARMA Models
Review of Economic Studies | 2022-11-11 | Paper |
Granularity Adjustment for Efficient Portfolios
Econometric Reviews | 2022-05-31 | Paper |
Disastrous Defaults
Review of Finance | 2022-01-19 | Paper |
Stationary bubble equilibria in rational expectation models
Journal of Econometrics | 2021-02-09 | Paper |
Consistent pseudo-maximum likelihood estimators and groups of transformations
Econometrica | 2019-07-19 | Paper |
Decomposing euro-area sovereign spreads: credit and liquidity risks
Review of Finance | 2018-11-09 | Paper |
COHERENT INCURRED PAID (CIP) MODELS FOR CLAIMS RESERVING
ASTIN Bulletin | 2018-06-06 | Paper |
Staying at zero with affine processes: an application to term structure modelling
Journal of Econometrics | 2017-11-07 | Paper |
Statistical inference for independent component analysis: application to structural VAR models
Journal of Econometrics | 2016-11-17 | Paper |
Fourth order pseudo maximum likelihood methods
Journal of Econometrics | 2016-08-12 | Paper |
Econometric specification of stochastic discount factor models
Journal of Econometrics | 2016-05-02 | Paper |
Some useful equivalence properties of Hausman's test
Economics Letters | 2016-01-01 | Paper |
A quadratic Kalman filter
Journal of Econometrics | 2015-09-01 | Paper |
Pricing with finite dimensional dependence
Journal of Econometrics | 2015-06-08 | Paper |
Erratum to ``Pricing default events: surprise, exogeneity and contagion
Journal of Econometrics | 2014-11-24 | Paper |
Pricing default events: surprise, exogeneity and contagion
Journal of Econometrics | 2014-08-06 | Paper |
Allocating systemic risk in a regulatory perspective
International Journal of Theoretical and Applied Finance | 2014-02-11 | Paper |
Joint econometric modeling of spot electricity prices, forwards and options
Review of Derivatives Research | 2013-02-01 | Paper |
Domain restrictions on interest rates implied by no arbitrage
Mathematical Finance | 2011-03-25 | Paper |
Bilinear term structure model
Mathematical Finance | 2011-02-02 | Paper |
Encompassing and indirect inference
Journal of the Italian Statistical Society | 2009-02-03 | Paper |
Quadratic stochastic intensity and prospective mortality tables
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Switching state-space models: likelihood function, filtering and smoothing
Journal of Statistical Planning and Inference | 2000-09-26 | Paper |
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
Journal of Statistical Planning and Inference | 1996-11-11 | Paper |
scientific article; zbMATH DE number 857931 (Why is no real title available?)
| 1996-03-19 | Paper |
Time Series and Dynamic Models
| 1996-03-19 | Paper |
Simulation-based inference. A survey with special reference to panel data models
Journal of Econometrics | 1993-12-02 | Paper |
Qualitative threshold ARCH models
Journal of Econometrics | 1992-06-28 | Paper |
From a var model to a structural model, with an application to the wage–price spiral
Journal of Applied Econometrics | 1990-01-01 | Paper |
Testing For Common Roots
Econometrica | 1989-01-01 | Paper |
Generalised residuals
Journal of Econometrics | 1987-01-01 | Paper |
Simulated residuals
Journal of Econometrics | 1987-01-01 | Paper |
Pseudo Maximum Likelihood Methods: Theory
Econometrica | 1984-01-01 | Paper |
Pseudo Maximum Likelihood Methods: Applications to Poisson Models
Econometrica | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3921780 (Why is no real title available?)
| 1984-01-01 | Paper |
Testing nested or non-nested hypotheses
Journal of Econometrics | 1983-01-01 | Paper |
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
Econometrica | 1982-01-01 | Paper |
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
Econometrica | 1982-01-01 | Paper |
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
Journal of Econometrics | 1981-01-01 | Paper |
On the Problem of Missing Data in Linear Models
Review of Economic Studies | 1981-01-01 | Paper |
Sufficient Linear Structures: Econometric Applications
Econometrica | 1980-01-01 | Paper |
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
Econometrica | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3703856 (Why is no real title available?)
| 1980-01-01 | Paper |
Disequilibrium Econometrics in Simultaneous Equations Systems
Econometrica | 1980-01-01 | Paper |
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
International Economic Review | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3733131 (Why is no real title available?)
| 1980-01-01 | Paper |
Disequilibrium econometrics in dynamic models
Journal of Econometrics | 1979-01-01 | Paper |
First-order identification in linear models
Journal of Econometrics | 1978-01-01 | Paper |
