| Publication | Date of Publication | Type |
|---|
Dynamic Conditional Correlations with Partial Information Pooling
Journal of Business and Economic Statistics | 2026-04-17 | Paper |
New HEAVY Models for Fat-Tailed Realized Covariances and Returns
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Moments, shocks and spillovers in Markov-switching VAR models
Journal of Econometrics | 2023-09-28 | Paper |
Measuring and predicting heterogeneous recessions
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Forecasting the yield curve in a data-rich environment using the factor-augmented Nelson-Siegel model
Journal of Forecasting | 2018-10-11 | Paper |
Cointegration in a historical perspective
Journal of Econometrics | 2016-08-04 | Paper |
Measuring volatility with the realized range
Journal of Econometrics | 2016-05-04 | Paper |
A unified approach to nonlinearity, structural change, and outliers
Journal of Econometrics | 2016-05-02 | Paper |
Testing for causality in variance in the presence of breaks
Economics Letters | 2013-01-03 | Paper |
Semi-parametric modelling of correlation dynamics
Advances in Econometrics | 2010-06-30 | Paper |
A comparison of biased simulation schemes for stochastic volatility models
Quantitative Finance | 2010-03-12 | Paper |
Absorption of shocks in nonlinear autoregressive models
Computational Statistics and Data Analysis | 2009-05-29 | Paper |
Forecast comparison of principal component regression and principal covariate regression
Computational Statistics and Data Analysis | 2009-05-29 | Paper |
Sample size, lag order and critical values of seasonal unit root tests
Computational Statistics and Data Analysis | 2008-12-11 | Paper |
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
Econometric Reviews | 2008-11-19 | Paper |
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Econometric Reviews | 2004-09-21 | Paper |
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
Econometrics Journal | 2004-02-25 | Paper |
| scientific article; zbMATH DE number 1944302 (Why is no real title available?) | 2003-07-01 | Paper |
A nonlinear long memory model, with an application to US unemployment.
Journal of Econometrics | 2003-02-17 | Paper |
Multivariate star analysis of money-output relationship
Macroeconomic Dynamics | 2002-07-02 | Paper |
Modeling Multiple Regimes in the Business Cycle
Macroeconomic Dynamics | 1999-01-01 | Paper |
