| Publication | Date of Publication | Type |
|---|
Ignoring cross-correlated idiosyncratic components when extracting factors in dynamic factor models
Economics Letters | 2023-09-12 | Paper |
Maximally Autocorrelated Power Transformations: A Closer Look at the Properties of Stochastic Volatility Models
Studies in Nonlinear Dynamics & Econometrics | 2023-03-13 | Paper |
Factor Extraction in Dynamic Factor Models: Kalman Filter Versus Principal Components
Foundations and Trends® in Econometrics | 2023-01-23 | Paper |
A bootstrap approach for generalized autocontour testing implications for VIX forecast densities
Econometric Reviews | 2022-03-04 | Paper |
Bootstrap prediction in unobserved component models
Proceedings of COMPSTAT'2010 | 2020-07-14 | Paper |
Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
Journal of Statistical Computation and Simulation | 2020-04-23 | Paper |
Robust bootstrap forecast densities for GARCH returns and volatilities
Journal of Statistical Computation and Simulation | 2020-04-22 | Paper |
The uncertainty of conditional returns, volatilities and correlations in DCC models
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Robust bootstrap forecast densities for GARCH returns and volatilities
Journal of Statistical Computation and Simulation | 2017-08-04 | Paper |
Bootstrap prediction mean squared errors of unobserved states based on the Kalman filter with estimated parameters
Computational Statistics and Data Analysis | 2012-06-20 | Paper |
Bootstrap prediction intervals in state-space models
Journal of Time Series Analysis | 2011-02-22 | Paper |
Testing for conditional heteroscedasticity in the components of inflation
Studies in Nonlinear Dynamics & Econometrics | 2010-07-02 | Paper |
Conditionally heteroscedastic unobserved component models and their reduced form
Economics Letters | 2010-05-27 | Paper |
A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect
Computational Statistics and Data Analysis | 2010-04-01 | Paper |
Modelling long-memory volatilities with leverage effect: A-LMSV versus FIEGARCH
Computational Statistics and Data Analysis | 2009-06-12 | Paper |
Unobserved component models with asymmetric conditional variances
Computational Statistics and Data Analysis | 2008-12-11 | Paper |
Bootstrap prediction for returns and volatilities in GARCH models
Computational Statistics and Data Analysis | 2008-12-11 | Paper |
Effects of outliers on the identification and estimation of GARCH models
Journal of Time Series Analysis | 2007-12-16 | Paper |
scientific article; zbMATH DE number 2199143 (Why is no real title available?)
| 2005-08-25 | Paper |
Bootstrap predictive inference for ARIMA processes
Journal of Time Series Analysis | 2005-05-20 | Paper |
scientific article; zbMATH DE number 2060189 (Why is no real title available?)
| 2004-03-17 | Paper |
scientific article; zbMATH DE number 2060208 (Why is no real title available?)
| 2004-03-17 | Paper |
Finite sample properties of a QML estimator of stochastic volatility models with long memory.
Economics Letters | 2001-08-20 | Paper |
QML and GMM estimators of stochastic volatility models: Response to Andersen and Sørensen
Journal of Econometrics | 1998-11-10 | Paper |
Quasi-maximum likelihood estimation of stochastic volatility models
Journal of Econometrics | 1995-11-28 | Paper |
