| Publication | Date of Publication | Type |
|---|
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Specification tests for non-Gaussian structural vector autoregressions
Journal of Econometrics | 2025-01-16 | Paper |
GDP Solera: The Ideal Vintage Mix
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Control variates for variance reduction in indirect inference: Interest rate models in continuous time
Econometrics Journal | 2023-07-07 | Paper |
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
Journal of Econometrics | 2023-06-29 | Paper |
Specification tests for non-Gaussian maximum likelihood estimators
Quantitative Economics | 2021-11-11 | Paper |
New testing approaches for mean-variance predictability
Journal of Econometrics | 2021-03-24 | Paper |
Consistent non-Gaussian pseudo maximum likelihood estimators
Journal of Econometrics | 2019-12-19 | Paper |
Skewness and kurtosis of multivariate Markov-switching processes
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
A spectral EM algorithm for dynamic factor models
Journal of Econometrics | 2018-05-31 | Paper |
Marginal distribution of Markov-switching <scp>VAR</scp> processes
Communications in Statistics: Theory and Methods | 2017-08-23 | Paper |
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
Journal of Econometrics | 2016-06-13 | Paper |
Efficient MCMC sampling in dynamic mixture models
Statistics and Computing | 2015-11-19 | Paper |
Sequential estimation of shape parameters in multivariate dynamic models
Journal of Econometrics | 2014-06-06 | Paper |
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
Economics Letters | 2013-01-01 | Paper |
The marginal likelihood of dynamic mixture models
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
Likelihood-Based Estimation of Latent Generalized ARCH Structures
Econometrica | 2006-06-16 | Paper |
Constrained Indirect Estimation
Review of Economic Studies | 2005-03-30 | Paper |
Indirect inference and variance reduction using control variates
Metron | 2002-07-29 | Paper |
Identification, estimation and testing of conditionally heteroskedastic factor models
Journal of Econometrics | 2002-01-24 | Paper |
From autocovariances to moving average: An algorithm comparison
Computational Statistics | 1999-09-14 | Paper |
A tobit model with garch errors
Econometric Reviews | 1998-04-13 | Paper |
scientific article; zbMATH DE number 813726 (Why is no real title available?)
| 1995-12-11 | Paper |
Alternative covariance estimators of the standard Tobit model
Economics Letters | 1994-01-13 | Paper |
