| Publication | Date of Publication | Type |
|---|
Fractional Gaussian noise: spectral density and estimation methods
Journal of Time Series Analysis | 2025-10-24 | Paper |
Local powers of least-squares-based test for panel fractional Ornstein-Uhlenbeck process
Journal of Time Series Analysis | 2025-08-25 | Paper |
Fractional stochastic volatility model
Journal of Time Series Analysis | 2025-02-19 | Paper |
On the spectral density of fractional Ornstein-Uhlenbeck processes
Journal of Econometrics | 2025-01-16 | Paper |
Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes
Electronic Journal of Statistics | 2024-11-12 | Paper |
The Grid Bootstrap for Continuous Time Models
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Efficient basis selection for smoothing splines via rotated lattices
Stat | 2024-06-03 | Paper |
On the optimal forecast with the fractional Brownian motion
Quantitative Finance | 2024-05-29 | Paper |
A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR
International Economic Review | 2024-03-27 | Paper |
Robust testing for explosive behavior with strongly dependent errors
Journal of Econometrics | 2024-02-13 | Paper |
Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
Journal of Econometrics | 2023-02-01 | Paper |
Posterior-based Wald-type statistics for hypothesis testing
Journal of Econometrics | 2022-07-15 | Paper |
In-fill asymptotic theory for structural break point in autoregressions
Econometric Reviews | 2022-03-04 | Paper |
Deviance information criterion for comparing VAR models
Essays in Honor of Peter C. B. Phillips | 2020-11-10 | Paper |
Hypothesis testing, specification testing, and model selection based on the MCMC output using R
Handbook of Statistics | 2020-08-18 | Paper |
Simulated maximum likelihood estimation of continuous time stochastic volatility models
Maximum Simulated Likelihood Methods and Applications | 2020-07-10 | Paper |
Deviance information criterion for latent variable models and misspecified models
Journal of Econometrics | 2020-04-22 | Paper |
Random coefficient continuous systems: testing for extreme sample path behavior
Journal of Econometrics | 2019-04-30 | Paper |
Asymptotic theory for rough fractional Vasicek models
Economics Letters | 2019-04-18 | Paper |
Asymptotic theory for estimating drift parameters in the fractional Vasicek model
Econometric Theory | 2019-03-27 | Paper |
Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method
Quantitative Finance | 2019-01-15 | Paper |
A flexible and automated likelihood based framework for inference in stochastic volatility models
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Specification tests based on MCMC output
Journal of Econometrics | 2018-10-12 | Paper |
New distribution theory for the estimation of structural break point in mean
Journal of Econometrics | 2018-05-31 | Paper |
Inference in continuous systems with mildly explosive regressors
Journal of Econometrics | 2017-11-07 | Paper |
Bias in the estimation of mean reversion in continuous-time Lévy processes
Economics Letters | 2017-06-09 | Paper |
Bias in the estimation of the mean reversion parameter in continuous time models
Journal of Econometrics | 2017-05-12 | Paper |
Bias in the estimation of the mean reversion parameter in continuous time models
Journal of Econometrics | 2017-05-12 | Paper |
Bayesian hypothesis testing in latent variable models
Journal of Econometrics | 2016-08-15 | Paper |
A semiparametric stochastic volatility model
Journal of Econometrics | 2016-08-15 | Paper |
Bias in estimating multivariate and univariate diffusions
Journal of Econometrics | 2016-08-10 | Paper |
Indirect inference for dynamic panel models
Journal of Econometrics | 2016-08-01 | Paper |
A two-stage realized volatility approach to estimation of diffusion processes with discrete data
Journal of Econometrics | 2016-07-04 | Paper |
Double asymptotics for explosive continuous time models
Journal of Econometrics | 2016-05-18 | Paper |
On leverage in a stochastic volatility model
Journal of Econometrics | 2016-03-30 | Paper |
Testing for multiple bubbles: historical episodes of exuberance and collapse in the S\&P 500
International Economic Review | 2016-02-10 | Paper |
Testing for multiple bubbles: limit theory of real-time detectors
International Economic Review | 2016-02-10 | Paper |
Limit theory for an explosive autoregressive process
Economics Letters | 2015-09-29 | Paper |
Asymptotic theory for linear diffusions under alternative sampling schemes
Economics Letters | 2015-09-29 | Paper |
A Bayesian chi-squared test for hypothesis testing
Journal of Econometrics | 2015-09-18 | Paper |
Optimal jackknife for unit root models
Statistics & Probability Letters | 2015-05-18 | Paper |
Maximum likelihood estimation of partially observed diffusion models
Journal of Econometrics | 2014-11-11 | Paper |
| Fine gradings of complex simple Lie algebras and Finite Root Systems | 2014-10-29 | Paper |
Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
Econometric Theory | 2014-09-05 | Paper |
A new approach to Bayesian hypothesis testing
Journal of Econometrics | 2014-08-07 | Paper |
Special issue of econometric theory on SETA 2010: editors' introduction
Econometric Theory | 2014-06-20 | Paper |
Dating the timeline of financial bubbles during the subprime crisis
Quantitative Economics | 2012-03-02 | Paper |
An efficient method for maximum likelihood estimation of a stochastic volatility model
Statistics and Its Interface | 2012-01-25 | Paper |
Simulation-based estimation methods for financial time series models
Handbook of Computational Finance | 2012-01-10 | Paper |
Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’
Econometrics Journal | 2011-07-27 | Paper |
Bayesian analysis of structural credit risk models with microstructure noises
Journal of Economic Dynamics and Control | 2010-12-01 | Paper |
Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
Handbook of Financial Time Series | 2009-11-27 | Paper |
A class of nonlinear stochastic volatility models and its implications for pricing currency options
Computational Statistics and Data Analysis | 2009-04-06 | Paper |
Comment: A selective overview of nonparametric methods in financial econometrics
Statistical Science | 2007-09-18 | Paper |
Multivariate Stochastic Volatility: A Review
Econometric Reviews | 2006-08-28 | Paper |
Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison
Econometric Reviews | 2006-08-28 | Paper |
Empirical Characteristic Function Estimation and Its Applications
Econometric Reviews | 2005-01-19 | Paper |
Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2003-10-21 | Paper |
EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION
Econometric Theory | 2003-05-18 | Paper |
BUGS for a Bayesian analysis of stochastic volatility models
The Econometrics Journal | 2001-04-04 | Paper |
A Gaussian approach for continuous time models of the short-term interest rate
Econometrics Journal | 2001-01-01 | Paper |
