| Publication | Date of Publication | Type |
|---|
LSTUR regression theory and the instability of the sample correlation coefficient between financial return indices
Econometrics Journal | 2022-06-22 | Paper |
Understanding temporal aggregation effects on kurtosis in financial indices
Journal of Econometrics | 2022-03-16 | Paper |
Similarity-based model for ordered categorical data
Econometric Reviews | 2022-03-04 | Paper |
Hybrid stochastic local unit roots
Journal of Econometrics | 2020-02-17 | Paper |
Robustness of binary choice models to conditional heteroscedasticity
Economics Letters | 2018-09-11 | Paper |
IV AND GMM INFERENCE IN ENDOGENOUS STOCHASTIC UNIT ROOT MODELS
Econometric Theory | 2018-09-06 | Paper |
A multivariate stochastic unit root model with an application to derivative pricing
Journal of Econometrics | 2016-11-17 | Paper |
A similarity-based approach to prediction
Journal of Econometrics | 2016-08-12 | Paper |
A complete asymptotic series for the autocovariance function of a long memory process
Journal of Econometrics | 2016-06-22 | Paper |
Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
Journal of Econometrics | 2016-04-25 | Paper |
Norming rates and limit theory for some time-varying coefficient autoregressions
Journal of Time Series Analysis | 2015-03-04 | Paper |
A similarity-based approach to time-varying coefficient non-stationary autoregression
Journal of Time Series Analysis | 2014-11-26 | Paper |
ASYMPTOTIC THEORY FOR MAXIMUM LIKELIHOOD ESTIMATION OF THE MEMORY PARAMETER IN STATIONARY GAUSSIAN PROCESSES
Econometric Theory | 2012-04-24 | Paper |
Asymptotic theory for empirical similarity models
Econometric Theory | 2010-08-13 | Paper |
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
Econometric Theory | 2010-04-08 | Paper |
Refined Inference on Long Memory in Realized Volatility
Econometric Reviews | 2008-11-19 | Paper |
scientific article; zbMATH DE number 5280105 (Why is no real title available?)
| 2008-05-28 | Paper |
VALID EDGEWORTH EXPANSIONS FOR THE WHITTLE MAXIMUM LIKELIHOOD ESTIMATOR FOR STATIONARY LONG-MEMORY GAUSSIAN TIME SERIES
Econometric Theory | 2006-03-22 | Paper |
Expansions for approximate maximum likelihood estimators of the fractional difference parameter
Econometrics Journal | 2006-01-24 | Paper |
ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS
Econometric Theory | 2005-06-07 | Paper |
Error bounds and asymptotic expansions for toeplitz product functionals of unbounded spectra
Journal of Time Series Analysis | 2005-05-20 | Paper |
EXPANSIONS FOR THE DISTRIBUTION OF THE MAXIMUM LIKELIHOOD ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER
Econometric Theory | 2005-03-07 | Paper |
THE EXACT BIAS OF THE LOG-PERIODOGRAM REGRESSION ESTIMATOR
Econometric Reviews | 2004-06-18 | Paper |
Valid asymptotic expansions for the maximum likelihood estimators of the parameter of a stationary, Gaussian, strongly dependent process
The Annals of Statistics | 2004-05-18 | Paper |
Asymptotic theory for multivariate GARCH processes.
Journal of Multivariate Analysis | 2003-04-02 | Paper |
Penalised maximum likelihood estimation for fractional Gaussian processes
Biometrika | 2003-03-10 | Paper |
Second-oder noncausality in multivariate GARCH processes
Journal of Time Series Analysis | 2001-09-23 | Paper |
Improved Small Sample Inference in the Mixed Linear Model: Bartlett Correction and Adjusted Likelihood
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2001-08-17 | Paper |
Valid Edgeworth expansion for the sample autocorrelation function under long range dependence.
Econometric Theory | 2001-05-16 | Paper |
SMALL-SAMPLE LIKELIHOOD-BASED INFERENCE IN THE ARFIMA MODEL
Econometric Theory | 2001-03-29 | Paper |
Approximate estimation in nonlinear panel data models
Communications in Statistics. Simulation and Computation | 1998-05-13 | Paper |
Miscellanea. From unbiased linear estimating equations to unbiased estimators
Biometrika | 1998-01-01 | Paper |
A Laplace approximation to the moments of a ratio of quadratic forms
Biometrika | 1995-02-22 | Paper |
Saddlepoint approximation for the least squares estimator in first-order autoregression
Biometrika | 1995-02-22 | Paper |
Saddlepoint Approximation for the Distribution of a Ratio of Quadratic Forms in Normal Variables
| 1995-01-08 | Paper |
Bounds on the effect of heteroscedasticity on the chow test for structural change
Communications in Statistics: Theory and Methods | 1994-01-20 | Paper |
The optimal size of a preliminary test for linear restrictions when estimating the regression scale parameter
Economics Letters | 1992-06-28 | Paper |
