| Publication | Date of Publication | Type |
|---|
Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Forecasting a Nonstationary Time Series Using a Mixture of Stationary and Nonstationary Factors as Predictors
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Large returns, conditional correlation and portfolio diversification: a value-at-risk approach
Quantitative Finance | 2019-01-14 | Paper |
Nonparametric estimation of operational value-at-risk (OpVaR)
Insurance Mathematics & Economics | 2016-11-21 | Paper |
Comparison of semiparametric and parametric methods for estimating copulas
Computational Statistics and Data Analysis | 2009-05-29 | Paper |
SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2008-03-19 | Paper |
Estimating the error distribution in multivariate heteroscedastic time-series models
Journal of Statistical Planning and Inference | 2008-03-11 | Paper |
| scientific article; zbMATH DE number 2217285 (Why is no real title available?) | 2005-10-20 | Paper |
Experimental evidence on robustness of data envelopment analysis
The Journal of the Operational Research Society | 2005-04-04 | Paper |
A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
Econometric Reviews | 2003-06-25 | Paper |
Tests against inequality constraints in semiparametric models
Journal of Statistical Planning and Inference | 2003-04-03 | Paper |
| scientific article; zbMATH DE number 1805837 (Why is no real title available?) | 2002-11-24 | Paper |
Testing for serial correlation in the presence of dynamic heteroscedasticity
Econometric Reviews | 2001-07-31 | Paper |
| scientific article; zbMATH DE number 1396256 (Why is no real title available?) | 2000-09-10 | Paper |
The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests
Journal of Statistical Computation and Simulation | 2000-08-10 | Paper |
| scientific article; zbMATH DE number 1395879 (Why is no real title available?) | 2000-05-18 | Paper |
| scientific article; zbMATH DE number 1241069 (Why is no real title available?) | 1998-01-01 | Paper |
| scientific article; zbMATH DE number 1241062 (Why is no real title available?) | 1997-01-01 | Paper |
| scientific article; zbMATH DE number 815752 (Why is no real title available?) | 1996-02-13 | Paper |
| A Score Test Against One-Sided Alternatives | 1995-08-21 | Paper |
Testing for ar(1) against ima(1,1) disturbances in the linear regression model
Communications in Statistics: Theory and Methods | 1995-08-17 | Paper |
Testing for AR\((p)\) against IMA\((1,q)\) disturbances in the linear regression model
Economics Letters | 1993-09-07 | Paper |
Nonnested testing for autocorrelation in the linear regression model
Journal of Econometrics | 1993-08-25 | Paper |
