| Publication | Date of Publication | Type |
|---|
| Seasonal generalized AR models | 2024-02-23 | Paper |
| Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models | 2023-04-17 | Paper |
| Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications | 2023-03-30 | Paper |
| Estimation methods for stationary Gegenbauer processes | 2022-12-21 | Paper |
| Minimum Message Length Autoregressive Moving Average Model Order Selection | 2021-10-07 | Paper |
| A general frequency domain estimation method for Gegenbauer processes | 2021-08-17 | Paper |
| Cointegrated dynamics for a generalized long memory process: application to interest rates | 2020-09-03 | Paper |
| Fractionally differenced Gegenbauer processes with long memory: a review | 2018-12-10 | Paper |
| State space modeling of Gegenbauer processes with long memory | 2018-08-15 | Paper |
| Bayesian estimation and inference for log-ACD models | 2016-08-04 | Paper |
| Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks | 2016-06-22 | Paper |
| Count Distribution for Generalized Weibull Duration with Applications | 2016-03-30 | Paper |
| Second-order least-squares estimation for regression models with autocorrelated errors | 2015-03-05 | Paper |
| Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities | 2014-09-26 | Paper |
| The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics | 2014-03-27 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5400900 | 2014-03-12 | Paper |
| Approximate Asymptotic Variance-Covariance Matrix for the Whittle Estimators of GAR(1) Parameters | 2013-05-13 | Paper |
| Hypothesis testing for some time-series models: a power comparison | 2012-09-02 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2888194 | 2012-05-30 | Paper |
| Some Properties of the Generalized Autoregressive Moving Average (GARMA (1, 1; δ1, δ2)) Model | 2012-05-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3224722 | 2012-04-02 | Paper |
| Doubly stochastic models with GARCH innovations | 2011-12-28 | Paper |
| Time Series Properties of the Class of Generalized First-Order Autoregressive Processes with Moving Average Errors | 2011-07-20 | Paper |
| A note on the properties of generalised separable spatial autoregressive process | 2010-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5852408 | 2010-01-27 | Paper |
| On properties of the second order generalized autoregressive GAR(2) model with index | 2009-11-16 | Paper |
| Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market | 2009-06-18 | Paper |
| An example of a misclassification problem applied to Australian equity data | 2009-05-29 | Paper |
| Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study | 2009-05-12 | Paper |
| The empirical saddlepoint method applied to testing for serial correlation in panel time series data | 2008-11-25 | Paper |
| Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance | 2008-08-08 | Paper |
| Random coefficient volatility models | 2008-04-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5756426 | 2007-09-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5756428 | 2007-09-04 | Paper |
| An introduction to volatility models with indices | 2007-02-19 | Paper |
| Saddlepoint approximation methods for testing of serial correlation in panel time series data | 2006-08-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3378837 | 2006-04-04 | Paper |
| Forecasting volatility | 2005-12-05 | Paper |
| Some statistical models for durations and an application to News Corporation stock prices | 2005-08-05 | Paper |
| A Note on the Filtering for Some Time Series Models | 2005-05-20 | Paper |
| Smoothed estimates for models with random coefficients and infinite variance innovations | 2005-02-22 | Paper |
| A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations | 2005-01-14 | Paper |
| The bias of lag window estimators of the fractional difference parameter. | 2004-06-22 | Paper |
| Generalized smoothed estimating functions for nonlinear time series. | 2004-02-14 | Paper |
| A note on the modelling and analysis of vector ARMA processes with nonstationary innovations | 2003-10-15 | Paper |
| Multivariate stable ARMA processes with time dependent coefficients | 2003-03-25 | Paper |
| Recursive estimation for regression with infinite variance fractional ARIMA noise | 2002-06-13 | Paper |
| Estimation for regression with infinite variance errors | 2002-05-05 | Paper |
| Inference for some time series models with random coefficients and infinite variance innovations | 2001-07-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4215575 | 2000-10-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5687611 | 1997-03-09 | Paper |
| A simulation study on vector arma processes with nonstationary innovation:a new approach to identification | 1997-01-01 | Paper |
| Predictors for Seasonal and Nonseasonal Fractionally Integrated ARIMA Models | 1996-12-01 | Paper |
| Nonparametric estimation for some nonlinear models | 1996-09-15 | Paper |
| Some Aspects of Forecasting with Vector Moving Average Processes | 1996-02-13 | Paper |
| LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS | 1995-11-28 | Paper |
| Analysis of short time series with an over-dispersion model | 1995-08-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4838522 | 1995-07-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4006458 | 1992-09-26 | Paper |
| Analysis of multivariate arma processes with non-stationary innovations | 1990-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3468475 | 1989-01-01 | Paper |
| On the study of some functions of multivariate ARMA processes | 1988-01-01 | Paper |
| On the prediction of multivariate arma processes with a time dependent covariance structure | 1988-01-01 | Paper |
| ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS | 1988-01-01 | Paper |
| A note on the properties of some nonstationary ARMA processes | 1987-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3766665 | 1987-01-01 | Paper |
| A Note on the Predictors of Differenced Sequences | 1987-01-01 | Paper |
| On prediction with time dependent arma models | 1986-01-01 | Paper |
