| Publication | Date of Publication | Type |
|---|
An introduction to vector Gegenbauer processes with long memory
Stat | 2024-05-19 | Paper |
Seasonal generalized AR models
Communications in Statistics: Theory and Methods | 2024-02-23 | Paper |
Efficient estimation of financial risk by regressing the quantiles of parametric distributions: an application to CARR models
Studies in Nonlinear Dynamics & Econometrics | 2023-04-17 | Paper |
Bayesian estimation of Gegenbauer long memory processes with stochastic volatility: methods and applications
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Estimation methods for stationary Gegenbauer processes
Statistical Papers | 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
Journal of Time Series Econometrics | 2021-08-17 | Paper |
Cointegrated dynamics for a generalized long memory process: application to interest rates
Journal of Time Series Econometrics | 2020-09-03 | Paper |
Fractionally differenced Gegenbauer processes with long memory: a review
Statistical Science | 2018-12-10 | Paper |
State space modeling of Gegenbauer processes with long memory
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Bayesian estimation and inference for log-ACD models
Computational Statistics | 2016-08-04 | Paper |
Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
Journal of Econometrics | 2016-06-22 | Paper |
Count Distribution for Generalized Weibull Duration with Applications
Communications in Statistics. Theory and Methods | 2016-03-30 | Paper |
Second-order least-squares estimation for regression models with autocorrelated errors
Computational Statistics | 2015-03-05 | Paper |
Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities
Statistical Papers | 2014-09-26 | Paper |
The efficient modelling of high frequency transaction data: a new application of estimating functions in financial economics
Economics Letters | 2014-03-27 | Paper |
| Efficient estimation of regression models with heteroscedastic errors | 2014-03-12 | Paper |
Approximate asymptotic variance-covariance matrix for the Whittle estimators of GAR(1) parameters
Communications in Statistics: Theory and Methods | 2013-05-13 | Paper |
Hypothesis testing for some time-series models: a power comparison
Statistics & Probability Letters | 2012-09-02 | Paper |
Forecasting performance of the (MA) model and the (GMA) model with applications to fnance
Journal of Applied Statistical Science | 2012-05-30 | Paper |
Some properties of the generalized autoregressive moving average (GARMA (1, 1; \(\delta _{1}, \delta _{2}\))) model
Communications in Statistics. Theory and Methods | 2012-05-18 | Paper |
| A new iterative procedure for estimation of RCA parameters based on estimating functions | 2012-04-02 | Paper |
Doubly stochastic models with GARCH innovations
Applied Mathematics Letters | 2011-12-28 | Paper |
Time series properties of the class of generalized first-order autoregressive processes with moving average errors
Communications in Statistics: Theory and Methods | 2011-07-20 | Paper |
A note on the properties of generalised separable spatial autoregressive process
Journal of Probability and Statistics | 2010-12-01 | Paper |
| Time series properties of the class of first order autoregressive processes with generalized moving average errors | 2010-01-27 | Paper |
On properties of the second order generalized autoregressive GAR(2) model with index
Mathematics and Computers in Simulation | 2009-11-16 | Paper |
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
Mathematics and Computers in Simulation | 2009-06-18 | Paper |
An example of a misclassification problem applied to Australian equity data
Computational Statistics and Data Analysis | 2009-05-29 | Paper |
Generalized Autoregressive (GAR) Model: A Comparison of Maximum Likelihood and Whittle Estimation Procedures Using a Simulation Study
Communications in Statistics. Simulation and Computation | 2009-05-12 | Paper |
The empirical saddlepoint method applied to testing for serial correlation in panel time series data
Statistics & Probability Letters | 2008-11-25 | Paper |
Derivation of Kurtosis and Option Pricing Formulas for Popular Volatility Models with Applications in Finance
Communications in Statistics: Theory and Methods | 2008-08-08 | Paper |
Random coefficient volatility models
Statistics & Probability Letters | 2008-04-28 | Paper |
| Improving the quality of forecasting using generalized AR models: an application to statistical quality control | 2007-09-04 | Paper |
| Applications of recursive estimation methods in statistical process control: a comparison | 2007-09-04 | Paper |
An introduction to volatility models with indices
Applied Mathematics Letters | 2007-02-19 | Paper |
Saddlepoint approximation methods for testing of serial correlation in panel time series data
Journal of Statistical Computation and Simulation | 2006-08-28 | Paper |
| An introduction to generalized moving average models and applications | 2006-04-04 | Paper |
Forecasting volatility
Statistics & Probability Letters | 2005-12-05 | Paper |
Some statistical models for durations and an application to News Corporation stock prices
Mathematics and Computers in Simulation | 2005-08-05 | Paper |
A Note on the Filtering for Some Time Series Models
Journal of Time Series Analysis | 2005-05-20 | Paper |
Smoothed estimates for models with random coefficients and infinite variance innovations
Mathematical and Computer Modelling | 2005-02-22 | Paper |
A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations
Communications in Statistics: Theory and Methods | 2005-01-14 | Paper |
The bias of lag window estimators of the fractional difference parameter.
Journal of Applied Mathematics and Computing | 2004-06-22 | Paper |
Generalized smoothed estimating functions for nonlinear time series.
Statistics & Probability Letters | 2004-02-14 | Paper |
A note on the modelling and analysis of vector ARMA processes with nonstationary innovations
Mathematical and Computer Modelling | 2003-10-15 | Paper |
Multivariate stable ARMA processes with time dependent coefficients
Metrika | 2003-03-25 | Paper |
Recursive estimation for regression with infinite variance fractional ARIMA noise
Mathematical and Computer Modelling | 2002-06-13 | Paper |
Estimation for regression with infinite variance errors
Mathematical and Computer Modelling | 2002-05-05 | Paper |
Inference for some time series models with random coefficients and infinite variance innovations
Mathematical and Computer Modelling | 2001-07-08 | Paper |
| scientific article; zbMATH DE number 1215445 (Why is no real title available?) | 2000-10-12 | Paper |
| scientific article; zbMATH DE number 958162 (Why is no real title available?) | 1997-03-09 | Paper |
A simulation study on vector arma processes with nonstationary innovation:a new approach to identification
Journal of Statistical Computation and Simulation | 1997-01-01 | Paper |
Predictors for Seasonal and Nonseasonal Fractionally Integrated ARIMA Models
Biometrical Journal | 1996-12-01 | Paper |
Nonparametric estimation for some nonlinear models
Statistics & Probability Letters | 1996-09-15 | Paper |
Some Aspects of Forecasting with Vector Moving Average Processes
Calcutta Statistical Association Bulletin | 1996-02-13 | Paper |
LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
Journal of Time Series Analysis | 1995-11-28 | Paper |
Analysis of short time series with an over-dispersion model
Communications in Statistics: Theory and Methods | 1995-08-17 | Paper |
| scientific article; zbMATH DE number 772913 (Why is no real title available?) | 1995-07-12 | Paper |
| scientific article; zbMATH DE number 55960 (Why is no real title available?) | 1992-09-26 | Paper |
Analysis of multivariate arma processes with non-stationary innovations
Communications in Statistics: Theory and Methods | 1990-01-01 | Paper |
| scientific article; zbMATH DE number 4135242 (Why is no real title available?) | 1989-01-01 | Paper |
On the study of some functions of multivariate ARMA processes
Journal of Multivariate Analysis | 1988-01-01 | Paper |
ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS
Journal of Time Series Analysis | 1988-01-01 | Paper |
On the prediction of multivariate arma processes with a time dependent covariance structure
Communications in Statistics: Theory and Methods | 1988-01-01 | Paper |
A note on the properties of some nonstationary ARMA processes
Stochastic Processes and their Applications | 1987-01-01 | Paper |
A Note on the Predictors of Differenced Sequences
Australian Journal of Statistics | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 4024556 (Why is no real title available?) | 1987-01-01 | Paper |
On prediction with time dependent arma models
Communications in Statistics: Theory and Methods | 1986-01-01 | Paper |
