| Publication | Date of Publication | Type |
|---|
A new recognition algorithm for ``head-and-shoulders price patterns
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Estimation and inference of threshold regression models with measurement errors
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Theory and applications of TAR model with two threshold variables
Econometric Reviews | 2022-05-31 | Paper |
Non identification of structural change in non stationary AR(1) models
Communications in Statistics: Theory and Methods | 2022-05-25 | Paper |
Market reaction to iPhone rumors
Algorithmic Finance | 2022-03-04 | Paper |
Estimating multiple breaks in nonstationary autoregressive models
Journal of Econometrics | 2021-02-04 | Paper |
An investigation of duration dependence in the American stock market cycle
Journal of Applied Statistics | 2020-09-29 | Paper |
Frequentist model averaging for threshold models
Annals of the Institute of Statistical Mathematics | 2019-05-17 | Paper |
Factor pricing in commodity futures and the role of liquidity
Quantitative Finance | 2018-11-19 | Paper |
Structural change in nonstationary \(\mathrm{AR}(1)\) models
Econometric Theory | 2018-09-06 | Paper |
The stock-bond comovements and cross-market trading
Journal of Economic Dynamics and Control | 2018-08-10 | Paper |
Dirichlet process hidden Markov multiple change-point model
Bayesian Analysis | 2016-04-22 | Paper |
Dirichlet process hidden Markov multiple change-point model
Bayesian Analysis | 2016-04-22 | Paper |
Asymptotic inferences for an AR(1) model with a change point: stationary and nearly non-stationary cases
Journal of Time Series Analysis | 2014-12-10 | Paper |
Time series test of nonlinear convergence and transitional dynamics
Economics Letters | 2013-01-29 | Paper |
Are Asian real exchange rates stationary?
Economics Letters | 2013-01-01 | Paper |
On the sample variance of explosive random coefficient autoregressive processes
Applied Mathematics Letters | 2011-12-28 | Paper |
The empirical quest for \(\pi \)
Computers & Mathematics with Applications | 2009-07-17 | Paper |
An Omnibus Test for Time Series ModelI(d)
Communications in Statistics. Simulation and Computation | 2009-03-24 | Paper |
Generic consistency of the break-point estimators under specification errors in a multiple-break model
Econometrics Journal | 2008-08-21 | Paper |
A Class Test for Fractional Integration
Studies in Nonlinear Dynamics & Econometrics | 2008-04-04 | Paper |
The polynomial aggregated AR(1) model*
Econometrics Journal | 2006-05-26 | Paper |
Generic consistency of the break‐point estimator under specification errors
Econometrics Journal | 2003-01-01 | Paper |
Time series properties of aggregated AR(2) processes
Economics Letters | 2002-03-03 | Paper |
Estimating the differencing parameter via the partial autocorrelation function
Journal of Econometrics | 2001-09-17 | Paper |
Estimating the locations and number of change points by the sample-splitting method
Statistical Papers | 2001-07-19 | Paper |
Structural change in AR(1) models
Econometric Theory | 2001-05-16 | Paper |
| scientific article; zbMATH DE number 1396257 (Why is no real title available?) | 2000-09-10 | Paper |
Estimating the fractionally integrated process in the presence of measurement errors
Economics Letters | 1999-06-21 | Paper |
| scientific article; zbMATH DE number 1240934 (Why is no real title available?) | 1999-06-13 | Paper |
Partial parameter consistency in a misspecified structural change model
Economics Letters | 1997-02-27 | Paper |
