| Publication | Date of Publication | Type |
|---|
On Bounded Completeness and the $L_1$-Denseness of Likelihood Ratios
| 2023-08-01 | Paper |
The effect of the assumed interest rate and smoothing on variable annuities
ASTIN Bulletin | 2020-02-03 | Paper |
The annuity puzzle remains a puzzle
Journal of Economic Dynamics and Control | 2018-08-10 | Paper |
The composite iteration algorithm for finding efficient and financially fair risk-sharing rules
Journal of Mathematical Economics | 2017-09-14 | Paper |
Efficient estimation of integrated volatility and related processes
Econometric Theory | 2017-05-16 | Paper |
Cooperative investment in incomplete markets under financial fairness
Insurance Mathematics \& Economics | 2016-12-14 | Paper |
A class of simple distribution-free rank-based unit root tests
Journal of Econometrics | 2016-08-12 | Paper |
Causality effects in return volatility measures with random times
Journal of Econometrics | 2016-08-10 | Paper |
Asymptotic inference for jump diffusions with state-dependent intensity
Scandinavian Journal of Statistics | 2016-06-29 | Paper |
Semiparametric error-correction models for cointegration with trends: pseudo-Gaussian and optimal rank-based tests of the cointegration rank
Journal of Econometrics | 2015-12-02 | Paper |
On quadratic expansions of log-likelihoods and a general asymptotic linearity result
Mathematical Statistics and Limit Theorems | 2015-06-24 | Paper |
Residual-based rank specification tests for AR-GARCH type models
Journal of Econometrics | 2015-05-06 | Paper |
Semiparametric Gaussian copula models: geometry and efficient rank-based estimation
The Annals of Statistics | 2014-12-12 | Paper |
The dynamic mixed hitting-time model for multiple transaction prices and times
Journal of Econometrics | 2014-06-04 | Paper |
GARCH and irregularly spaced data
Economics Letters | 2013-01-07 | Paper |
Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
Journal of the Royal Statistical Society. Series B. Statistical Methodology | 2012-10-16 | Paper |
Optimal Annuity Risk Management*
Review of Finance | 2011-11-15 | Paper |
The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
Bernoulli | 2010-11-15 | Paper |
Local asymptotic normality and efficient estimation for INAR(p) models
Journal of Time Series Analysis | 2010-04-22 | Paper |
Semiparametrically Efficient Inference Based on Signs and Ranks for Median-Restricted Models
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2008-11-25 | Paper |
Note on integer-valued bilinear time series models
Statistics \& Probability Letters | 2008-06-11 | Paper |
Conditions for the asymptotic semiparametric efficiency of an omnibus estimator of dependence parameters in copula models
| 2008-05-14 | Paper |
Serial and nonserial sign-and-rank statistics: Asymptotic representation and asymptotic nor\-mal\-ity
The Annals of Statistics | 2006-06-21 | Paper |
Semiparametric lower bounds for tail index estimation
Journal of Statistical Planning and Inference | 2006-01-10 | Paper |
Bivariate option pricing using dynamic copula models
Insurance Mathematics \& Economics | 2005-09-29 | Paper |
scientific article; zbMATH DE number 2206041 (Why is no real title available?)
| 2005-09-16 | Paper |
Semi-parametric efficiency, distribution-freeness and invariance
Bernoulli | 2003-10-09 | Paper |
Optimal inference for discretely observed semiparametric Ornstein-Uhlenbeck processes
Journal of Statistical Planning and Inference | 2001-07-30 | Paper |
A convenient way to characterize equivalent martingale measures in incomplete markets
Statistical Inference for Stochastic Processes | 2001-07-08 | Paper |
Adaptive estimation in time-series models
The Annals of Statistics | 2000-08-02 | Paper |
scientific article; zbMATH DE number 1302964 (Why is no real title available?)
| 1999-06-17 | Paper |
scientific article; zbMATH DE number 1069631 (Why is no real title available?)
| 1997-10-01 | Paper |
Closing the GARCH gap: Continuous time GARCH modeling
Journal of Econometrics | 1996-12-08 | Paper |
