| Publication | Date of Publication | Type |
|---|
Parameter estimation of a two-colored urn model class
The International Journal of Biostatistics | 2024-11-12 | Paper |
Branching random walk with infinite progeny mean: a tale of two tails
Stochastic Processes and their Applications | 2023-05-17 | Paper |
The tail process and tail measure of continuous time regularly varying stochastic processes
Extremes | 2022-04-04 | Paper |
Heavy tailed time series
Springer Series in Operations Research and Financial Engineering | 2020-05-18 | Paper |
Statistical inference for heavy tailed series with extremal independence
Extremes | 2020-02-28 | Paper |
The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
Stochastic Processes and their Applications | 2019-11-27 | Paper |
The tail process revisited
Extremes | 2018-12-20 | Paper |
Tail measure and spectral tail process of regularly varying time series
The Annals of Applied Probability | 2018-12-17 | Paper |
An invariance principle for sums and record times of regularly varying stationary sequences
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2018-11-21 | Paper |
Markov Chains
Springer Series in Operations Research and Financial Engineering | 2018-08-28 | Paper |
Drift in transaction-level asset price models
Journal of Time Series Analysis | 2017-09-18 | Paper |
Asymptotics for duration-driven long range dependent processes
Journal of Econometrics | 2016-05-27 | Paper |
Estimation of conditional laws given an extreme component
Extremes | 2016-01-22 | Paper |
The diameter of an elliptical cloud
Electronic Journal of Probability | 2015-08-07 | Paper |
Heavy tailed time series with extremal independence
Extremes | 2015-07-07 | Paper |
Convergence to stable laws in the space \(\mathcal D\)
Journal of Applied Probability | 2015-05-29 | Paper |
Limit laws in transaction-level asset price models
Econometric Theory | 2014-09-25 | Paper |
Estimating the scaling function of multifractal measures and multifractal random walks using ratios
Bernoulli | 2014-04-10 | Paper |
Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process
Extremes | 2013-06-25 | Paper |
Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances
Advances in Applied Probability | 2013-02-28 | Paper |
Function-indexed empirical processes based on an infinite source Poisson transmission stream
Bernoulli | 2012-08-09 | Paper |
Optimal rates of convergence in the Weibull model based on kernel-type estimators
Statistics & Probability Letters | 2012-05-18 | Paper |
Monotone spectral density estimation
The Annals of Statistics | 2011-04-05 | Paper |
On the properties of the periodogram of a stationary long-memory process over different epochs with applications
Journal of Time Series Analysis | 2011-02-22 | Paper |
The tail empirical process for long memory stochastic volatility sequences
Stochastic Processes and their Applications | 2011-01-14 | Paper |
Limit conditional distributions for bivariate vectors with polar representation
Stochastic Models | 2010-05-21 | Paper |
Stochastic Volatility Models with Long Memory
Handbook of Financial Time Series | 2009-11-27 | Paper |
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
Econometric Theory | 2009-09-30 | Paper |
Estimation of bivariate excess probabilities for elliptical models
Bernoulli | 2009-03-02 | Paper |
Corrigendum to "Estimating Long Memory in Volatility"
Econometrica | 2008-06-13 | Paper |
On the existence of some ARCH\((\infty)\)processes
Stochastic Processes and their Applications | 2008-04-28 | Paper |
Computable convergence rates for sub-geometric ergodic Markov chains
Bernoulli | 2008-02-06 | Paper |
Estimation of the memory parameter of the infinite-source Poisson process
Bernoulli | 2008-01-09 | Paper |
Log-average periodogram estimator of the memory parameter
| 2007-12-05 | Paper |
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
Journal of the American Statistical Association | 2007-08-20 | Paper |
Long Memory in Nonlinear Processes
Lecture Notes in Statistics | 2007-01-09 | Paper |
Subgeometric ergodicity of Markov chains
Lecture Notes in Statistics | 2007-01-09 | Paper |
Estimating Long Memory in Volatility
Econometrica | 2006-10-24 | Paper |
Nonlinear functionals of the periodogram
Journal of Time Series Analysis | 2005-05-20 | Paper |
The FEXP estimator for potentially non-stationary linear time series.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Estimation of the location and exponent of the spectral singularity of a long memory process
Journal of Time Series Analysis | 2004-11-24 | Paper |
The periodogram of an i.i.d. sequence.
Stochastic Processes and their Applications | 2004-09-22 | Paper |
Practical drift conditions for subgeometric rates of convergence.
The Annals of Applied Probability | 2004-09-15 | Paper |
Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes.
Statistics & Probability Letters | 2004-03-14 | Paper |
The central limit theorem for stationary associated sequences
Acta Mathematica Hungarica | 2003-08-06 | Paper |
scientific article; zbMATH DE number 1944314 (Why is no real title available?)
| 2003-07-01 | Paper |
scientific article; zbMATH DE number 1944036 (Why is no real title available?)
| 2003-07-01 | Paper |
TESTING FOR LONG MEMORY IN VOLATILITY
Econometric Theory | 2003-05-18 | Paper |
Adaptive estimation of the fractional differencing coefficient
Bernoulli | 2003-03-10 | Paper |
Adaptive estimation of the spectral density of a weakly or strongly dependent Gaussian process
Mathematical Methods of Statistics | 2003-02-10 | Paper |
Moment bounds and central limit theorem for functions of Gaussian vectors
Statistics & Probability Letters | 2002-09-15 | Paper |
Convergence of random spectral measures and applications to invariance principles.
Statistical Inference for Stochastic Processes | 2002-01-24 | Paper |
Estimation adaptative de la densité spectrale d'un processus gaussien faiblement ou fortement dépendant
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2001-10-04 | Paper |
Broadband log-periodogram regression of time series with long-range dependence
The Annals of Statistics | 2001-06-19 | Paper |
scientific article; zbMATH DE number 1489832 (Why is no real title available?)
| 2001-03-19 | Paper |
Data driven order selection for projection estimator of the spectral density of time series with long range dependence
Journal of Time Series Analysis | 2001-03-01 | Paper |
Wavelet estimator of long-range dependent processes.
Statistical Inference for Stochastic Processes | 2000-01-01 | Paper |
Marcinkiewicz-Zygmund strong laws for infinite variance time series.
Statistical Inference for Stochastic Processes | 2000-01-01 | Paper |
Recent advances on the semi-parametric estimation of the long-range dependence coefficient
ESAIM: Proceedings | 1999-01-27 | Paper |
Non parametric estimation of the diffusion coefficient of a diffusion process
Stochastic Analysis and Applications | 1998-09-10 | Paper |
scientific article; zbMATH DE number 1053613 (Why is no real title available?)
| 1998-02-10 | Paper |
scientific article; zbMATH DE number 962365 (Why is no real title available?)
| 1997-06-26 | Paper |
scientific article; zbMATH DE number 27683 (Why is no real title available?)
| 1992-06-27 | Paper |
