| Publication | Date of Publication | Type |
|---|
Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
A Smooth Transition Finite Mixture Model for Accommodating Unobserved Heterogeneity
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Counterfactual Analysis and Inference With Nonstationary Data
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Modeling the evolution of deaths from infectious diseases with functional data models: the case of COVID-19 in Brazil
Statistics in Medicine | 2024-10-11 | Paper |
Bridging factor and sparse models
The Annals of Statistics | 2024-01-04 | Paper |
Bridging factor and sparse models
The Annals of Statistics | 2024-01-04 | Paper |
Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models
Journal of Econometrics | 2023-06-29 | Paper |
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction
Journal of the American Statistical Association | 2023-03-27 | Paper |
Counterfactual Analysis With Artificial Controls: Inference, High Dimensions, and Nonstationarity
Journal of the American Statistical Association | 2023-03-14 | Paper |
From zero to hero: realized partial (co)variances
Journal of Econometrics | 2022-12-14 | Paper |
Regularized estimation of high‐dimensional vector autoregressions with weakly dependent innovations
Journal of Time Series Analysis | 2022-08-11 | Paper |
Adaptive LASSO estimation for ARDL models with GARCH innovations
Econometric Reviews | 2022-06-08 | Paper |
A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
Econometric Reviews | 2022-06-03 | Paper |
A note on nonlinear cointegration, misspecification, and bimodality
Econometric Reviews | 2022-05-31 | Paper |
Regularized Estimation of High-Dimensional Vector AutoRegressions with Weakly Dependent Innovations
(available as arXiv preprint) | 2019-12-18 | Paper |
Instrument selection for estimation of a forward-looking Phillips curve
Economics Letters | 2018-09-05 | Paper |
Forecasting macroeconomic variables in data-rich environments
Economics Letters | 2018-08-31 | Paper |
Asymptotic theory for regressions with smoothly changing parameters
Journal of Time Series Econometrics | 2018-02-07 | Paper |
Moment-based estimation of smooth transition regression models with endogenous variables
Journal of Econometrics | 2016-08-12 | Paper |
Linear programming-based estimators in simple linear regression
Journal of Econometrics | 2016-08-12 | Paper |
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
Journal of Econometrics | 2016-06-22 | Paper |
A neural network demand system with heteroskedastic errors
Journal of Econometrics | 2016-06-22 | Paper |
An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals
Journal of Econometrics | 2016-06-22 | Paper |
\(\ell_1\)-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors
Journal of Econometrics | 2015-12-18 | Paper |
Modelling and forecasting noisy realized volatility
Computational Statistics and Data Analysis | 2012-06-20 | Paper |
The benefits of bagging for forecast models of realized volatility
Econometric Reviews | 2010-12-15 | Paper |
Testing for remaining autocorrelation of the residuals in the framework of fuzzy rule-based time series modelling
International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems | 2010-09-08 | Paper |
Linearity testing for fuzzy rule-based models
Fuzzy Sets and Systems | 2010-07-28 | Paper |
MODELING MULTIPLE REGIMES IN FINANCIAL VOLATILITY WITH A FLEXIBLE COEFFICIENT GARCH(1,1) MODEL
Econometric Theory | 2010-04-08 | Paper |
Tree-structured smooth transition regression models
Computational Statistics and Data Analysis | 2009-06-12 | Paper |
Realized Volatility: A Review
Econometric Reviews | 2008-11-19 | Paper |
Local Global Neural Networks
Journal of the American Statistical Association | 2005-02-21 | Paper |
Diagnostic Checking in a Flexible Nonlinear Time Series Model
Journal of Time Series Analysis | 2004-03-16 | Paper |
Piecewise linear time series estimation with GRASP
Computational Optimization and Applications | 2001-07-22 | Paper |
