| Publication | Date of Publication | Type |
|---|
Generalized Covariance Estimator
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
Noncausal affine processes with applications to derivative pricing
Mathematical Finance | 2024-01-31 | Paper |
Temporally local maximum likelihood with application to SIS model
Journal of Time Series Econometrics | 2024-01-22 | Paper |
Dynamic deconvolution and identification of independent autoregressive sources
Journal of Time Series Analysis | 2023-08-24 | Paper |
Time varying Markov process with partially observed aggregate data: an application to coronavirus
Journal of Econometrics | 2022-12-14 | Paper |
Required capital for long-run risks
Journal of Economic Dynamics and Control | 2022-12-12 | Paper |
Identification and Estimation in Non-Fundamental Structural VARMA Models
Review of Economic Studies | 2022-11-11 | Paper |
Estimated reproduction ratios in the SIR model
The Canadian Journal of Statistics | 2022-08-02 | Paper |
Granularity Adjustment for Efficient Portfolios
Econometric Reviews | 2022-05-31 | Paper |
Disastrous Defaults
Review of Finance | 2022-01-19 | Paper |
Noncausal counting processes: a queuing perspective
Electronic Journal of Statistics | 2021-10-11 | Paper |
Stationary bubble equilibria in rational expectation models
Journal of Econometrics | 2021-02-09 | Paper |
Consistent pseudo-maximum likelihood estimators and groups of transformations
Econometrica | 2019-07-19 | Paper |
Negative binomial autoregressive process with stochastic intensity
Journal of Time Series Analysis | 2019-06-17 | Paper |
Local Explosion Modelling by Non-Causal Process
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-05-09 | Paper |
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects
Journal of Econometrics | 2019-04-29 | Paper |
Noncausal autoregressive model in application to Bitcoin/USD exchange rates
Econometrics of Risk | 2018-11-30 | Paper |
The dynamics of hedge fund performance
Econometrics of Risk | 2018-11-30 | Paper |
Correlated risks vs contagion in stochastic transition models
Journal of Economic Dynamics and Control | 2018-11-01 | Paper |
Misspecification of noncausal order in autoregressive processes
Journal of Econometrics | 2018-05-31 | Paper |
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
Annals of Operations Research | 2018-02-16 | Paper |
Double instrumental variable estimation of interaction models with big data
Journal of Econometrics | 2017-11-07 | Paper |
Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
Journal of Econometrics | 2017-08-21 | Paper |
Statistical inference for independent component analysis: application to structural VAR models
Journal of Econometrics | 2016-11-17 | Paper |
Indirect inference for dynamic panel models
Journal of Econometrics | 2016-08-01 | Paper |
The Wishart autoregressive process of multivariate stochastic volatility
Journal of Econometrics | 2016-07-04 | Paper |
Dynamic quantile models
Journal of Econometrics | 2016-06-22 | Paper |
Multivariate Jacobi process with application to smooth transitions
Journal of Econometrics | 2016-06-10 | Paper |
Contagion phenomena with applications in finance
| 2016-05-13 | Paper |
Filtering, prediction and simulation methods for noncausal processes
Journal of Time Series Analysis | 2016-05-03 | Paper |
Econometric specification of stochastic discount factor models
Journal of Econometrics | 2016-05-02 | Paper |
An efficient nonparametric estimator for models with nonlinear dependence
Journal of Econometrics | 2016-05-02 | Paper |
Performance fees and hedge fund return dynamics
International Journal of Approximate Reasoning | 2015-12-07 | Paper |
On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes
Journal of Time Series Analysis | 2015-11-13 | Paper |
Size distortion in the analysis of volatility and covolatility effects
Uncertainty Analysis in Econometrics with Applications | 2015-10-09 | Paper |
Love and death: a Freund model with frailty
Insurance Mathematics & Economics | 2015-08-20 | Paper |
The Econometrics of Individual Risk
| 2015-08-11 | Paper |
Granularity adjustment for risk measures: systematic vs unsystematic risks
International Journal of Approximate Reasoning | 2015-07-10 | Paper |
Pricing with finite dimensional dependence
Journal of Econometrics | 2015-06-08 | Paper |
Erratum to ``Pricing default events: surprise, exogeneity and contagion
Journal of Econometrics | 2014-11-24 | Paper |
Efficiency in large dynamic panel models with common factors
Econometric Theory | 2014-11-14 | Paper |
Pricing default events: surprise, exogeneity and contagion
Journal of Econometrics | 2014-08-06 | Paper |
Estimation-adjusted VaR
Econometric Theory | 2014-03-25 | Paper |
Stochastic volatility duration models
Journal of Econometrics | 2014-03-07 | Paper |
Kernel-based nonlinear canonical analysis and time reversibility
Journal of Econometrics | 2014-03-07 | Paper |
Allocating systemic risk in a regulatory perspective
International Journal of Theoretical and Applied Finance | 2014-02-11 | Paper |
Efficient derivative pricing by the extended method of moments
Econometrica | 2012-10-26 | Paper |
Discrete time Wishart term structure models
Journal of Economic Dynamics and Control | 2011-06-17 | Paper |
Derivative pricing with Wishart multivariate stochastic volatility
Journal of Business and Economic Statistics | 2011-04-13 | Paper |
Domain restrictions on interest rates implied by no arbitrage
Mathematical Finance | 2011-03-25 | Paper |
Bilinear term structure model
Mathematical Finance | 2011-02-02 | Paper |
Local likelihood density estimation and value-at-risk
Journal of Probability and Statistics | 2010-12-01 | Paper |
scientific article; zbMATH DE number 5635206 (Why is no real title available?)
| 2009-11-18 | Paper |
Duration time-series models with proportional hazard
Journal of Time Series Analysis | 2009-02-28 | Paper |
Encompassing and indirect inference
Journal of the Italian Statistical Society | 2009-02-03 | Paper |
Quadratic stochastic intensity and prospective mortality tables
Insurance Mathematics & Economics | 2008-08-18 | Paper |
Structural Laplace Transform and Compound Autoregressive Models
Journal of Time Series Analysis | 2007-05-29 | Paper |
STOCHASTIC UNIT ROOT MODELS
Econometric Theory | 2007-04-23 | Paper |
The Econometrics of Individual Risk
| 2007-03-07 | Paper |
Heterogeneous INAR(1) model with application to car insurance
Insurance Mathematics & Economics | 2007-03-02 | Paper |
Continuous Time Wishart Process for Stochastic Risk
Econometric Reviews | 2006-08-28 | Paper |
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations
Journal of Time Series Analysis | 2005-05-20 | Paper |
DYNAMIC FACTOR MODELS
Econometric Reviews | 2004-06-18 | Paper |
scientific article; zbMATH DE number 1987697 (Why is no real title available?)
| 2003-10-01 | Paper |
scientific article; zbMATH DE number 1943903 (Why is no real title available?)
| 2003-07-01 | Paper |
Instrumental Models and Indirect Encompassing
Econometrica | 2002-05-28 | Paper |
State space models with finite dimensional dependence
Journal of Time Series Analysis | 2002-04-24 | Paper |
Truncated dynamics and estimation of diffusion equations
Journal of Econometrics | 2001-12-05 | Paper |
Factor ARMA representation of a Markov process
Economics Letters | 2001-08-20 | Paper |
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
Journal of Econometrics | 2001-06-19 | Paper |
Mean-variance hedging and numéraire
Mathematical Finance | 2001-03-29 | Paper |
Econometrics of Qualitative Dependent Variables
| 2001-01-24 | Paper |
Local power properties of kernel based goodness of fit tests
Journal of Multivariate Analysis | 2001-01-01 | Paper |
Memory and infrequent breaks
Economics Letters | 2000-12-12 | Paper |
Kernel autocorrelogram for time-deformed processes
Journal of Statistical Planning and Inference | 1999-08-23 | Paper |
Unemployment insurance and mortgages
Insurance Mathematics & Economics | 1998-03-17 | Paper |
Rank tests for unit roots
Journal of Econometrics | 1997-11-04 | Paper |
ARCH models and financial applications
Springer Series in Statistics | 1997-05-27 | Paper |
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
Journal of Statistical Planning and Inference | 1996-11-11 | Paper |
scientific article; zbMATH DE number 857931 (Why is no real title available?)
| 1996-03-19 | Paper |
Time Series and Dynamic Models
| 1996-03-19 | Paper |
Simulation-based inference. A survey with special reference to panel data models
Journal of Econometrics | 1993-12-02 | Paper |
Qualitative threshold ARCH models
Journal of Econometrics | 1992-06-28 | Paper |
Testing For Common Roots
Econometrica | 1989-01-01 | Paper |
scientific article; zbMATH DE number 4207173 (Why is no real title available?)
| 1989-01-01 | Paper |
Generalised residuals
Journal of Econometrics | 1987-01-01 | Paper |
Simulated residuals
Journal of Econometrics | 1987-01-01 | Paper |
Learning Procedures and Convergence to Rationality
Econometrica | 1986-01-01 | Paper |
The Aggregation of Commodities in Quantity Rationing Models
International Economic Review | 1985-01-01 | Paper |
Rational Expectations Models and Bounded Memory
Econometrica | 1985-01-01 | Paper |
Pseudo Maximum Likelihood Methods: Theory
Econometrica | 1984-01-01 | Paper |
Pseudo Maximum Likelihood Methods: Applications to Poisson Models
Econometrica | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3921780 (Why is no real title available?)
| 1984-01-01 | Paper |
Some theoretical results for generalized ridge regression estimators
Journal of Econometrics | 1984-01-01 | Paper |
scientific article; zbMATH DE number 3940574 (Why is no real title available?)
| 1984-01-01 | Paper |
Testing nested or non-nested hypotheses
Journal of Econometrics | 1983-01-01 | Paper |
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
Econometrica | 1982-01-01 | Paper |
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
Econometrica | 1982-01-01 | Paper |
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
Journal of Econometrics | 1981-01-01 | Paper |
On the Problem of Missing Data in Linear Models
Review of Economic Studies | 1981-01-01 | Paper |
Sufficient Linear Structures: Econometric Applications
Econometrica | 1980-01-01 | Paper |
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
Econometrica | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3703856 (Why is no real title available?)
| 1980-01-01 | Paper |
Disequilibrium Econometrics in Simultaneous Equations Systems
Econometrica | 1980-01-01 | Paper |
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
International Economic Review | 1980-01-01 | Paper |
