| Publication | Date of Publication | Type |
|---|
| Generalized Covariance Estimator | 2024-03-06 | Paper |
| Noncausal affine processes with applications to derivative pricing | 2024-01-31 | Paper |
| Temporally local maximum likelihood with application to SIS model | 2024-01-22 | Paper |
| Dynamic deconvolution and identification of independent autoregressive sources | 2023-08-24 | Paper |
| Time varying Markov process with partially observed aggregate data: an application to coronavirus | 2022-12-14 | Paper |
| Required capital for long-run risks | 2022-12-12 | Paper |
| Identification and Estimation in Non-Fundamental Structural VARMA Models | 2022-11-11 | Paper |
| Estimated reproduction ratios in the SIR model | 2022-08-02 | Paper |
| Granularity Adjustment for Efficient Portfolios | 2022-05-31 | Paper |
| Disastrous Defaults | 2022-01-19 | Paper |
| Noncausal counting processes: a queuing perspective | 2021-10-11 | Paper |
| Stationary bubble equilibria in rational expectation models | 2021-02-09 | Paper |
| Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations | 2019-07-19 | Paper |
| Negative Binomial Autoregressive Process with Stochastic Intensity | 2019-06-17 | Paper |
| Local Explosion Modelling by Non-Causal Process | 2019-05-09 | Paper |
| Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects | 2019-04-29 | Paper |
| Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates | 2018-11-30 | Paper |
| The Dynamics of Hedge Fund Performance | 2018-11-30 | Paper |
| Correlated risks vs contagion in stochastic transition models | 2018-11-01 | Paper |
| Misspecification of noncausal order in autoregressive processes | 2018-05-31 | Paper |
| Nonparametric estimation of a scalar diffusion model from discrete time data: a survey | 2018-02-16 | Paper |
| Double instrumental variable estimation of interaction models with big data | 2017-11-07 | Paper |
| Noncausal vector autoregressive process: representation, identification and semi-parametric estimation | 2017-08-21 | Paper |
| Statistical inference for independent component analysis: application to structural VAR models | 2016-11-17 | Paper |
| Indirect inference for dynamic panel models | 2016-08-01 | Paper |
| The Wishart autoregressive process of multivariate stochastic volatility | 2016-07-04 | Paper |
| Dynamic quantile models | 2016-06-22 | Paper |
| Multivariate Jacobi process with application to smooth transitions | 2016-06-10 | Paper |
| Contagion phenomena with applications in finance | 2016-05-13 | Paper |
| Filtering, prediction and simulation methods for noncausal processes | 2016-05-03 | Paper |
| Econometric specification of stochastic discount factor models | 2016-05-02 | Paper |
| An efficient nonparametric estimator for models with nonlinear dependence | 2016-05-02 | Paper |
| Performance fees and hedge fund return dynamics | 2015-12-07 | Paper |
| On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes | 2015-11-13 | Paper |
| Size Distortion in the Analysis of Volatility and Covolatility Effects | 2015-10-09 | Paper |
| Love and death: a Freund model with frailty | 2015-08-20 | Paper |
| The Econometrics of Individual Risk | 2015-08-11 | Paper |
| Granularity adjustment for risk measures: systematic vs unsystematic risks | 2015-07-10 | Paper |
| Pricing with finite dimensional dependence | 2015-06-08 | Paper |
| Erratum to ``Pricing default events: surprise, exogeneity and contagion | 2014-11-24 | Paper |
| Efficiency in large dynamic panel models with common factors | 2014-11-14 | Paper |
| EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS | 2014-11-14 | Paper |
| Pricing default events: surprise, exogeneity and contagion | 2014-08-06 | Paper |
| ESTIMATION-ADJUSTED VAR | 2014-03-25 | Paper |
| Stochastic volatility duration models | 2014-03-07 | Paper |
| Kernel-based nonlinear canonical analysis and time reversibility | 2014-03-07 | Paper |
| ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE | 2014-02-11 | Paper |
| Efficient Derivative Pricing by the Extended Method of Moments | 2012-10-26 | Paper |
| Discrete time Wishart term structure models | 2011-06-17 | Paper |
| Derivative pricing with Wishart multivariate stochastic volatility | 2011-04-13 | Paper |
| Domain restrictions on interest rates implied by no arbitrage | 2011-03-25 | Paper |
| Bilinear term structure model | 2011-02-02 | Paper |
| Local likelihood density estimation and value-at-risk | 2010-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3645682 | 2009-11-18 | Paper |
| Duration time-series models with proportional hazard | 2009-02-28 | Paper |
| Encompassing and indirect inference | 2009-02-03 | Paper |
| Quadratic stochastic intensity and prospective mortality tables | 2008-08-18 | Paper |
| Structural Laplace Transform and Compound Autoregressive Models | 2007-05-29 | Paper |
| STOCHASTIC UNIT ROOT MODELS | 2007-04-23 | Paper |
| The Econometrics of Individual Risk | 2007-03-07 | Paper |
| Heterogeneous INAR(1) model with application to car insurance | 2007-03-02 | Paper |
| Continuous Time Wishart Process for Stochastic Risk | 2006-08-28 | Paper |
| Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations | 2005-05-20 | Paper |
| DYNAMIC FACTOR MODELS | 2004-06-18 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4429917 | 2003-10-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4409944 | 2003-07-01 | Paper |
| Instrumental Models and Indirect Encompassing | 2002-05-28 | Paper |
| State space models with finite dimensional dependence | 2002-04-24 | Paper |
| Truncated dynamics and estimation of diffusion equations | 2001-12-05 | Paper |
| Factor ARMA representation of a Markov process | 2001-08-20 | Paper |
| Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators | 2001-06-19 | Paper |
| Mean-variance hedging and numéraire | 2001-03-29 | Paper |
| Econometrics of Qualitative Dependent Variables | 2001-01-24 | Paper |
| Local power properties of kernel based goodness of fit tests | 2001-01-01 | Paper |
| Memory and infrequent breaks | 2000-12-12 | Paper |
| Kernel autocorrelogram for time-deformed processes | 1999-08-23 | Paper |
| Unemployment insurance and mortgages | 1998-03-17 | Paper |
| Rank tests for unit roots | 1997-11-04 | Paper |
| ARCH models and financial applications | 1997-05-27 | Paper |
| Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form | 1996-11-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4870467 | 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 | 1993-12-02 | Paper |
| Qualitative threshold ARCH models | 1992-06-28 | Paper |
| Testing For Common Roots | 1989-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3354419 | 1989-01-01 | Paper |
| Generalised residuals | 1987-01-01 | Paper |
| Simulated residuals | 1987-01-01 | Paper |
| Learning Procedures and Convergence to Rationality | 1986-01-01 | Paper |
| The Aggregation of Commodities in Quantity Rationing Models | 1985-01-01 | Paper |
| Rational Expectations Models and Bounded Memory | 1985-01-01 | Paper |
| Pseudo Maximum Likelihood Methods: Theory | 1984-01-01 | Paper |
| Pseudo Maximum Likelihood Methods: Applications to Poisson Models | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3696346 | 1984-01-01 | Paper |
| Some theoretical results for generalized ridge regression estimators | 1984-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3711622 | 1984-01-01 | Paper |
| Testing nested or non-nested hypotheses | 1983-01-01 | Paper |
| Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters | 1982-01-01 | Paper |
| Rational Expectations in Dynamic Linear Models: Analysis of the Solutions | 1982-01-01 | Paper |
| Asymptotic properties of the maximum likelihood estimator in dichotomous logit models | 1981-01-01 | Paper |
| On the Problem of Missing Data in Linear Models | 1981-01-01 | Paper |
| Sufficient Linear Structures: Econometric Applications | 1980-01-01 | Paper |
| Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes | 1980-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3896388 | 1980-01-01 | Paper |
| Disequilibrium Econometrics in Simultaneous Equations Systems | 1980-01-01 | Paper |
| Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment | 1980-01-01 | Paper |
