| Publication | Date of Publication | Type |
|---|
| Comment | 2025-01-20 | Paper |
| Jackknife estimation of a cluster-sample IV regression model with many weak instruments | 2023-06-29 | Paper |
| Jump Spillover and Risk Effects on Excess Returns in the United States During the Great Recession | 2020-12-09 | Paper |
| Combining Two Consistent Estimators | 2020-11-10 | Paper |
| An Expository Note on the Existence of Moments of Fuller and HFUL Estimators | 2020-11-10 | Paper |
| Volatility in Discrete and Continuous-Time Models: A Survey with New Evidence on Large and Small Jumps | 2020-07-10 | Paper |
| Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps | 2020-07-10 | Paper |
| Diffusion Index Model Specification and Estimation Using Mixed Frequency Datasets | 2018-12-13 | Paper |
| Instrumental variable estimation with heteroskedasticity and many instruments | 2018-12-04 | Paper |
| Testing for jumps and jump intensity path dependence | 2018-05-25 | Paper |
| ROBUST FORECAST COMPARISON | 2017-10-25 | Paper |
| Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models | 2016-08-10 | Paper |
| Predictive density estimators for daily volatility based on the use of realized measures | 2016-07-04 | Paper |
| Predictive density and conditional confidence interval accuracy tests | 2016-06-10 | Paper |
| The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test | 2016-06-10 | Paper |
| An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series | 2016-06-10 | Paper |
| Alternative approximations of the bias and MSE of the IV estimator under weak identification with an application to bias correction | 2016-05-04 | Paper |
| Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data | 2016-05-02 | Paper |
| Bootstrap conditional distribution tests in the presence of dynamic misspecification | 2016-04-25 | Paper |
| Bootstrap specification tests for diffusion processes | 2016-03-24 | Paper |
| Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction | 2015-06-08 | Paper |
| Testing overidentifying restrictions with many instruments and heteroskedasticity | 2014-08-07 | Paper |
| Forecasting financial and macroeconomic variables using data reduction methods: new empirical evidence | 2014-08-06 | Paper |
| Testing for structural stability of factor augmented forecasting models | 2014-06-04 | Paper |
| A test for the distributional comparison of simulated and historical data | 2013-01-01 | Paper |
| ASYMPTOTIC DISTRIBUTION OF JIVE IN A HETEROSKEDASTIC IV REGRESSION WITH MANY INSTRUMENTS | 2012-03-29 | Paper |
| Predictive Inference for Integrated Volatility | 2012-03-22 | Paper |
| Seeing Inside the Black Box: Using Diffusion Index Methodology to Construct Factor Proxies in Large Scale Macroeconomic Time Series Environments | 2010-12-15 | Paper |
| Chapter 14 A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects | 2007-07-23 | Paper |
| Temporal aggregation and spurious instantaneous causality in multiple time series models | 2007-05-29 | Paper |
| Consistent Estimation with a Large Number of Weak Instruments | 2006-10-24 | Paper |
| A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS | 2006-03-08 | Paper |
| Forecasting Using First-Available Versus Fully Revised Economic Time-Series Data | 2006-01-27 | Paper |
| Predictive Evaluation of Econometric Forecasting Models in Commodity Futures Markets | 2006-01-27 | Paper |
| A consistent test for nonlinear out of sample predictive accuracy. | 2003-02-17 | Paper |
| Out-of-sample tests for Granger causality | 2002-07-02 | Paper |
| The econometric consequences of the ceteris paribus condition in economic theory | 2001-09-17 | Paper |
| A new definition for time-dependent price mean reversion in commodity markets | 2001-08-20 | Paper |
| TESTS OF NONNESTED HYPOTHESES IN NONSTATIONARY REGRESSIONS WITH AN APPLICATION TO MODELING INDUSTRIAL PRODUCTION | 2001-06-11 | Paper |
| Predictive ability with cointegrated variables | 2001-01-01 | Paper |
| Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes | 2000-01-01 | Paper |
| Finite sample properties of a simple LM test for neglected nonlinearity in error‐correcting regression equations | 1999-10-05 | Paper |
| An introduction to stochastic unit-root processes | 1998-05-03 | Paper |
| Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions | 1997-11-18 | Paper |
