| Publication | Date of Publication | Type |
|---|
Testing uncovered interest parity: a continuous-time approach
International Economic Review | 2026-02-04 | Paper |
Conditional means of time series processes and time series processes for conditional means
International Economic Review | 2026-02-04 | Paper |
Information matrix tests for multinomial logit models
Economics Letters | 2025-07-16 | Paper |
Reprint of: Finite underidentification
Journal of Econometrics | 2025-03-18 | Paper |
Score-type tests for normal mixtures
Journal of Econometrics | 2025-03-18 | Paper |
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Specification tests for non-Gaussian structural vector autoregressions
Journal of Econometrics | 2025-01-16 | Paper |
Is a Normal Copula the Right Copula?
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
GDP Solera: The Ideal Vintage Mix
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Volatility-Related Exchange Traded Assets: An Econometric Investigation
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Finite underidentification
Journal of Econometrics | 2024-03-21 | Paper |
Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
Journal of Econometrics | 2023-06-29 | Paper |
The Jacobian of the exponential function
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
Specification tests for non-Gaussian maximum likelihood estimators
Quantitative Economics | 2021-11-11 | Paper |
New testing approaches for mean-variance predictability
Journal of Econometrics | 2021-03-24 | Paper |
Testing distributional assumptions using a continuum of moments
Journal of Econometrics | 2021-02-09 | Paper |
Zero-diagonality as a linear structure
Economics Letters | 2020-11-04 | Paper |
Normality tests for latent variables
Quantitative Economics | 2020-08-12 | Paper |
Consistent non-Gaussian pseudo maximum likelihood estimators
Journal of Econometrics | 2019-12-19 | Paper |
A spectral EM algorithm for dynamic factor models
Journal of Econometrics | 2018-05-31 | Paper |
Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach
Journal of Econometrics | 2017-05-12 | Paper |
Underidentification?
Journal of Econometrics | 2017-05-12 | Paper |
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Journal of Econometrics | 2016-07-25 | Paper |
A comparison of mean-variance efficiency tests
Journal of Econometrics | 2016-07-25 | Paper |
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
Journal of Econometrics | 2016-06-13 | Paper |
Sequential estimation of shape parameters in multivariate dynamic models
Journal of Econometrics | 2014-06-06 | Paper |
Factor representing portfolios in large asset markets
Journal of Econometrics | 2014-03-07 | Paper |
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
Economics Letters | 2013-01-01 | Paper |
The econometrics of mean‐variance efficiency tests: a survey
Econometrics Journal | 2009-12-22 | Paper |
Likelihood-Based Estimation of Latent Generalized ARCH Structures
Econometrica | 2006-06-16 | Paper |
Constrained Indirect Estimation
Review of Economic Studies | 2005-03-30 | Paper |
The relation between conditionally heteroskedastic factor models and factor GARCH models
Econometrics Journal | 2003-08-07 | Paper |
Identification, estimation and testing of conditionally heteroskedastic factor models
Journal of Econometrics | 2002-01-24 | Paper |
Testing for GARCH effects: A one-sided approach
Journal of Econometrics | 2001-06-19 | Paper |
Quadratic ARCH Models
Review of Economic Studies | 1996-10-13 | Paper |
Marginalization and contemporaneous aggregation in multivariate GARCH processes
Journal of Econometrics | 1996-07-15 | Paper |
Volatility and Links between National Stock Markets
Econometrica | 1994-08-21 | Paper |
