| Publication | Date of Publication | Type |
|---|
Intercept estimation in nonlinear selection models
Econometric Theory | 2025-01-20 | Paper |
Reprint of: Out-of-sample tests for conditional quantile coverage: an application to growth-at-risk
Journal of Econometrics | 2025-01-16 | Paper |
Predictive ability tests with possibly overlapping models
Journal of Econometrics | 2024-06-12 | Paper |
Testing for quantile sample selection
Econometrics Journal | 2024-06-11 | Paper |
Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
Journal of Econometrics | 2023-09-28 | Paper |
Testing for jump spillovers without testing for jumps
Journal of the American Statistical Association | 2020-09-15 | Paper |
Testing for jumps and jump intensity path dependence
Journal of Econometrics | 2018-05-25 | Paper |
Robust forecast comparison
Econometric Theory | 2017-10-25 | Paper |
Modeling heaped duration data: an application to neonatal mortality
Journal of Econometrics | 2017-08-24 | Paper |
International market links and volatility transmission
Journal of Econometrics | 2017-05-12 | Paper |
Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Journal of Econometrics | 2016-08-10 | Paper |
Predictive density estimators for daily volatility based on the use of realized measures
Journal of Econometrics | 2016-07-04 | Paper |
Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
Journal of Econometrics | 2016-06-13 | Paper |
Predictive density and conditional confidence interval accuracy tests
Journal of Econometrics | 2016-06-10 | Paper |
The effect of data transformation on common cycle, cointegration, and unit root tests: Monte Carlo results and a simple test
Journal of Econometrics | 2016-06-10 | Paper |
Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
Journal of Econometrics | 2016-05-02 | Paper |
Bootstrap conditional distribution tests in the presence of dynamic misspecification
Journal of Econometrics | 2016-04-25 | Paper |
Bootstrap specification tests for diffusion processes
Journal of Econometrics | 2016-03-24 | Paper |
Nonparametric nonstationarity tests
Econometric Theory | 2014-06-20 | Paper |
Testing for structural stability of factor augmented forecasting models
Journal of Econometrics | 2014-06-04 | Paper |
A test for the distributional comparison of simulated and historical data
Economics Letters | 2013-01-01 | Paper |
Predictive Inference for Integrated Volatility
Journal of the American Statistical Association | 2012-03-22 | Paper |
Semi-Parametric Comparison of Stochastic Volatility Models using Realized Measures
Review of Economic Studies | 2006-09-22 | Paper |
A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
Econometric Theory | 2006-03-08 | Paper |
Strong rules for detecting the number of breaks in a time series
Journal of Econometrics | 2003-12-04 | Paper |
Bounds for inference with nuisance parameters present only under the alternative
Econometrics Journal | 2003-08-07 | Paper |
The adjusted Knaster procedure under unequal entitlements.
Decisions in Economics and Finance | 2003-07-15 | Paper |
A consistent test for nonlinear out of sample predictive accuracy.
Journal of Econometrics | 2003-02-17 | Paper |
Out-of-sample tests for Granger causality
Macroeconomic Dynamics | 2002-07-02 | Paper |
The dynamics of public opinion under majority rules
Review of Economic Design | 2002-01-01 | Paper |
Continuous approximations of stochastic evolutionary game dynamics
Journal of Economic Theory | 2001-06-21 | Paper |
Reconsidering the continuous time limit of the GARCH(1,1) process
Journal of Econometrics | 2001-05-08 | Paper |
DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS
Econometric Theory | 2001-02-06 | Paper |
Predictive ability with cointegrated variables
Journal of Econometrics | 2001-01-01 | Paper |
Specification Tests for the Variance of a Diffusion
Journal of Time Series Analysis | 2000-03-01 | Paper |
Testing for stationarity-ergodicity and for comovements between nonlinear discrete time Markov processes
Journal of Econometrics | 2000-01-01 | Paper |
NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES:A RECONSIDERATION
Journal of Time Series Analysis | 1996-05-20 | Paper |
