| Publication | Date of Publication | Type |
|---|
Are information criteria good enough to choose the right number of regimes in hidden Markov models?
Journal of Statistical Computation and Simulation | 2025-06-26 | Paper |
On factor copula-based mixed regression models
Electronic Journal of Statistics | 2025-05-23 | Paper |
Central limit theorems for martingales-II: convergence in the weak dual topology
Stochastic Analysis and Applications | 2025-03-27 | Paper |
Multivariate Hawkes-based models in limit order book: European and spread option pricing
International Journal of Theoretical and Applied Finance | 2024-11-27 | Paper |
Large deviations for the Yule-Walker estimator of near critical autoregressive processes
Statistics & Probability Letters | 2024-09-16 | Paper |
A two-factor structural model for valuing corporate securities
Review of Derivatives Research | 2024-08-29 | Paper |
Central limit theorems for martingales. I: Continuous limits
Electronic Journal of Probability | 2024-04-10 | Paper |
Tests of independence and randomness for arbitrary data using copula-based covariances
Journal of Multivariate Analysis | 2024-03-25 | Paper |
A random walk through Canadian contributions on empirical processes and their applications in probability and statistics
The Canadian Journal of Statistics | 2023-11-02 | Paper |
A stochastic analysis of a SIQR epidemic model with short and long-term prophylaxis
Communications in Nonlinear Science and Numerical Simulation | 2023-11-01 | Paper |
| Option pricing and hedging for regime-switching geometric Brownian motion models | 2023-09-13 | Paper |
| Central limit theorems for martingales-II: convergence in the weak dual topology | 2023-04-10 | Paper |
A conversation with Don Dawson
Statistical Science | 2022-02-15 | Paper |
Change-point problems for multivariate time series using pseudo-observations
Journal of Multivariate Analysis | 2021-12-07 | Paper |
Goodness‐of‐fit for regime‐switching copula models with application to option pricing
The Canadian Journal of Statistics | 2020-04-28 | Paper |
A level-1 limit order book with time dependent arrival rates
Methodology and Computing in Applied Probability | 2020-01-13 | Paper |
Pricing European options in a discrete time model for the limit order book
Methodology and Computing in Applied Probability | 2020-01-13 | Paper |
Semi-parametric copula-based models under non-stationarity
Journal of Multivariate Analysis | 2019-10-01 | Paper |
Detecting periodicity from the trajectory of a random walk in random environment
Statistics & Probability Letters | 2019-09-25 | Paper |
Semi-parametric copula-based models under non-stationarity
Journal of Multivariate Analysis | 2019-09-01 | Paper |
Copula-based dynamic models for multivariate time series
Journal of Multivariate Analysis | 2019-07-02 | Paper |
Copula-based dynamic models for multivariate time series
Journal of Multivariate Analysis | 2019-07-01 | Paper |
Testing for independence in arbitrary distributions
Biometrika | 2019-05-08 | Paper |
On one-dimensional Riccati diffusions
The Annals of Applied Probability | 2019-04-24 | Paper |
On one-dimensional Riccati diffusions
The Annals of Applied Probability | 2019-04-24 | Paper |
On explicit local solutions of Itô diffusions
Journal of Mathematical Analysis and Applications | 2019-03-21 | Paper |
| On the monotonicity of copula-based conditional distributions | 2019-01-31 | Paper |
Comparison of specification tests for GARCH models
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
American-style options in jump-diffusion models: estimation and evaluation
Quantitative Finance | 2018-11-13 | Paper |
The payoff distribution model: an application to dynamic portfolio insurance
Quantitative Finance | 2018-09-19 | Paper |
Serial independence tests for innovations of conditional mean and variance models
Test | 2018-03-23 | Paper |
On copula-based conditional quantile estimators
Statistics & Probability Letters | 2017-10-06 | Paper |
Asymptotic behavior of the empirical multilinear copula process under broad conditions
Journal of Multivariate Analysis | 2017-08-03 | Paper |
Diagnostic tests for innovations of ARMA models using empirical processes of residuals
Asymptotic Laws and Methods in Stochastics | 2017-07-05 | Paper |
| On explicit solutions to Ito diffusions | 2016-08-18 | Paper |
A martingale representation for the maximum of a Lévy process
Communications on Stochastic Analysis | 2016-03-04 | Paper |
| Combining losing games into a winning game | 2015-07-28 | Paper |
Forecasting time series with multivariate copulas
Dependence Modeling | 2015-06-23 | Paper |
On the empirical multilinear copula process for count data
Bernoulli | 2014-08-08 | Paper |
On the empirical multilinear copula process for count data
Bernoulli | 2014-08-08 | Paper |
Optimal hedging in discrete time
Quantitative Finance | 2014-02-20 | Paper |
On signed measure valued solutions of stochastic evolution equations
Stochastic Processes and their Applications | 2014-02-06 | Paper |
On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data
Journal of Multivariate Analysis | 2014-01-10 | Paper |
On testing for independence between the innovations of several time series
The Canadian Journal of Statistics | 2013-10-29 | Paper |
Optimal hedging of American options in discrete time
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity
Springer Proceedings in Mathematics | 2012-09-28 | Paper |
Copula-based semiparametric models for multivariate time series
Journal of Multivariate Analysis | 2012-08-13 | Paper |
On the Robustness of the Snell Envelope
SIAM Journal on Financial Mathematics | 2012-04-19 | Paper |
| Statistical methods for financial engineering | 2011-11-30 | Paper |
| A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing | 2010-11-14 | Paper |
Discussion of: Brownian distance covariance
The Annals of Applied Statistics | 2010-04-21 | Paper |
Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2009-10-08 | Paper |
Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
Journal of the American Statistical Association | 2009-06-12 | Paper |
Goodness-of-fit tests for copulas: A review and a power study
Insurance Mathematics & Economics | 2009-05-12 | Paper |
Goodness-of-fit tests for copulas: A review and a power study
Insurance Mathematics & Economics | 2009-04-01 | Paper |
Testing for equality between two copulas
Journal of Multivariate Analysis | 2009-02-09 | Paper |
Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations
Advances in Applied Probability | 2008-08-05 | Paper |
| Linnik related distributions | 2008-04-23 | Paper |
Explicit Martingale Representations for Brownian Functionals and Applications to Option Hedging
Stochastic Analysis and Applications | 2007-09-21 | Paper |
| Malliavin calculus and Clark-Ocone formula for functionals of a square-integrable L\'evy process | 2007-07-25 | Paper |
Asymptotic local efficiency of Cramér\,-\,von Mises tests for multivariate independence
The Annals of Statistics | 2007-07-23 | Paper |
Goodness-of-fit Procedures for Copula Models Based on the Probability Integral Transformation
Scandinavian Journal of Statistics | 2006-12-08 | Paper |
On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model
Statistics & Probability Letters | 2006-04-28 | Paper |
Nonparametric weighted symmetry tests
The Canadian Journal of Statistics | 2006-03-31 | Paper |
Local efficiency of a Cramér\,-\,von Mises test of independence
Journal of Multivariate Analysis | 2006-01-10 | Paper |
Tests of independence and randomness based on the empirical copula process
Test | 2005-09-05 | Paper |
| scientific article; zbMATH DE number 2152218 (Why is no real title available?) | 2005-04-04 | Paper |
Tests of serial independence based on Kendall's process
The Canadian Journal of Statistics | 2003-08-21 | Paper |
| scientific article; zbMATH DE number 1894366 (Why is no real title available?) | 2003-06-24 | Paper |
A nonparametric test of serial independence for time series and residuals
Journal of Multivariate Analysis | 2003-02-16 | Paper |
| scientific article; zbMATH DE number 1453180 (Why is no real title available?) | 2001-07-25 | Paper |
| scientific article; zbMATH DE number 1301683 (Why is no real title available?) | 2001-04-26 | Paper |
| scientific article; zbMATH DE number 1562935 (Why is no real title available?) | 2001-02-11 | Paper |
| scientific article; zbMATH DE number 1347779 (Why is no real title available?) | 2001-01-11 | Paper |
Between Strassen and Chung normalizations for Lévy's area process
Bernoulli | 1998-10-11 | Paper |
On Kendall's process
Journal of Multivariate Analysis | 1997-05-25 | Paper |
A note on tightness
Statistics & Probability Letters | 1997-04-09 | Paper |
Large deviations for the three-dimensional super-Brownian motion
The Annals of Probability | 1996-12-02 | Paper |
On Chung's law of the iterated logarithm for some stochastic integrals
The Annals of Probability | 1996-06-18 | Paper |
Relating quantiles and expectiles under weighted-symmetry
Annals of the Institute of Statistical Mathematics | 1995-11-08 | Paper |
| scientific article; zbMATH DE number 645786 (Why is no real title available?) | 1994-10-03 | Paper |
Occupation times in systems of null recurrent Markov processes
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 1994-07-14 | Paper |
| scientific article; zbMATH DE number 496010 (Why is no real title available?) | 1994-03-14 | Paper |
A remark on a variational problem in probability
Information Sciences | 1994-03-03 | Paper |
| scientific article; zbMATH DE number 60266 (Why is no real title available?) | 1992-09-27 | Paper |
A Limit Theorem for Brownian Motion in a Random Scenery
Canadian Mathematical Bulletin | 1992-09-27 | Paper |
| scientific article; zbMATH DE number 16089 (Why is no real title available?) | 1992-06-26 | Paper |
Laws of the iterated logarithm and large deviations for a class of diffusionl processes
The Canadian Journal of Statistics | 1989-01-01 | Paper |
| scientific article; zbMATH DE number 4038919 (Why is no real title available?) | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3994652 (Why is no real title available?) | 1986-01-01 | Paper |
