| Publication | Date of Publication | Type |
|---|
Why Frequency Matters for Unit Root Testing in Financial Time Series
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Estimating option pricing models using a characteristic function-based linear state space representation
Journal of Econometrics | 2025-01-16 | Paper |
Adaptive Testing for Cointegration With Nonstationary Volatility
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models
Econometric Reviews | 2023-12-07 | Paper |
Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility
Econometrics Journal | 2022-06-24 | Paper |
Bootstrapping non-stationary stochastic volatility
Journal of Econometrics | 2021-07-30 | Paper |
Testing for self-excitation in jumps
Journal of Econometrics | 2018-03-22 | Paper |
Method of moments estimation of GO-GARCH models
Journal of Econometrics | 2016-08-12 | Paper |
Cointegration in a historical perspective
Journal of Econometrics | 2016-08-04 | Paper |
Inference on co-integration parameters in heteroskedastic vector autoregressions
Journal of Econometrics | 2016-03-01 | Paper |
Improved likelihood ratio tests for cointegration rank in the VAR model
Journal of Econometrics | 2014-11-24 | Paper |
Bias correcting adjustment coefficients in a cointegrated VAR with known cointegrating vectors
Economics Letters | 2014-08-07 | Paper |
Estimating spot volatility with high-frequency financial data
Journal of Econometrics | 2014-06-04 | Paper |
Mixed normal inference on multicointegration
Econometric Theory | 2010-10-14 | Paper |
Nuisance parameter free inference on cointegration parameters in the presence of a variance shift
Economics Letters | 2010-05-27 | Paper |
Absorption of shocks in nonlinear autoregressive models
Computational Statistics and Data Analysis | 2009-05-29 | Paper |
Behavioral heterogeneity in stock prices
Journal of Economic Dynamics and Control | 2009-05-18 | Paper |
Identifying, estimating and testing restricted cointegrated systems: An overview
Statistica Neerlandica | 2005-04-11 | Paper |
Semi-nonparametric cointegration testing
Journal of Econometrics | 2003-04-02 | Paper |
| A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests | 2002-04-07 | Paper |
Mixed normality and ancillarity in \(I(2)\) systems
Econometric Theory | 2001-09-02 | Paper |
Temporal aggregation in a periodically integrated autoregressive process
Statistics & Probability Letters | 1998-12-14 | Paper |
Multiple unit roots in periodic autoregression
Journal of Econometrics | 1998-05-03 | Paper |
Lagrance-multiplier tersts for weak exogeneity: a synthesis
Econometric Reviews | 1997-09-17 | Paper |
Testing for periodic integration
Economics Letters | 1997-02-28 | Paper |
UNIT ROOTS IN PERIODIC AUTOREGRESSIONS
Journal of Time Series Analysis | 1996-09-01 | Paper |
Efficient inference on cointegration parameters in structural error correction models
Journal of Econometrics | 1996-03-05 | Paper |
Testing for an unstable root in conditional and structural error correction models
Journal of Econometrics | 1995-01-02 | Paper |
A note on the asymptotics of a stochastic vector difference equation
Biometrika | 1994-08-22 | Paper |
