| Publication | Date of Publication | Type |
|---|
| Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling | 2024-10-28 | Paper |
| Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary | 2024-03-06 | Paper |
| The validity of bootstrap testing for threshold autoregression | 2024-03-06 | Paper |
| Tail behavior of ACD models and consequences for likelihood-based estimation | 2024-02-13 | Paper |
| High-Dimensional Cointegration and Kuramoto Inspired Systems | 2024-01-29 | Paper |
| Dynamic conditional eigenvalue GARCH | 2023-11-17 | Paper |
| Bootstrap inference for Hawkes and general point processes | 2023-06-09 | Paper |
| Multivariate variance targeting in the BEKK-GARCH model | 2022-07-26 | Paper |
| Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models | 2022-05-31 | Paper |
| Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models | 2022-03-16 | Paper |
| Bootstrapping non-stationary stochastic volatility | 2021-07-30 | Paper |
| A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS | 2021-04-16 | Paper |
| TESTING GARCH-X TYPE MODELS | 2019-11-18 | Paper |
| Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models | 2019-01-30 | Paper |
| The Fixed Volatility Bootstrap for a Class of Arch(q) Models | 2018-11-16 | Paper |
| Nonstationary GARCH with \(t\)-distributed innovations | 2018-08-31 | Paper |
| DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER | 2018-04-25 | Paper |
| Oscillating systems with cointegrated phase processes | 2017-10-09 | Paper |
| On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space | 2017-07-21 | Paper |
| Testing for co-integration in vector autoregressions with non-stationary volatility | 2016-08-04 | Paper |
| Likelihood-based inference for cointegration with nonlinear error-correction | 2016-08-04 | Paper |
| Inference on co-integration parameters in heteroskedastic vector autoregressions | 2016-03-01 | Paper |
| Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components | 2015-05-20 | Paper |
| TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS | 2014-06-23 | Paper |
| Bootstrap determination of the co-integration rank in vector autoregressive models | 2013-11-08 | Paper |
| Asymptotics of the QMLE for Non-Linear ARCH Models | 2013-06-14 | Paper |
| The likelihood ratio test for cointegration ranks in the I(2) model | 2012-05-14 | Paper |
| On the law of large numbers for (geometrically) ergodic Markov chains | 2012-05-14 | Paper |
| An I(2) cointegration model with piecewise linear trends | 2011-07-27 | Paper |
| COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY | 2011-04-21 | Paper |
| Estimation and Asymptotic Inference in the AR-ARCH Model | 2011-03-30 | Paper |
| Poisson Autoregression | 2011-02-01 | Paper |
| An Introduction to Regime Switching Time Series Models | 2009-11-27 | Paper |
| Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case | 2006-06-19 | Paper |
| ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS | 2006-03-08 | Paper |
| ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH | 2005-09-05 | Paper |
| Vector equilibrium correction models with non‐linear discontinuous adjustments | 2005-07-04 | Paper |
| Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions | 2005-01-17 | Paper |
| Approximate Conditional Unit Root Inference | 2002-08-05 | Paper |
| Asymptotic likelihood based inference for co-integrated homogeneous Gaussian diffusions | 2002-02-17 | Paper |
| Cointegration rank inference with stationary regressors in VAR models | 2000-05-14 | Paper |
| Weak exogeneity in \(I(2)\) VAR systems | 1999-11-25 | Paper |
| Trend stationarity in the \(I(2)\) cointegration model. | 1999-09-08 | Paper |
