| Publication | Date of Publication | Type |
|---|
Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
Journal of Business and Economic Statistics | 2024-03-06 | Paper |
The validity of bootstrap testing for threshold autoregression
Journal of Econometrics | 2024-03-06 | Paper |
Tail behavior of ACD models and consequences for likelihood-based estimation
Journal of Econometrics | 2024-02-13 | Paper |
High-Dimensional Cointegration and Kuramoto Inspired Systems
SIAM Journal on Applied Dynamical Systems | 2024-01-29 | Paper |
Dynamic conditional eigenvalue GARCH
Journal of Econometrics | 2023-11-17 | Paper |
Bootstrap inference for Hawkes and general point processes
Journal of Econometrics | 2023-06-09 | Paper |
Multivariate variance targeting in the BEKK-GARCH model
Econometrics Journal | 2022-07-26 | Paper |
Bootstrap determination of the co-integration rank in heteroskedastic VAR models
Econometric Reviews | 2022-05-31 | Paper |
Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
Journal of Econometrics | 2022-03-16 | Paper |
Bootstrapping non-stationary stochastic volatility
Journal of Econometrics | 2021-07-30 | Paper |
A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
Econometric Theory | 2021-04-16 | Paper |
Testing GARCH-X type models
Econometric Theory | 2019-11-18 | Paper |
Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models
Econometrica | 2019-01-30 | Paper |
The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models
Journal of Time Series Analysis | 2018-11-16 | Paper |
Nonstationary GARCH with \(t\)-distributed innovations
Economics Letters | 2018-08-31 | Paper |
Determining the cointegration rank in heteroskedastic VAR models of unknown order
Econometric Theory | 2018-04-25 | Paper |
Oscillating systems with cointegrated phase processes
Journal of Mathematical Biology | 2017-10-09 | Paper |
On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
Journal of Time Series Analysis | 2017-07-21 | Paper |
Testing for co-integration in vector autoregressions with non-stationary volatility
Journal of Econometrics | 2016-08-04 | Paper |
Likelihood-based inference for cointegration with nonlinear error-correction
Journal of Econometrics | 2016-08-04 | Paper |
Inference on co-integration parameters in heteroskedastic vector autoregressions
Journal of Econometrics | 2016-03-01 | Paper |
Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
Journal of Time Series Analysis | 2015-05-20 | Paper |
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
Econometric Theory | 2014-06-23 | Paper |
Bootstrap determination of the co-integration rank in vector autoregressive models
Econometrica | 2013-11-08 | Paper |
Asymptotics of the QMLE for Non-Linear ARCH Models
Journal of Time Series Econometrics | 2013-06-14 | Paper |
The likelihood ratio test for cointegration ranks in the I(2) model
Econometric Theory | 2012-05-14 | Paper |
On the law of large numbers for (geometrically) ergodic Markov chains
Econometric Theory | 2012-05-14 | Paper |
An I(2) cointegration model with piecewise linear trends
Econometrics Journal | 2011-07-27 | Paper |
Cointegration rank testing under conditional heteroskedasticity
Econometric Theory | 2011-04-21 | Paper |
Estimation and asymptotic inference in the AR-ARCH model
Econometric Reviews | 2011-03-30 | Paper |
Poisson autoregression
Journal of the American Statistical Association | 2011-02-01 | Paper |
An Introduction to Regime Switching Time Series Models
Handbook of Financial Time Series | 2009-11-27 | Paper |
Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
Econometrica | 2006-06-19 | Paper |
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
Econometric Theory | 2006-03-08 | Paper |
ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
Econometric Theory | 2005-09-05 | Paper |
Vector equilibrium correction models with non‐linear discontinuous adjustments
Econometrics Journal | 2005-07-04 | Paper |
Identification and inference for multivariate cointegrated and ergodic Gaussian diffusions
Statistical Inference for Stochastic Processes | 2005-01-17 | Paper |
Approximate Conditional Unit Root Inference
Journal of Time Series Analysis | 2002-08-05 | Paper |
Asymptotic likelihood based inference for co-integrated homogeneous Gaussian diffusions
Scandinavian Journal of Statistics | 2002-02-17 | Paper |
Cointegration rank inference with stationary regressors in VAR models
Econometrics Journal | 2000-05-14 | Paper |
Weak exogeneity in \(I(2)\) VAR systems
Journal of Econometrics | 1999-11-25 | Paper |
Trend stationarity in the \(I(2)\) cointegration model.
Journal of Econometrics | 1999-09-08 | Paper |
