| Publication | Date of Publication | Type |
|---|
Should Macroeconomic Forecasters Use Daily Financial Data and How?
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Moment-Implied Densities: Properties and Applications
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Central Bank Macroeconomic Forecasting During the Global Financial Crisis: The European Central Bank and Federal Reserve Bank of New York Experiences
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Rejoinder
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Machine Learning Time Series Regressions With an Application to Nowcasting
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Machine learning panel data regressions with heavy-tailed dependent data: theory and application
Journal of Econometrics | 2023-11-17 | Paper |
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
Econometric Theory | 2023-03-06 | Paper |
State Space Models and MIDAS Regressions
Econometric Reviews | 2022-05-31 | Paper |
Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality
Journal of Econometrics | 2021-02-09 | Paper |
Predicting the VIX and the volatility risk premium: the role of short-run funding spreads volatility factors
Journal of Econometrics | 2021-02-04 | Paper |
On the size distortion from linearly interpolating low-frequency series for cointegration tests
Essays in Honor of Peter C. B. Phillips | 2020-11-10 | Paper |
Mixed-frequency vector autoregressive models
VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims | 2020-07-10 | Paper |
Mixed data sampling (MIDAS) regression models
Handbook of Statistics | 2020-07-10 | Paper |
ET INTERVIEW: JEAN-PIERRE FLORENS
Econometric Theory | 2020-05-27 | Paper |
Commercial and residential mortgage defaults: spatial dependence with frailty
Journal of Econometrics | 2019-09-02 | Paper |
A component model for dynamic correlations
Journal of Econometrics | 2016-08-12 | Paper |
Volatility forecasting and microstructure noise
Journal of Econometrics | 2016-08-10 | Paper |
Regression models with mixed sampling frequencies
Journal of Econometrics | 2016-08-04 | Paper |
Macroeconomics and the reality of mixed frequency data
Journal of Econometrics | 2016-07-12 | Paper |
Quality control for structural credit risk models
Journal of Econometrics | 2016-06-22 | Paper |
Predicting volatility: getting the most out of return data sampled at different frequencies
Journal of Econometrics | 2016-06-10 | Paper |
Monitoring disruptions in financial markets
Journal of Econometrics | 2016-06-10 | Paper |
Testing for Granger causality with mixed frequency data
Journal of Econometrics | 2016-03-01 | Paper |
Testing for cointegration with temporally aggregated and mixed-frequency time series
Journal of Time Series Analysis | 2015-11-13 | Paper |
HYBRID-GARCH: A Generic Class of Models for Volatility Predictions using High Frequency Data
STATISTICA SINICA | 2015-11-03 | Paper |
Econometric analysis of volatility component models
Econometric Theory | 2015-04-24 | Paper |
Stochastic volatility duration models
Journal of Econometrics | 2014-03-07 | Paper |
HYBRID GARCH Models and Intra-Daily Return Periodicity
Journal of Time Series Econometrics | 2013-06-14 | Paper |
Efficient estimation of general dynamic models with a continuum of moment conditions
Journal of Econometrics | 2012-09-23 | Paper |
The ET interview: Christian Gouriéroux and Alain Monfort
Econometric Theory | 2012-08-30 | Paper |
A component model for dynamic correlations
Journal of Econometrics | 2011-09-01 | Paper |
Sampling frequency and window length trade-offs in data-driven volatility estimation: appraising the accuracy of asymptotic approximations
Advances in Econometrics | 2010-06-30 | Paper |
Structural Breaks in Financial Time Series
Handbook of Financial Time Series | 2009-11-27 | Paper |
MIDAS Regressions: Further Results and New Directions
Econometric Reviews | 2007-04-18 | Paper |
MIDAS Regressions: Further Results and New Directions
Econometric Reviews | 2007-02-05 | Paper |
| A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation | 2006-03-09 | Paper |
GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
TESTING FOR STRUCTURAL CHANGE IN THE PRESENCE OF AUXILIARY MODELS
Econometric Theory | 2005-09-05 | Paper |
| scientific article; zbMATH DE number 2042817 (Why is no real title available?) | 2004-02-15 | Paper |
Alternative models for stock price dynamics.
Journal of Econometrics | 2003-08-07 | Paper |
Structural change tests for simulated method of moments.
Journal of Econometrics | 2003-06-09 | Paper |
Time-series model with periodic stochastic regime switching
Macroeconomic Dynamics | 2002-04-02 | Paper |
Time-series model with periodic stochastic regime switching. I: Theory
Macroeconomic Dynamics | 2002-02-18 | Paper |
The econometric analysis of seasonal time series. With a foreword by Thomas J. Sargent
Themes in Modern Econometrics | 2002-02-03 | Paper |
Nonparametric estimation of American options' exercise boundaries and call prices
Journal of Economic Dynamics and Control | 2000-10-26 | Paper |
Predictive tests for structural change with unknown breakpoint
Journal of Econometrics | 2000-09-24 | Paper |
American options with stochastic dividends and volatility: a nonparametric investigation
Journal of Econometrics | 2000-03-19 | Paper |
Kernel autocorrelogram for time-deformed processes
Journal of Statistical Planning and Inference | 1999-08-23 | Paper |
| On Periodic Structures and Testing for Seasonal Unit Roots | 1998-02-22 | Paper |
On seasonality and business cycle durations: A nonparametric investigation
Journal of Econometrics | 1997-08-12 | Paper |
Changes in seasonal patterns
Journal of Economic Dynamics and Control | 1997-02-27 | Paper |
The effect of linear filters on dynamic time series with structural change
Journal of Econometrics | 1996-02-12 | Paper |
Changes in seasonal patterns. Are they cyclical?
Journal of Economic Dynamics and Control | 1995-01-11 | Paper |
Generalized Predictive Tests and Structural Change Analysis in Econometrics
International Economic Review | 1994-03-27 | Paper |
The effect of seasonal adjustment filters on tests for a unit root (with discussion)
Journal of Econometrics | 1993-02-04 | Paper |
A Test for Structural Stability of Euler Conditions Parameters Estimated Via the Generalized Method of Moments Estimator
International Economic Review | 1990-01-01 | Paper |
Are consumption-based intertemporal capital asset pricing models structural?
Journal of Econometrics | 1990-01-01 | Paper |
Testing nonnested Euler conditions with quadrature-based methods of approximation
Journal of Econometrics | 1990-01-01 | Paper |
