| Publication | Date of Publication | Type |
|---|
Generalized quasi-maximum likelihood inference for periodic conditionally heteroskedastic models
Statistical Inference for Stochastic Processes | 2026-01-21 | Paper |
On an integer-valued stochastic intensity model for time series of counts
Journal of Statistical Computation and Simulation | 2025-06-26 | Paper |
A multiplicative thinning‐based integer‐valued GARCH model
Journal of Time Series Analysis | 2024-01-11 | Paper |
| Random multiplication versus random sum: auto-regressive-like models with integer-valued random inputs | 2023-12-18 | Paper |
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Journal of Econometrics | 2023-11-17 | Paper |
Autoregressive conditional proportion: A multiplicative‐error model for (0,1)‐valued time series
Journal of Time Series Analysis | 2023-08-24 | Paper |
Forecasting transaction counts with integer-valued GARCH models
Studies in Nonlinear Dynamics & Econometrics | 2023-05-03 | Paper |
Bayesian analysis of periodic asymmetric power GARCH models
Studies in Nonlinear Dynamics & Econometrics | 2023-04-17 | Paper |
Stationarity and ergodicity of Markov switching positive conditional mean models
Journal of Time Series Analysis | 2022-08-08 | Paper |
Periodic autoregressive conditional duration
Journal of Time Series Analysis | 2022-02-18 | Paper |
Count and duration time series with equal conditional stochastic and mean orders
Econometric Theory | 2021-06-11 | Paper |
Ergodicity conditions for a double mixed Poisson autoregression
Statistics & Probability Letters | 2019-02-20 | Paper |
Negative binomial quasi-likelihood inference for general integer-valued time series models
Journal of Time Series Analysis | 2018-03-09 | Paper |
On periodic ergodicity of a general periodic mixed Poisson autoregression
Statistics & Probability Letters | 2018-02-15 | Paper |
Two-stage weighted least squares estimation of nonstationary random coefficient autoregressions
Journal of Time Series Econometrics | 2018-02-07 | Paper |
Periodic autoregressive stochastic volatility
Statistical Inference for Stochastic Processes | 2017-10-27 | Paper |
Geometric quasi-maximum likelihood estimation for a general class of integer-valued time series models
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2017-01-10 | Paper |
Yule-Walker type estimators in periodic bilinear models: strong consistency and asymptotic normality
Statistical Methods and Applications | 2016-03-17 | Paper |
Quadratic random coefficient autoregression with linear-in-parameters volatility
Statistical Inference for Stochastic Processes | 2015-06-25 | Paper |
Explosive strong periodic autoregression with multiplicity one
Journal of Statistical Planning and Inference | 2015-05-15 | Paper |
Weighted least squares-based inference for stable and unstable threshold power \textit{ARCH} processes
Statistics & Probability Letters | 2015-05-06 | Paper |
Estimation and strict stationarity testing of ARCH processes based on weighted least squares
Mathematical Methods of Statistics | 2015-03-13 | Paper |
Stability analysis of the first-order periodic autoregressive diagonal bilinear model
Random Operators and Stochastic Equations | 2014-09-17 | Paper |
Recursive online EM estimation of mixture autoregressions
Journal of Statistical Computation and Simulation | 2013-06-03 | Paper |
Multistage weighted least squares estimation of ARCH processes in the stable and unstable cases
Statistical Inference for Stochastic Processes | 2012-11-07 | Paper |
Asymptotic inference of unstable periodic ARCH processes
Statistical Inference for Stochastic Processes | 2012-04-04 | Paper |
Offline and online weighted least squares estimation of nonstationary power ARCH processes
Statistics & Probability Letters | 2011-08-16 | Paper |
Quasi-maximum likelihood estimation of periodic GARCH and periodic ARMA-GARCH processes
Journal of Time Series Analysis | 2011-02-22 | Paper |
On an independent and identically distributed mixture bilinear time-series model
Journal of Time Series Analysis | 2011-02-22 | Paper |
Stationarity and -mixing of general Markov-switching bilinear processes
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2010-03-17 | Paper |
On periodic GARCH processes: stationarity, existence of moments and geometric ergodicity
Mathematical Methods of Statistics | 2009-10-13 | Paper |
Calculating the autocovariances and the likelihood for periodic V ARMA models
Journal of Statistical Computation and Simulation | 2009-06-29 | Paper |
A Note on Calculating Autocovariances of Periodic<i>ARMA</i>Models
Communications in Statistics. Simulation and Computation | 2009-05-12 | Paper |
Periodic stationarity of random coefficient periodic autoregressions
Statistics & Probability Letters | 2009-04-15 | Paper |
Probabilistic properties of periodic GARCH prosses
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2009-04-02 | Paper |
On some probabilistic properties of double periodic AR models
Statistics & Probability Letters | 2009-03-04 | Paper |
On the existence of higher-order moments of periodic GARCH models
Statistics & Probability Letters | 2008-12-10 | Paper |
Extension of the Chandrasekhar filter to the case of periodic state-space models
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2008-02-25 | Paper |
| Chandrasekhar-type recursions for periodic linear systems | 2008-02-07 | Paper |
Causality conditions and autocovariance calculations in PVAR models
Journal of Statistical Computation and Simulation | 2008-01-28 | Paper |
An On-Line Estimation Algorithm for Periodic Autoregressive Models
Communications in Statistics: Theory and Methods | 2007-02-15 | Paper |
Recursive Estimation of GARCH Models
Communications in Statistics. Simulation and Computation | 2007-02-15 | Paper |
Two-stage RLS algorithm for estimating ARCH models
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2006-12-14 | Paper |
Calculation of the Fisher Information Matrix for Periodic ARMA Models
Communications in Statistics: Theory and Methods | 2005-06-14 | Paper |
