| Publication | Date of Publication | Type |
|---|
Explicit solutions for the asymptotically optimal bandwidth in cross-validation
Biometrika | 2024-11-13 | Paper |
Explicit minimal representation of variance matrices, and its implication for dynamic volatility models
Econometrics Journal | 2024-06-11 | Paper |
GARCH density and functional forecasts
Journal of Econometrics | 2023-06-29 | Paper |
Link of moments before and after transformations, with an application to resampling from fat-tailed distributions
Econometric Theory | 2019-06-26 | Paper |
Density functionals, with an option-pricing application
Econometric Theory | 2018-12-14 | Paper |
| Statistics | 2018-09-14 | Paper |
| scientific article; zbMATH DE number 6811486 (Why is no real title available?) | 2017-11-22 | Paper |
An I(d) model with trend and cycles
Journal of Econometrics | 2016-08-12 | Paper |
Two estimators of the long-run variance: beyond short memory
Journal of Econometrics | 2016-07-04 | Paper |
Nonstationarity-extended local Whittle estimation
Journal of Econometrics | 2016-05-27 | Paper |
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Journal of Econometrics | 2016-04-18 | Paper |
Autocovariance functions of series and of their transforms
Journal of Econometrics | 2016-03-24 | Paper |
Asymptotic normality for weighted sums of linear processes
Econometric Theory | 2014-06-20 | Paper |
Design-free estimation of variance matrices
Journal of Econometrics | 2014-06-04 | Paper |
Nelson-Plosser revisited: the ACF approach
Journal of Econometrics | 2014-03-18 | Paper |
Biases of correlograms and of AR representations of stationary series
Journal of Time Series Econometrics | 2013-06-14 | Paper |
Optimal asymmetric kernels
Economics Letters | 2013-01-01 | Paper |
Testing joint hypotheses when one of the alternatives is one-sided
Journal of Econometrics | 2012-09-23 | Paper |
Simple Robust Testing of Regression Hypotheses: A Comment
Econometrica | 2006-06-29 | Paper |
| scientific article; zbMATH DE number 2230055 (Why is no real title available?) | 2005-11-18 | Paper |
THE MEAN-MEDIAN-MODE INEQUALITY: COUNTEREXAMPLES
Econometric Theory | 2005-06-07 | Paper |
Aggregation, Persistence and Volatility in a Macro Model
Review of Economic Studies | 2003-08-13 | Paper |
The Influence of VAR Dimensions on Estimator Biases
Econometrica | 2002-05-28 | Paper |
The joint moment generating function of quadratic forms in multivariate autoregressive series
Econometric Theory | 2002-01-08 | Paper |
Notation in econometrics: a proposal for a standard
Econometrics Journal | 2002-01-01 | Paper |
Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
Economics Letters | 2000-06-04 | Paper |
On the Definitions of (Co-)integration
Journal of Time Series Analysis | 2000-05-24 | Paper |
An introduction to hypergeometric functions for economists
Econometric Reviews | 1999-01-01 | Paper |
The "Devil's Horns" Problem of Inverting Confluent Characteristic Functions
Econometrica | 1997-10-20 | Paper |
Unbiased estimation as a solution to testing for random walks
Economics Letters | 1997-02-27 | Paper |
Two Mixed Normal Densities from Cointegration Analysis
Econometrica | 1997-01-01 | Paper |
The joint density of two functionals of Brownian motion
Mathematical Methods of Statistics | 1996-08-01 | Paper |
A New Test for Nonstationarity Against the Stable Alternative
Econometric Theory | 1995-01-01 | Paper |
Expansions for some confluent hypergeometric functions
Journal of Physics A: Mathematical and General | 1994-05-05 | Paper |
The limiting distribution of the autocorrelation coefficient under a unit root
The Annals of Statistics | 1993-12-02 | Paper |
