| Publication | Date of Publication | Type |
|---|
| On the spectral density of fractional Ornstein-Uhlenbeck processes | 2025-01-16 | Paper |
| Asymptotic theory for explosive fractional Ornstein-Uhlenbeck processes | 2024-11-12 | Paper |
| The Grid Bootstrap for Continuous Time Models | 2024-10-17 | Paper |
| Efficient basis selection for smoothing splines via rotated lattices | 2024-06-03 | Paper |
| On the optimal forecast with the fractional Brownian motion | 2024-05-29 | Paper |
| A PANEL CLUSTERING APPROACH TO ANALYZING BUBBLE BEHAVIOR | 2024-03-27 | Paper |
| Robust testing for explosive behavior with strongly dependent errors | 2024-02-13 | Paper |
| Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process | 2023-02-01 | Paper |
| Posterior-based Wald-type statistics for hypothesis testing | 2022-07-15 | Paper |
| In-fill asymptotic theory for structural break point in autoregressions | 2022-03-04 | Paper |
| Deviance Information Criterion for Comparing VAR Models | 2020-11-10 | Paper |
| Hypothesis testing, specification testing, and model selection based on the MCMC output using R | 2020-08-18 | Paper |
| Simulated maximum likelihood estimation of continuous time stochastic volatility models | 2020-07-10 | Paper |
| Deviance information criterion for latent variable models and misspecified models | 2020-04-22 | Paper |
| Random coefficient continuous systems: testing for extreme sample path behavior | 2019-04-30 | Paper |
| Asymptotic theory for rough fractional Vasicek models | 2019-04-18 | Paper |
| ASYMPTOTIC THEORY FOR ESTIMATING DRIFT PARAMETERS IN THE FRACTIONAL VASICEK MODEL | 2019-03-27 | Paper |
| Estimation of hyperbolic diffusion using the Markov chain Monte Carlo method | 2019-01-15 | Paper |
| A flexible and automated likelihood based framework for inference in stochastic volatility models | 2018-11-23 | Paper |
| Specification tests based on MCMC output | 2018-10-12 | Paper |
| New distribution theory for the estimation of structural break point in mean | 2018-05-31 | Paper |
| Inference in continuous systems with mildly explosive regressors | 2017-11-07 | Paper |
| Bias in the estimation of mean reversion in continuous-time Lévy processes | 2017-06-09 | Paper |
| Bias in the estimation of the mean reversion parameter in continuous time models | 2017-05-12 | Paper |
| Bayesian hypothesis testing in latent variable models | 2016-08-15 | Paper |
| A semiparametric stochastic volatility model | 2016-08-15 | Paper |
| Bias in estimating multivariate and univariate diffusions | 2016-08-10 | Paper |
| Indirect inference for dynamic panel models | 2016-08-01 | Paper |
| A two-stage realized volatility approach to estimation of diffusion processes with discrete data | 2016-07-04 | Paper |
| Double asymptotics for explosive continuous time models | 2016-05-18 | Paper |
| On leverage in a stochastic volatility model | 2016-03-30 | Paper |
| TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500 | 2016-02-10 | Paper |
| TESTING FOR MULTIPLE BUBBLES: LIMIT THEORY OF REAL‐TIME DETECTORS | 2016-02-10 | Paper |
| Limit theory for an explosive autoregressive process | 2015-09-29 | Paper |
| Asymptotic theory for linear diffusions under alternative sampling schemes | 2015-09-29 | Paper |
| A Bayesian chi-squared test for hypothesis testing | 2015-09-18 | Paper |
| Optimal jackknife for unit root models | 2015-05-18 | Paper |
| Maximum likelihood estimation of partially observed diffusion models | 2014-11-11 | Paper |
| Fine gradings of complex simple Lie algebras and Finite Root Systems | 2014-10-29 | Paper |
| Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results | 2014-09-05 | Paper |
| A new approach to Bayesian hypothesis testing | 2014-08-07 | Paper |
| SPECIAL ISSUE OF ECONOMETRIC THEORY ON SETA 2010: EDITORS’ INTRODUCTION | 2014-06-20 | Paper |
| Dating the timeline of financial bubbles during the subprime crisis | 2012-03-02 | Paper |
| An efficient method for maximum likelihood estimation of a stochastic volatility model | 2012-01-25 | Paper |
| Simulation-Based Estimation Methods for Financial Time Series Models | 2012-01-10 | Paper |
| Corrigendum to ‘A Gaussian approach for continuous time models of short‐term interest rates’ | 2011-07-27 | Paper |
| Bayesian analysis of structural credit risk models with microstructure noises | 2010-12-01 | Paper |
| Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance | 2009-11-27 | Paper |
| A class of nonlinear stochastic volatility models and its implications for pricing currency options | 2009-04-06 | Paper |
| Comment: A selective overview of nonparametric methods in financial econometrics | 2007-09-18 | Paper |
| Multivariate Stochastic Volatility: A Review | 2006-08-28 | Paper |
| Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison | 2006-08-28 | Paper |
| Empirical Characteristic Function Estimation and Its Applications | 2005-01-19 | Paper |
| Theory & Methods: Estimation of the Stochastic Volatility Model by the Empirical Characteristic Function Method | 2003-10-21 | Paper |
| EMPIRICAL CHARACTERISTIC FUNCTION IN TIME SERIES ESTIMATION | 2003-05-18 | Paper |
| BUGS for a Bayesian analysis of stochastic volatility models | 2001-04-04 | Paper |
| A Gaussian approach for continuous time models of the short-term interest rate | 2001-01-01 | Paper |
