| Publication | Date of Publication | Type |
|---|
| Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity | 2024-07-17 | Paper |
| Dynamic Score-Driven Independent Component Analysis | 2024-03-05 | Paper |
| Forward detrending for heteroskedasticity-robust panel unit root testing | 2023-07-25 | Paper |
| Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles | 2023-07-06 | Paper |
| Local/import -- and foreign currency prices: inflation, uncertainty and pass through endogeneity | 2023-03-30 | Paper |
| Asymmetric volatility impulse response functions | 2023-01-30 | Paper |
| Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US | 2022-07-08 | Paper |
| Heteroskedasticity Robust Panel Unit Root Testing Under Variance Breaks in Pooled Regressions | 2022-06-07 | Paper |
| Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach | 2022-04-14 | Paper |
| Identification of structural multivariate GARCH models | 2022-03-16 | Paper |
| Nonparametric tests for independence: a review and comparative simulation study with an application to malnutrition data in India | 2020-11-02 | Paper |
| Specific-to-general predictor selection in approximate autoregressions -- Monte Carlo evidence and a large scale performance assessment with real data | 2020-10-12 | Paper |
| Modelling regional patterns of inefficiency: a Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales | 2020-02-11 | Paper |
| Heteroskedasticity‐Robust Unit Root Testing for Trending Panels | 2019-10-18 | Paper |
| Risk forecasting in (T)GARCH models with uncorrelated dependent innovations | 2018-11-19 | Paper |
| In‐Sample and Out‐of‐Sample Prediction of stock Market Bubbles: Cross‐Sectional Evidence | 2018-10-12 | Paper |
| On the Predictive Information of Futures' Prices: A Wavelet‐Based Assessment | 2018-10-12 | Paper |
| On the Predictive Content of Autoregression Residuals: A Semiparametric, Copula‐Based Approach to Time Series Prediction | 2018-10-11 | Paper |
| A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility | 2018-02-07 | Paper |
| Copula-MGARCH with continuous covariance decomposition | 2017-06-09 | Paper |
| Bootstrap inference in systems of single equation error correction models | 2016-04-01 | Paper |
| Analytical quasi maximum likelihood inference in multivariate volatility models | 2015-10-14 | Paper |
| A memorial for the late Professor Wolfgang Polasek | 2015-02-27 | Paper |
| Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks | 2014-11-20 | Paper |
| Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity | 2014-06-16 | Paper |
| A Lagrange multiplier test for causality in variance | 2013-01-08 | Paper |
| DYNAMIC MODELING OF HIGH-DIMENSIONAL CORRELATION MATRICES IN FINANCE | 2012-10-15 | Paper |
| A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis | 2011-11-26 | Paper |
| Keep it simple: on specific-to-general predictor selection for time series forecasting in the short, medium and long run | 2011-08-17 | Paper |
| A functional coefficient approach to modeling the Fisher hypothesis: worldwide evidence | 2011-04-27 | Paper |
| A new approach to unit root testing | 2010-11-12 | Paper |
| Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device | 2009-12-21 | Paper |
| PCA-BASED EX-ANTE FORECASTING OF SWAP TERM STRUCTURES | 2009-08-10 | Paper |
| Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap | 2009-06-16 | Paper |
| Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test | 2008-12-11 | Paper |
| Multivariate Volatility Models | 2008-12-01 | Paper |
| Testing for random effects in panel models with spatially correlated disturbances | 2008-12-01 | Paper |
| VaR in High Dimensional Systems – a Conditional Correlation Approach | 2008-12-01 | Paper |
| Analytical quasi maximum likelihood inference in multivariate volatility models | 2007-03-16 | Paper |
| Econometric analysis of high frequency data | 2007-01-24 | Paper |
| Exchange rate uncertainty and trade growth?a comparison of linear and non-linear (forecasting) models | 2006-05-24 | Paper |
| Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications | 2002-11-21 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4543485 | 2002-08-13 | Paper |
| Weekday dependence of German stock market returns | 2001-11-18 | Paper |
| Testing for linear autoregressive dynamics under heteroskedasticity | 2001-04-04 | Paper |
| Structural analysis of portfolio risk using beta impulse response functions | 2000-08-24 | Paper |
| Testing periodicity in time series models -- A recommendation of bootstrap models | 1999-09-14 | Paper |
| Specification of varying coefficient time series models via generalized flexible least squares | 1996-04-08 | Paper |
