| Publication | Date of Publication | Type |
|---|
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
Statistica Neerlandica | 2024-07-17 | Paper |
Dynamic Score-Driven Independent Component Analysis
Journal of Business and Economic Statistics | 2024-03-05 | Paper |
Forward detrending for heteroskedasticity-robust panel unit root testing
Econometric Reviews | 2023-07-25 | Paper |
Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles
Journal of Economic Dynamics and Control | 2023-07-06 | Paper |
Local/import -- and foreign currency prices: inflation, uncertainty and pass through endogeneity
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Asymmetric volatility impulse response functions
Economics Letters | 2023-01-30 | Paper |
Proxy SVAR identification of monetary policy shocks -- Monte Carlo evidence and insights for the US
Journal of Economic Dynamics and Control | 2022-07-08 | Paper |
Heteroskedasticity robust panel unit root testing under variance breaks in pooled regressions
Econometric Reviews | 2022-06-07 | Paper |
Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach
Statistical Methods and Applications | 2022-04-14 | Paper |
Identification of structural multivariate GARCH models
Journal of Econometrics | 2022-03-16 | Paper |
Nonparametric tests for independence: a review and comparative simulation study with an application to malnutrition data in India
Statistical Papers | 2020-11-02 | Paper |
Specific-to-general predictor selection in approximate autoregressions -- Monte Carlo evidence and a large scale performance assessment with real data
AStA. Advances in Statistical Analysis | 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
Journal of Econometrics | 2020-02-11 | Paper |
Heteroskedasticity-robust unit root testing for trending panels
Journal of Time Series Analysis | 2019-10-18 | Paper |
Risk forecasting in (T)GARCH models with uncorrelated dependent innovations
Quantitative Finance | 2018-11-19 | Paper |
In-sample and out-of-sample prediction of stock market bubbles: cross-sectional evidence
Journal of Forecasting | 2018-10-12 | Paper |
On the Predictive Information of Futures' Prices: A Wavelet‐Based Assessment
Journal of Forecasting | 2018-10-12 | Paper |
On the predictive content of autoregression residuals: a semiparametric, copula-based approach to time series prediction
Journal of Forecasting | 2018-10-11 | Paper |
A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
Computational Statistics | 2018-02-07 | Paper |
Copula-MGARCH with continuous covariance decomposition
Economics Letters | 2017-06-09 | Paper |
Bootstrap inference in systems of single equation error correction models
Journal of Econometrics | 2016-04-01 | Paper |
Analytical quasi maximum likelihood inference in multivariate volatility models
Metrika | 2015-10-14 | Paper |
A memorial for the late Professor Wolfgang Polasek
Computational Statistics | 2015-02-27 | Paper |
Structural vector autoregressions with Markov switching: combining conventional with statistical identification of shocks
Journal of Econometrics | 2014-11-20 | Paper |
Generalized least squares estimation for cointegration parameters under conditional heteroskedasticity
Journal of Time Series Analysis | 2014-06-16 | Paper |
A Lagrange multiplier test for causality in variance
Economics Letters | 2013-01-08 | Paper |
Dynamic modeling of high-dimensional correlation matrices in finance
International Journal of Theoretical and Applied Finance | 2012-10-15 | Paper |
A comparison of bootstrap and Monte-Carlo testing approaches to value-at-risk diagnosis
Computational Statistics | 2011-11-26 | Paper |
Keep it simple: on specific-to-general predictor selection for time series forecasting in the short, medium and long run
Journal of Statistical Computation and Simulation | 2011-08-17 | Paper |
A functional coefficient approach to modeling the Fisher hypothesis: worldwide evidence
Macroeconomic Dynamics | 2011-04-27 | Paper |
A new approach to unit root testing
Computational Economics | 2010-11-12 | Paper |
Exact inference in diagnosing value-at-risk estimates - a Monte Carlo device
Economics Letters | 2009-12-21 | Paper |
PCA-BASED EX-ANTE FORECASTING OF SWAP TERM STRUCTURES
International Journal of Theoretical and Applied Finance | 2009-08-10 | Paper |
Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
Computational Statistics and Data Analysis | 2009-06-16 | Paper |
Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test
Computational Statistics and Data Analysis | 2008-12-11 | Paper |
Multivariate Volatility Models
Applied Quantitative Finance | 2008-12-01 | Paper |
Testing for random effects in panel models with spatially correlated disturbances
Statistica Neerlandica | 2008-12-01 | Paper |
VaR in High Dimensional Systems – a Conditional Correlation Approach
Applied Quantitative Finance | 2008-12-01 | Paper |
Analytical quasi maximum likelihood inference in multivariate volatility models
Metrika | 2007-03-16 | Paper |
Econometric analysis of high frequency data
AStA. Allgemeines Statistisches Archiv | 2007-01-24 | Paper |
Exchange rate uncertainty and trade growth?a comparison of linear and non-linear (forecasting) models
Applied Stochastic Models in Business and Industry | 2006-05-24 | Paper |
Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications
Applied Stochastic Models in Business and Industry | 2002-11-21 | Paper |
scientific article; zbMATH DE number 1780445 (Why is no real title available?)
| 2002-08-13 | Paper |
Weekday dependence of German stock market returns
Applied Stochastic Models in Business and Industry | 2001-11-18 | Paper |
Testing for linear autoregressive dynamics under heteroskedasticity
The Econometrics Journal | 2001-04-04 | Paper |
Structural analysis of portfolio risk using beta impulse response functions
Statistica Neerlandica | 2000-08-24 | Paper |
Testing periodicity in time series models -- A recommendation of bootstrap models
Computational Statistics | 1999-09-14 | Paper |
Specification of varying coefficient time series models via generalized flexible least squares
Journal of Econometrics | 1996-04-08 | Paper |
