| Publication | Date of Publication | Type |
|---|
| A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations | 2025-01-20 | Paper |
| Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008 | 2025-01-20 | Paper |
| Conditional Euro Area Sovereign Default Risk | 2025-01-20 | Paper |
| Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models | 2025-01-20 | Paper |
| Bank Business Models at Zero Interest Rates | 2024-11-08 | Paper |
| Modeling Extreme Events: Time-Varying Extreme Tail Shape | 2024-10-28 | Paper |
| New HEAVY Models for Fat-Tailed Realized Covariances and Returns | 2024-10-23 | Paper |
| Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings | 2024-10-11 | Paper |
| Dynamic partial correlation models | 2024-06-12 | Paper |
| Observation-driven filtering of time-varying parameters using moment conditions | 2024-02-13 | Paper |
| Dynamic clustering of multivariate panel data | 2023-11-17 | Paper |
| Maximum likelihood estimation for score-driven models | 2022-03-16 | Paper |
| Nonlinear autoregressive models with optimality properties | 2022-03-04 | Paper |
| A stochastic recurrence equations approach for score driven correlation models | 2022-02-24 | Paper |
| Amendments and Corrections | 2018-12-10 | Paper |
| Do negative interest rates make banks less safe? | 2018-09-20 | Paper |
| Accounting for missing values in score-driven time-varying parameter models | 2018-09-11 | Paper |
| Semiparametric score driven volatility models | 2018-08-15 | Paper |
| Time‐Varying Transition Probabilities for Markov Regime Switching Models | 2017-05-26 | Paper |
| Spillover dynamics for systemic risk measurement using spatial financial time series models | 2016-11-03 | Paper |
| Modeling frailty-correlated defaults using many macroeconomic covariates | 2016-08-12 | Paper |
| The multi-state latent factor intensity model for credit rating transitions | 2016-06-03 | Paper |
| A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model | 2016-04-18 | Paper |
| Information-theoretic optimality of observation-driven time series models for continuous responses | 2015-06-26 | Paper |
| Stationarity and ergodicity of univariate generalized autoregressive score processes | 2014-09-05 | Paper |
| Discrete-Time Financial Planning Models Under Loss-Averse Preferences | 2009-07-18 | Paper |
| Global loss diversification in the insurance sector | 2009-06-10 | Paper |
| Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model | 2008-09-18 | Paper |
| Modelling Portfolio Defaults Using Hidden Markov Models with Covariates | 2008-05-29 | Paper |
| Comprehensive Definitions of Breakdown Points for Independent and Dependent Observations | 2005-05-09 | Paper |
| Tail behaviour of credit loss distributions for general latent factor models | 2004-09-06 | Paper |
| Semi-nonparametric cointegration testing | 2003-04-02 | Paper |
| A comparison of parametric, semi-nonparametric, adaptive, and nonparametric cointegration tests | 2002-04-07 | Paper |
| Outlier robust analysis of long-run marketing effects for weekly scanning data | 2001-04-08 | Paper |
| Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots | 2000-06-04 | Paper |
| Asymptotic robustness of least median of squares for autoregressions with additive outliers | 1999-11-10 | Paper |
| Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods | 1999-03-15 | Paper |
| Robustness of the student t based M-estimator | 1999-02-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3130269 | 1997-04-23 | Paper |
| Classical and Bayesian aspects of robust unit root inference | 1995-12-07 | Paper |
| An outlier robust unit root test with an application to the extended Nelson-Plosser data | 1995-04-02 | Paper |
