| Publication | Date of Publication | Type |
|---|
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Conditional Euro Area Sovereign Default Risk
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Bank Business Models at Zero Interest Rates
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
Modeling Extreme Events: Time-Varying Extreme Tail Shape
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
New HEAVY Models for Fat-Tailed Realized Covariances and Returns
Journal of Business and Economic Statistics | 2024-10-23 | Paper |
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Dynamic partial correlation models
Journal of Econometrics | 2024-06-12 | Paper |
Observation-driven filtering of time-varying parameters using moment conditions
Journal of Econometrics | 2024-02-13 | Paper |
Dynamic clustering of multivariate panel data
Journal of Econometrics | 2023-11-17 | Paper |
Maximum likelihood estimation for score-driven models
Journal of Econometrics | 2022-03-16 | Paper |
Nonlinear autoregressive models with optimality properties
Econometric Reviews | 2022-03-04 | Paper |
A stochastic recurrence equations approach for score driven correlation models
Econometric Reviews | 2022-02-24 | Paper |
Amendments and Corrections
Biometrika | 2018-12-10 | Paper |
Do negative interest rates make banks less safe?
Economics Letters | 2018-09-20 | Paper |
Accounting for missing values in score-driven time-varying parameter models
Economics Letters | 2018-09-11 | Paper |
Semiparametric score driven volatility models
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Time-varying transition probabilities for Markov regime switching models
Journal of Time Series Analysis | 2017-05-26 | Paper |
Spillover dynamics for systemic risk measurement using spatial financial time series models
Journal of Econometrics | 2016-11-03 | Paper |
Modeling frailty-correlated defaults using many macroeconomic covariates
Journal of Econometrics | 2016-08-12 | Paper |
The multi-state latent factor intensity model for credit rating transitions
Journal of Econometrics | 2016-06-03 | Paper |
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
Journal of Econometrics | 2016-04-18 | Paper |
Information-theoretic optimality of observation-driven time series models for continuous responses
Biometrika | 2015-06-26 | Paper |
Stationarity and ergodicity of univariate generalized autoregressive score processes
Electronic Journal of Statistics | 2014-09-05 | Paper |
Discrete-Time Financial Planning Models Under Loss-Averse Preferences
Operations Research | 2009-07-18 | Paper |
Global loss diversification in the insurance sector
Insurance Mathematics & Economics | 2009-06-10 | Paper |
Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model
Statistica Neerlandica | 2008-09-18 | Paper |
Modelling Portfolio Defaults Using Hidden Markov Models with Covariates
Econometrics Journal | 2008-05-29 | Paper |
Comprehensive Definitions of Breakdown Points for Independent and Dependent Observations
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2005-05-09 | Paper |
Tail behaviour of credit loss distributions for general latent factor models
Applied Mathematical Finance | 2004-09-06 | Paper |
Semi-nonparametric cointegration testing
Journal of Econometrics | 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
Journal of Econometrics | 2001-04-08 | Paper |
Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots
Economics Letters | 2000-06-04 | Paper |
Asymptotic robustness of least median of squares for autoregressions with additive outliers
Communications in Statistics: Theory and Methods | 1999-11-10 | Paper |
Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods
Econometric Reviews | 1999-03-15 | Paper |
Robustness of the student t based M-estimator
Communications in Statistics: Theory and Methods | 1999-02-23 | Paper |
| scientific article; zbMATH DE number 1002946 (Why is no real title available?) | 1997-04-23 | Paper |
Classical and Bayesian aspects of robust unit root inference
Journal of Econometrics | 1995-12-07 | Paper |
An outlier robust unit root test with an application to the extended Nelson-Plosser data
Journal of Econometrics | 1995-04-02 | Paper |
