| Publication | Date of Publication | Type |
|---|
Estimating autoRegressive processes with positive white noise
Journal of Statistical Computation and Simulation | 2026-02-26 | Paper |
IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS
Econometric Theory | 2023-03-06 | Paper |
Approximate maximum likelihood for complex structural models
Journal of Econometrics | 2022-12-14 | Paper |
Maximization by parts in extremum estimation
Econometrics Journal | 2022-07-27 | Paper |
On the relevance of weaker instruments
Econometric Reviews | 2022-06-08 | Paper |
Shrinkage of variance for minimum distance based tests
Econometric Reviews | 2022-05-31 | Paper |
Identification strength with a large number of moments
Econometric Reviews | 2022-03-04 | Paper |
Testing identification strength
Journal of Econometrics | 2021-02-09 | Paper |
Score tests in GMM: why use implied probabilities?
Journal of Econometrics | 2021-02-04 | Paper |
Indirect inference with(out) constraints
Quantitative Economics | 2020-08-24 | Paper |
The leverage effect puzzle revisited: identification in discrete time
Journal of Econometrics | 2020-06-18 | Paper |
| A technical note on divergence of the Wald statistic | 2019-06-13 | Paper |
Indirect inference with endogenously missing exogenous variables
Journal of Econometrics | 2018-05-31 | Paper |
Efficient two-step estimation via targeting
Journal of Econometrics | 2017-11-07 | Paper |
Efficient estimation of integrated volatility and related processes
Econometric Theory | 2017-05-16 | Paper |
Efficient minimum distance estimation with multiple rates of convergence
Journal of Econometrics | 2017-05-12 | Paper |
Causality effects in return volatility measures with random times
Journal of Econometrics | 2016-08-10 | Paper |
Estimation of stable distributions by indirect inference
Journal of Econometrics | 2016-08-10 | Paper |
Estimation of objective and risk-neutral distributions based on moments of integrated volatility
Journal of Econometrics | 2016-08-10 | Paper |
Short run and long run causality in time series: inference
Journal of Econometrics | 2016-06-10 | Paper |
On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood
Journal of Econometrics | 2016-05-09 | Paper |
Indirect inference and calibration of dynamic stochastic general equilibrium models
Journal of Econometrics | 2016-05-02 | Paper |
Causality and separability
Statistics & Probability Letters | 2015-05-18 | Paper |
Aggregation of preferences for skewed asset returns
Journal of Economic Theory | 2014-11-19 | Paper |
Realized volatility when sampling times are possibly endogenous
Econometric Theory | 2014-09-25 | Paper |
The dynamic mixed hitting-time model for multiple transaction prices and times
Journal of Econometrics | 2014-06-04 | Paper |
Temporal aggregation of volatility models
Journal of Econometrics | 2014-03-07 | Paper |
Testing for common conditionally heteroskedastic factors
Econometrica | 2014-02-24 | Paper |
| Wald tests when restrictions are locally singular | 2013-12-02 | Paper |
Nonparametric instrumental regression
Econometrica | 2013-03-14 | Paper |
GARCH and irregularly spaced data
Economics Letters | 2013-01-07 | Paper |
Efficient derivative pricing by the extended method of moments
Econometrica | 2012-10-26 | Paper |
The ET interview: Christian Gouriéroux and Alain Monfort
Econometric Theory | 2012-08-30 | Paper |
Proper Conditioning for Coherent VaR in Portfolio Management
Management Science | 2012-02-21 | Paper |
Efficient GMM with nearly-weak instruments
Econometrics Journal | 2010-02-12 | Paper |
Moment–Based Estimation of Stochastic Volatility Models
Handbook of Financial Time Series | 2009-11-27 | Paper |
Factor Stochastic Volatility in Mean Models: A GMM Approach
Econometric Reviews | 2006-08-28 | Paper |
| scientific article; zbMATH DE number 5010684 (Why is no real title available?) | 2006-03-09 | Paper |
| scientific article; zbMATH DE number 2090639 (Why is no real title available?) | 2004-08-12 | Paper |
Empirical assessment of an intertemporal option pricing model with latent variables.
Journal of Econometrics | 2003-08-07 | Paper |
| scientific article; zbMATH DE number 1943903 (Why is no real title available?) | 2003-07-01 | Paper |
| Latent variable models for stochastic discount factors | 2003-03-16 | Paper |
| scientific article; zbMATH DE number 1863328 (Why is no real title available?) | 2003-02-04 | Paper |
Short Run and Long Run Causality in Time Series: Theory
Econometrica | 2002-05-28 | Paper |
Long memory in continuous-time stochastic volatility models
Mathematical Finance | 2001-03-29 | Paper |
OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
Mathematical Finance | 1999-07-05 | Paper |
A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models
Mathematical Finance | 1998-10-07 | Paper |
Long memory continuous time models
Journal of Econometrics | 1997-02-24 | Paper |
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form
Journal of Statistical Planning and Inference | 1996-11-11 | Paper |
Testing For Common Roots
Econometrica | 1989-01-01 | Paper |
Generalised residuals
Journal of Econometrics | 1987-01-01 | Paper |
Simulated residuals
Journal of Econometrics | 1987-01-01 | Paper |
