| Publication | Date of Publication | Type |
|---|
| IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS | 2023-03-06 | Paper |
| Approximate maximum likelihood for complex structural models | 2022-12-14 | Paper |
| Maximization by parts in extremum estimation | 2022-07-27 | Paper |
| On the relevance of weaker instruments | 2022-06-08 | Paper |
| Shrinkage of Variance for Minimum Distance Based Tests | 2022-05-31 | Paper |
| Identification strength with a large number of moments | 2022-03-04 | Paper |
| Testing identification strength | 2021-02-09 | Paper |
| Score tests in GMM: why use implied probabilities? | 2021-02-04 | Paper |
| Indirect inference with(out) constraints | 2020-08-24 | Paper |
| The leverage effect puzzle revisited: identification in discrete time | 2020-06-18 | Paper |
| A technical note on divergence of the Wald statistic | 2019-06-13 | Paper |
| Indirect inference with endogenously missing exogenous variables | 2018-05-31 | Paper |
| Efficient two-step estimation via targeting | 2017-11-07 | Paper |
| EFFICIENT ESTIMATION OF INTEGRATED VOLATILITY AND RELATED PROCESSES | 2017-05-16 | Paper |
| Efficient minimum distance estimation with multiple rates of convergence | 2017-05-12 | Paper |
| Causality effects in return volatility measures with random times | 2016-08-10 | Paper |
| Estimation of stable distributions by indirect inference | 2016-08-10 | Paper |
| Estimation of objective and risk-neutral distributions based on moments of integrated volatility | 2016-08-10 | Paper |
| Short run and long run causality in time series: inference | 2016-06-10 | Paper |
| On the efficient use of the informational content of estimating equations: implied probabilities and Euclidean empirical likelihood | 2016-05-09 | Paper |
| Indirect inference and calibration of dynamic stochastic general equilibrium models | 2016-05-02 | Paper |
| Causality and separability | 2015-05-18 | Paper |
| Aggregation of preferences for skewed asset returns | 2014-11-19 | Paper |
| REALIZED VOLATILITY WHEN SAMPLING TIMES ARE POSSIBLY ENDOGENOUS | 2014-09-25 | Paper |
| The dynamic mixed hitting-time model for multiple transaction prices and times | 2014-06-04 | Paper |
| Temporal aggregation of volatility models | 2014-03-07 | Paper |
| Testing for Common Conditionally Heteroskedastic Factors | 2014-02-24 | Paper |
| Wald tests when restrictions are locally singular | 2013-12-02 | Paper |
| Nonparametric Instrumental Regression | 2013-03-14 | Paper |
| GARCH and irregularly spaced data | 2013-01-07 | Paper |
| Efficient Derivative Pricing by the Extended Method of Moments | 2012-10-26 | Paper |
| The ET interview: Christian Gouriéroux and Alain Monfort | 2012-08-30 | Paper |
| Proper Conditioning for Coherent VaR in Portfolio Management | 2012-02-21 | Paper |
| Efficient GMM with nearly-weak instruments | 2010-02-12 | Paper |
| Moment–Based Estimation of Stochastic Volatility Models | 2009-11-27 | Paper |
| Factor Stochastic Volatility in Mean Models: A GMM Approach | 2006-08-28 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3374313 | 2006-03-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4813110 | 2004-08-12 | Paper |
| Empirical assessment of an intertemporal option pricing model with latent variables. | 2003-08-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4409944 | 2003-07-01 | Paper |
| Latent variable models for stochastic discount factors | 2003-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4790580 | 2003-02-04 | Paper |
| Short Run and Long Run Causality in Time Series: Theory | 2002-05-28 | Paper |
| Long memory in continuous-time stochastic volatility models | 2001-03-29 | Paper |
| OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL | 1999-07-05 | Paper |
| A Note on Hedging in ARCH and Stochastic Volatility Option Pricing Models | 1998-10-07 | Paper |
| Long memory continuous time models | 1997-02-24 | Paper |
| Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form | 1996-11-11 | Paper |
| Testing For Common Roots | 1989-01-01 | Paper |
| Generalised residuals | 1987-01-01 | Paper |
| Simulated residuals | 1987-01-01 | Paper |
