| Publication | Date of Publication | Type |
|---|
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Expert opinion versus expertise in forecasting
Statistica Neerlandica | 2024-07-17 | Paper |
A general asymptotic theory for time-series models
Statistica Neerlandica | 2024-07-16 | Paper |
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Statistica Neerlandica | 2024-07-16 | Paper |
Ranking journal quality by harmonic mean of ranks: an application to ISI Statistics \& Probability
Statistica Neerlandica | 2024-06-10 | Paper |
Financial dependence analysis: applications of vine copulas
Statistica Neerlandica | 2024-06-10 | Paper |
“Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality
Journal of the American Statistical Association | 2023-03-09 | Paper |
Multivariate hyper-rotated GARCH-BEKK
Journal of Time Series Econometrics | 2022-07-05 | Paper |
The impact of jumps and leverage in forecasting covolatility
Econometric Reviews | 2022-06-08 | Paper |
Robust ranking of journal quality: an application to economics
Econometric Reviews | 2022-06-07 | Paper |
A fractionally integrated Wishart stochastic volatility model
Econometric Reviews | 2022-06-07 | Paper |
Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
Journal of Econometrics | 2022-03-16 | Paper |
On the invertibility of EGARCH\((p, q)\)
Econometric Reviews | 2022-03-09 | Paper |
Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
Are forecast updates progressive?
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
Coercive journal self citations, impact factor, journal influence and article influence
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
GFC-robust risk management under the Basel accord using extreme value methodologies
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
Volatility spillovers from the Chinese stock market to economic neighbours
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
How are journal impact, prestige and article influence related? An application to neuroscience
Journal of Applied Statistics | 2020-09-30 | Paper |
Cointegrated dynamics for a generalized long memory process: application to interest rates
Journal of Time Series Econometrics | 2020-09-03 | Paper |
Asymptotic theory for a vector ARMA-GARCH model
Econometric Theory | 2018-12-14 | Paper |
Robust ranking of multivariate GARCH models by problem dimension
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
The correct regularity condition and interpretation of asymmetry in EGARCH
Economics Letters | 2018-09-25 | Paper |
Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China
Quantitative Finance | 2018-09-19 | Paper |
Volatility smirk as an externality of agency conflict and growing debt
International Journal of Economic Theory | 2018-09-04 | Paper |
Stationarity and invertibility of a dynamic correlation matrix.
Kybernetika | 2018-06-15 | Paper |
Testing for volatility co-movement in bivariate stochastic volatility models
JOURNAL OF THE JAPAN STATISTICAL SOCIETY | 2018-05-18 | Paper |
Realized stochastic volatility with general asymmetry and long memory
Journal of Econometrics | 2017-08-18 | Paper |
Moment-based estimation of smooth transition regression models with endogenous variables
Journal of Econometrics | 2016-08-12 | Paper |
The structure of dynamic correlations in multivariate stochastic volatility models
Journal of Econometrics | 2016-07-04 | Paper |
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
Journal of Econometrics | 2016-06-22 | Paper |
Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
Journal of Econometrics | 2016-06-22 | Paper |
A neural network demand system with heteroskedastic errors
Journal of Econometrics | 2016-06-22 | Paper |
An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals
Journal of Econometrics | 2016-06-22 | Paper |
An econometric analysis of asymmetric volatility: theory and application to patents
Journal of Econometrics | 2016-05-09 | Paper |
Patent activity and technical change
Journal of Econometrics | 2016-05-09 | Paper |
Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
Journal of Econometrics | 2015-10-30 | Paper |
Corrections
Journal of the American Statistical Association | 2015-06-10 | Paper |
Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing
Journal of Econometrics | 2015-06-08 | Paper |
The maximum number of parameters for the Hausman test when the estimators are from different sets of equations
Economics Letters | 2014-08-12 | Paper |
Testing for the Box-Cox parameter for an integrated process
Mathematics and Computers in Simulation | 2013-03-13 | Paper |
Dynamic conditional correlations for asymmetric processes
JOURNAL OF THE JAPAN STATISTICAL SOCIETY | 2013-02-14 | Paper |
Modelling and forecasting noisy realized volatility
Computational Statistics and Data Analysis | 2012-06-20 | Paper |
A trinomial test for paired data when there are many ties
Mathematics and Computers in Simulation | 2011-03-25 | Paper |
A decision rule to minimize daily capital charges in forecasting value-at-risk
Journal of Forecasting | 2011-01-06 | Paper |
Multivariate stochastic volatility, leverage and news impact surfaces
Econometrics Journal | 2010-10-15 | Paper |
A simple expected volatility (SEV) index: Application to SET50 index options
Mathematics and Computers in Simulation | 2010-09-02 | Paper |
GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
Econometric Theory | 2010-04-08 | Paper |
Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments
Econometric Reviews | 2009-10-16 | Paper |
Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
Econometric Reviews | 2009-08-28 | Paper |
Forecasting conditional correlations in stock, bond and foreign exchange markets
Mathematics and Computers in Simulation | 2009-08-19 | Paper |
ARMAX modelling of international tourism demand
Mathematics and Computers in Simulation | 2009-08-19 | Paper |
Mapping the presidential election cycle in US stock markets
Mathematics and Computers in Simulation | 2009-08-07 | Paper |
Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market
Mathematics and Computers in Simulation | 2009-06-18 | Paper |
Modelling risk in agricultural finance: Application to the poultry industry in Taiwan
Mathematics and Computers in Simulation | 2009-03-09 | Paper |
Realized Volatility: A Review
Econometric Reviews | 2008-11-19 | Paper |
Realized Volatility and Long Memory: An Overview
Econometric Reviews | 2008-11-19 | Paper |
Multivariate volatility in environmental finance
Mathematics and Computers in Simulation | 2008-06-18 | Paper |
Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk
Mathematics and Computers in Simulation | 2008-06-18 | Paper |
Portfolio single index (PSI) multivariate conditional and stochastic volatility models
Mathematics and Computers in Simulation | 2008-06-18 | Paper |
How has volatility in metals markets changed?
Mathematics and Computers in Simulation | 2008-06-18 | Paper |
Is Greater China a currency union?: A tale of the Chinese trio
Mathematics and Computers in Simulation | 2008-06-18 | Paper |
Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach
Mathematics and Computers in Simulation | 2008-06-18 | Paper |
Non‐trading day effects in asymmetric conditional and stochastic volatility models
Econometrics Journal | 2007-08-09 | Paper |
Asymmetric Multivariate Stochastic Volatility
Econometric Reviews | 2006-08-28 | Paper |
Multivariate Stochastic Volatility: An Overview
Econometric Reviews | 2006-08-28 | Paper |
Multivariate Stochastic Volatility: A Review
Econometric Reviews | 2006-08-28 | Paper |
AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
Econometric Theory | 2005-10-18 | Paper |
Dynamic Asymmetric Leverage in Stochastic Volatility Models
Econometric Reviews | 2005-10-17 | Paper |
Related commodity markets and conditional correlations
Mathematics and Computers in Simulation | 2005-08-05 | Paper |
Testing for contagion in ASEAN exchange rates
Mathematics and Computers in Simulation | 2005-08-05 | Paper |
Speculation and destabilisation
Mathematics and Computers in Simulation | 2005-08-05 | Paper |
Modelling the information content in insider trades in the Singapore exchange
Mathematics and Computers in Simulation | 2005-08-05 | Paper |
Estimation of Chinese agricultural production efficiencies with panel data
Mathematics and Computers in Simulation | 2005-08-05 | Paper |
Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations
Mathematics and Computers in Simulation | 2005-08-05 | Paper |
Regression quantiles for unstable autoregressive models
Journal of Multivariate Analysis | 2004-08-16 | Paper |
On adaptive estimation in nonstationary ARMA models with GARCH errors
The Annals of Statistics | 2004-05-18 | Paper |
Fat tails and asymmetry in financial volatility models.
Mathematics and Computers in Simulation | 2004-03-14 | Paper |
Asian monetary integration: a structural VAR approach.
Mathematics and Computers in Simulation | 2004-03-14 | Paper |
COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY
Communications in Statistics: Theory and Methods | 2004-02-04 | Paper |
Volatility models of currency futures in developed and emerging markets.
Mathematics and Computers in Simulation | 2004-01-14 | Paper |
Modelling the asymmetric volatility of electronics patents in the USA.
Mathematics and Computers in Simulation | 2004-01-14 | Paper |
Input-output structure and growth in China.
Mathematics and Computers in Simulation | 2004-01-14 | Paper |
SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE
Econometric Reviews | 2003-08-25 | Paper |
NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
Econometric Theory | 2003-05-18 | Paper |
Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence
Econometric Reviews | 2003-05-12 | Paper |
Stationarity and the existence of moments of a family of GARCH processes.
Journal of Econometrics | 2003-02-17 | Paper |
Nonlinear modelling and forecasting of S\& P 500 volatility
Mathematics and Computers in Simulation | 2002-09-03 | Paper |
Economic growth and technological catching up by Singapore to the USA
Mathematics and Computers in Simulation | 2002-09-03 | Paper |
A cointegration analysis of annual tourism demand by Malaysia for Australia
Mathematics and Computers in Simulation | 2002-09-03 | Paper |
Cointegration analysis of metals futures
Mathematics and Computers in Simulation | 2002-09-03 | Paper |
| Tests of Linear and Logarithmic Transformations for Integrated Processes | 2002-07-30 | Paper |
The significance of testing empirical non-nested models
Journal of Econometrics | 1999-11-08 | Paper |
Testing nested and non-nested periodically integrated autoregressive models
Communications in Statistics: Theory and Methods | 1999-02-23 | Paper |
ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS
Econometric Theory | 1999-01-01 | Paper |
Testing for Unit Roots and Non-linear Transformations
Journal of Time Series Analysis | 1998-10-27 | Paper |
Econometric methodology and the philosophy of science
Journal of Statistical Planning and Inference | 1996-03-12 | Paper |
Cointegration and direct tests of the rational expectations hypothesis
Econometric Reviews | 1994-01-01 | Paper |
A NEW APPROACH TO MAXIMUM LIKELIHOOD ESTIMATION OF THE THREE-PARAMETER GAMMA AND WEIBULL DISTRIBUTIONS
Australian Journal of Statistics | 1993-04-01 | Paper |
Properties of ordinary least squares estimators in regression models with nonspherical disturbances
Journal of Econometrics | 1993-02-04 | Paper |
Recursive estimation and generated regressors
Economics Letters | 1992-10-05 | Paper |
When are two step estimators efficient?
Econometric Reviews | 1992-06-25 | Paper |
| scientific article; zbMATH DE number 4123086 (Why is no real title available?) | 1989-01-01 | Paper |
On exact and asymptotic tests of non-nested models
Statistics & Probability Letters | 1987-01-01 | Paper |
Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
Review of Economic Studies | 1987-01-01 | Paper |
Statistical inference in non-nested econometric models
Applied Mathematics and Computation | 1986-01-01 | Paper |
A further result on the sign of restricted least-squares estimates
Journal of Econometrics | 1986-01-01 | Paper |
THE GEOMETRY OF SPECIFICATION ERROR
Australian Journal of Statistics | 1984-01-01 | Paper |
Alternative procedures and associated tests of significance for non- nested hypotheses
Journal of Econometrics | 1981-01-01 | Paper |
