| Publication | Date of Publication | Type |
|---|
| “Generalized Measures of Correlation for Asymmetry, Nonlinearity, and Beyond”: Some Antecedents on Causality | 2023-03-09 | Paper |
| Multivariate hyper-rotated GARCH-BEKK | 2022-07-05 | Paper |
| The impact of jumps and leverage in forecasting covolatility | 2022-06-08 | Paper |
| A fractionally integrated Wishart stochastic volatility model | 2022-06-07 | Paper |
| Robust Ranking of Journal Quality: An Application to Economics | 2022-06-07 | Paper |
| Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers | 2022-03-16 | Paper |
| On the invertibility of EGARCH(p, q) | 2022-03-09 | Paper |
| Are forecast updates progressive? | 2021-02-15 | Paper |
| Coercive journal self citations, impact factor, journal influence and article influence | 2021-02-15 | Paper |
| Risk management of risk under the Basel accord: a Bayesian approach to forecasting value-at-risk of VIX futures | 2021-02-15 | Paper |
| GFC-robust risk management under the Basel accord using extreme value methodologies | 2021-02-15 | Paper |
| Volatility spillovers from the Chinese stock market to economic neighbours | 2021-02-15 | Paper |
| How are journal impact, prestige and article influence related? An application to neuroscience | 2020-09-30 | Paper |
| Cointegrated dynamics for a generalized long memory process: application to interest rates | 2020-09-03 | Paper |
| ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL | 2018-12-14 | Paper |
| Robust ranking of multivariate GARCH models by problem dimension | 2018-11-23 | Paper |
| The correct regularity condition and interpretation of asymmetry in EGARCH | 2018-09-25 | Paper |
| Stochastic dominance statistics for risk averters and risk seekers: an analysis of stock preferences for USA and China | 2018-09-19 | Paper |
| Volatility smirk as an externality of agency conflict and growing debt | 2018-09-04 | Paper |
| Stationarity and invertibility of a dynamic correlation matrix | 2018-06-15 | Paper |
| Testing for Volatility Co-Movement in Bivariate Stochastic Volatility Models | 2018-05-18 | Paper |
| Realized stochastic volatility with general asymmetry and long memory | 2017-08-18 | Paper |
| Moment-based estimation of smooth transition regression models with endogenous variables | 2016-08-12 | Paper |
| The structure of dynamic correlations in multivariate stochastic volatility models | 2016-07-04 | Paper |
| A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries | 2016-06-22 | Paper |
| Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks | 2016-06-22 | Paper |
| A neural network demand system with heteroskedastic errors | 2016-06-22 | Paper |
| An alternative approach to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals | 2016-06-22 | Paper |
| An econometric analysis of asymmetric volatility: theory and application to patents | 2016-05-09 | Paper |
| Patent activity and technical change | 2016-05-09 | Paper |
| Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance | 2015-10-30 | Paper |
| Corrections | 2015-06-10 | Paper |
| Leverage and feedback effects on multifactor Wishart stochastic volatility for option pricing | 2015-06-08 | Paper |
| The maximum number of parameters for the Hausman test when the estimators are from different sets of equations | 2014-08-12 | Paper |
| Testing for the Box-Cox parameter for an integrated process | 2013-03-13 | Paper |
| Dynamic Conditional Correlations for Asymmetric Processes | 2013-02-14 | Paper |
| Modelling and forecasting noisy realized volatility | 2012-06-20 | Paper |
| A trinomial test for paired data when there are many ties | 2011-03-25 | Paper |
| A decision rule to minimize daily capital charges in forecasting value-at-risk | 2011-01-06 | Paper |
| Multivariate stochastic volatility, leverage and news impact surfaces | 2010-10-15 | Paper |
| A simple expected volatility (SEV) index: Application to SET50 index options | 2010-09-02 | Paper |
| GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION | 2010-04-08 | Paper |
| Measuring the Volatility in U.S. Treasury Benchmarks and Debt Instruments | 2009-10-16 | Paper |
| Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility | 2009-08-28 | Paper |
| Forecasting conditional correlations in stock, bond and foreign exchange markets | 2009-08-19 | Paper |
| ARMAX modelling of international tourism demand | 2009-08-19 | Paper |
| Mapping the presidential election cycle in US stock markets | 2009-08-07 | Paper |
| Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market | 2009-06-18 | Paper |
| Modelling risk in agricultural finance: Application to the poultry industry in Taiwan | 2009-03-09 | Paper |
| Realized Volatility and Long Memory: An Overview | 2008-11-19 | Paper |
| Realized Volatility: A Review | 2008-11-19 | Paper |
| Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk | 2008-06-18 | Paper |
| Multivariate volatility in environmental finance | 2008-06-18 | Paper |
| Portfolio single index (PSI) multivariate conditional and stochastic volatility models | 2008-06-18 | Paper |
| How has volatility in metals markets changed? | 2008-06-18 | Paper |
| Is Greater China a currency union?: A tale of the Chinese trio | 2008-06-18 | Paper |
| Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach | 2008-06-18 | Paper |
| Non‐trading day effects in asymmetric conditional and stochastic volatility models | 2007-08-09 | Paper |
| Multivariate Stochastic Volatility: An Overview | 2006-08-28 | Paper |
| Multivariate Stochastic Volatility: A Review | 2006-08-28 | Paper |
| Asymmetric Multivariate Stochastic Volatility | 2006-08-28 | Paper |
| AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY | 2005-10-18 | Paper |
| Dynamic Asymmetric Leverage in Stochastic Volatility Models | 2005-10-17 | Paper |
| Modelling the information content in insider trades in the Singapore exchange | 2005-08-05 | Paper |
| Estimation of Chinese agricultural production efficiencies with panel data | 2005-08-05 | Paper |
| Testing for contagion in ASEAN exchange rates | 2005-08-05 | Paper |
| Related commodity markets and conditional correlations | 2005-08-05 | Paper |
| Modelling the spillover effects in the volatility of atmospheric carbon dioxide concentrations | 2005-08-05 | Paper |
| Speculation and destabilisation | 2005-08-05 | Paper |
| Regression quantiles for unstable autoregressive models | 2004-08-16 | Paper |
| On adaptive estimation in nonstationary ARMA models with GARCH errors | 2004-05-18 | Paper |
| Fat tails and asymmetry in financial volatility models. | 2004-03-14 | Paper |
| Asian monetary integration: a structural VAR approach. | 2004-03-14 | Paper |
| COMPARING TESTS OF AUTOREGRESSIVE VERSUS MOVING AVERAGE ERRORS IN REGRESSION MODELS USING BAHADUR’S ASYMPTOTIC RELATIVE EFFICIENCY | 2004-02-04 | Paper |
| Volatility models of currency futures in developed and emerging markets. | 2004-01-14 | Paper |
| Modelling the asymmetric volatility of electronics patents in the USA. | 2004-01-14 | Paper |
| Input-output structure and growth in China. | 2004-01-14 | Paper |
| SIZE CHARACTERISTICS OF TESTS FOR SAMPLE SELECTION BIAS: A MONTE CARLO COMPARISON AND EMPIRICAL EXAMPLE | 2003-08-25 | Paper |
| NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS | 2003-05-18 | Paper |
| Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence | 2003-05-12 | Paper |
| Stationarity and the existence of moments of a family of GARCH processes. | 2003-02-17 | Paper |
| Economic growth and technological catching up by Singapore to the USA | 2002-09-03 | Paper |
| A cointegration analysis of annual tourism demand by Malaysia for Australia | 2002-09-03 | Paper |
| Cointegration analysis of metals futures | 2002-09-03 | Paper |
| Nonlinear modelling and forecasting of S\& P 500 volatility | 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 | 1999-11-08 | Paper |
| Testing nested and non-nested periodically integrated autoregressive models | 1999-02-23 | Paper |
| ANALYTICAL POWER COMPARISONS OF NESTED AND NONNESTED TESTS FOR LINEAR AND LOGLINEAR REGRESSION MODELS | 1999-01-01 | Paper |
| Testing for Unit Roots and Non-linear Transformations | 1998-10-27 | Paper |
| Econometric methodology and the philosophy of science | 1996-03-12 | Paper |
| Cointegration and direct tests of the rational expectations hypothesis | 1994-01-01 | Paper |
| A NEW APPROACH TO MAXIMUM LIKELIHOOD ESTIMATION OF THE THREE-PARAMETER GAMMA AND WEIBULL DISTRIBUTIONS | 1993-04-01 | Paper |
| Properties of ordinary least squares estimators in regression models with nonspherical disturbances | 1993-02-04 | Paper |
| Recursive estimation and generated regressors | 1992-10-05 | Paper |
| When are two step estimators efficient? | 1992-06-25 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4203650 | 1989-01-01 | Paper |
| On exact and asymptotic tests of non-nested models | 1987-01-01 | Paper |
| Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model | 1987-01-01 | Paper |
| A further result on the sign of restricted least-squares estimates | 1986-01-01 | Paper |
| Statistical inference in non-nested econometric models | 1986-01-01 | Paper |
| THE GEOMETRY OF SPECIFICATION ERROR | 1984-01-01 | Paper |
| Alternative procedures and associated tests of significance for non- nested hypotheses | 1981-01-01 | Paper |
