| Publication | Date of Publication | Type |
|---|
| Autoregressive conditional betas | 2024-02-13 | Paper |
| Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models | 2023-11-17 | Paper |
| LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS | 2023-10-24 | Paper |
| Optimal estimating function for weak location‐scale dynamic models | 2023-08-24 | Paper |
| Quasi score-driven models | 2023-04-14 | Paper |
| Stationarity and ergodicity of Markov switching positive conditional mean models | 2022-08-08 | Paper |
| Optimal Predictions of Powers of Conditionally Heteroscedastic Processes | 2022-07-11 | Paper |
| Testing the existence of moments for GARCH processes | 2022-03-16 | Paper |
| Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models | 2022-02-01 | Paper |
| COUNT AND DURATION TIME SERIES WITH EQUAL CONDITIONAL STOCHASTIC AND MEAN ORDERS | 2021-06-11 | Paper |
| Virtual historical simulation for estimating the conditional VaR of large portfolios | 2020-06-18 | Paper |
| GARCH Models | 2019-07-03 | Paper |
| Estimating Multivariate Volatility Models Equation by Equation | 2019-06-12 | Paper |
| Functional GARCH models: the quasi-likelihood approach and its applications | 2019-04-30 | Paper |
| QML INFERENCE FOR VOLATILITY MODELS WITH COVARIATES | 2019-03-27 | Paper |
| Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models | 2018-06-21 | Paper |
| Asymptotics of Cholesky GARCH models and time-varying conditional betas | 2018-05-25 | Paper |
| Goodness-of-fit tests for Log-GARCH and EGARCH models | 2018-03-23 | Paper |
| Tests for conditional ellipticity in multivariate GARCH models | 2017-01-13 | Paper |
| An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns | 2016-12-15 | Paper |
| Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE | 2016-08-15 | Paper |
| Inconsistency of the MLE and inference based on weighted LS for LARCH models | 2016-08-04 | Paper |
| A class of stochastic unit-root bilinear processes: mixing properties and unit-root test | 2016-06-03 | Paper |
| Fourier-type estimation of the power GARCH model with stable-Paretian innovations | 2016-05-24 | Paper |
| Poisson QMLE of Count Time Series Models | 2016-05-03 | Paper |
| Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified | 2016-01-25 | Paper |
| Goodness-of-fit tests for extended Log-GARCH models | 2016-01-21 | Paper |
| Multivariate hypothesis testing using generalized and {2}-inverses – with applications | 2015-07-20 | Paper |
| Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons | 2015-06-22 | Paper |
| Combining Nonparametric and Optimal Linear Time Series Predictions | 2015-06-17 | Paper |
| Risk-parameter estimation in volatility models | 2014-11-24 | Paper |
| GARCH models without positivity constraints: exponential or log GARCH? | 2014-04-30 | Paper |
| Inference in nonstationary asymmetric GARCH models | 2013-12-11 | Paper |
| Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models | 2013-11-06 | Paper |
| Asymptotic Properties of Weighted Least Squares Estimation in Weak PARMA Models | 2013-10-04 | Paper |
| Computing and estimating information matrices of weak ARMA models | 2012-06-08 | Paper |
| QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS | 2012-03-29 | Paper |
| Estimating structural VARMA models with uncorrelated but non-independent error terms | 2011-03-14 | Paper |
| Bartlett's formula for a general class of nonlinear processes | 2011-02-22 | Paper |
| SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL | 2010-08-13 | Paper |
| Asymptotic normality of frequency polygons for random fields | 2009-11-30 | Paper |
| A Tour in the Asymptotic Theory of GARCH Estimation | 2009-11-27 | Paper |
| Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference | 2009-06-12 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3535260 | 2008-11-10 | Paper |
| Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations | 2008-06-18 | Paper |
| Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors | 2007-12-16 | Paper |
| Linear‐representation Based Estimation of Stochastic Volatility Models | 2007-12-16 | Paper |
| Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero | 2007-08-20 | Paper |
| Diagnostic Checking in ARMA Models With Uncorrelated Errors | 2007-08-20 | Paper |
| Kernel regression estimation for random fields | 2007-02-14 | Paper |
| HAC estimation and strong linearity testing in weak ARMA models | 2007-01-09 | Paper |
| On Efficient Inference in GARCH Processes | 2007-01-09 | Paper |
| MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS | 2006-11-14 | Paper |
| A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE | 2006-03-22 | Paper |
| The \(L^2\)-structures of standard and switching-regime GARCH models | 2005-09-29 | Paper |
| Large sample properties of parameter least squares estimates for time‐varying arma models | 2005-05-20 | Paper |
| Estimation of time-varying ARMA models with Markovian changes in regime | 2005-03-08 | Paper |
| Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes | 2005-02-21 | Paper |
| Consistent and asymptotically normal estimators for cyclically time-dependent linear models | 2004-10-05 | Paper |
| Estimating ARMA models with recurrent regime changes | 2004-08-20 | Paper |
| Efficient use of higher‐lag autocorrelations for estimating autoregressive processes | 2003-10-22 | Paper |
| Nonparametric estimation of density, regression and dependence coefficients | 2003-06-23 | Paper |
| COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS” | 2003-05-18 | Paper |
| Multivariate arma models with generalized autoregressive linear innovation | 2002-04-21 | Paper |
| Stationarity of multivariate Markov-switching ARMA models | 2002-03-19 | Paper |
| Covariance matrix estimation for estimators of mixing weak ARMA models | 2002-01-08 | Paper |
| Conditional Heteroskedasticity Driven by Hidden Markov Chains | 2001-09-16 | Paper |
| ESTIMATING WEAK GARCH REPRESENTATIONS | 2001-09-02 | Paper |
| Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes | 2001-08-20 | Paper |
| Modèles ARCH avec changement de régime markovien | 2001-08-17 | Paper |
| Stationnarité des modèles ARMA à changement de régime markovien | 2000-11-09 | Paper |
| Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas | 2000-10-29 | Paper |
| Estimating linear representations of nonlinear processes | 2000-08-21 | Paper |
| Identification of a univariate ARMA model | 2000-03-02 | Paper |
| Arma models with bilinear innovations | 1999-09-02 | Paper |
| On White Noises Driven by Hidden Markov Chains | 1999-09-02 | Paper |
| On the identifiability of minimal VARMA representations | 1999-08-16 | Paper |
| Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator | 1999-04-27 | Paper |
| On Bartlett’s Formula for Non‐linear Processes | 1999-04-22 | Paper |
| Estimation de représentations GARCH faibles | 1999-02-14 | Paper |
| Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles | 1999-02-09 | Paper |
| Estimating linear representations of nonlinear processes | 1998-05-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4896468 | 1997-02-24 | Paper |
