| Publication | Date of Publication | Type |
|---|
Finite moments testing in a general class of nonlinear time series models
Bernoulli | 2025-11-21 | Paper |
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Estimating the Marginal Law of a Time Series With Applications to Heavy-Tailed Distributions
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Inference on GARCH-MIDAS models without any small-order moment
Econometric Theory | 2025-01-20 | Paper |
Volatility Estimation When the Zero-Process is Nonstationary
Journal of Business and Economic Statistics | 2024-08-13 | Paper |
Autoregressive conditional betas
Journal of Econometrics | 2024-02-13 | Paper |
Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models
Journal of Econometrics | 2023-11-17 | Paper |
LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-SERIES MODELS
Econometric Theory | 2023-10-24 | Paper |
Optimal estimating function for weak location‐scale dynamic models
Journal of Time Series Analysis | 2023-08-24 | Paper |
Quasi score-driven models
Journal of Econometrics | 2023-04-14 | Paper |
Stationarity and ergodicity of Markov switching positive conditional mean models
Journal of Time Series Analysis | 2022-08-08 | Paper |
Optimal Predictions of Powers of Conditionally Heteroscedastic Processes
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2022-07-11 | Paper |
Testing the existence of moments for GARCH processes
Journal of Econometrics | 2022-03-16 | Paper |
Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models
Bernoulli | 2022-02-01 | Paper |
Count and duration time series with equal conditional stochastic and mean orders
Econometric Theory | 2021-06-11 | Paper |
Virtual historical simulation for estimating the conditional VaR of large portfolios
Journal of Econometrics | 2020-06-18 | Paper |
| GARCH models. Structure, statistical inference and financial applications | 2019-07-03 | Paper |
Estimating multivariate volatility models equation by equation
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
Functional GARCH models: the quasi-likelihood approach and its applications
Journal of Econometrics | 2019-04-30 | Paper |
QML inference for volatility models with covariates
Econometric Theory | 2019-03-27 | Paper |
Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models
Journal of Econometrics | 2018-06-21 | Paper |
Asymptotics of Cholesky GARCH models and time-varying conditional betas
Journal of Econometrics | 2018-05-25 | Paper |
Goodness-of-fit tests for Log-GARCH and EGARCH models
Test | 2018-03-23 | Paper |
Tests for conditional ellipticity in multivariate GARCH models
Journal of Econometrics | 2017-01-13 | Paper |
An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns
Journal of Multivariate Analysis | 2016-12-15 | Paper |
Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE
Journal of Econometrics | 2016-08-15 | Paper |
Inconsistency of the MLE and inference based on weighted LS for LARCH models
Journal of Econometrics | 2016-08-04 | Paper |
A class of stochastic unit-root bilinear processes: mixing properties and unit-root test
Journal of Econometrics | 2016-06-03 | Paper |
Fourier-type estimation of the power GARCH model with stable-Paretian innovations
Metrika | 2016-05-24 | Paper |
Poisson QMLE of count time series models
Journal of Time Series Analysis | 2016-05-03 | Paper |
Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified
Journal of Time Series Analysis | 2016-01-25 | Paper |
Goodness-of-fit tests for extended Log-GARCH models
(available as arXiv preprint) | 2016-01-21 | Paper |
Multivariate hypothesis testing using generalized and {2}-inverses – with applications
Statistics | 2015-07-20 | Paper |
Testing the nullity of GARCH coefficients: correction of the standard tests and relative efficiency comparisons
Journal of the American Statistical Association | 2015-06-22 | Paper |
Combining nonparametric and optimal linear time series predictions
Journal of the American Statistical Association | 2015-06-17 | Paper |
Risk-parameter estimation in volatility models
Journal of Econometrics | 2014-11-24 | Paper |
GARCH models without positivity constraints: exponential or log GARCH?
Journal of Econometrics | 2014-04-30 | Paper |
Inference in nonstationary asymmetric GARCH models
The Annals of Statistics | 2013-12-11 | Paper |
Inference in nonstationary asymmetric GARCH models
The Annals of Statistics | 2013-12-11 | Paper |
Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models
Econometrica | 2013-11-06 | Paper |
Asymptotic properties of weighted least squares estimation in weak PARMA models
Journal of Time Series Analysis | 2013-10-04 | Paper |
Computing and estimating information matrices of weak ARMA models
Computational Statistics and Data Analysis | 2012-06-08 | Paper |
QML estimation of a class of multivariate asymmetric GARCH models
Econometric Theory | 2012-03-29 | Paper |
Estimating structural VARMA models with uncorrelated but non-independent error terms
Journal of Multivariate Analysis | 2011-03-14 | Paper |
Bartlett's formula for a general class of nonlinear processes
Journal of Time Series Analysis | 2011-02-22 | Paper |
SUP-TESTS FOR LINEARITY IN A GENERAL NONLINEAR AR(1) MODEL
Econometric Theory | 2010-08-13 | Paper |
Asymptotic normality of frequency polygons for random fields
Journal of Statistical Planning and Inference | 2009-11-30 | Paper |
A Tour in the Asymptotic Theory of GARCH Estimation
Handbook of Financial Time Series | 2009-11-27 | Paper |
Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference
Computational Statistics and Data Analysis | 2009-06-12 | Paper |
| On diagnostic checking time series models with portmanteau test statistics based on generalized inverses and \(\{2\}\)-inverses | 2008-11-10 | Paper |
Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations
Journal of Time Series Analysis | 2008-06-18 | Paper |
Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors
Journal of Time Series Analysis | 2007-12-16 | Paper |
Linear‐representation Based Estimation of Stochastic Volatility Models
Scandinavian Journal of Statistics | 2007-12-16 | Paper |
Diagnostic Checking in ARMA Models With Uncorrelated Errors
Journal of the American Statistical Association | 2007-08-20 | Paper |
Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero
Stochastic Processes and their Applications | 2007-08-20 | Paper |
Kernel regression estimation for random fields
Journal of Statistical Planning and Inference | 2007-02-14 | Paper |
On Efficient Inference in GARCH Processes
Lecture Notes in Statistics | 2007-01-09 | Paper |
HAC estimation and strong linearity testing in weak ARMA models
Journal of Multivariate Analysis | 2007-01-09 | Paper |
MIXING PROPERTIES OF A GENERAL CLASS OF GARCH(1,1) MODELS WITHOUT MOMENT ASSUMPTIONS ON THE OBSERVED PROCESS
Econometric Theory | 2006-11-14 | Paper |
A CENTRAL LIMIT THEOREM FOR MIXING TRIANGULAR ARRAYS OF VARIABLES WHOSE DEPENDENCE IS ALLOWED TO GROW WITH THE SAMPLE SIZE
Econometric Theory | 2006-03-22 | Paper |
The \(L^2\)-structures of standard and switching-regime GARCH models
Stochastic Processes and their Applications | 2005-09-29 | Paper |
Large sample properties of parameter least squares estimates for time‐varying arma models
Journal of Time Series Analysis | 2005-05-20 | Paper |
Estimation of time-varying ARMA models with Markovian changes in regime
Statistics & Probability Letters | 2005-03-08 | Paper |
Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes
Bernoulli | 2005-02-21 | Paper |
Consistent and asymptotically normal estimators for cyclically time-dependent linear models
Annals of the Institute of Statistical Mathematics | 2004-10-05 | Paper |
Estimating ARMA models with recurrent regime changes
Comptes Rendus. Mathématique. Académie des Sciences, Paris | 2004-08-20 | Paper |
Efficient use of higher‐lag autocorrelations for estimating autoregressive processes
Journal of Time Series Analysis | 2003-10-22 | Paper |
Nonparametric estimation of density, regression and dependence coefficients
Journal of Nonparametric Statistics | 2003-06-23 | Paper |
COMMENTS ON THE PAPER BY MINXIAN YANG: “SOME PROPERTIES OF VECTOR AUTOREGRESSIVE PROCESSES WITH MARKOV-SWITCHING COEFFICIENTS”
Econometric Theory | 2003-05-18 | Paper |
Multivariate arma models with generalized autoregressive linear innovation
Stochastic Analysis and Applications | 2002-04-21 | Paper |
Stationarity of multivariate Markov-switching ARMA models
Journal of Econometrics | 2002-03-19 | Paper |
Covariance matrix estimation for estimators of mixing weak ARMA models
Journal of Statistical Planning and Inference | 2002-01-08 | Paper |
Conditional heteroskedasticity driven by hidden Markov chains
Journal of Time Series Analysis | 2001-09-16 | Paper |
Estimating weak GARCH representations
Econometric Theory | 2001-09-02 | Paper |
Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes
Economics Letters | 2001-08-20 | Paper |
Modèles ARCH avec changement de régime markovien
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2001-08-17 | Paper |
Stationnarité des modèles ARMA à changement de régime markovien
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 2000-11-09 | Paper |
Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivariéeas
The Canadian Journal of Statistics | 2000-10-29 | Paper |
Estimating linear representations of nonlinear processes
Journal of Statistical Planning and Inference | 2000-08-21 | Paper |
Identification of a univariate ARMA model
Computational Statistics | 2000-03-02 | Paper |
On White Noises Driven by Hidden Markov Chains
Journal of Time Series Analysis | 1999-09-02 | Paper |
Arma models with bilinear innovations
Communications in Statistics. Stochastic Models | 1999-09-02 | Paper |
On the identifiability of minimal VARMA representations
Statistical Inference for Stochastic Processes | 1999-08-16 | Paper |
Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator
Statistics | 1999-04-27 | Paper |
On Bartlett’s Formula for Non‐linear Processes
Journal of Time Series Analysis | 1999-04-22 | Paper |
Estimation de représentations GARCH faibles
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1999-02-14 | Paper |
Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics | 1999-02-09 | Paper |
Estimating linear representations of nonlinear processes
Journal of Statistical Planning and Inference | 1998-05-01 | Paper |
| scientific article; zbMATH DE number 937325 (Why is no real title available?) | 1997-02-24 | Paper |
