| Publication | Date of Publication | Type |
|---|
Performance bound for myopic order-up-to inventory policies under stationary demand processes
Operations Research Letters | 2022-10-17 | Paper |
Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility
Stochastic Processes and their Applications | 2022-06-20 | Paper |
The propagation and identification of ARMA demand under simple exponential smoothing: forecasting expertise and information sharing
IMA Journal of Management Mathematics | 2020-09-30 | Paper |
The slow convergence of ordinary least squares estimators of \(\alpha, \beta\) and portfolio weights under long-memory stochastic volatility
Journal of Time Series Analysis | 2019-07-30 | Paper |
Assessing the value of demand sharing in supply chains
Naval Research Logistics | 2019-05-02 | Paper |
The value of sharing disaggregated information in supply chains
European Journal of Operational Research | 2019-04-23 | Paper |
On the sensitivity of the Lasso to the number of predictor variables
Statistical Science | 2018-10-02 | Paper |
Drift in transaction-level asset price models
Journal of Time Series Analysis | 2017-09-18 | Paper |
Series expansions for the all-time maximum of \(\alpha\)-stable random walks
Advances in Applied Probability | 2016-11-01 | Paper |
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Journal of Econometrics | 2016-06-10 | Paper |
Asymptotics for duration-driven long range dependent processes
Journal of Econometrics | 2016-05-27 | Paper |
The averaged periodogram estimator for a power law in coherency
Journal of Time Series Analysis | 2014-11-20 | Paper |
Limit laws in transaction-level asset price models
Econometric Theory | 2014-09-25 | Paper |
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
Journal of the American Statistical Association | 2013-11-11 | Paper |
Computationally efficient methods for two multivariate fractionally integrated models
Journal of Time Series Analysis | 2011-02-22 | Paper |
A Pure-Jump Transaction-Level Price Model Yielding Cointegration
Journal of Business and Economic Statistics | 2010-12-30 | Paper |
Long memory in intertrade durations, counts and realized volatility of NYSE stocks
Journal of Statistical Planning and Inference | 2010-09-20 | Paper |
Bias of the corrected AIC criterion for underfitted regression and time series models
Biometrika | 2010-08-13 | Paper |
Stochastic Volatility Models with Long Memory
Handbook of Financial Time Series | 2009-11-27 | Paper |
Fractional Cointegration
Handbook of Financial Time Series | 2009-11-27 | Paper |
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY
Econometric Theory | 2009-09-30 | Paper |
Corrigendum to "Estimating Long Memory in Volatility"
Econometrica | 2008-06-13 | Paper |
VARIANCE ESTIMATION FOR SAMPLE AUTOCOVARIANCES: DIRECT AND RESAMPLING APPROACHES
Australian Journal of Statistics | 2008-03-18 | Paper |
On the Correlation Matrix of the Discrete Fourier Transform and the Fast Solution of Large Toeplitz Systems for Long-Memory Time Series
Journal of the American Statistical Association | 2007-08-20 | Paper |
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend
Journal of the American Statistical Association | 2007-08-20 | Paper |
Semiparametric estimation of fractional cointegrating subspaces
The Annals of Statistics | 2007-07-12 | Paper |
Long Memory in Nonlinear Processes
Lecture Notes in Statistics | 2007-01-09 | Paper |
Estimating Long Memory in Volatility
Econometrica | 2006-10-24 | Paper |
On the Complexity of the Preconditioned Conjugate Gradient Algorithm for Solving Toeplitz Systems with a Fisher--Hartwig Singularity
SIAM Journal on Matrix Analysis and Applications | 2006-05-31 | Paper |
The FEXP estimator for potentially non-stationary linear time series.
Stochastic Processes and their Applications | 2005-02-25 | Paper |
Semiparametric Estimation of Multivariate Fractional Cointegration
Journal of the American Statistical Association | 2004-06-10 | Paper |
Estimating fractional cointegration in the presence of polynomial trends
Journal of Econometrics | 2003-10-14 | Paper |
scientific article; zbMATH DE number 1944316 (Why is no real title available?)
| 2003-07-01 | Paper |
ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS
Econometric Theory | 2003-05-18 | Paper |
TESTING FOR LONG MEMORY IN VOLATILITY
Econometric Theory | 2003-05-18 | Paper |
Model selection for broadband semiparametric estimation of long memory in time series
Journal of Time Series Analysis | 2002-04-24 | Paper |
Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models
Journal of Time Series Analysis | 2001-09-16 | Paper |
An efficient taper for potentially overdifferenced long-memory time series
Journal of Time Series Analysis | 2001-03-01 | Paper |
A crossvalidatory AIC for hard wavelet thresholding in spatially adaptive function estimation
Biometrika | 2001-02-18 | Paper |
A study of the effectiveness of simple density estimation methods
Computational Statistics | 2000-03-02 | Paper |
Plug‐in Selection of the Number of Frequencies in Regression Estimates of the Memory Parameter of a Long‐memory Time Series
Journal of Time Series Analysis | 2000-03-01 | Paper |
Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion
Journal of the Royal Statistical Society Series B: Statistical Methodology | 1999-04-08 | Paper |
scientific article; zbMATH DE number 1034044 (Why is no real title available?)
| 1998-11-16 | Paper |
Miscellanea. Score tests for heteroscedasticity in wavelet regression
Biometrika | 1998-11-08 | Paper |
Linear Trend with Fractionally Integrated Errors
Journal of Time Series Analysis | 1998-10-21 | Paper |
The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
Journal of Time Series Analysis | 1998-08-09 | Paper |
Model Selection for Extended Quasi-Likelihood Models in Small Samples
Biometrics | 1997-11-09 | Paper |
The impact of unsuspected serial correlations on model selection in linear regression
Statistics \& Probability Letters | 1996-09-01 | Paper |
Relative rates of convergence for efficient model selection criteria in linear regression
Biometrika | 1996-01-16 | Paper |
scientific article; zbMATH DE number 775121 (Why is no real title available?)
| 1995-11-28 | Paper |
ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
Journal of Time Series Analysis | 1995-06-06 | Paper |
An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
Stochastic Processes and their Applications | 1995-04-20 | Paper |
AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
Journal of Time Series Analysis | 1994-07-21 | Paper |
ACKNOWLEDGEMENT OF PRIORITY FOR "ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES"
Journal of Time Series Analysis | 1994-06-29 | Paper |
ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
Journal of Time Series Analysis | 1994-03-07 | Paper |
scientific article; zbMATH DE number 472980 (Why is no real title available?)
| 1994-01-02 | Paper |
A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION
Journal of Time Series Analysis | 1993-06-29 | Paper |
An information-theoretic framework for robustness
Annals of the Institute of Statistical Mathematics | 1993-04-01 | Paper |
CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC
Journal of Time Series Analysis | 1990-01-01 | Paper |
Regression and time series model selection in small samples
Biometrika | 1989-01-01 | Paper |
A mean squared error criterion for time series data windows
Biometrika | 1988-01-01 | Paper |
Automatic selection of a linear predictor through frequency domain cross-validation
Communications in Statistics: Theory and Methods | 1987-01-01 | Paper |
Data-Dependent Spectral Windows: Generalizing the Classical Framework to Include Maximum Entropy Estimates
| 1986-01-01 | Paper |
Data-Driven Choice of a Spectrum Estimate: Extending the Applicability of Cross-Validation Methods
| 1985-01-01 | Paper |
scientific article; zbMATH DE number 3809638 (Why is no real title available?)
| 1982-01-01 | Paper |
