| Publication | Date of Publication | Type |
|---|
| Performance bound for myopic order-up-to inventory policies under stationary demand processes | 2022-10-17 | Paper |
| Estimation of \(\alpha, \beta\) and portfolio weights in a pure-jump model with long memory in volatility | 2022-06-20 | Paper |
| The propagation and identification of ARMA demand under simple exponential smoothing: forecasting expertise and information sharing | 2020-09-30 | Paper |
| The Slow Convergence of Ordinary Least Squares Estimators of α, β and Portfolio Weights under Long‐Memory Stochastic Volatility | 2019-07-30 | Paper |
| Assessing the value of demand sharing in supply chains | 2019-05-02 | Paper |
| The value of sharing disaggregated information in supply chains | 2019-04-23 | Paper |
| On the sensitivity of the Lasso to the number of predictor variables | 2018-10-02 | Paper |
| Drift in Transaction‐Level Asset Price Models | 2017-09-18 | Paper |
| Series expansions for the all-time maximum of \(\alpha\)-stable random walks | 2016-11-01 | Paper |
| Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment | 2016-06-10 | Paper |
| Asymptotics for duration-driven long range dependent processes | 2016-05-27 | Paper |
| The averaged periodogram estimator for a power law in coherency | 2014-11-20 | Paper |
| LIMIT LAWS IN TRANSACTION-LEVEL ASSET PRICE MODELS | 2014-09-25 | Paper |
| Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models | 2013-11-11 | Paper |
| Computationally efficient methods for two multivariate fractionally integrated models | 2011-02-22 | Paper |
| A Pure-Jump Transaction-Level Price Model Yielding Cointegration | 2010-12-30 | Paper |
| Long memory in intertrade durations, counts and realized volatility of NYSE stocks | 2010-09-20 | Paper |
| Bias of the corrected AIC criterion for underfitted regression and time series models | 2010-08-13 | Paper |
| Stochastic Volatility Models with Long Memory | 2009-11-27 | Paper |
| Fractional Cointegration | 2009-11-27 | Paper |
| CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY | 2009-09-30 | Paper |
| Corrigendum to "Estimating Long Memory in Volatility" | 2008-06-13 | Paper |
| VARIANCE ESTIMATION FOR SAMPLE AUTOCOVARIANCES: DIRECT AND RESAMPLING APPROACHES | 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 | 2007-08-20 | Paper |
| Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend | 2007-08-20 | Paper |
| Semiparametric estimation of fractional cointegrating subspaces | 2007-07-12 | Paper |
| Long Memory in Nonlinear Processes | 2007-01-09 | Paper |
| Estimating Long Memory in Volatility | 2006-10-24 | Paper |
| On the Complexity of the Preconditioned Conjugate Gradient Algorithm for Solving Toeplitz Systems with a Fisher--Hartwig Singularity | 2006-05-31 | Paper |
| The FEXP estimator for potentially non-stationary linear time series. | 2005-02-25 | Paper |
| Semiparametric Estimation of Multivariate Fractional Cointegration | 2004-06-10 | Paper |
| Estimating fractional cointegration in the presence of polynomial trends | 2003-10-14 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4407610 | 2003-07-01 | Paper |
| ON THE LOG PERIODOGRAM REGRESSION ESTIMATOR OF THE MEMORY PARAMETER IN LONG MEMORY STOCHASTIC VOLATILITY MODELS | 2003-05-18 | Paper |
| TESTING FOR LONG MEMORY IN VOLATILITY | 2003-05-18 | Paper |
| Model selection for broadband semiparametric estimation of long memory in time series | 2002-04-24 | Paper |
| Broad band semiparametric estimation of the memory parameter of a long-memory time series using fractional exponential models | 2001-09-16 | Paper |
| An efficient taper for potentially overdifferenced long-memory time series | 2001-03-01 | Paper |
| A crossvalidatory AIC for hard wavelet thresholding in spatially adaptive function estimation | 2001-02-18 | Paper |
| A study of the effectiveness of simple density estimation methods | 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 | 2000-03-01 | Paper |
| Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion | 1999-04-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4344412 | 1998-11-16 | Paper |
| Miscellanea. Score tests for heteroscedasticity in wavelet regression | 1998-11-08 | Paper |
| Linear Trend with Fractionally Integrated Errors | 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 | 1998-08-09 | Paper |
| Model Selection for Extended Quasi-Likelihood Models in Small Samples | 1997-11-09 | Paper |
| The impact of unsuspected serial correlations on model selection in linear regression | 1996-09-01 | Paper |
| Relative rates of convergence for efficient model selection criteria in linear regression | 1996-01-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4839620 | 1995-11-28 | Paper |
| ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES | 1995-06-06 | Paper |
| An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series | 1995-04-20 | Paper |
| AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES | 1994-07-21 | Paper |
| ACKNOWLEDGEMENT OF PRIORITY FOR "ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES" | 1994-06-29 | Paper |
| ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES | 1994-03-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4272844 | 1994-01-02 | Paper |
| A CORRECTED AKAIKE INFORMATION CRITERION FOR VECTOR AUTOREGRESSIVE MODEL SELECTION | 1993-06-29 | Paper |
| An information-theoretic framework for robustness | 1993-04-01 | Paper |
| CROSS-VALIDATORY CHOICE OF A SPECTRUM ESTIMATE AND ITS CONNECTIONS WITH AIC | 1990-01-01 | Paper |
| Regression and time series model selection in small samples | 1989-01-01 | Paper |
| A mean squared error criterion for time series data windows | 1988-01-01 | Paper |
| Automatic selection of a linear predictor through frequency domain cross-validation | 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 |
| https://portal.mardi4nfdi.de/entity/Q3658056 | 1982-01-01 | Paper |
