| Publication | Date of Publication | Type |
|---|
| Dynamic Autoregressive Liquidity (DArLiQ) | 2024-10-28 | Paper |
| Exponential-Type GARCH Models With Linear-in-Variance Risk Premium | 2024-10-11 | Paper |
| Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity | 2024-07-17 | Paper |
| Dynamic Score-Driven Independent Component Analysis | 2024-03-05 | Paper |
| A dynamic conditional score model for the log correlation matrix | 2023-11-17 | Paper |
| A simple solution of the spurious regression problem | 2023-03-30 | Paper |
| Asymmetric volatility impulse response functions | 2023-01-30 | Paper |
| Reconciling negative return skewness with positive time-varying risk premia | 2022-09-14 | Paper |
| Identification of structural multivariate GARCH models | 2022-03-16 | Paper |
| The “wrong skewness” problem in stochastic frontier models: A new approach | 2022-02-24 | Paper |
| Inference in stochastic frontier analysis with dependent error terms | 2021-02-18 | Paper |
| WITHDRAWN: ``Inference in stochastic frontier analysis with dependent error terms | 2021-02-18 | Paper |
| Erratum to: ``Inference in stochastic frontier analysis with dependent error terms | 2021-02-18 | Paper |
| Cross-correlating wavelet coefficients with applications to high-frequency financial time series | 2020-10-21 | Paper |
| Estimation of a multiplicative correlation structure in the large dimensional case | 2020-06-18 | Paper |
| Statistics of Financial Markets | 2019-09-26 | Paper |
| The effect of additive outliers on a fractional unit root test | 2018-11-12 | Paper |
| Supplementary Material for "Estimation of a Multiplicative Correlation Structure in the Large Dimensional Case" | 2018-10-15 | Paper |
| On Asymptotic Theory for ARCH (∞) Models | 2017-12-01 | Paper |
| AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL | 2017-09-15 | Paper |
| WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS | 2017-08-22 | Paper |
| Efficient estimation of a multivariate multiplicative volatility model | 2016-08-04 | Paper |
| Temporal aggregation of multivariate GARCH processes | 2016-06-03 | Paper |
| Looking Backward and Looking Forward | 2016-05-12 | Paper |
| Analytical quasi maximum likelihood inference in multivariate volatility models | 2015-10-14 | Paper |
| An ARCH model without intercept | 2015-10-05 | Paper |
| A note on the Tobit model in the presence of a duration variable | 2015-09-29 | Paper |
| On heterogeneous latent class models with applications to the analysis of rating scores | 2015-03-05 | Paper |
| Statistics of financial markets. An introduction | 2015-02-16 | Paper |
| Efficient estimation of a semiparametric dynamic copula model | 2014-04-14 | Paper |
| Estimating Autocorrelations in the Presence of Deterministic Trends | 2013-06-14 | Paper |
| A Lagrange multiplier test for causality in variance | 2013-01-08 | Paper |
| On the estimation of dynamic conditional correlation models | 2012-12-30 | Paper |
| Econometric analysis of volatile art markets | 2012-12-30 | Paper |
| Semiparametric multivariate volatility models | 2012-05-14 | Paper |
| Handbook of Volatility Models and Their Applications | 2012-04-19 | Paper |
| Multivariate Time Series Models for Asset Prices | 2012-01-10 | Paper |
| LOCALLY STATIONARY FACTOR MODELS: IDENTIFICATION AND NONPARAMETRIC ESTIMATION | 2012-01-04 | Paper |
| Statistics of financial markets. An introduction. | 2010-12-03 | Paper |
| Semi-Parametric Modelling of Correlation Dynamics | 2010-06-30 | Paper |
| Causality and forecasting in temporally aggregated multivariate GARCH processes | 2010-06-08 | Paper |
| Deciding between GARCH and stochastic volatility via strong decision rules | 2009-12-10 | Paper |
| A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets | 2009-10-16 | Paper |
| On asymptotic theory for multivariate GARCH models | 2009-09-28 | Paper |
| ASYMPTOTIC THEORY FOR A FACTOR GARCH MODEL | 2009-06-11 | Paper |
| Multivariate mixed normal conditional heteroskedasticity | 2009-05-29 | Paper |
| Statistics of financial markets. An introduction. | 2008-01-30 | Paper |
| Ridge regression revisited | 2008-01-24 | Paper |
| Estimation of temporally aggregated multivariate GARCH models | 2007-12-19 | Paper |
| Analytical quasi maximum likelihood inference in multivariate volatility models | 2007-03-16 | Paper |
| Durations, volume and the prediction of financial returns in transaction time | 2005-10-17 | Paper |
| Testing Linearity in an AR Errors-in-variables Model with Application to Stochastic Volatility | 2004-11-29 | Paper |
| Statistics of financial markets. An introduction. | 2004-10-04 | Paper |
| Nonparametric Multistep-Ahead Prediction in Time Series Analysis | 2004-09-24 | Paper |
| Simple approximations for option pricing under mean reversion and stochastic volatility | 2004-03-16 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4425019 | 2003-09-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q2752735 | 2001-10-17 | Paper |
| Testing for linear autoregressive dynamics under heteroskedasticity | 2001-04-04 | Paper |
| Discrete time option pricing with flexible volatility estimation | 2000-11-01 | Paper |
| Structural analysis of portfolio risk using beta impulse response functions | 2000-08-24 | Paper |
| Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models | 2000-06-14 | Paper |
