| Publication | Date of Publication | Type |
|---|
The Factor–Spline–GARCH Model for High and Low Frequency Correlations
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Large Dynamic Covariance Matrices
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
Fitting Vast Dimensional Time-Varying Covariance Models
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Measuring the probability of a financial crisis
Proceedings of the National Academy of Sciences | 2020-03-04 | Paper |
What good is a volatility model?
Quantitative Finance | 2019-01-14 | Paper |
| High dimension dynamic correlations | 2017-11-22 | Paper |
Scenario generation for long run interest rate risk assessment
Journal of Econometrics | 2017-11-07 | Paper |
A component model for dynamic correlations
Journal of Econometrics | 2016-08-12 | Paper |
A multiple indicators model for volatility using intra-daily data
Journal of Econometrics | 2016-06-10 | Paper |
A long-run pure variance common features model for the common volatilities of the Dow Jones
Journal of Econometrics | 2016-06-10 | Paper |
Priced risk and asymmetric volatility in the cross section of skewness
Journal of Econometrics | 2014-06-04 | Paper |
Index-option pricing with stochastic volatility and the value of accurate variance forecasts
Review of Derivatives Research | 2013-10-29 | Paper |
A component model for dynamic correlations
Journal of Econometrics | 2011-09-01 | Paper |
Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
Econometrica | 2002-05-28 | Paper |
Financial econometrics -- a new discipline with new methods. (With comments)
Journal of Econometrics | 2001-01-01 | Paper |
The Econometrics of Ultra-high-frequency Data
Econometrica | 2000-01-01 | Paper |
Codependent cycles
Journal of Econometrics | 1998-01-07 | Paper |
Common Persistence in Conditional Variances
Econometrica | 1993-08-22 | Paper |
Seasonal cointegration. The Japanese consumption function (with discussion)
Journal of Econometrics | 1993-02-04 | Paper |
Seasonal integration and cointegration
Journal of Econometrics | 1990-04-01 | Paper |
Seasonal integration and cointegration
Journal of Econometrics | 1990-01-01 | Paper |
Co-Integration and Error Correction: Representation, Estimation, and Testing
Econometrica | 1987-01-01 | Paper |
Forecasting and testing in co-integrated systems
Journal of Econometrics | 1987-01-01 | Paper |
Modelling the persistence of conditional variances
Econometric Reviews | 1986-01-01 | Paper |
Model selection for forecasting
Applied Mathematics and Computation | 1986-01-01 | Paper |
| scientific article; zbMATH DE number 3930202 (Why is no real title available?) | 1984-01-01 | Paper |
Exogeneity
Econometrica | 1983-01-01 | Paper |
Alternative algorithms for the estimation of dynamic factor, mimic and varying coefficient regression models
Journal of Econometrics | 1983-01-01 | Paper |
| scientific article; zbMATH DE number 3852282 (Why is no real title available?) | 1983-01-01 | Paper |
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Econometrica | 1982-01-01 | Paper |
A general approach to Lagrange multiplier model diagnostics
Journal of Econometrics | 1982-01-01 | Paper |
Exact Maximum Likelihood Methods for Dynamic Regressions and Band Spectrum Regressions
International Economic Review | 1980-01-01 | Paper |
Testing Price Equations for Stability Across Spectral Frequency Bands
Econometrica | 1978-01-01 | Paper |
Some Finite Sample Properties of Spectral Estimators of a Linear Regression
Econometrica | 1976-01-01 | Paper |
Constraints Often Overlooked in Analyses of Simultaneous Equation Models: Comment
Econometrica | 1976-01-01 | Paper |
Band Spectrum Regression
International Economic Review | 1974-01-01 | Paper |
Specification of the Disturbance for Efficient Estimation
Econometrica | 1974-01-01 | Paper |
