| Publication | Date of Publication | Type |
|---|
Conditional Correlation Models of Autoregressive Conditional Heteroscedasticity With Nonstationary GARCH Equations
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Long monthly temperature series and the vector seasonal shifting mean and covariance autoregressive model
Journal of Econometrics | 2024-03-06 | Paper |
Testing constancy of unconditional variance in volatility models by misspecification and specification tests
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Comprehensively testing linearity hypothesis using the smooth transition autoregressive model
Econometric Reviews | 2022-09-14 | Paper |
A Lagrange multiplier test for testing the adequacy of constant conditional correlation GARCH model
Econometric Reviews | 2022-06-08 | Paper |
Forecasting macroeconomic variables using neural network models and three automated model selection techniques
Econometric Reviews | 2022-06-07 | Paper |
Specification and testing of multiplicative time-varying GARCH models with applications
Econometric Reviews | 2022-06-07 | Paper |
Modeling conditional correlations of asset returns: a smooth transition approach
Econometric Reviews | 2022-05-31 | Paper |
Thresholds and smooth transitions in vector autoregressive models
VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims | 2020-07-10 | Paper |
Global hemispheric temperatures and co-shifting: a vector shifting-mean autoregressive analysis
Journal of Econometrics | 2019-12-19 | Paper |
Sir Clive Granger's contributions to nonlinear time series and econometrics
| 2017-04-05 | Paper |
Common factors in conditional distributions for bivariate time series
Journal of Econometrics | 2016-06-10 | Paper |
A time series model for an exchange rate in a target zone with applications
Journal of Econometrics | 2016-06-10 | Paper |
Modelling Nonlinear Economic Time Series
| 2014-06-27 | Paper |
Modelling volatility by variance decomposition
Journal of Econometrics | 2014-03-18 | Paper |
Modelling volatility by variance decomposition
Journal of Econometrics | 2013-08-01 | Paper |
Testing the Granger Noncausality Hypothesis in Stationary Nonlinear Models of Unknown Functional Form
Communications in Statistics. Simulation and Computation | 2013-05-13 | Paper |
Specification, estimation, and evaluation of smooth transition autoregressive models
Journal of the American Statistical Association | 2013-01-01 | Paper |
Testing constancy of the error covariance matrix in vector models
Journal of Econometrics | 2012-09-23 | Paper |
Testing for volatility interactions in the Constant Conditional Correlation GARCH model
Econometrics Journal | 2010-06-08 | Paper |
An Introduction to Univariate GARCH Models
Handbook of Financial Time Series | 2009-11-27 | Paper |
Multivariate GARCH Models
Handbook of Financial Time Series | 2009-11-27 | Paper |
A sequential procedure for determining the number of regimes in a threshold autoregressive model
Econometrics Journal | 2007-02-13 | Paper |
Forecasting with smooth transition autoregressive models
| 2006-06-26 | Paper |
Power properties of linearity tests for time series
| 2006-01-27 | Paper |
AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
Econometric Theory | 2005-10-18 | Paper |
SMOOTH TRANSITION AUTOREGRESSIVE MODELS — A SURVEY OF RECENT DEVELOPMENTS
Econometric Reviews | 2004-09-21 | Paper |
The effects of institutional and technological change and business cycle fluctuations on seasonal patterns in quarterly industrial production series
Econometrics Journal | 2004-02-25 | Paper |
scientific article; zbMATH DE number 1944295 (Why is no real title available?)
| 2004-01-20 | Paper |
MOMENT STRUCTURE OF A FAMILY OF FIRST-ORDER EXPONENTIAL GARCH MODELS
Econometric Theory | 2003-05-18 | Paper |
Evaluating GARCH models.
Journal of Econometrics | 2003-02-17 | Paper |
MODELING ASYMMETRIES AND MOVING EQUILIBRIA IN UNEMPLOYMENT RATES
Macroeconomic Dynamics | 2002-08-28 | Paper |
A SIMPLE VARIABLE SELECTION TECHNIQUE FOR NONLINEAR MODELS
Communications in Statistics: Theory and Methods | 2002-07-28 | Paper |
Introduction to the special issue: Nonlinear modeling of multivariate macroeconomic relations
Macroeconomic Dynamics | 2002-04-16 | Paper |
FOURTH MOMENT STRUCTURE OF THE GARCH(p,q) PROCESS
Econometric Theory | 2001-06-05 | Paper |
Testing parameter constancy in linear models against stochastic stationary parameters
Journal of Econometrics | 2000-02-13 | Paper |
Properties of moments of a family of GARCH processes
Journal of Econometrics | 2000-01-31 | Paper |
Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
Journal of Time Series Analysis | 1999-09-14 | Paper |
A simple nonlinear time series model with misleading linear properties
Economics Letters | 1999-04-28 | Paper |
Testing linearity against nonlinear moving average models
Communications in Statistics: Theory and Methods | 1998-12-03 | Paper |
scientific article; zbMATH DE number 1168350 (Why is no real title available?)
| 1998-06-23 | Paper |
Testing the adequacy of smooth transition autoregressive models
Journal of Econometrics | 1997-06-26 | Paper |
scientific article; zbMATH DE number 1189204 (Why is no real title available?)
| 1996-01-01 | Paper |
scientific article; zbMATH DE number 718746 (Why is no real title available?)
| 1995-02-02 | Paper |
Testing the constancy of regression parameters against continuous structural change
Journal of Econometrics | 1994-10-11 | Paper |
scientific article; zbMATH DE number 233048 (Why is no real title available?)
| 1994-01-31 | Paper |
Testing linearity against smooth transition autoregressive models
Biometrika | 1988-01-01 | Paper |
scientific article; zbMATH DE number 4090638 (Why is no real title available?)
| 1988-01-01 | Paper |
scientific article; zbMATH DE number 4199349 (Why is no real title available?)
| 1988-01-01 | Paper |
Superiority comparisons between mixed regression estimators
Communications in Statistics: Theory and Methods | 1988-01-01 | Paper |
The extended Stein procedure for simultaneous model selection and parameter estimation
Journal of Econometrics | 1987-01-01 | Paper |
scientific article; zbMATH DE number 4011695 (Why is no real title available?)
| 1986-01-01 | Paper |
scientific article; zbMATH DE number 3829083 (Why is no real title available?)
| 1983-01-01 | Paper |
Superiority comparisons of homogeneous linear estimators
Communications in Statistics: Theory and Methods | 1982-01-01 | Paper |
scientific article; zbMATH DE number 3701965 (Why is no real title available?)
| 1981-01-01 | Paper |
scientific article; zbMATH DE number 3797458 (Why is no real title available?)
| 1981-01-01 | Paper |
A note on the limits of a modified THEIL-estimator
Biometrical Journal | 1980-01-01 | Paper |
scientific article; zbMATH DE number 3550026 (Why is no real title available?)
| 1977-01-01 | Paper |
scientific article; zbMATH DE number 3581491 (Why is no real title available?)
| 1977-01-01 | Paper |
scientific article; zbMATH DE number 3543472 (Why is no real title available?)
| 1977-01-01 | Paper |
A Note on Bias in the Almon Distributed Lag Estimator
Econometrica | 1976-01-01 | Paper |
scientific article; zbMATH DE number 3499109 (Why is no real title available?)
| 1975-01-01 | Paper |
