| Publication | Date of Publication | Type |
|---|
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Estimation of dynamic latent variable models using simulated non-parametric moments
Econometrics Journal | 2022-07-26 | Paper |
Non‐parametric detection and estimation of structural change
Econometrics Journal | 2022-07-26 | Paper |
Identification of a class of index models: A topological approach
Econometrics Journal | 2022-06-22 | Paper |
Solving dynamic discrete choice models using smoothing and sieve methods
Journal of Econometrics | 2021-07-30 | Paper |
Diffusion copulas: identification and estimation
Journal of Econometrics | 2021-03-24 | Paper |
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods
(available as arXiv preprint) | 2019-04-10 | Paper |
On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Higher-order properties of approximate estimators
Journal of Econometrics | 2017-04-26 | Paper |
Estimation of stochastic volatility models by nonparametric filtering
Econometric Theory | 2016-10-14 | Paper |
Estimation of dynamic models with nonparametric simulated maximum likelihood
Journal of Econometrics | 2016-08-15 | Paper |
Semi-nonparametric estimation and misspecification testing of diffusion models
Journal of Econometrics | 2016-08-12 | Paper |
Likelihood-based inference for cointegration with nonlinear error-correction
Journal of Econometrics | 2016-08-04 | Paper |
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
Journal of Econometrics | 2016-08-01 | Paper |
Estimation of partial differential equations with applications in finance
Journal of Econometrics | 2016-06-13 | Paper |
Nonparametric identification and estimation of transformation models
Journal of Econometrics | 2015-07-27 | Paper |
Bounding quantile demand functions using revealed preference inequalities
Journal of Econometrics | 2014-11-11 | Paper |
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
Econometric Theory | 2014-06-23 | Paper |
Uniform convergence rates of kernel estimators with heterogeneous dependent data
Econometric Theory | 2014-04-23 | Paper |
Asymptotics of the QMLE for Non-Linear ARCH Models
Journal of Time Series Econometrics | 2013-06-14 | Paper |
On stationarity and ergodicity of the bilinear model with applications to GARCH models
Journal of Time Series Analysis | 2011-02-22 | Paper |
Nonparametric filtering of the realized spot volatility: a kernel-based approach
Econometric Theory | 2010-02-26 | Paper |
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
Econometrica | 2008-02-21 | Paper |
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
Econometric Theory | 2008-01-23 | Paper |
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
Econometric Theory | 2006-03-08 | Paper |
