| Publication | Date of Publication | Type |
|---|
Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach
Journal of Business and Economic Statistics | 2024-08-13 | Paper |
Bootstrap prediction in univariate volatility models with leverage effect
Mathematics and Computers in Simulation | 2021-02-19 | Paper |
Indirect inference in fractional short-term interest rate diffusions
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
Quasi-maximum likelihood estimation of GARCH models in the presence of missing values
Journal of Statistical Computation and Simulation | 2020-04-27 | Paper |
Robust bootstrap densities for dynamic conditional correlations: implications for portfolio selection and Value-at-Risk
Journal of Statistical Computation and Simulation | 2020-04-23 | Paper |
Robust bootstrap forecast densities for GARCH returns and volatilities
Journal of Statistical Computation and Simulation | 2020-04-22 | Paper |
Bayesian melding estimation of a stochastic SEIR model
Mathematical Population Studies | 2019-03-06 | Paper |
| Time series analysis with time varying covariances via latent factors with stochastic volatility | 2019-01-29 | Paper |
Forecasting the term structure of interest rates using integrated nested Laplace approximations
Journal of Forecasting | 2018-10-12 | Paper |
GMC/GEL estimation of stochastic volatility models
Communications in Statistics. Simulation and Computation | 2018-03-13 | Paper |
A note on curvature influence diagnostics in elliptical regression models
Brazilian Journal of Probability and Statistics | 2017-11-01 | Paper |
Detection of patches of outliers in stochastic volatility processes
São Paulo Journal of Mathematical Sciences | 2017-08-28 | Paper |
Generalized moment estimation of stochastic differential equations
Computational Statistics | 2016-09-29 | Paper |
Fitting Distributions with the Polyhazard Model with Dependence
Communications in Statistics: Theory and Methods | 2015-07-29 | Paper |
Slope influence diagnostics in conditional heteroscedastic time series models
Brazilian Journal of Probability and Statistics | 2014-12-12 | Paper |
Polyhazard models with dependent causes
Brazilian Journal of Probability and Statistics | 2014-11-12 | Paper |
Non-parametric volatility estimation in continuous time
Brazilian Journal of Probability and Statistics | 2013-09-16 | Paper |
Influential observations in GARCH models
Journal of Statistical Computation and Simulation | 2013-06-12 | Paper |
A note on influence diagnostics in AR(1) time series models
Journal of Statistical Planning and Inference | 2012-09-18 | Paper |
Influence in stochastic volatility models
Advances and Applications in Statistics | 2012-09-11 | Paper |
| Outliers in GARCH processes | 2012-09-05 | Paper |
Effect of outliers on forecasting temporally aggregated flow variables
Test | 2005-09-05 | Paper |
The serorevertion and the survival related to HIV infection among children: Statistical modeling applied to retrospective data collection
Mathematical and Computer Modelling | 2004-08-06 | Paper |
Restricted alternatives tests in a bivariate exponential model with covariates
Communications in Statistics: Theory and Methods | 2001-02-27 | Paper |
THE EFFECT OF AGGREGATION ON PREDICTION IN AUTOREGRESSIVE INTEGRATED MOVING‐AVERAGE MODELS
Journal of Time Series Analysis | 1993-06-29 | Paper |
IDENTIFICATION OF UNOBSERVED COMPONENTS MODELS
Journal of Time Series Analysis | 1989-01-01 | Paper |
