| Publication | Date of Publication | Type |
|---|
Markov Switching Garch Models: Higher Order Moments, Kurtosis Measures, and Volatility Evaluation in Recessions and Pandemic
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
On the existence of stationary threshold bilinear processes
Statistical Papers | 2024-07-30 | Paper |
Generalized autocovariance matrices for multivariate time series
Communications in Statistics. Theory and Methods | 2024-06-03 | Paper |
Trend and cycle decomposition of Markov switching (co)integrated time series
Statistical Methods and Applications | 2024-03-01 | Paper |
Estimation and asymptotics for vector autoregressive models with unit roots and Markov switching trends
Stochastics | 2024-02-05 | Paper |
Likelihood-based analysis in mixture global vars
Journal of Mathematical Sciences (New York) | 2024-02-01 | Paper |
Impulse response function analysis for Markov switching VAR models
Economics Letters | 2024-01-19 | Paper |
Statistical analysis of Markov switching vector autoregression models with endogenous explanatory variables
Journal of Multivariate Analysis | 2023-06-05 | Paper |
Spectral analysis of Markov switching GARCH models with statistical inference
Scandinavian Journal of Statistics | 2023-04-21 | Paper |
Evidences from survey data and fiscal data: nonresponse and measurement errors in annual incomes
Statistical Methods and Applications | 2022-10-04 | Paper |
Spectral representation and autocovariance structure of Markov switching DSGE models
Communications in Statistics: Theory and Methods | 2022-05-18 | Paper |
Statistical inference for mixture GARCH models with financial application
Computational Statistics | 2022-05-10 | Paper |
Goodness-of-fit tests for Markov Switching VAR models using spectral analysis
Journal of Statistical Planning and Inference | 2022-04-08 | Paper |
OLS estimation of Markov switching VAR models: asymptotics and application to energy use
AStA. Advances in Statistical Analysis | 2021-12-09 | Paper |
A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process
Statistical Methods and Applications | 2020-04-07 | Paper |
Generalised cepstral models for the spectrum of vector time series
Electronic Journal of Statistics | 2020-02-05 | Paper |
On mixture autoregressive conditional heteroskedasticity
Journal of Statistical Planning and Inference | 2018-06-20 | Paper |
Markov switching GARCH models: filtering, approximations and duality
Mathematical and Statistical Methods for Actuarial Sciences and Finance | 2018-03-26 | Paper |
Estimation and asymptotic covariance matrix for stochastic volatility models
Statistical Methods and Applications | 2018-02-20 | Paper |
Higher order moments of Markov switching VARMA models
Econometric Theory | 2017-10-25 | Paper |
Third and fourth moments of vector autoregressions with regime switching
Communications in Statistics: Theory and Methods | 2017-08-03 | Paper |
Asymptotic Fisher information matrix of Markov switching VARMA models
Journal of Multivariate Analysis | 2017-05-29 | Paper |
Statistical analysis of mixture vector autoregressive models
Scandinavian Journal of Statistics | 2016-12-02 | Paper |
Weak VARMA representations of regime-switching state-space models
Statistical Papers | 2016-12-01 | Paper |
Analysis of the likelihood function for Markov-switching VAR(CH) models
Journal of Time Series Analysis | 2015-03-04 | Paper |
Determining the number of regimes in Markov switching VAR and VMA models
Journal of Time Series Analysis | 2014-12-10 | Paper |
Spectral density of Markov-switching VARMA models
Economics Letters | 2014-06-03 | Paper |
Inference methods for stochastic volatility models
International Mathematical Forum | 2014-03-12 | Paper |
Acute triangulations of trapezoids and pentagons
Journal of Mathematics | 2013-07-25 | Paper |
Acute triangulations of convex quadrilaterals
Discrete Applied Mathematics | 2012-05-30 | Paper |
