| Publication | Date of Publication | Type |
|---|
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
Review of Derivatives Research | 2024-06-04 | Paper |
Long memory, spurious memory: persistence in range-based volatility of exchange rates
Open Economies Review | 2024-01-16 | Paper |
Information criteria for nonlinear time series models
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases
| 2022-08-30 | Paper |
Do algebraic numbers follow Khinchin's Law?
| 2022-08-30 | Paper |
A comparison of semiparametric tests for fractional cointegration
Statistical Papers | 2022-01-07 | Paper |
Distinguishing between breaks in the mean and breaks in persistence under long memory
Economics Letters | 2020-11-03 | Paper |
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
Annals of Operations Research | 2020-01-20 | Paper |
Change-in-mean tests in long-memory time series: a review of recent developments
AStA. Advances in Statistical Analysis | 2019-09-11 | Paper |
A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models
Recent Advances in Estimating Nonlinear Models | 2018-12-13 | Paper |
A simple test on structural change in long-memory time series
Economics Letters | 2018-10-05 | Paper |
Inference on the long-memory properties of time series with non-stationary volatility
Economics Letters | 2018-09-03 | Paper |
A multivariate test against spurious long memory
Journal of Econometrics | 2018-03-22 | Paper |
A simple test on structural change in long-memory time series
Economics Letters | 2018-02-01 | Paper |
Generating schemes for long memory processes: regimes, aggregation and linearity
Journal of Econometrics | 2016-04-01 | Paper |
Fractional integration versus level shifts: the case of realized asset correlations
Statistical Papers | 2013-11-11 | Paper |
Weak identification in the ESTAR model and a new model
Journal of Time Series Analysis | 2013-10-09 | Paper |
The power of the KPSS-test for cointegration when residuals are fractionally integrated
Economics Letters | 2013-01-07 | Paper |
On tests for linearity against STAR models with deterministic trends
Economics Letters | 2012-12-27 | Paper |
Testing for a break in persistence under long-range dependencies and mean shifts
Statistical Papers | 2012-09-20 | Paper |
Testing for a break in persistence under long-range dependencies
Journal of Time Series Analysis | 2011-02-22 | Paper |
scientific article; zbMATH DE number 5694254 (Why is no real title available?)
| 2010-04-16 | Paper |
Testing for a break in persistence under long-range dependencies
Journal of Time Series Analysis | 2009-05-01 | Paper |
Empirical likelihood confidence intervals for the mean of a long‐range dependent process
Journal of Time Series Analysis | 2007-12-16 | Paper |
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
AStA. Allgemeines Statistisches Archiv | 2007-04-26 | Paper |
Long memory vs. structural change in financial time series
AStA. Allgemeines Statistisches Archiv | 2005-10-11 | Paper |
Long memory versus structural breaks: an overview
Statistical Papers | 2005-02-11 | Paper |
Log-periodogram estimation of the memory parameter of a long-memory process under trend.
Statistics & Probability Letters | 2004-03-14 | Paper |
Nonparametric M-estimation with long-memory errors
Journal of Statistical Planning and Inference | 2003-10-14 | Paper |
\(S\)-estimation in the linear regression model with long-memory error terms under trend
Journal of Time Series Analysis | 2001-09-16 | Paper |
