| Publication | Date of Publication | Type |
|---|
Consistent Estimation of Multiple Breakpoints in Dependence Measures
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Sequential detection of parameter changes in dynamic conditional correlation models
Applied Stochastic Models in Business and Industry | 2024-07-25 | Paper |
Left-truncated health insurance claims data: theoretical review and empirical application
AStA. Advances in Statistical Analysis | 2024-06-04 | Paper |
Flexible specification testing in quantile regression models
Scandinavian Journal of Statistics | 2024-03-15 | Paper |
Testing constant cross-sectional dependence with time-varying marginal distributions in parametric models
Studies in Nonlinear Dynamics & Econometrics | 2023-04-27 | Paper |
A monitoring procedure for detecting structural breaks in factor copula models
Studies in Nonlinear Dynamics & Econometrics | 2023-04-27 | Paper |
Truncating the exponential with a uniform distribution
Statistical Papers | 2022-08-23 | Paper |
Testing for constant correlation of filtered series under structural change
Econometrics Journal | 2022-06-24 | Paper |
A nonparametric test for a constant correlation matrix
Econometric Reviews | 2022-06-08 | Paper |
A specification test for dynamic conditional distribution models with function-valued parameters
Econometric Reviews | 2022-03-04 | Paper |
Estimating derivatives of function-valued parameters in a class of moment condition models
Journal of Econometrics | 2020-06-18 | Paper |
Detecting relevant changes in time series models
Journal of the Royal Statistical Society Series B: Statistical Methodology | 2019-06-12 | Paper |
Testing for structural breaks in factor copula models
Journal of Econometrics | 2019-04-29 | Paper |
A fluctuation test for constant Spearman's rho with nuisance-free limit distribution
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Multiple break detection in the correlation structure of random variables
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
A residual-based multivariate constant correlation test
Metrika | 2018-09-04 | Paper |
A simple and focused backtest of value at risk
Economics Letters | 2018-08-31 | Paper |
Dating multiple change points in the correlation matrix
Test | 2018-02-01 | Paper |
Consistent Monitoring of Cointegrating Relationships: The US Housing Market and the Subprime Crisis
Journal of Time Series Analysis | 2017-12-01 | Paper |
Testing for changes in Kendall's tau
Econometric Theory | 2017-10-25 | Paper |
Sequential monitoring of the tail behavior of dependent data
Journal of Statistical Planning and Inference | 2016-12-22 | Paper |
On- and offline detection of structural breaks in thermal spraying processes
Journal of Applied Statistics | 2016-12-21 | Paper |
Identifying different areas of inhomogenous mineral subsoil: spatial fluctuation approaches
Communications in Statistics. Simulation and Computation | 2016-05-30 | Paper |
Nonparametric tests for constant tail dependence with an application to energy and finance
Journal of Econometrics | 2015-09-01 | Paper |
Stochastic processes. A comprehensible introduction for statisticians and data scientists
| 2014-10-29 | Paper |
On the application of new tests for structural changes on global minimum-variance portfolios
Statistical Papers | 2013-11-11 | Paper |
CUSUM-type testing for changing parameters in a spatial autoregressive model for stock returns
Journal of Time Series Analysis | 2013-10-09 | Paper |
Misspecification Testing in a Class of Conditional Distributional Models
Journal of the American Statistical Association | 2013-04-26 | Paper |
A new fluctuation test for constant variances with applications to finance
Metrika | 2013-01-03 | Paper |
Monitoring correlation change in a sequence of random variables
Journal of Statistical Planning and Inference | 2012-10-30 | Paper |
Consistency of the kernel density estimator: a survey
Statistical Papers | 2012-07-10 | Paper |
Testing for a change in correlation at an unknown point in time using an extended functional delta method
Econometric Theory | 2012-06-11 | Paper |
Improved GMM estimation of the spatial autoregressive error model
Economics Letters | 2010-09-07 | Paper |
