| Publication | Date of Publication | Type |
|---|
Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
Statistical Papers | 2024-07-25 | Paper |
Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change
Journal of the Korean Statistical Society | 2023-01-17 | Paper |
Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification
Computational Statistics and Data Analysis | 2020-06-16 | Paper |
Tests for serial correlation in mean and variance of a sequence of time series objects
Journal of Statistical Computation and Simulation | 2020-04-22 | Paper |
A new algorithm for maximum likelihood estimation in normal scale-mixture generalized autoregressive conditional heteroskedastic models
Journal of Statistical Computation and Simulation | 2020-03-27 | Paper |
Penalized regression models with autoregressive error terms
Journal of Statistical Computation and Simulation | 2020-03-06 | Paper |
Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
Economics Letters | 2018-09-11 | Paper |
Adaptive Lasso for linear regression models with ARMA-GARCH errors
Communications in Statistics. Simulation and Computation | 2017-07-31 | Paper |
Adaptive robust regression with continuous Gaussian scale mixture errors
Journal of the Korean Statistical Society | 2017-02-09 | Paper |
Bridge estimation for linear regression models with mixing properties
Australian & New Zealand Journal of Statistics | 2016-04-27 | Paper |
Tests for volatility shifts in GARCH against long-range dependence
Journal of Time Series Analysis | 2015-03-09 | Paper |
A note on Jarque-Bera normality test for ARMA-GARCH innovations
Journal of the Korean Statistical Society | 2014-09-26 | Paper |
A note on the Jarque-Bera normality test for GARCH innovations
Journal of the Korean Statistical Society | 2014-08-04 | Paper |
Quasi-maximum likelihood estimation for multiple volatility shifts
Statistics & Probability Letters | 2014-06-05 | Paper |
On Jarque-Bera normality and cusum parameter change tests for BCTT-GARCH models
Economics Letters | 2014-04-09 | Paper |
Value-at-risk forecasting based on Gaussian mixture ARMA–GARCH model
Journal of Statistical Computation and Simulation | 2013-04-16 | Paper |
Robust estimation for the order of finite mixture models
Metrika | 2012-09-23 | Paper |
Inference for Box-Cox transformed threshold GARCH models with nuisance parameters
Scandinavian Journal of Statistics | 2012-09-21 | Paper |
NM-QELE for ARMA-GARCH models with non-Gaussian innovations
Statistics & Probability Letters | 2011-05-17 | Paper |
Robust estimation for order of hidden Markov models based on density power divergences
Journal of Statistical Computation and Simulation | 2010-09-17 | Paper |
Normal mixture quasi-maximum likelihood estimator for GARCH models
| 2010-04-22 | Paper |
Consistency of minimizing a penalized density power divergence estimator for mixing distribution
Statistical Papers | 2009-06-02 | Paper |
Test for Parameter Change in Linear Processes Based on Whittle's Estimator
Communications in Statistics: Theory and Methods | 2007-10-24 | Paper |
Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator
Sequential Analysis | 2005-01-18 | Paper |
