Publication | Date of Publication | Type |
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Generalized Covariance Estimator | 2024-03-06 | Paper |
Noncausal affine processes with applications to derivative pricing | 2024-01-31 | Paper |
Temporally local maximum likelihood with application to SIS model | 2024-01-22 | Paper |
Dynamic deconvolution and identification of independent autoregressive sources | 2023-08-24 | Paper |
Time varying Markov process with partially observed aggregate data: an application to coronavirus | 2022-12-14 | Paper |
Required capital for long-run risks | 2022-12-12 | Paper |
Identification and Estimation in Non-Fundamental Structural VARMA Models | 2022-11-11 | Paper |
Estimated reproduction ratios in the SIR model | 2022-08-02 | Paper |
Granularity Adjustment for Efficient Portfolios | 2022-05-31 | Paper |
Disastrous Defaults | 2022-01-19 | Paper |
Noncausal counting processes: a queuing perspective | 2021-10-11 | Paper |
Stationary bubble equilibria in rational expectation models | 2021-02-09 | Paper |
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations | 2019-07-19 | Paper |
Negative Binomial Autoregressive Process with Stochastic Intensity | 2019-06-17 | Paper |
Local Explosion Modelling by Non-Causal Process | 2019-05-09 | Paper |
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects | 2019-04-29 | Paper |
Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates | 2018-11-30 | Paper |
The Dynamics of Hedge Fund Performance | 2018-11-30 | Paper |
Correlated risks vs contagion in stochastic transition models | 2018-11-01 | Paper |
Misspecification of noncausal order in autoregressive processes | 2018-05-31 | Paper |
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey | 2018-02-16 | Paper |
Double instrumental variable estimation of interaction models with big data | 2017-11-07 | Paper |
Noncausal vector autoregressive process: representation, identification and semi-parametric estimation | 2017-08-21 | Paper |
Statistical inference for independent component analysis: application to structural VAR models | 2016-11-17 | Paper |
Indirect inference for dynamic panel models | 2016-08-01 | Paper |
The Wishart autoregressive process of multivariate stochastic volatility | 2016-07-04 | Paper |
Dynamic quantile models | 2016-06-22 | Paper |
Multivariate Jacobi process with application to smooth transitions | 2016-06-10 | Paper |
https://portal.mardi4nfdi.de/entity/Q2805763 | 2016-05-13 | Paper |
Filtering, Prediction and Simulation Methods for Noncausal Processes | 2016-05-03 | Paper |
Econometric specification of stochastic discount factor models | 2016-05-02 | Paper |
An efficient nonparametric estimator for models with nonlinear dependence | 2016-05-02 | Paper |
Performance fees and hedge fund return dynamics | 2015-12-07 | Paper |
On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes | 2015-11-13 | Paper |
Size Distortion in the Analysis of Volatility and Covolatility Effects | 2015-10-09 | Paper |
Love and death: a Freund model with frailty | 2015-08-20 | Paper |
The Econometrics of Individual Risk | 2015-08-11 | Paper |
Granularity adjustment for risk measures: systematic vs unsystematic risks | 2015-07-10 | Paper |
Pricing with finite dimensional dependence | 2015-06-08 | Paper |
Erratum to ``Pricing default events: surprise, exogeneity and contagion | 2014-11-24 | Paper |
Efficiency in large dynamic panel models with common factors | 2014-11-14 | Paper |
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS | 2014-11-14 | Paper |
Pricing default events: surprise, exogeneity and contagion | 2014-08-06 | Paper |
ESTIMATION-ADJUSTED VAR | 2014-03-25 | Paper |
Kernel-based nonlinear canonical analysis and time reversibility | 2014-03-07 | Paper |
Stochastic volatility duration models | 2014-03-07 | Paper |
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE | 2014-02-11 | Paper |
Efficient Derivative Pricing by the Extended Method of Moments | 2012-10-26 | Paper |
Discrete time Wishart term structure models | 2011-06-17 | Paper |
Derivative Pricing With Wishart Multivariate Stochastic Volatility | 2011-04-13 | Paper |
DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE | 2011-03-25 | Paper |
BILINEAR TERM STRUCTURE MODEL | 2011-02-02 | Paper |
Local likelihood density estimation and value-at-risk | 2010-12-01 | Paper |
https://portal.mardi4nfdi.de/entity/Q3645682 | 2009-11-18 | Paper |
Duration time-series models with proportional hazard | 2009-02-28 | Paper |
Encompassing and indirect inference | 2009-02-03 | Paper |
Quadratic stochastic intensity and prospective mortality tables | 2008-08-18 | Paper |
Structural Laplace Transform and Compound Autoregressive Models | 2007-05-29 | Paper |
STOCHASTIC UNIT ROOT MODELS | 2007-04-23 | Paper |
The Econometrics of Individual Risk | 2007-03-07 | Paper |
Heterogeneous INAR(1) model with application to car insurance | 2007-03-02 | Paper |
Continuous Time Wishart Process for Stochastic Risk | 2006-08-28 | Paper |
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations | 2005-05-20 | Paper |
DYNAMIC FACTOR MODELS | 2004-06-18 | Paper |
https://portal.mardi4nfdi.de/entity/Q4429917 | 2003-10-01 | Paper |
https://portal.mardi4nfdi.de/entity/Q4409944 | 2003-07-01 | Paper |
Instrumental Models and Indirect Encompassing | 2002-05-28 | Paper |
State‐space Models with Finite Dimensional Dependence | 2002-04-24 | Paper |
Truncated dynamics and estimation of diffusion equations | 2001-12-05 | Paper |
Factor ARMA representation of a Markov process | 2001-08-20 | Paper |
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators | 2001-06-19 | Paper |
Mean-Variance Hedging and Numeraire | 2001-03-29 | Paper |
Econometrics of Qualitative Dependent Variables | 2001-01-24 | Paper |
Local power properties of kernel based goodness of fit tests | 2001-01-01 | Paper |
Memory and infrequent breaks | 2000-12-12 | Paper |
Kernel autocorrelogram for time-deformed processes | 1999-08-23 | Paper |
Unemployment insurance and mortgages | 1998-03-17 | Paper |
Rank tests for unit roots | 1997-11-04 | Paper |
ARCH models and financial applications | 1997-05-27 | Paper |
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form | 1996-11-11 | Paper |
https://portal.mardi4nfdi.de/entity/Q4870467 | 1996-03-19 | Paper |
Time Series and Dynamic Models | 1996-03-19 | Paper |
Simulation-based inference. A survey with special reference to panel data models | 1993-12-02 | Paper |
Qualitative threshold ARCH models | 1992-06-28 | Paper |
https://portal.mardi4nfdi.de/entity/Q3354419 | 1989-01-01 | Paper |
Testing For Common Roots | 1989-01-01 | Paper |
Simulated residuals | 1987-01-01 | Paper |
Generalised residuals | 1987-01-01 | Paper |
Learning Procedures and Convergence to Rationality | 1986-01-01 | Paper |
The Aggregation of Commodities in Quantity Rationing Models | 1985-01-01 | Paper |
Rational Expectations Models and Bounded Memory | 1985-01-01 | Paper |
Some theoretical results for generalized ridge regression estimators | 1984-01-01 | Paper |
Pseudo Maximum Likelihood Methods: Theory | 1984-01-01 | Paper |
Pseudo Maximum Likelihood Methods: Applications to Poisson Models | 1984-01-01 | Paper |
https://portal.mardi4nfdi.de/entity/Q3696346 | 1984-01-01 | Paper |
https://portal.mardi4nfdi.de/entity/Q3711622 | 1984-01-01 | Paper |
Testing nested or non-nested hypotheses | 1983-01-01 | Paper |
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions | 1982-01-01 | Paper |
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters | 1982-01-01 | Paper |
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models | 1981-01-01 | Paper |
On the Problem of Missing Data in Linear Models | 1981-01-01 | Paper |
Disequilibrium Econometrics in Simultaneous Equations Systems | 1980-01-01 | Paper |
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes | 1980-01-01 | Paper |
Sufficient Linear Structures: Econometric Applications | 1980-01-01 | Paper |
https://portal.mardi4nfdi.de/entity/Q3896388 | 1980-01-01 | Paper |
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment | 1980-01-01 | Paper |