| Publication | Date of Publication | Type |
|---|
| Score Tests for Hyperbolic GARCH Models | 2025-01-20 | Paper |
| A New Pearson-Type QMLE for Conditionally Heteroscedastic Models | 2025-01-20 | Paper |
| The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility | 2024-10-09 | Paper |
| Buffered Autoregressive Models With Conditional Heteroscedasticity: An Application to Exchange Rates | 2024-10-09 | Paper |
| On Mixture Double Autoregressive Time Series Models | 2024-10-09 | Paper |
| Evaluation methods for portfolio management | 2024-07-25 | Paper |
| Testing and Modelling for the Structural Change in Covariance Matrix Time Series With Multiplicative Form | 2023-11-09 | Paper |
| Least absolute deviations estimation for nonstationary vector autoregressive time series models with pure unit roots | 2023-09-16 | Paper |
| Modeling RCOV matrices with a generalized threshold conditional autoregressive Wishart model | 2023-09-15 | Paper |
| Time series models for realized covariance matrices based on the matrix-F distribution | 2022-03-30 | Paper |
| A new test for tail index with application to Danish fire loss data | 2022-03-24 | Paper |
| Hybrid quantile estimation for asymmetric power GARCH models | 2022-03-16 | Paper |
| Forecasting high-dimensional realized volatility matrices using a factor model | 2021-09-03 | Paper |
| Variable screening for survival data in the presence of heterogeneous censoring | 2021-06-22 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4986371 | 2021-04-27 | Paper |
| A Portmanteau Test for Smooth Transition Autoregressive Models | 2020-11-20 | Paper |
| Extreme values identification in regression using a peaks-over-threshold approach | 2020-11-04 | Paper |
| Conditional quantile estimation for hysteretic autoregressive models | 2020-05-14 | Paper |
| A robust goodness-of-fit test for generalized autoregressive conditional heteroscedastic models | 2019-06-24 | Paper |
| GPS trajectory data segmentation based on probabilistic logic | 2019-02-20 | Paper |
| ASYMPTOTIC INFERENCE FOR UNIT ROOT PROCESSES WITH GARCH(1,1) ERRORS | 2018-12-14 | Paper |
| Zero-inflated Poisson regression mixture model | 2018-11-08 | Paper |
| Test for homogeneity in gamma mixture models using likelihood ratio | 2018-11-02 | Paper |
| On a spiked model for large volatility matrix estimation from noisy high-frequency data | 2018-11-02 | Paper |
| On the surprising explanatory power of higher realized moments in practice | 2018-09-18 | Paper |
| Self-Excited Threshold Poisson Autoregression | 2017-08-04 | Paper |
| Diagnostic Checking for Weibull Autoregressive Conditional Duration Models | 2017-07-31 | Paper |
| On buffered threshold GARCH models | 2016-10-26 | Paper |
| Hysteretic autoregressive time series models | 2015-12-11 | Paper |
| A new hyperbolic GARCH model | 2015-10-30 | Paper |
| A bootstrapped spectral test for adequacy in weak ARMA models | 2015-09-01 | Paper |
| Testing for the buffered autoregressive processes | 2014-04-29 | Paper |
| LEAST ABSOLUTE DEVIATION ESTIMATION FOR UNIT ROOT PROCESSES WITH GARCH ERRORS | 2014-04-23 | Paper |
| ON MIXTURE MEMORY GARCH MODELS | 2014-04-08 | Paper |
| Basket trading under co-integration with the logistic mixture autoregressive model | 2013-12-13 | Paper |
| On the autopersistence functions and the autopersistence graphs of binary autoregressive time series | 2013-10-04 | Paper |
| Noise level estimation for a chaotic time series | 2013-08-23 | Paper |
| Asymptotic theory on the least squares estimation of threshold moving-average models | 2013-08-22 | Paper |
| On the estimation and diagnostic checking of the ARFIMA-HYGARCH model | 2012-12-30 | Paper |
| On the threshold hyperbolic GARCH models | 2011-12-01 | Paper |
| On the least squares estimation of threshold autoregressive and moving-average models | 2011-12-01 | Paper |
| Testing a linear time series model against its threshold extension | 2011-04-19 | Paper |
| On Some Models for Value-At-Risk | 2010-12-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3580595 | 2010-08-13 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3566024 | 2010-06-07 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3566014 | 2010-06-07 | Paper |
| Modeling default data via an interactive hidden Markov model | 2010-02-01 | Paper |
| Discussion on the paper ``Analyzing short time series data from periodically fluctuating rodent populations by threshold models: A nearest block bootstrap approach | 2009-12-07 | Paper |
| A note on diagnostic checking of the double autoregressive model | 2009-10-27 | Paper |
| Least absolute deviation estimation for fractionally integrated autoregressive moving average time series models with conditional heteroscedasticity | 2009-06-10 | Paper |
| On diagnostic checking of the autoregressive conditional intensity model | 2009-05-22 | Paper |
| A simple multivariate ARCH model specified by random coefficients | 2009-04-06 | Paper |
| Diagnostic checking for time series models with conditional heteroscedasticity estimated by the least absolute deviation approach | 2009-01-29 | Paper |
| On time series with randomized unit root and randomized seasonal unit root | 2008-11-04 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3502474 | 2008-05-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5434022 | 2008-01-09 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5434007 | 2008-01-09 | Paper |
| On a mixture vector autoregressive model | 2007-10-22 | Paper |
| A time-series risk model with constant interest for dependent classes of business | 2007-07-19 | Paper |
| On a Mixture GARCH Time-Series Model | 2007-05-29 | Paper |
| The Gerber-Shiu expected discounted penalty function for risk processes with interest and a constant dividend barrier | 2007-02-19 | Paper |
| Modelling subset multivariate ARCH model via the AIC principle | 2006-09-22 | Paper |
| Joint modeling of cointegration and conditional heteroscedasticity with applications | 2006-03-09 | Paper |
| Some Results on Cointegration with Random Coefficients in the Error Correction Form: Estimation and Testing | 2005-05-20 | Paper |
| An Adaptive Estimation of Dimension Reduction Space | 2005-04-11 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4821817 | 2004-10-21 | Paper |
| On a Mixture Autoregressive Conditional Heteroscedastic Model | 2004-06-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4461332 | 2004-03-30 | Paper |
| Testing model adequacy for dynamic panel data with intercorrelation | 2004-03-16 | Paper |
| ASYMPTOTIC INFERENCE FOR NONSTATIONARY FRACTIONALLY INTEGRATED AUTOREGRESSIVE MOVING-AVERAGE MODELS | 2003-05-18 | Paper |
| Estimation and Testing for Unit Root Processes with GARCH (1, 1) Errors: Theory and Monte Carlo Evidence | 2003-05-12 | Paper |
| Asymptotic behavior of bandwidth selected by the cross-validation method for local polynomial fitting | 2003-03-16 | Paper |
| Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity | 2003-03-10 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4780493 | 2003-01-13 | Paper |
| On Single-Index Coefficient Regression Models | 2002-07-30 | Paper |
| On a logistic mixture autoregressive model | 2002-05-23 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4267671 | 2001-04-04 | Paper |
| On extended partially linear single-index models | 2000-08-21 | Paper |
| On a Mixture Autoregressive Model | 2000-08-10 | Paper |
| Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors | 1999-11-09 | Paper |
| F-test for seasonal differencing with a break-point | 1999-03-08 | Paper |
| On a multivariate conditional heteroscedastic model | 1998-03-09 | Paper |
| Diagnostic checking of nonlinear multivariate time series with multivariate arch errors | 1997-12-02 | Paper |
| On Fractionally Integrated Autoregressive Moving-Average Time Series Models With Conditional Heteroscedasticity | 1997-01-01 | Paper |
| TESTS FOR SEASONAL DIFFERENCING WITH AN UNKNOWN BREAK‐POINT | 1996-01-01 | Paper |
| Two new approaches to robust estimation in time series | 1990-01-01 | Paper |
