| Publication | Date of Publication | Type |
|---|
First passage times in portfolio optimization: a novel nonparametric approach
European Journal of Operational Research | 2023-11-15 | Paper |
Tail index estimation in the presence of covariates: stock returns' tail risk dynamics
Journal of Econometrics | 2023-06-29 | Paper |
Purchasing Power Parity Analyzed from a Continuous-Time Model
Studies in Nonlinear Dynamics & Econometrics | 2023-03-13 | Paper |
Structural changes in the duration of bull markets and business cycle dynamics
Asia-Pacific Financial Markets | 2022-08-23 | Paper |
The changing economic regimes and expected time to recover of the peripheral countries under the Euro: a nonparametric approach
Physica A | 2022-06-30 | Paper |
The expected time to cross a threshold and its determinants: a simple and flexible framework
Journal of Economic Dynamics and Control | 2021-11-16 | Paper |
The profitability in the FTSE 100 index: a new Markov chain approach
Asia-Pacific Financial Markets | 2020-05-13 | Paper |
Bias reduction in nonparametric diffusion coefficient estimation
Econometric Theory | 2018-12-14 | Paper |
Structural change test in duration of bull and bear markets
Economics Letters | 2018-08-29 | Paper |
A simple nonparametric method to estimate the expected time to cross a threshold
Statistics & Probability Letters | 2017-02-21 | Paper |
Estimation and inference in multivariate Markov chains
Statistical Papers | 2015-11-24 | Paper |
A new model for multivariate Markov chains
Scandinavian Journal of Statistics | 2014-12-09 | Paper |
Combining a regression model with a multivariate Markov chain in a forecasting problem
Statistics & Probability Letters | 2014-06-11 | Paper |
A new model for multivariate Markov chains
Scandinavian Journal of Statistics | 2014-04-04 | Paper |
Nonparametric density forecast based on time- and state-domain
Journal of Forecasting | 2012-10-15 | Paper |
Nonparametric estimation of second-order stochastic differential equations
Econometric Theory | 2012-05-14 | Paper |
Purchasing power parity analyzed through a continuous-time version of the ESTAR model
Economics Letters | 2011-04-29 | Paper |
Transition density and simulated likelihood estimation for time-inhomogeneous diffusions
Communications in Statistics. Simulation and Computation | 2010-09-17 | Paper |
Modeling financial time series through second-order stochastic differential equations
Statistics & Probability Letters | 2008-11-14 | Paper |
Processes with volatility‐induced stationarity: an application for interest rates
Statistica Neerlandica | 2008-01-24 | Paper |
Method for simulating non-linear stochastic differential equations in ℝ1
Journal of Statistical Computation and Simulation | 2005-10-17 | Paper |
STATIONARY PROCESSES THAT LOOK LIKE RANDOM WALKS— THE BOUNDED RANDOM WALK PROCESS IN DISCRETE AND CONTINUOUS TIME
Econometric Theory | 2003-05-18 | Paper |
A new technique for simulating the likelihood of stochastic differential equations
Econometrics Journal | 2003-02-24 | Paper |
