| Publication | Date of Publication | Type |
|---|
A network analysis of the volatility of high dimensional financial series
Journal of the Royal Statistical Society. Series C. Applied Statistics | 2024-11-29 | Paper |
FNETS: Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Testing for Common Trends in Nonstationary Large Datasets
Journal of Business and Economic Statistics | 2024-10-17 | Paper |
Non-fundamentalness in structural econometric models: a review
International Statistical Review | 2024-07-17 | Paper |
Inference in Heavy-Tailed Nonstationary Multivariate Time Series
Journal of the American Statistical Association | 2024-03-19 | Paper |
An Algebraic Estimator for Large Spectral Density Matrices
Journal of the American Statistical Association | 2024-03-19 | Paper |
Inferential theory for generalized dynamic factor models
Journal of Econometrics | 2024-03-06 | Paper |
Generalized dynamic factor models and volatilities: recovering the market volatility shocks
Econometrics Journal | 2022-08-02 | Paper |
Time-varying general dynamic factor models and the measurement of financial connectedness
Journal of Econometrics | 2021-03-24 | Paper |
Large-dimensional dynamic factor models: estimation of impulse-response functions with I(1) cointegrated factors
Journal of Econometrics | 2021-03-24 | Paper |
| Generalized dynamic factor models and volatilities: estimation and forecasting | 2021-02-06 | Paper |
| A network analysis of the volatility of high-dimensional financial series | 2021-02-06 | Paper |
| Generalized dynamic factor models and volatilities: recovering the market volatility shocks | 2021-02-06 | Paper |
Consistent estimation of high-dimensional factor models when the factor number is over-estimated
Electronic Journal of Statistics | 2020-08-17 | Paper |
Consistent estimation of high-dimensional factor models when the factor number is over-estimated
Electronic Journal of Statistics | 2020-08-17 | Paper |
Sequential testing for structural stability in approximate factor models
Stochastic Processes and their Applications | 2020-06-09 | Paper |
Generalized dynamic factor models and volatilities: consistency, rates, and prediction intervals
Journal of Econometrics | 2020-03-20 | Paper |
Power-law partial correlation network models
Electronic Journal of Statistics | 2018-09-24 | Paper |
Simultaneous multiple change-point and factor analysis for high-dimensional time series
Journal of Econometrics | 2018-08-29 | Paper |
Generalized dynamic factor models and volatilities: estimation and forecasting
Journal of Econometrics | 2017-11-07 | Paper |
Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
Journal of Econometrics | 2014-08-06 | Paper |
Improved penalization for determining the number of factors in approximate factor models
Statistics & Probability Letters | 2010-12-20 | Paper |
ON APPROXIMATING THE DISTRIBUTIONS OF GOODNESS-OF-FIT TEST STATISTICS BASED ON THE EMPIRICAL DISTRIBUTION FUNCTION: THE CASE OF UNKNOWN PARAMETERS
Advances in Complex Systems | 2009-06-30 | Paper |
