| Publication | Date of Publication | Type |
|---|
Forecasting and backtesting gradient allocations of expected shortfall
Insurance Mathematics & Economics | 2025-10-23 | Paper |
Bayesian modelling of integer-valued transfer function models
Statistical Modelling | 2025-01-22 | Paper |
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Bayesian causality test for integer-valued time series models with applications to climate and crime data
Journal of the Royal Statistical Society. Series C. Applied Statistics | 2024-11-29 | Paper |
Markov switching integer-valued generalized auto-regressive conditional heteroscedastic models for dengue counts
Journal of the Royal Statistical Society. Series C. Applied Statistics | 2024-11-21 | Paper |
Discussion of: ``Multivariate dynamic modeling for Bayesian forecasting of business revenue
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Heavy-tailed-distributed threshold stochastic volatility models in financial time series
Australian & New Zealand Journal of Statistics | 2024-07-17 | Paper |
Bayesian modeling of spatial integer-valued time series
Computational Statistics and Data Analysis | 2023-09-15 | Paper |
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis
Computational Statistics and Data Analysis | 2023-07-11 | Paper |
Integer-valued transfer function models for counts that show zero inflation
Statistics & Probability Letters | 2022-12-08 | Paper |
Bayesian inference of multiple structural change models with asymmetric GARCH errors
Statistical Methods and Applications | 2021-12-27 | Paper |
Corrigendum to Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
Statistical Modelling | 2021-08-12 | Paper |
Bayesian inference of nonlinear hysteretic integer-valued GARCH models for disease counts
Computational Statistics | 2021-02-25 | Paper |
Bayesian modelling of nonlinear negative binomial integer-valued GARCHX models
Statistical Modelling | 2021-01-04 | Paper |
Hysteretic Poisson INGARCH model for integer-valued time series
Statistical Modelling | 2020-12-30 | Paper |
Impact of quarantine on the 2003 SARS outbreak: a retrospective modeling study
Journal of Theoretical Biology | 2020-10-28 | Paper |
On hysteretic vector autoregressive model with applications
Journal of Statistical Computation and Simulation | 2020-04-27 | Paper |
Semi-parametric expected shortfall forecasting in financial markets
Journal of Statistical Computation and Simulation | 2020-04-22 | Paper |
A local unit root test in mean for financial time series
Journal of Statistical Computation and Simulation | 2020-04-01 | Paper |
On double hysteretic heteroskedastic model
Journal of Statistical Computation and Simulation | 2020-04-01 | Paper |
Autoregressive conditional negative binomial model applied to over-dispersed time series of counts
Statistical Methodology | 2019-03-18 | Paper |
Model selection of a switching mechanism for financial time series
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
Bayesian estimation of smoothly mixing time-varying parameter GARCH models
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Bayesian forecasting for financial risk management, pre and post the global financial crisis
Journal of Forecasting | 2018-10-11 | Paper |
Generalized Poisson autoregressive models for time series of counts
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Bayesian forecasting of value-at-risk based on variant smooth transition heteroskedastic models
Statistics and Its Interface | 2018-05-14 | Paper |
On Fisher's dispersion test for integer-valued autoregressive Poisson models with applications
Communications in Statistics: Theory and Methods | 2017-12-15 | Paper |
Discriminant analysis by quantile regression with application on the climate change problem
Journal of Statistical Planning and Inference | 2017-09-28 | Paper |
Local non-stationarity test in mean for Markov switching GARCH models: an approximate Bayesian approach
Computational Statistics | 2016-08-04 | Paper |
Parameter change test for zero-inflated generalized Poisson autoregressive models
Statistics | 2016-07-19 | Paper |
Classification in segmented regression problems
Computational Statistics and Data Analysis | 2016-01-12 | Paper |
Bayesian variable selection in quantile regression
Statistics and Its Interface | 2015-12-17 | Paper |
A Bayesian perspective on mixed GARCH models with jumps
Uncertainty Analysis in Econometrics with Applications | 2015-10-09 | Paper |
Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations
Quantitative Finance | 2015-04-08 | Paper |
Threshold variable selection of asymmetric stochastic volatility models
Computational Statistics | 2015-03-03 | Paper |
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
Computational Statistics | 2015-02-18 | Paper |
Bayesian subset selection for threshold autoregressive moving-average models
Computational Statistics | 2015-01-28 | Paper |
Multi-regime nonlinear capital asset pricing models
Quantitative Finance | 2013-12-13 | Paper |
A comparison of estimators for regression models with change points
Statistics and Computing | 2012-12-31 | Paper |
A Bayesian conditional autoregressive geometric process model for range data
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
A review of threshold time series models in finance
Statistics and Its Interface | 2011-12-01 | Paper |
Detection of structural breaks in a time-varying heteroskedastic regression model
Journal of Statistical Planning and Inference | 2011-08-01 | Paper |
Falling and explosive, dormant, and rising markets via multi-regime financial time series models
Applied Stochastic Models in Business and Industry | 2011-04-06 | Paper |
Bayesian model selection for heteroskedastic models
Bayesian Econometrics | 2010-06-30 | Paper |
Candidate genes associated with susceptibility for SARS-coronavirus
Bulletin of Mathematical Biology | 2010-04-12 | Paper |
Bayesian causal effects in quantiles: accounting for heteroscedasticity
Computational Statistics and Data Analysis | 2010-03-30 | Paper |
Estimation and inference for exponential smooth transition nonlinear volatility models
Journal of Statistical Planning and Inference | 2009-12-10 | Paper |
Optimal dynamic hedging via copula-threshold-GARCH models
Mathematics and Computers in Simulation | 2009-06-18 | Paper |
Volatility forecasting using threshold heteroskedastic models of the intra-day range
Computational Statistics and Data Analysis | 2009-06-12 | Paper |
Comparison of nonnested asymmetric heteroskedastic models
Computational Statistics and Data Analysis | 2009-04-06 | Paper |
Testing for nonlinearity in mean and volatility for heteroskedastic models
Mathematics and Computers in Simulation | 2008-12-17 | Paper |
Modelling financial time series with threshold nonlinearity in returns and trading volume
Applied Stochastic Models in Business and Industry | 2008-06-18 | Paper |
An empirical evaluation of fat-tailed distributions in modeling financial time series
Mathematics and Computers in Simulation | 2008-03-26 | Paper |
ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2008-01-24 | Paper |
Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors
Journal of the Royal Statistical Society Series C: Applied Statistics | 2007-09-07 | Paper |
ESTIMATION IN RICKER'S TWO-RELEASE METHOD: A BAYESIAN APPROACH
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2007-03-20 | Paper |
Asymmetric response and interaction of U.S. and local news in financial markets
Applied Stochastic Models in Business and Industry | 2006-05-24 | Paper |
Bayesian estimation for time-series regressions improved with exact likelihoods
Journal of Statistical Computation and Simulation | 2004-11-11 | Paper |
On goodness of fit for time series regression models
Journal of Statistical Computation and Simulation | 2003-11-10 | Paper |
On the selection of subset bilinear time series models: a genetic algorithm approach
Computational Statistics | 2003-03-09 | Paper |
A Bayesian analysis of generalized threshold autoregressive models
Statistics & Probability Letters | 2000-04-02 | Paper |
| scientific article; zbMATH DE number 1239652 (Why is no real title available?) | 1999-03-09 | Paper |
Detection of additive outliers in bilinear time series
Computational Statistics and Data Analysis | 1998-07-23 | Paper |
| scientific article; zbMATH DE number 1034047 (Why is no real title available?) | 1998-02-05 | Paper |
BAYESIAN INFERENCE OF THRESHOLD AUTOREGRESSIVE MODELS
Journal of Time Series Analysis | 1996-03-20 | Paper |
Bayesian inferences and forecasting in bilinear time series models
Communications in Statistics: Theory and Methods | 1993-10-07 | Paper |
Bayesian analysis of bilinear time series models : a gibbs sampling approach
Communications in Statistics: Theory and Methods | 1993-10-04 | Paper |
