| Publication | Date of Publication | Type |
|---|
A hybrid Markov chain Monte Carlo approach for structural learning in Bayesian networks based on variable blocking
Bayesian Analysis | 2026-09-16 | Paper |
A multivariate randomized response model for mixed-type data
Journal of Applied Statistics | 2025-11-10 | Paper |
Volatility and dynamic dependence modeling: review, applications, and financial risk management
Wiley Interdisciplinary Reviews. WIREs Computational Statistics | 2024-09-11 | Paper |
Discussion of: ``Multivariate dynamic modeling for Bayesian forecasting of business revenue''
Applied Stochastic Models in Business and Industry | 2024-07-30 | Paper |
Statistical disclosure control for continuous variables using an extended skew-t copula
Applied Stochastic Models in Business and Industry | 2024-07-29 | 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 |
Stochastic actor-oriented modelling of the impact of COVID-19 on financial network evolution
Stat | 2024-05-21 | Paper |
Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis
Computational Statistics and Data Analysis | 2023-07-11 | Paper |
Realized BEKK-CAW models
Journal of Time Series Econometrics | 2023-03-20 | Paper |
Vine copula statistical disclosure control for mixed-type data
Computational Statistics and Data Analysis | 2022-09-14 | Paper |
Financial network connectedness and systemic risk during the COVID-19 pandemic
Asia-Pacific Financial Markets | 2022-08-23 | Paper |
A simulation smoother for long memory time series with correlated and heteroskedastic additive noise
Communications in Statistics. Simulation and Computation | 2022-06-21 | Paper |
Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management
Journal of Econometrics | 2022-03-16 | Paper |
Quasi-maximum likelihood estimation of conditional autoregressive Wishart models
Journal of Time Series Analysis | 2021-06-30 | Paper |
Regularization of Bayesian quasi-likelihoods constructed from complex estimating functions
Computational Statistics and Data Analysis | 2020-06-16 | Paper |
On hysteretic vector autoregressive model with applications
Journal of Statistical Computation and Simulation | 2020-04-27 | Paper |
Multivariate modelling of spatial extremes based on copulas
Journal of Statistical Computation and Simulation | 2020-04-23 | Paper |
On the performance of the Bayesian composite likelihood estimation of max-stable processes
Journal of Statistical Computation and Simulation | 2020-04-22 | 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 |
Vine-copula GARCH model with dynamic conditional dependence
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Bayesian randomized response technique with multiple sensitive attributes: the case of information systems resource misuse
The Annals of Applied Statistics | 2018-11-15 | Paper |
Bayesian analysis of tail asymmetry based on a threshold extreme value model
Computational Statistics and Data Analysis | 2018-11-08 | Paper |
Dynamic seasonality in time series
Computational Statistics and Data Analysis | 2018-11-02 | Paper |
Stochastic multivariate mixture covariance model
Journal of Forecasting | 2018-10-12 | Paper |
Multivariate GARCH models with correlation clustering
Journal of Forecasting | 2018-10-11 | Paper |
A Bayesian hierarchical model for spatial extremes with multiple durations
Computational Statistics and Data Analysis | 2018-08-15 | Paper |
Long memory and asymmetry for matrix-exponential dynamic correlation processes
Journal of Time Series Econometrics | 2018-02-07 | Paper |
Classification in segmented regression problems
Computational Statistics and Data Analysis | 2016-01-12 | Paper |
Statistical inference for conditional quantiles in nonlinear time series models
Journal of Econometrics | 2015-10-30 | Paper |
Threshold variable selection of asymmetric stochastic volatility models
Computational Statistics | 2015-03-03 | Paper |
Stochastic covariance models
Journal of the Japan Statistical Society | 2014-10-23 | Paper |
Estimation of multiple period expected shortfall and median shortfall for risk management
Quantitative Finance | 2014-01-17 | Paper |
Generalized predictive information criteria for the analysis of feature events
Electronic Journal of Statistics | 2013-05-29 | Paper |
Forecasting intraday volatility and value-at-risk with high-frequency data
Asia-Pacific Financial Markets | 2013-04-08 | Paper |
A Monte Carlo Markov chain algorithm for a class of mixture time series models
Statistics and Computing | 2012-12-06 | Paper |
A review of threshold time series models in finance
Statistics and Its Interface | 2011-12-01 | Paper |
| scientific article; zbMATH DE number 5769397 (Why is no real title available?) | 2010-08-12 | Paper |
Bayesian model selection for heteroskedastic models
Bayesian Econometrics | 2010-06-30 | Paper |
Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model
Mathematics and Computers in Simulation | 2009-11-16 | Paper |
Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets
Asia-Pacific Financial Markets | 2009-09-09 | Paper |
Bayesian mixture of autoregressive models
Computational Statistics and Data Analysis | 2009-06-16 | Paper |
Comparison of nonnested asymmetric heteroskedastic models
Computational Statistics and Data Analysis | 2009-04-06 | 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 |
Asymmetric response and interaction of U.S. and local news in financial markets
Applied Stochastic Models in Business and Industry | 2006-05-24 | Paper |
| scientific article; zbMATH DE number 2042816 (Why is no real title available?) | 2004-02-15 | Paper |
| scientific article; zbMATH DE number 1894679 (Why is no real title available?) | 2003-04-08 | Paper |
Miscellanea. Time series with additive noise
Biometrika | 2000-01-31 | Paper |
