| Publication | Date of Publication | Type |
|---|
| Volatility and dynamic dependence modeling: review, applications, and financial risk management | 2024-09-11 | Paper |
| Discussion of: ``Multivariate dynamic modeling for Bayesian forecasting of business revenue | 2024-07-30 | Paper |
| Statistical disclosure control for continuous variables using an extended skew-t copula | 2024-07-29 | Paper |
| Quantile forecasting based on a bivariate hysteretic autoregressive model with GARCH errors and time-varying correlations | 2024-07-18 | Paper |
| Heavy-tailed-distributed threshold stochastic volatility models in financial time series | 2024-07-17 | Paper |
| Stochastic actor-oriented modelling of the impact of COVID-19 on financial network evolution | 2024-05-21 | Paper |
| Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis | 2023-07-11 | Paper |
| Realized BEKK-CAW models | 2023-03-20 | Paper |
| Vine copula statistical disclosure control for mixed-type data | 2022-09-14 | Paper |
| Financial network connectedness and systemic risk during the COVID-19 pandemic | 2022-08-23 | Paper |
| A simulation smoother for long memory time series with correlated and heteroskedastic additive noise | 2022-06-21 | Paper |
| Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: applications for financial risk management | 2022-03-16 | Paper |
| Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models | 2021-06-30 | Paper |
| Regularization of Bayesian quasi-likelihoods constructed from complex estimating functions | 2020-06-16 | Paper |
| On hysteretic vector autoregressive model with applications | 2020-04-27 | Paper |
| Multivariate modelling of spatial extremes based on copulas | 2020-04-23 | Paper |
| On the performance of the Bayesian composite likelihood estimation of max-stable processes | 2020-04-22 | Paper |
| Autoregressive conditional negative binomial model applied to over-dispersed time series of counts | 2019-03-18 | Paper |
| Model selection of a switching mechanism for financial time series | 2019-02-08 | Paper |
| Vine-copula GARCH model with dynamic conditional dependence | 2018-11-23 | Paper |
| Bayesian randomized response technique with multiple sensitive attributes: the case of information systems resource misuse | 2018-11-15 | Paper |
| Bayesian analysis of tail asymmetry based on a threshold extreme value model | 2018-11-08 | Paper |
| Dynamic seasonality in time series | 2018-11-02 | Paper |
| Stochastic Multivariate Mixture Covariance Model | 2018-10-12 | Paper |
| Multivariate <scp>GARCH</scp> Models with Correlation Clustering | 2018-10-11 | Paper |
| A Bayesian hierarchical model for spatial extremes with multiple durations | 2018-08-15 | Paper |
| Long memory and asymmetry for matrix-exponential dynamic correlation processes | 2018-02-07 | Paper |
| Classification in segmented regression problems | 2016-01-12 | Paper |
| Statistical inference for conditional quantiles in nonlinear time series models | 2015-10-30 | Paper |
| Threshold variable selection of asymmetric stochastic volatility models | 2015-03-03 | Paper |
| Stochastic covariance models | 2014-10-23 | Paper |
| Estimation of multiple period expected shortfall and median shortfall for risk management | 2014-01-17 | Paper |
| Generalized predictive information criteria for the analysis of feature events | 2013-05-29 | Paper |
| Forecasting intraday volatility and value-at-risk with high-frequency data | 2013-04-08 | Paper |
| A Monte Carlo Markov chain algorithm for a class of mixture time series models | 2012-12-06 | Paper |
| A review of threshold time series models in finance | 2011-12-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3580294 | 2010-08-12 | Paper |
| Bayesian model selection for heteroskedastic models | 2010-06-30 | Paper |
| Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model | 2009-11-16 | Paper |
| Dynamic modeling of tail risk: Applications to China, Hong Kong and other Asian markets | 2009-09-09 | Paper |
| Bayesian mixture of autoregressive models | 2009-06-16 | Paper |
| Comparison of nonnested asymmetric heteroskedastic models | 2009-04-06 | Paper |
| Modelling financial time series with threshold nonlinearity in returns and trading volume | 2008-06-18 | Paper |
| An empirical evaluation of fat-tailed distributions in modeling financial time series | 2008-03-26 | Paper |
| ASSESSING AND TESTING FOR THRESHOLD NONLINEARITY IN STOCK RETURNS | 2008-01-24 | Paper |
| Best Subset Selection of Autoregressive Models with Exogenous Variables and Generalized Autoregressive Conditional Heteroscedasticity Errors | 2007-09-07 | Paper |
| Asymmetric response and interaction of U.S. and local news in financial markets | 2006-05-24 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4450671 | 2004-02-15 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4801753 | 2003-04-08 | Paper |
| Miscellanea. Time series with additive noise | 2000-01-31 | Paper |
