| Publication | Date of Publication | Type |
|---|
Dealing With Endogeneity in Threshold Models Using Copulas
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
Studies in Nonlinear Dynamics & Econometrics | 2023-09-05 | Paper |
Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
Studies in Nonlinear Dynamics & Econometrics | 2023-03-07 | Paper |
Local power of panel unit root tests allowing for structural breaks
Econometric Reviews | 2022-06-08 | Paper |
A Bayesian panel data framework for examining the economic growth convergence hypothesis: do the G7 countries converge?
Journal of Applied Statistics | 2020-10-21 | Paper |
Generalized fixed-\(\mathrm{T}\) panel unit root tests
Scandinavian Journal of Statistics | 2020-07-17 | Paper |
Testing for unit roots in short panels allowing for a structural break
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Pricing and hedging contingent claims using variance and higher order moment swaps
Quantitative Finance | 2018-11-19 | Paper |
Forecasting VaR models under different volatility processes and distributions of return innovations
Journal of Forecasting | 2018-10-12 | Paper |
Shifts in volatility driven by large stock market shocks
Journal of Economic Dynamics and Control | 2018-08-13 | Paper |
Higher order expansions for error variance matrix estimates in the Gaussian AR(1) linear regression model
Statistics & Probability Letters | 2018-07-03 | Paper |
Size corrected significance tests in seemingly unrelated regressions with autocorrelated errors
Journal of Time Series Econometrics | 2018-02-07 | Paper |
Local power of fixed-\(T\) panel unit root tests with serially correlated errors and incidental trends
Journal of Time Series Analysis | 2016-02-29 | Paper |
A Bayesian method of distinguishing unit root from stationary processes based on panel data models with cross-sectional dependence
Statistics and Computing | 2015-11-19 | Paper |
A fixed-\(T\) version of Breitung's panel data unit root test
Economics Letters | 2014-09-11 | Paper |
Monte Carlo comparison of model and moment selection and classical inference approaches to break detection in panel data models
Economics Letters | 2013-01-02 | Paper |
Detection of structural breaks in linear dynamic panel data models
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
A Bayesian analysis of unit roots and structural breaks in the level, trend, and error variance of autoregressive models of economic series
Econometric Reviews | 2011-03-30 | Paper |
Modeling structural breaks in economic relationships using large shocks
Journal of Economic Dynamics and Control | 2010-06-11 | Paper |
Retrieving risk neutral densities based on risk neutral moments through a Gram-Charlier series expansion
Mathematical and Computer Modelling | 2008-02-13 | Paper |
Chapter 7 Nonlinear Modelling of Autoregressive Structural Breaks in Some US Macroeconomic Series
Nonlinear Time Series Analysis of Business Cycles | 2007-07-23 | Paper |
Panel data unit roots tests: the role of serial correlation and the time dimension
Journal of Statistical Planning and Inference | 2006-10-30 | Paper |
Testing for Unit Roots in Dynamic Panels in the Presence of a Deterministic Trend: Re-examining the Unit Root Hypothesis for Real Stock Prices and Dividends
Econometric Reviews | 2005-01-19 | Paper |
The Influence of VAR Dimensions on Estimator Biases
Econometrica | 2002-05-28 | Paper |
On regression-based tests for persistence in logarithmic volatility models
Econometric Reviews | 2000-04-10 | Paper |
Inference for unit roots in dynamic panels where the time dimension is fixed
Journal of Econometrics | 1999-01-01 | Paper |
The persistence in volatility of the US term premium 1970--1986
Economics Letters | 1997-02-27 | Paper |
