| Publication | Date of Publication | Type |
|---|
| Non-parametric estimation of conditional tail expectation for long-horizon returns | 2021-04-27 | Paper |
Non-parametric inference on risk measures for integrated returns
Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning | 2020-12-09 | Paper |
Value at risk for integrated returns and its applications to equity portfolios
Statistica Sinica | 2016-10-26 | Paper |
Sample quantile analysis for long-memory stochastic volatility models
Journal of Econometrics | 2015-10-30 | Paper |
scientific article; zbMATH DE number 6193736 (Why is no real title available?)
(available as arXiv preprint) | 2013-08-01 | Paper |
| Evaluating quantile reserve for equity-linked insurance in a stochastic volatility model long vs. short memory | 2011-02-01 | Paper |
On Berry-Esseen bounds for non-instantaneous filters of linear processes
Bernoulli | 2009-03-02 | Paper |
| Central limit theorems for instantaneous filters of linear random fields on \(\mathbb{Z}^2\) | 2008-07-11 | Paper |
A note on asymptotic normality of kernel estimation for linear random fields on \(Z^{2}\)
Journal of Theoretical Probability | 2008-06-04 | Paper |
Two‐stage U‐statistics for Hypothesis Testing
Scandinavian Journal of Statistics | 2007-12-16 | Paper |
| scientific article; zbMATH DE number 5134979 (Why is no real title available?) | 2007-03-20 | Paper |
Polynomial Trend Regression With Long‐memory Errors
Journal of Time Series Analysis | 2006-05-24 | Paper |
Asymptotic normality for non-linear functionals of non-causal linear processes with summable weights
Journal of Theoretical Probability | 2005-06-14 | Paper |
| scientific article; zbMATH DE number 1944309 (Why is no real title available?) | 2004-01-20 | Paper |
| scientific article; zbMATH DE number 1850474 (Why is no real title available?) | 2003-01-26 | Paper |
Asymptotic distribution of sum and maximum for Gaussian processes
Journal of Applied Probability | 2001-05-08 | Paper |
| scientific article; zbMATH DE number 1347885 (Why is no real title available?) | 1999-10-05 | Paper |
| scientific article; zbMATH DE number 1240560 (Why is no real title available?) | 1999-01-17 | Paper |
Limit theorems for functionals of moving averages
The Annals of Probability | 1999-01-05 | Paper |
On central and non-central limit theorems in density estimation for sequences of long-range dependence
Stochastic Processes and their Applications | 1998-11-23 | Paper |
On the asymptotic expansion of the empirical process of long-memory moving averages
The Annals of Statistics | 1997-05-29 | Paper |
On the asymptotic joint distribution of the sum and maximum of stationary normal random variables
Journal of Applied Probability | 1997-01-27 | Paper |
| scientific article; zbMATH DE number 724799 (Why is no real title available?) | 1995-07-17 | Paper |
The law of the iterated logarithm for non-instantaneous filters of strongly dependent Gaussian sequences
Journal of Theoretical Probability | 1995-05-23 | Paper |
On the strong uniform consistency of density estimation for strongly dependent sequences
Statistics & Probability Letters | 1995-02-22 | Paper |
On limiting distributions of nonlinear functions of noisy Gaussian sequences
Stochastic Analysis and Applications | 1993-01-16 | Paper |
A mixture-type limit theorem for nonlinear functions of Gaussian sequences
Journal of Theoretical Probability | 1991-01-01 | Paper |
Limiting distributions of nonlinear vector functions of stationary Gaussian processes
The Annals of Probability | 1990-01-01 | Paper |
A central limit theorem for non-instantaneous filters of a stationary Gaussian process
Journal of Multivariate Analysis | 1987-01-01 | Paper |
| scientific article; zbMATH DE number 3994636 (Why is no real title available?) | 1986-01-01 | Paper |
