| Publication | Date of Publication | Type |
|---|
| Modeling Operational Risk: Estimation and Effects of Dependencies | 2020-07-14 | Paper |
| PRICING DERIVATIVES IN HERMITE MARKETS | 2019-11-08 | Paper |
| Value-at-Risk Prediction: A Comparison of Alternative Strategies | 2019-08-01 | Paper |
| The determination of the state covariance matrix of moving-average processes without computation | 2016-01-01 | Paper |
| Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes | 2016-01-01 | Paper |
| The real consequences of financial stress | 2015-12-22 | Paper |
| Estimating a Banking-Macro Model Using a Multi-regime VAR | 2015-06-25 | Paper |
| VaR-implied tail-correlation matrices | 2014-06-18 | Paper |
| Asymmetric multivariate normal mixture GARCH | 2010-03-30 | Paper |
| Differential evolution and combinatorial search for constrained index-tracking | 2010-03-01 | Paper |
| Accurate value-at-risk forecasting based on the normal-GARCH model | 2009-04-06 | Paper |
| Portfolio Selection with Common Correlation Mixture Models | 2009-02-26 | Paper |
| Unconditional and conditional distributional models for the Nikkei index | 2009-02-06 | Paper |
| The Volatility of Realized Volatility | 2008-11-19 | Paper |
| Portfolio selection in the presence of heavy-tailed asset returns | 2008-05-14 | Paper |
| Portfolio optimization when risk factors are conditionally varying and heavy tailed | 2007-08-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3433875 | 2007-04-20 | Paper |
| Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data | 2006-01-27 | Paper |
| Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances | 2006-01-27 | Paper |
| Value-at-risk and asset allocation with stable return distributions | 2005-10-11 | Paper |
| Stationarity of stable power-GARCH processes. | 2003-02-17 | Paper |
| Computing the probability density function of the stable Paretian distribution | 2002-10-06 | Paper |
| Statistical inference in regression with heavy-tailed integrated variables | 2002-06-13 | Paper |
| The distribution of test statistics for outlier detection in heavy-tailed samples | 2002-06-13 | Paper |
| A simple estimator for the characteristic exponent of the stable Paretian distribution | 2002-05-05 | Paper |
| Maximum likelihood estimation of stable Paretian models. | 2002-05-05 | Paper |
| Option pricing for stable and infinitely divisible asset returns | 2002-05-05 | Paper |
| Test of association between multivariate stable vectors. | 2002-05-05 | Paper |
| A new representation for the characteristic function of strictly geo-stable vectors | 2002-02-17 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4488964 | 2001-06-11 | Paper |
| Stable Paretian models in finance | 2001-04-08 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4269648 | 2001-03-09 | Paper |
| Time series with unit roots and infinite-variance disturbances | 2000-07-03 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4247099 | 1999-11-29 | Paper |
| An approximation procedure for asymmetric stable Paretian densities | 1999-09-14 | Paper |
| A tail estimator for the index of the stable paretian distribution∗ | 1998-11-09 | Paper |
| Testing cointegrating coefficients in vector autoregressive error correction models | 1998-08-13 | Paper |
| Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances | 1998-01-21 | Paper |
| Integral and asymptotic representations of geo-stable densities | 1997-07-20 | Paper |
| Tail estimation of the stable index \(\alpha\) | 1997-02-09 | Paper |
| Stable GARCH models for financial time series | 1996-05-02 | Paper |
| Modeling asset returns with alternative stable distributions* | 1994-11-30 | Paper |
| https://portal.mardi4nfdi.de/entity/Q4272810 | 1994-10-27 | Paper |
| Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples | 1994-09-25 | Paper |
| Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions | 1994-02-16 | Paper |
| Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models | 1994-02-02 | Paper |
| Forecasting international growth rates with leading indicators: A system- theoretic approach | 1993-02-11 | Paper |
| Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q5202791 | 1991-01-01 | Paper |
| https://portal.mardi4nfdi.de/entity/Q3477847 | 1990-01-01 | Paper |
| Modeling nonlinear processes with generalized autoregressions | 1990-01-01 | Paper |
| Stable distributions for asset returns | 1989-01-01 | Paper |
| Multivariate time series analysis with state space models | 1989-01-01 | Paper |
| Iterative versus noniterative derivation of moving average parameters of ARMA processes | 1988-01-01 | Paper |
| Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes | 1988-01-01 | Paper |
