| Publication | Date of Publication | Type |
|---|
Semi-parametric financial risk forecasting incorporating multiple realized measures
Quantitative Finance | 2025-03-10 | Paper |
Bayesian Time-Varying Quantile Forecasting for Value-at-Risk in Financial Markets
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Semiparametric GARCH via Bayesian Model Averaging
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
| Capturing measurement error bias in volatility forecasting by realized GARCH models | 2024-10-02 | Paper |
The rule of three, its variants and extensions
International Statistical Review | 2024-07-24 | Paper |
On the certainty of an inductive inference: the binomial case
Statistical Science | 2024-07-24 | Paper |
Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
Analyzing return asymmetry and quantiles through stochastic volatility models using asymmetric Laplace error via uniform scale mixtures
Applied Stochastic Models in Business and Industry | 2024-07-18 | Paper |
A semi-parametric conditional autoregressive joint value-at-risk and expected shortfall modeling framework incorporating realized measures
Quantitative Finance | 2023-06-20 | Paper |
Dynamic quantile function models
Quantitative Finance | 2022-09-30 | Paper |
Stationary distribution and threshold dynamics of a stochastic SIRS model with a general incidence
Physica A | 2022-08-10 | Paper |
Analysis of a stochastic distributed delay epidemic model with relapse and Gamma distribution kernel
Chaos, Solitons and Fractals | 2022-03-31 | Paper |
Manifold Optimization-Assisted Gaussian Variational Approximation
Journal of Computational and Graphical Statistics | 2022-03-29 | Paper |
Bayesian forecast of the basic reproduction number during the COVID-19 epidemic in Morocco and Italy
Mathematical Population Studies | 2022-02-22 | Paper |
Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
Quantitative Finance | 2021-09-03 | Paper |
Forecasting risk via realized GARCH, incorporating the realized range
Quantitative Finance | 2021-07-16 | Paper |
Bayesian model selection for logistic regression with misclassified outcomes
Statistical Modelling | 2020-10-07 | Paper |
Forecasting trade durations via ACD models with mixture distributions
Quantitative Finance | 2020-09-16 | Paper |
Semi-parametric expected shortfall forecasting in financial markets
Journal of Statistical Computation and Simulation | 2020-04-22 | Paper |
Bayesian realized-GARCH models for financial tail risk forecasting incorporating the two-sided Weibull distribution
Quantitative Finance | 2019-09-26 | Paper |
Consensus priors for multinomial and binomial ratios
Journal of Statistical Theory and Practice | 2019-08-30 | Paper |
Bayesian tail‐risk forecasting using realized GARCH
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
| Extended realized GARCH models | 2018-12-03 | Paper |
Bayesian estimation of smoothly mixing time-varying parameter GARCH models
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility
Quantitative Finance | 2018-11-19 | Paper |
Bayesian forecasting for financial risk management, pre and post the global financial crisis
Journal of Forecasting | 2018-10-11 | Paper |
Exponentially smoothing the skewed Laplace distribution for value-at-risk forecasting
Journal of Forecasting | 2018-10-11 | Paper |
Bayesian estimation and inference for log-ACD models
Computational Statistics | 2016-08-04 | Paper |
Posterior predictive arguments in favor of the Bayes-Laplace prior as the consensus prior for binomial and multinomial parameters
Bayesian Analysis | 2016-02-12 | Paper |
| Consensus priors in the presence of general laws | 2015-10-21 | Paper |
A generalized class of skew distributions and associated robust quantile regression models
The Canadian Journal of Statistics | 2015-02-25 | Paper |
Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity
Computational Statistics | 2015-02-18 | Paper |
Bayesian subset selection for threshold autoregressive moving-average models
Computational Statistics | 2015-01-28 | Paper |
Bayesian variable selection for Poisson regression with underreported responses
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
Multi-regime nonlinear capital asset pricing models
Quantitative Finance | 2013-12-13 | Paper |
A comparison of estimators for regression models with change points
Statistics and Computing | 2012-12-31 | Paper |
Bayesian value-at-risk and expected shortfall forecasting via the asymmetric Laplace distribution
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
Detection of structural breaks in a time-varying heteroskedastic regression model
Journal of Statistical Planning and Inference | 2011-08-01 | Paper |
Falling and explosive, dormant, and rising markets via multi-regime financial time series models
Applied Stochastic Models in Business and Industry | 2011-04-06 | Paper |
Bayesian model selection for heteroskedastic models
Bayesian Econometrics | 2010-06-30 | Paper |
Bayesian causal effects in quantiles: accounting for heteroscedasticity
Computational Statistics and Data Analysis | 2010-03-30 | Paper |
Estimation and inference for exponential smooth transition nonlinear volatility models
Journal of Statistical Planning and Inference | 2009-12-10 | Paper |
Optimal dynamic hedging via copula-threshold-GARCH models
Mathematics and Computers in Simulation | 2009-06-18 | Paper |
Volatility forecasting using threshold heteroskedastic models of the intra-day range
Computational Statistics and Data Analysis | 2009-06-12 | Paper |
A Bayesian approach to relaxing parameter restrictions in multivariate GARCH models
Test | 2009-06-02 | Paper |
Bayesian sample size determination for case-control studies with misclassification
Computational Statistics and Data Analysis | 2009-05-29 | Paper |
Comparison of nonnested asymmetric heteroskedastic models
Computational Statistics and Data Analysis | 2009-04-06 | Paper |
Inference for Proportions in a 2 × 2 Contingency Table: HPD or not HPD?
Biometrics | 2008-12-22 | Paper |
Testing for nonlinearity in mean and volatility for heteroskedastic models
Mathematics and Computers in Simulation | 2008-12-17 | 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 |
ESTIMATION IN RICKER'S TWO-RELEASE METHOD: A BAYESIAN APPROACH
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2007-03-20 | 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 |
Theory & Methods: Bayesian variable selection in logistic regression: predicting company earnings direction
Australian <html_ent glyph="@amp;" ascii="&"/> New Zealand Journal of Statistics | 2003-08-06 | Paper |
| Efficient Bayesian Inference for Dynamic Mixture Models | 2002-07-30 | Paper |
Diagnostics for Time Series Analysis
Journal of Time Series Analysis | 2000-03-01 | Paper |
