| Publication | Date of Publication | Type |
|---|
Cluster GARCH
Journal of Business and Economic Statistics | 2026-04-17 | Paper |
Convolution-t distributions
Journal of Econometrics | 2026-04-14 | Paper |
A multivariate realized GARCH model
Journal of Econometrics | 2026-02-24 | Paper |
A new method for generating random correlation matrices
The Econometrics Journal | 2025-06-24 | Paper |
Comment
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Exponential GARCH Modeling With Realized Measures of Volatility
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
A Dynamic Model of Vaccine Compliance: How Fake News Undermined the Danish HPV Vaccine Program
Journal of Business and Economic Statistics | 2024-10-11 | Paper |
Characterizing correlation matrices that admit a clustered factor representation
Economics Letters | 2024-03-20 | Paper |
Relative contagiousness of emerging virus variants: An analysis of the Alpha, Delta, and Omicron SARS-CoV-2 variants
Econometrics Journal | 2022-12-06 | Paper |
How should parameter estimation be tailored to the objective?
Journal of Econometrics | 2022-09-14 | Paper |
A New Parametrization of Correlation Matrices
Econometrica | 2022-01-06 | Paper |
Equivalence between out-of-sample forecast comparisons and Wald statistics
Econometrica | 2019-01-30 | Paper |
A martingale decomposition of discrete Markov chains
Economics Letters | 2017-06-09 | Paper |
A Markov chain estimator of multivariate volatility from high frequency data
The Fascination of Probability, Statistics and their Applications | 2017-01-16 | Paper |
Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Journal of Econometrics | 2016-08-12 | Paper |
Subsampling realised kernels
Journal of Econometrics | 2016-08-10 | Paper |
Consistent ranking of volatility models
Journal of Econometrics | 2016-06-10 | Paper |
Estimating the persistence and the autocorrelation function of a time series that is measured with error
Econometric Theory | 2014-06-20 | Paper |
The Model Confidence Set
Econometrica | 2011-04-27 | Paper |
The Model Confidence Set
Econometrica | 2011-01-01 | Paper |
Realized kernels in practise : trades and quotes
Econometrics Journal | 2009-12-22 | Paper |
Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise
Econometrica | 2008-12-15 | Paper |
Moving Average-Based Estimators of Integrated Variance
Econometric Reviews | 2008-11-19 | Paper |
Reduced-rank regression: a useful determinant identity
Journal of Statistical Planning and Inference | 2008-06-11 | Paper |
Granger's representation theorem: A closed‐form expression for I(1) processes
Econometrics Journal | 2005-11-21 | Paper |
Structural changes in the cointegrated vector autoregressive model
Journal of Econometrics | 2003-06-09 | Paper |
