| Publication | Date of Publication | Type |
|---|
Stochastic Spanning
Journal of Business and Economic Statistics | 2024-11-08 | Paper |
Inconsistency for the Gaussian QMLE in GARCH-type models with infinite variance
Communications in Statistics: Theory and Methods | 2024-04-18 | Paper |
Concentration inequalities for kernel density estimators under uniform mixing
Journal of the Korean Statistical Society | 2023-07-25 | Paper |
A class of indirect inference estimators: higher-order asymptotics and approximate bias correction
Econometrics Journal | 2022-07-27 | Paper |
Diversification benefits in the cryptocurrency market under mild explosivity
European Journal of Operational Research | 2021-11-05 | Paper |
Stochastic dominance efficient sets and stochastic spanning
Decisions in Economics and Finance | 2021-08-10 | Paper |
Spanning tests for Markowitz stochastic dominance
Journal of Econometrics | 2020-06-18 | Paper |
Spanning tests for Markowitz stochastic dominance
Journal of Econometrics | 2020-06-18 | Paper |
On the limit theory of the Gaussian SQMLE in the EGARCH(1,1) model
Journal of Time Series Analysis | 2020-05-27 | Paper |
On the existence of strongly consistent indirect estimators when the binding function is compact valued
Journal of Mathematics | 2019-11-19 | Paper |
Existence and uniqueness of a stationary and ergodic solution to stochastic recurrence equations via Matkowski's FPT
Cogent Mathematics | 2019-09-10 | Paper |
On the validity of Edgeworth expansions and moment approximations for three indirect inference estimators
Journal of Econometric Methods | 2019-07-18 | Paper |
Stable limit theory for the Gaussian QMLE in a non-stationary asymmetric GARCH model
Statistics & Probability Letters | 2019-02-20 | Paper |
Mildly explosive autoregression under stationary conditional heteroskedasticity
Journal of Time Series Analysis | 2018-11-16 | Paper |
Stable limits for the Gaussian QMLE in the non-stationary GARCH(1,1) model
Economics Letters | 2018-09-25 | Paper |
Portfolio optimization based on stochastic dominance and empirical likelihood
Journal of Econometrics | 2018-08-29 | Paper |
A note on stable limit theory for the OLSE with non usual rates and the heteroskedasticity robust Wald test
Communications in Statistics: Theory and Methods | 2018-04-27 | Paper |
Valid locally uniform Edgeworth expansions for a class of weakly dependent processes or sequences of smooth transformations
Journal of Time Series Econometrics | 2018-02-07 | Paper |
A note on the QMLE limit theory in the non-stationary ARCH(1) model
Journal of Time Series Econometrics | 2018-02-07 | Paper |
A note on the limit theory of a Dickey-Fuller unit root test with heavy tailed innovations
Statistics & Probability Letters | 2017-09-28 | Paper |
Testing for prospect and Markowitz stochastic dominance efficiency
Journal of Econometrics | 2017-04-26 | Paper |
A CLT for martingale transforms with infinite variance
Statistics & Probability Letters | 2016-10-31 | Paper |
Limit Theory for the QMLE of the GQARCH (1,1) Model
Communications in Statistics: Theory and Methods | 2015-12-08 | Paper |
A simple example of an indirect estimator with discontinuous limit theory in the MA(1) model
Journal of Time Series Analysis | 2015-03-04 | Paper |
Time Dependence and Moments of a Family of Time‐Varying Parameter Garch in Mean Models
Journal of Time Series Analysis | 2004-11-24 | Paper |
THE DIFFUSION LIMIT OF A TVP-GQARCH-M(1,1) MODEL
Econometric Theory | 2004-09-07 | Paper |
