Olivier Wintenberger : Citation Profile


Are you Olivier Wintenberger?

Université Pierre et Marie Curie (Paris 6-Jussieu) (99% share)
Centre de Recherche en Économie et Statistique (CREST) (1% share)

4

H index

3

i10 index

83

Citations

RESEARCH PRODUCTION:

4

Articles

11

Papers

RESEARCH ACTIVITY:

   12 years (2005 - 2017). See details.
   Cites by year: 6
   Journals where Olivier Wintenberger has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 9 (9.78 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwi297
   Updated: 2018-07-14    RAS profile: 2017-06-11    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Koopman, Siem Jan (4)

Blasques, Francisco (4)

Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Wintenberger.

Is cited by:

Francq, Christian (13)

Sucarrat, Genaro (9)

McAleer, Michael (8)

Lucas, Andre (5)

Escribano, Alvaro (5)

Zhu, Ke (5)

Koopman, Siem Jan (4)

Blasques, Francisco (4)

Ielpo, Florian (4)

GUEGAN, Dominique (4)

darolles, serge (3)

Cites to:

Engle, Robert (10)

Koopman, Siem Jan (10)

Rahbek, Anders (9)

Bollerslev, Tim (9)

Blasques, Francisco (8)

Lucas, Andre (8)

Jagannathan, Ravi (6)

Galama, Titus (5)

Bec, Frédérique (4)

Pedersen, Rasmus (4)

Sunde, Uwe (4)

Main data


Where Olivier Wintenberger has published?


Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute3
MPRA Paper / University Library of Munich, Germany3
Papers / arXiv.org2
Working Papers / HAL2

Recent works citing Olivier Wintenberger (2018 and 2017)


YearTitle of citing document
2018Finite Sample Theory and Bias Correction of Maximum Likelihood Estimators in the EGARCH Model. (2018). Kyriakopoulou, Dimitra ; Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:1802.

Full description at Econpapers || Download paper

2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Darolles, Serge ; Laurent, Sebastien ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

Full description at Econpapers || Download paper

2017Binary time series models driven by a latent process. (2017). Fokianos, Konstantinos ; Moysiadis, Theodoros . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:117-130.

Full description at Econpapers || Download paper

2017Forecasting crude-oil market volatility: Further evidence with jumps. (2017). Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:508-519.

Full description at Econpapers || Download paper

2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

Full description at Econpapers || Download paper

2017Conditional maximum likelihood estimation for a class of observation-driven time series models for count data. (2017). Cui, Yunwei ; Zheng, QI. In: Statistics & Probability Letters. RePEc:eee:stapro:v:123:y:2017:i:c:p:193-201.

Full description at Econpapers || Download paper

2018On periodic ergodicity of a general periodic mixed Poisson autoregression. (2018). Aknouche, Abdelhakim ; Demouche, Nacer ; Bentarzi, Wissam . In: Statistics & Probability Letters. RePEc:eee:stapro:v:134:y:2018:i:c:p:15-21.

Full description at Econpapers || Download paper

2017GARCH Modelling of Cryptocurrencies. (2017). Chu, Jeffrey ; Osterrieder, Joerg ; Nadarajah, Saralees ; Chan, Stephen. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:10:y:2017:i:4:p:17-:d:113895.

Full description at Econpapers || Download paper

2017Testing for Leverage Effects in the Returns of US Equities. (2017). Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe ; Lalaharison, Hanjarivo . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

Full description at Econpapers || Download paper

2018Outliers and misleading leverage effect in asymmetric GARCH-type models. (2018). Carnero, M. Angeles ; Espartero, Ana Perez. In: Working Papers. Serie AD. RePEc:ivi:wpasad:2018-01.

Full description at Econpapers || Download paper

2018The Effect of Education on Health and Mortality: A Review of Experimental and Quasi-Experimental Evidence.. (2018). Lleras-Muney, Adriana ; Galama, Titus ; van Kippersluis, Hans. In: NBER Working Papers. RePEc:nbr:nberwo:24225.

Full description at Econpapers || Download paper

2018An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation*. (2018). Francq, Christian ; Sucarrat, Genaro . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:129-154..

Full description at Econpapers || Download paper

2017Negative binomial quasi-likelihood inference for general integer-valued time series models. (2017). Aknouche, Abdelhakim ; Bendjeddou, Sara . In: MPRA Paper. RePEc:pra:mprapa:76574.

Full description at Econpapers || Download paper

2017On periodic ergodicity of a general periodic mixed Poisson autoregression. (2017). Aknouche, Abdelhakim ; Demouche, Nacer ; Bentarzi, Wissam . In: MPRA Paper. RePEc:pra:mprapa:79650.

Full description at Econpapers || Download paper

2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988.

Full description at Econpapers || Download paper

2018Goodness-of-fit tests for Log-GARCH and EGARCH models. (2018). Zakoian, Jean-Michel ; Francq, Christian ; Wintenberger, Olivier. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0506-2.

Full description at Econpapers || Download paper

2018Missing Observations in Observation-Driven Time Series Models. (2018). Blasques, Francisco ; Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180013.

Full description at Econpapers || Download paper

Works by Olivier Wintenberger:


YearTitleTypeCited
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
[Full Text][Citation analysis]
paper3
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models *.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2017On the tail behavior of a class of multivariate conditionally heteroskedastic processes In: Papers.
[Full Text][Citation analysis]
paper0
2013Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]
article30
2013Continuous invertibility and stable QML estimation of the EGARCH(1,1) model.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2005An Invariance Principle for New Weakly Dependent Stationary Models using Sharp Moment Assumptions In: Working Papers.
[Full Text][Citation analysis]
paper0
2013GARCH models without positivity constraints: Exponential or log GARCH? In: Journal of Econometrics.
[Full Text][Citation analysis]
article23
2012Garch models without positivity constraints: exponential or log garch?.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
paper
2008Weakly dependent chains with infinite memory In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
article18
2017On the tail behavior of a class of multivariate conditionally heteroskedastic processes In: Working Papers.
[Full Text][Citation analysis]
paper0
2011Parametric inference and forecasting in continuously invertible volatility models In: MPRA Paper.
[Full Text][Citation analysis]
paper1
2015A Theory of Education and Health In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper4
2015A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper0
2016Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
paper3
2014Prediction of time series by statistical learning: general losses and fast rates In: Dependence Modeling.
[Full Text][Citation analysis]
article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2th 2018. Contact: CitEc Team