6
H index
4
i10 index
187
Citations
Olivier Wintenberger : Citation Profile
Université Pierre et Marie Curie (Paris 6-Jussieu) | RESEARCH PRODUCTION: 11 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
17 years (2005 - 2022). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Olivier Wintenberger. | Is cited by:
| Cites to:
|
Main data
Where Olivier Wintenberger has published?
| Journals with more than one article published | # docs |
|---|---|
| Stochastic Processes and their Applications | 4 |
| Dependence Modeling | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 3 |
| Papers / arXiv.org | 3 |
| MPRA Paper / University Library of Munich, Germany | 2 |
| Tinbergen Institute Discussion Papers / Tinbergen Institute | 2 |
Recent works citing Olivier Wintenberger (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318. Full description at Econpapers || Download paper |
| 2023 | Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables. (2023). Zhu, KE ; Su, Bing. In: Papers. RePEc:arx:papers:2301.06658. Full description at Econpapers || Download paper |
| 2024 | An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2023). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855. Full description at Econpapers || Download paper |
| 2023 | Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis. (2023). , Mike. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000130. Full description at Econpapers || Download paper |
| 2024 | Conditional-mean multiplicative operator models for count time series. (2024). Zhu, Fukang ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:191:y:2024:i:c:s0167947323001962. Full description at Econpapers || Download paper |
| 2024 | Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, Paolo. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919. Full description at Econpapers || Download paper |
| 2024 | Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469. Full description at Econpapers || Download paper |
| 2024 | Observation-driven filtering of time-varying parameters using moment conditions. (2024). Lucas, Andre ; Koopman, Siem Jan ; Creal, Drew ; Zamojski, Marcin. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003512. Full description at Econpapers || Download paper |
| 2023 | Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198. Full description at Econpapers || Download paper |
| 2023 | Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317. Full description at Econpapers || Download paper |
| 2023 | FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156. Full description at Econpapers || Download paper |
| 2023 | Data-driven model selection for same-realization predictions in autoregressive processes. (2023). Kamila, Kare. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:4:d:10.1007_s10463-022-00855-1. Full description at Econpapers || Download paper |
| 2023 | A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5. Full description at Econpapers || Download paper |
| 2023 | A general procedure for change-point detection in multivariate time series. (2023). Kengne, William ; Diop, Mamadou Lamine. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:1:d:10.1007_s11749-022-00824-z. Full description at Econpapers || Download paper |
| 2023 | Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010. Full description at Econpapers || Download paper |
| 2024 | Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065. Full description at Econpapers || Download paper |
Works by Olivier Wintenberger:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers. [Full Text][Citation analysis] | paper | 9 |
| 2018 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
| 2017 | On the tail behavior of a class of multivariate conditionally heteroskedastic processes In: Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | On the tail behavior of a class of multivariate conditionally heteroskedastic processes.(2017) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2021 | AdaVol: An Adaptive Recursive Volatility Prediction Method In: Papers. [Full Text][Citation analysis] | paper | 2 |
| 2022 | AdaVol: An Adaptive Recursive Volatility Prediction Method.(2022) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2022 | AdaVol: An Adaptive Recursive Volatility Prediction Method.(2022) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2022 | Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2013 | Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 59 |
| 2013 | Continuous invertibility and stable QML estimation of the EGARCH(1,1) model.(2013) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 59 | paper | |
| 2005 | An Invariance Principle for New Weakly Dependent Stationary Models using Sharp Moment Assumptions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | GARCH models without positivity constraints: Exponential or log GARCH? In: Journal of Econometrics. [Full Text][Citation analysis] | article | 38 |
| 2012 | Garch models without positivity constraints: exponential or log garch?.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
| 2008 | Weakly dependent chains with infinite memory In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 40 |
| 2019 | The tail empirical process of regularly varying functions of geometrically ergodic Markov chains In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 2 |
| 2019 | Heavy tails for an alternative stochastic perpetuity model In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2022 | Contrast estimation of time-varying infinite memory processes In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 2016 | Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2018 | Goodness-of-fit tests for Log-GARCH and EGARCH models In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. [Full Text][Citation analysis] | article | 6 |
| 2015 | A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model†In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
| 2013 | Prediction of time series by statistical learning: general losses and fast rates In: Dependence Modeling. [Full Text][Citation analysis] | article | 5 |
| 2014 | Prediction of time series by statistical learning: general losses and fast rates.(2014) In: Dependence Modeling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team