18
H index
29
i10 index
1480
Citations
Centre de Recherche en Économie et Statistique (CREST) | 18 H index 29 i10 index 1480 Citations RESEARCH PRODUCTION: 50 Articles 66 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Michel Zakoian. | Is cited by: | Cites to: |
Working Papers Series with more than one paper published | # docs |
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MPRA Paper / University Library of Munich, Germany | 26 |
Working Papers / Center for Research in Economics and Statistics | 25 |
Computing in Economics and Finance 2006 / Society for Computational Economics | 2 |
Post-Print / HAL | 2 |
Year | Title of citing document |
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2020 | A Residual Bootstrap for Conditional Value-at-Risk. (2018). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1808.09125. Full description at Econpapers || Download paper |
2020 | Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077. Full description at Econpapers || Download paper |
2020 | Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089. Full description at Econpapers || Download paper |
2020 | Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147. Full description at Econpapers || Download paper |
2020 | Multi-frequency-band tests for white noise under heteroskedasticity. (2020). Zhu, Ke ; Liu, Mengya. In: Papers. RePEc:arx:papers:2004.09161. Full description at Econpapers || Download paper |
2020 | Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674. Full description at Econpapers || Download paper |
2020 | An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Papers. RePEc:arx:papers:2006.02077. Full description at Econpapers || Download paper |
2020 | Modelling time-varying interactions in complex systems: the Score Driven Kinetic Ising Model. (2020). Tantari, Daniele ; Lillo, Fabrizio ; di Gangi, Domenico ; Campajola, Carlo. In: Papers. RePEc:arx:papers:2007.15545. Full description at Econpapers || Download paper |
2020 | Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Li, Dong ; Gong, Huan ; Zhu, KE ; Luo, Donghang. In: Papers. RePEc:arx:papers:2008.00747. Full description at Econpapers || Download paper |
2020 | Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341. Full description at Econpapers || Download paper |
2020 | Asymptotic Properties of the Maximum Likelihood Estimator in Endogenous Regime-Switching Models. (2020). Liu, Yan. In: Papers. RePEc:arx:papers:2010.04930. Full description at Econpapers || Download paper |
2020 | Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning. (2020). Zhang, Weizhong ; Yan, Xing ; Wu, QI ; Liu, Wei ; Ma, Lin. In: Papers. RePEc:arx:papers:2010.08263. Full description at Econpapers || Download paper |
2020 | Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888. Full description at Econpapers || Download paper |
2020 | Calendar Effect and Returns of Listed Companies on the Ghana Stock Exchange: A DOLS and GARCH Modelling. (2020). Asare-Adu, Anthony ; Atuah, Theophilus Sakyiamah ; Agyapong, Daniel. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2020:p:920-935. Full description at Econpapers || Download paper |
2020 | The discrete and differential impact of monetary policy. (2020). McCredie, Bronwyn. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2919-2937. Full description at Econpapers || Download paper |
2020 | Backtesting portfolio valueâ€atâ€risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619. Full description at Econpapers || Download paper |
2020 | On the threeâ€step nonâ€Gaussian quasiâ€maximum likelihood estimation of heavyâ€tailed double autoregressive models. (2020). Li, Dong ; Gong, Huan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:6:p:883-891. Full description at Econpapers || Download paper |
2020 | Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System. (2020). Edenhofer, Ottmar ; Friedrich, Marina ; Pahle, Michael ; Fries, Sebastien . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8637. Full description at Econpapers || Download paper |
2020 | A simple unit root test consistent against any stationary alternative. (2020). Guay, Alain ; Bec, Frdric. In: Working Papers. RePEc:crs:wpaper:2020-28. Full description at Econpapers || Download paper |
2020 | Robust Tests for White Noise and Cross-Correlation. (2020). Phillips, Peter ; Giraitis, Liudas ; Dalla, Violetta. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2194r. Full description at Econpapers || Download paper |
2020 | An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272. Full description at Econpapers || Download paper |
2020 | Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983. Full description at Econpapers || Download paper |
2020 | Disruptive innovation, innovation adoption and incumbent market value: The case of Airbnb. (2020). Sharma, Abhinav ; Nicolau, Juan L ; Zach, Florian J. In: Annals of Tourism Research. RePEc:eee:anture:v:80:y:2020:i:c:s0160738319301756. Full description at Econpapers || Download paper |
2020 | Are cyclical patterns of international housing markets interdependent?. (2020). Chang, Kuang-Liang. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:14-24. Full description at Econpapers || Download paper |
2020 | Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486. Full description at Econpapers || Download paper |
2020 | Empirical modeling of high-income and emerging stock and Forex market return volatility using Markov-switching GARCH models. (2020). RodrÃÂguez, Gabriel ; Ataurima Arellano, Miguel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300607. Full description at Econpapers || Download paper |
2020 | A note on Portmanteau tests for conditional heteroscedastistic models. (2020). Jiang, Feiyu ; Ben, Youhong. In: Economics Letters. RePEc:eee:ecolet:v:192:y:2020:i:c:s0165176520301257. Full description at Econpapers || Download paper |
2020 | Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183. Full description at Econpapers || Download paper |
2020 | Noncausal vector AR processes with application to economic time series. (2020). Song, LI ; Davis, Richard A. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:246-267. Full description at Econpapers || Download paper |
2020 | Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34. Full description at Econpapers || Download paper |
2020 | Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70. Full description at Econpapers || Download paper |
2020 | Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430. Full description at Econpapers || Download paper |
2020 | Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495. Full description at Econpapers || Download paper |
2020 | Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738. Full description at Econpapers || Download paper |
2020 | Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82. Full description at Econpapers || Download paper |
2020 | Oil and asset classes implied volatilities: Investment strategies and hedging effectiveness. (2020). Gabauer, David ; Filis, George ; Antonakakis, Nikolaos ; de Gracia, Fernando Perez ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s014098832030102x. Full description at Econpapers || Download paper |
2020 | On the intraday dynamics of oil price and exchange rate: What can we learn from China and India?. (2020). Prakash, Ravi ; Ahmad, Wasim ; Dutta, Anupam ; Rahman, Md Lutfur ; Kaur, Rishman Jot ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302115. Full description at Econpapers || Download paper |
2020 | The significance of the Baltic Sea Region for natural gas supplies to the V4 countries. (2020). Ruszel, Mariusz. In: Energy Policy. RePEc:eee:enepol:v:146:y:2020:i:c:s0301421520305061. Full description at Econpapers || Download paper |
2020 | Is flexible and dispatchable generation capacity rewarded in electricity futures markets? A multinational impact analysis. (2020). Spodniak, Petr ; Bertsch, Valentin. In: Energy. RePEc:eee:energy:v:196:y:2020:i:c:s0360544220301572. Full description at Econpapers || Download paper |
2020 | The hedging effect of green bonds on carbon market risk. (2020). Han, Liyan ; Jin, Jiayu ; Zeng, Hongchao ; Wu, Lei. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301538. Full description at Econpapers || Download paper |
2020 | Brent crude oil prices volatility during major crises. (2020). Coughlan, Joseph ; Morales, Lucia ; Zavadska, Miroslava. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318304380. Full description at Econpapers || Download paper |
2020 | Estimating the expected shortfall of cryptocurrencies: An evaluation based on backtesting. (2020). Mora, Juan ; Leon, Angel ; Acereda, Beatriz. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300741. Full description at Econpapers || Download paper |
2020 | Asymmetric volatility in cryptocurrency markets: New evidence from smooth transition GARCH models. (2020). Ben Cheikh, Nidhaleddine ; Chevallier, Julien ; ben Zaied, Younes. In: Finance Research Letters. RePEc:eee:finlet:v:35:y:2020:i:c:s154461231930162x. Full description at Econpapers || Download paper |
2020 | The more the Merrier? The reaction of euro area stock markets to new members. (2020). Hartwell, Christopher ; Celov, Dmitrij ; Grigaliuniene, Zana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:66:y:2020:i:c:s1042443120300792. Full description at Econpapers || Download paper |
2020 | Forecasting value at risk with intra-day return curves. (2020). Zhao, Yuqian ; Wirjanto, Tony ; Rice, Gregory. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1023-1038. Full description at Econpapers || Download paper |
2020 | Forecasting volatility with time-varying leverage and volatility of volatility effects. (2020). Proietti, Tommaso ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1301-1317. Full description at Econpapers || Download paper |
2020 | Pricing individual stock options using both stock and market index information. (2020). Stentoft, Lars ; Violante, Francesco. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619303000. Full description at Econpapers || Download paper |
2020 | Who affects who? Oil price against the stock return of oil-related companies: Evidence from the U.S. and China. (2020). Lv, Xin ; Xin Lv, ; Yu, Chang ; Lien, Donald. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:85-100. Full description at Econpapers || Download paper |
2020 | A simple unit root test consistent against any stationary alternative. (2020). Bec, Frédérique ; Guay, Alain. In: THEMA Working Papers. RePEc:ema:worpap:2020-10. Full description at Econpapers || Download paper |
2020 | Research on the Price Fluctuation and Risk Formation Mechanism of Carbon Emission Rights in China Based on a GARCH Model. (2020). Xu, Yukun ; Zhang, Jilin . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4249-:d:361542. Full description at Econpapers || Download paper |
2020 | Unveiling the Effect of Mean and Volatility Spillover between the United States Economic Policy Uncertainty and WTI Crude Oil Price. (2020). Long, Xingle ; Shahzad, Fakhar ; Du, Jianguo ; Su, Ruixin. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:16:p:6662-:d:400388. Full description at Econpapers || Download paper |
2020 | Assessment of Conditional Dependence Structures in Commodity Futures Markets Using Copula-GARCH Models and Fuzzy Clustering Methods. (2020). Just, Magorzata ; Uczak, Aleksandra. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2571-:d:336499. Full description at Econpapers || Download paper |
2020 | An Adaptive Recursive Volatility Prediction Method. (2020). Wintenberger, Olivier ; Werge, Nicklas. In: Working Papers. RePEc:hal:wpaper:hal-02733439. Full description at Econpapers || Download paper |
2020 | Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375. Full description at Econpapers || Download paper |
2020 | A simple unit root test consistent against any stationary alternative. (2020). Bec, Frédérique ; Guay, Alain. In: Working Papers. RePEc:hal:wpaper:halshs-03010256. Full description at Econpapers || Download paper |
2020 | Invertibility and VAR Representations of Time-Varying Dynamic Stochastic General Equilibrium Models. (2020). Cavicchioli, Maddalena. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9877-7. Full description at Econpapers || Download paper |
2020 | A Markov-switching COGARCH approach to cryptocurrency portfolio selection and optimization. (2020). Mba, Jules Clement ; Mwambi, Sutene. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:2:d:10.1007_s11408-020-00346-4. Full description at Econpapers || Download paper |
2020 | Oil Price Volatility and Stock Returns: Evidence from Three Oil-price Wars. (2020). Mughal, Mazhar ; Ahmed, Junaid ; Khan, Mushtaq Hussain. In: PIDE-Working Papers. RePEc:pid:wpaper:2020:22. Full description at Econpapers || Download paper |
2020 | Stationarity and ergodicity of Markov switching positive conditional mean models. (2020). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:102503. Full description at Econpapers || Download paper |
2020 | Robust Tests for White Noise and Cross-Correlation. (2020). , Peter ; PEter, ; Giraitis, Liudas ; Dalla, Violetta. In: Working Papers. RePEc:qmw:qmwecw:906. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2020 | A Dynamic Component Model for Forecasting High-Dimensional Realized Covariances Matrices. (2020). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: Working Papers. RePEc:sep:wpaper:3_234. Full description at Econpapers || Download paper |
2020 | Multistep quantile forecasts for supply chain and logistics operations: bootstrapping, the GARCH model and quantile regression based approaches. (2020). Bruzda, Joanna. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:28:y:2020:i:1:d:10.1007_s10100-018-0591-2. Full description at Econpapers || Download paper |
2020 | Data driven value-at-risk forecasting using a SVR-GARCH-KDE hybrid. (2020). Härdle, Wolfgang ; Lessmann, Stefan ; Hardle, Wolfgang Karl ; Lux, Marius. In: Computational Statistics. RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-019-00934-7. Full description at Econpapers || Download paper |
2020 | Markov switching in exchange rate models: will more regimes help?. (2020). Stillwagon, Josh ; Sullivan, Peter . In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:1:d:10.1007_s00181-019-01623-6. Full description at Econpapers || Download paper |
2020 | Estimation of weak ARMA models with regime changes. (2020). Rabehasaina, Landy ; Mainassara, Yacouba Boubacar. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:1:d:10.1007_s11203-019-09202-3. Full description at Econpapers || Download paper |
2020 | A note on the asymptotic and exact Fisher information matrices of a Markov switching VARMA process. (2020). Cavicchioli, Maddalena. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:29:y:2020:i:1:d:10.1007_s10260-019-00472-y. Full description at Econpapers || Download paper |
2020 | Bahadur intercept with applications to one-sided testing. (2020). Lu, Zeng-Hua . In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0955-z. Full description at Econpapers || Download paper |
2020 | Mean targeting estimator for the integer-valued GARCH(1, 1) model. (2020). Li, QI ; Zhu, Fukang. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0958-9. Full description at Econpapers || Download paper |
2020 | Markov switching asymmetric GARCH model: stability and forecasting. (2020). Alemohammad, N ; Alizadeh, S H ; Rezakhah, S. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:3:d:10.1007_s00362-018-0992-2. Full description at Econpapers || Download paper |
2020 | Multivariate portmanteau tests for weak multiplicative seasonal VARMA models. (2020). Mainassara, Yacouba Boubacar ; Amir, Abdoulkarim Ilmi. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1055-4. Full description at Econpapers || Download paper |
2020 | Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models. (2020). Jimenez-Gamero, Dolores M ; Meintanis, Simos G ; Lee, Sangyeol. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:29:y:2020:i:3:d:10.1007_s11749-019-00676-0. Full description at Econpapers || Download paper |
2020 | Gold Prices Volatility among Major Events and During the Current COVID-19 Outbreak. (2020). Badkook, Roaa Osama ; Lamouchi, Rim Ammar. In: Journal of Statistical and Econometric Methods. RePEc:spt:stecon:v:9:y:2020:i:4:f:9_4_4. Full description at Econpapers || Download paper |
2020 | Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models. (2019). Nientker, Marc ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190012. Full description at Econpapers || Download paper |
2020 | Networks in risk spillovers: A multivariate GARCH perspective. (2020). Pelizzon, Loriana ; Billio, Monica ; Frattarolo, Lorenzo ; Caporin, Massimiliano. In: Working Papers. RePEc:ven:wpaper:2020:16. Full description at Econpapers || Download paper |
2020 | Value-at-risk — the comparison of state-of-the-art models on various assets. (2020). Ślepaczuk, Robert ; Kielak, Karol. In: Working Papers. RePEc:war:wpaper:2020-28. Full description at Econpapers || Download paper |
2020 | New Technology Stock Market Indexes Contagion: A VAR-dccMVGARCH Approach. (2003). Suleimann Lemand, Ryan. In: Econometrics. RePEc:wpa:wuwpem:0307003. Full description at Econpapers || Download paper |
2020 | Should Stock Market Indexes Time Varying Correlations Be Taken Into Account? A Conditional Variance Multivariate Approach. (2003). Suleimann Lemand, Ryan. In: Econometrics. RePEc:wpa:wuwpem:0307004. Full description at Econpapers || Download paper |
2020 | Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary. (2020). Liu, Xiaochun ; Dimitriadis, Timo ; Schnaitmann, Julie. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:112020. Full description at Econpapers || Download paper |
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1994 | Modéles autoregressifs à seuils multiple In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2019 | Virtual Historical Simulation for estimating the conditional VaR of large portfolios In: Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
2019 | Virtual Historical Simulation for estimating the conditional VaR of large portfolios.(2019) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2005 | Diagnostic Checking in ARMA Models With Uncorrelated Errors In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 55 |
2009 | Testing the Nullity of GARCH Coefficients: Correction of the Standard Tests and Relative Efficiency Comparisons In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 21 |
2008 | Testing the Nullity of GARCH Coefficients : Correction of the Standard Tests and Relative Efficiency Comparisons.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2008 | Testing the nullity of GARCH coefficients : correction of the standard tests and relative efficiency comparisons.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
2010 | Combining Nonparametric and Optimal Linear Time Series Predictions In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 2 |
2009 | Combining Nonparametric and Optimal Linear Time Series Predictions.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2013 | Optimal predictions of powers of conditionally heteroscedastic processes In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 18 |
2012 | Optimal Predictions of Powers of Conditionally Heteroskedastic Processes.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2010 | Optimal predictions of powers of conditionally heteroskedastic processes.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | paper | |
2016 | Estimating multivariate volatility models equation by equation In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 11 |
2017 | Local explosion modelling by non-causal process In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 7 |
2016 | Local Explosion Modelling by Noncausal Process.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2001 | Conditional Heteroskedasticity Driven by Hidden Markov Chains In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 13 |
1998 | Conditional Heteroskedasticity Driven by Hidden Markov Chains.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
1998 | Conditional heteroskedasticity driven by hidden Markov chains.(1998) In: SFB 373 Discussion Papers. [Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2002 | Efficient use of higherâ€lag autocorrelations for estimating autoregressive processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
2002 | Efficient use of higher-lag autocorrelations for estimating autoregressive processes.(2002) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2009 | Bartletts formula for a general class of nonlinear processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 14 |
2009 | Bartletts formula for a general class of non linear processes.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
2010 | Structure and estimation of a class of nonstationary yet nonexplosive GARCH models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
2015 | On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 1 |
2014 | On uniqueness of moving average representations of heavy-tailed stationary processes.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2006 | Linearâ€representation Based Estimation of Stochastic Volatility Models In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 11 |
1993 | Testing for Continuous-Time Models of the Short-Term Interest Rate In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 53 |
1995 | Testing for continuous-time models of the short-term interest rate.(1995) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | paper | |
1995 | Testing for continuous-time models of the short-term interest rate.(1995) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 53 | article | |
1995 | Quasi Indirect Inference for Diffusion Processes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 29 |
1998 | Quasi-indirect inference for diffusion processes.(1998) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
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2001 | Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes.(2001) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
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2011 | Merits and Drawbacks of Variance Targeting in GARCH Models.(2011) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | article | |
2009 | Merits and drawbacks of variance targeting in GARCH models.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | paper | |
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2000 | ESTIMATING WEAK GARCH REPRESENTATIONS.(2000) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | article | |
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2009 | Inconsistency of the QMLE and asymptotic normality of the weighted LSE for a class of conditionally heteroscedastic models. In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2008 | Sup-tests for linearity in a general nonlinear AR(1) model when the supremum is taken over the full parameter space In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
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