Howell Tong : Citation Profile

London School of Economics (LSE)

10

H index

11

i10 index

864

Citations

RESEARCH PRODUCTION:

39

Articles

29

Papers

1

Books

4

Chapters

RESEARCH ACTIVITY:

   50 years (1975 - 2025). See details.
   Cites by year: 17
   Journals where Howell Tong has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 10 (1.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pto294
   Updated: 2025-12-20    RAS profile: 2025-05-16    
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Relations with other researchers

Works with:

Giannerini, Simone (2)

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

Is cited by:

GAO, Jiti (24)

Härdle, Wolfgang (23)

Medeiros, Marcelo (22)

Zanetti Chini, Emilio (16)

Siu, Tak Kuen (14)

Zhu, Lixing (13)

Okimoto, Tatsuyoshi (12)

Cizek, Pavel (10)

Teräsvirta, Timo (10)

Francq, Christian (9)

Zakoian, Jean-Michel (9)

Cites to:

GAO, Jiti (10)

LINTON, OLIVER (7)

Ling, Shiqing (7)

Hansen, Bruce (7)

Fan, Jianqing (6)

Zhu, Ke (5)

Härdle, Wolfgang (4)

Bec, Frédérique (4)

Bollerslev, Tim (4)

Caner, Mehmet (4)

Enders, Walter (4)

Main data

Where Howell Tong has published?

Journals with more than one article published# docs
Journal of Time Series Analysis9
Journal of the Royal Statistical Society Series B4
Journal of the Royal Statistical Society Series C4
North American Actuarial Journal3
Journal of the Royal Statistical Society Series A3
Journal of Econometrics3
Biometrics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org3
MPRA Paper / University Library of Munich, Germany2

Recent works citing Howell Tong (2025 and 2024)

YearTitle of citing document
2024Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2024). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653.

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2025GCov-Based Portmanteau Test. (2025). Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2312.05373.

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2025Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach. (2025). Yang, Xuanling ; Zhang, Ting ; Li, Dong. In: Papers. RePEc:arx:papers:2401.07038.

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2024The second-order Esscher martingale densities for continuous-time market models. (2024). Choulli, Tahir ; Vanmaele, Michele ; Elazkany, Ella. In: Papers. RePEc:arx:papers:2407.03960.

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2025Continuous difference-in-differences with double/debiased machine learning. (2025). Zhang, Lucas. In: Papers. RePEc:arx:papers:2408.10509.

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2024Difference-in-Differences with Time-varying Continuous Treatments using Double/Debiased Machine Learning. (2024). Huber, Martin ; Zhang, Lucas Z. In: Papers. RePEc:arx:papers:2410.21105.

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2025Arbitrage-free catastrophe reinsurance valuation for compound dynamic contagion claims. (2025). Jang, Jiwook ; Laub, Patrick J ; Zhao, Hongbiao ; Siu, Tak Kuen. In: Papers. RePEc:arx:papers:2502.13325.

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2025Balancing Flexibility and Interpretability: A Conditional Linear Model Estimation via Random Forest. (2025). Medeiros, Marcelo ; Masini, Ricardo. In: Papers. RePEc:arx:papers:2502.13438.

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2025Regularized Generalized Covariance (RGCov) Estimator. (2025). Hecq, Alain ; Neyazi, Aryan Manafi ; Jasiak, Joann ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2504.18678.

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2025A Nonparametric Test of Slutsky Symmetry. (2025). Sithole, Lonjezo ; Gunsilius, Florian. In: Papers. RePEc:arx:papers:2505.05603.

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2025Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911.

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2025Quantitative Risk Management in Volatile Markets with an Expectile-Based Framework for the FTSE Index. (2025). Oketunji, Abiodun Finbarrs. In: Papers. RePEc:arx:papers:2507.13391.

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2025Threshold Tensor Factor Model in CP Form. (2025). Chen, Rong ; Bolivar, Stevenson ; Han, Yuefeng. In: Papers. RePEc:arx:papers:2511.19796.

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2024Smooth transition moving average models: Estimation, testing, and computation. (2024). Li, Dong ; Zhang, Xinyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:463-478.

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2024A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots. (2024). Andric, Vladimir ; Nenadovic, Sanja. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:660-668.

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2024Gradient‐based approach to sufficient dimension reduction with functional or longitudinal covariates. (2024). Gary, Kwun Chuen ; Huang, Mingyueh. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:51:y:2024:i:4:p:1567-1586.

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2025Threshold effects of CO₂ on Sea-Ice Volume:Empirical Evidence with Data from Global Circulation Models of the Arctic and Antarctic. (2025). Rodrguez, Juan Andrs ; Escribano, Lvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:48471.

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2025Robust direction estimation in single-index models via cumulative divergence. (2025). He, Shuaida ; Zhang, Jiarui ; Chen, Xin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:202:y:2025:i:c:s0167947324001361.

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2025Regime-specific exchange rate predictability. (2025). Beckmann, Joscha ; Kruse-Becher, Robinson ; Kerkemeier, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:176:y:2025:i:c:s0165188925000612.

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2024Modelling common bubbles in cryptocurrency prices. (2024). Jasiak, Joann ; Hall, Mauri K. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s026499932400138x.

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2025Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677.

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2024Semi-parametric single-index predictive regression models with cointegrated regressors. (2024). GAO, Jiti ; Zhou, Weilun ; Kew, Hsein ; Harris, David. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002932.

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2024Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation. (2024). Funovits, Bernd. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s030440762400112x.

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2025Threshold Autoregressive Nearest-Neighbour Models for Claims Reserving. (2025). Siu, Tak Kuen. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:180-208.

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2025Keeping the lights on: Assessing energy dynamics and electricity security in Uganda. (2025). Bergland, Olvar ; Adaramola, Muyiwa S ; Muwanga, Robert ; Elasu, Joseph ; Otim, Jacob ; Wabukala, Benard M. In: Energy. RePEc:eee:energy:v:330:y:2025:i:c:s0360544225022236.

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2025Carbon emission reduction development, digital economy, and green transformation of Chinas manufacturing industry. (2025). Ma, Zongguo ; Ding, Chenhui ; Wang, XU ; Huang, Qiaozhi. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925002364.

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2024Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies. (2024). Soski, Tomasz ; Kara, Marta ; Mercik, Aleksander. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000024.

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2025How might model uncertainty and transaction costs impact retained earning & dividend strategies? An examination through a classical insurance risk model. (2025). Siu, Tak Kuen ; Feng, Yang ; Zhu, Jinxia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:120:y:2025:i:c:p:131-158.

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2024Market turbulence and investor decision-making in currency option market. (2024). Frikha, Wajdi ; Dammak, Wael ; Souissi, Mohamed Naceur. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:30:y:2024:i:c:s1703494924000227.

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2025Learning about tail risk: Machine learning and combination with regularization in market risk management. (2025). Wang, Jianzhou ; Lu, Helen ; Zhang, Dongxue ; Xing, Qianyi. In: Omega. RePEc:eee:jomega:v:133:y:2025:i:c:s0305048324002135.

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2024Bayesian Lower and Upper Estimates for Ether Option Prices with Conditional Heteroscedasticity and Model Uncertainty. (2024). Siu, Tak Kuen. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:10:p:436-:d:1488913.

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2024Almost Sure Central Limit Theorem for Error Variance Estimator in Pth-Order Nonlinear Autoregressive Processes. (2024). Zhang, Yong ; Liang, Kaiyu. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:10:p:1482-:d:1391826.

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2025On Regime Switching Models. (2025). Tan, Zhenni ; Wu, Yuehua. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:7:p:1128-:d:1623629.

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2024Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing. (2024). Mozumder, Sharif ; Kabir, Humayun M ; Li, Bingxin ; Talukdar, Bakhtear. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:1:d:10.1007_s11156-023-01195-8.

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2024A note on sufficient dimension reduction with post dimension reduction statistical inference. (2024). Kim, Kyongwon. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:108:y:2024:i:4:d:10.1007_s10182-023-00491-x.

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2024A bootstrap test for threshold effects in a diffusion process. (2024). Tsai, Henghsiu ; Rachinger, Heiko. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:5:d:10.1007_s00180-023-01375-z.

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2024Linear models with time-varying parameters: a comparison of different approaches. (2024). Valentini, Francesco ; Lucchetti, Riccardo Jack. In: Computational Statistics. RePEc:spr:compst:v:39:y:2024:i:7:d:10.1007_s00180-023-01452-3.

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2025Expectile regression averaging method for probabilistic forecasting of electricity prices. (2025). Janczura, Joanna. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:2:d:10.1007_s00180-024-01508-y.

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2025A fast divide-and-conquer strategy for single-index model with massive data. (2025). Li, NA ; Yang, Jing. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:5:d:10.1007_s00180-024-01562-6.

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2025Conditional sufficient variable selection with prior information. (2025). Wang, Pei ; Mitra, Shouryya ; Lu, Jing ; Weng, Jiaying. In: Computational Statistics. RePEc:spr:compst:v:40:y:2025:i:5:d:10.1007_s00180-024-01563-5.

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2025From debt to development: evaluating the effects of external debt, political instability, and inflation on economic growth in the Democratic Republic of Congo. (2025). Byamungu, Amini Jepht ; Zhang, Diping. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:10:d:10.1007_s43546-025-00864-1.

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2024Stacking-based neural network for nonlinear time series analysis. (2024). Samadi, Yaser S ; de Alwis, Tharindu P. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:33:y:2024:i:3:d:10.1007_s10260-024-00746-0.

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2025Weighted forecasts from SETARs with single- and multiple thresholds. (2025). Gooijer, Jan G. ; de Gooijer, Jan G ; Niglio, Marcella. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:34:y:2025:i:4:d:10.1007_s10260-025-00799-9.

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2024Information quantity evaluation of multivariate SETAR processes of order one and applications. (2024). Contreras-Reyes, Javier E. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:3:d:10.1007_s00362-023-01457-6.

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2024Active-set based block coordinate descent algorithm in group LASSO for self-exciting threshold autoregressive model. (2024). Khan, Ramzan Nazim ; Mohd, Muhammad Jaffri ; Nair, Gopalan ; Nur, Darfiana. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:5:d:10.1007_s00362-023-01472-7.

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2024On the existence of stationary threshold bilinear processes. (2024). Cavicchioli, Maddalena ; Zemmouri, Imane ; Ghezal, Ahmed. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-024-01539-z.

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2024Supervised dimension reduction for functional time series. (2024). Liang, Shanshan ; Jia, Shanming ; Wen, Zengyao ; Wang, Guochang. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:7:d:10.1007_s00362-023-01505-1.

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2024A high-dimensional single-index regression for interactions between treatment and covariates. (2024). Ogden, Todd R ; Petkova, Eva ; Tarpey, Thaddeus ; Park, Hyung. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:7:d:10.1007_s00362-024-01546-0.

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2025Bayesian empirical likelihood inference and order shrinkage for a hysteretic autoregressive model. (2025). Yang, Kai ; Han, Guichen ; Song, Xinyuan ; Wang, Wenshan. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-025-01659-0.

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2024A new sufficient dimension reduction method via rank divergence. (2024). Yuan, Xiaohui ; Sun, Jianguo ; Ren, Fengjiao ; Li, Danning ; Liu, Tianqing. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:3:d:10.1007_s11749-024-00929-7.

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2024Asymptotic results for nonparametric regression estimators after sufficient dimension reduction estimation. (2024). Sued, Mariela ; Rodriguez, Daniel A ; Forzani, Liliana. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:4:d:10.1007_s11749-024-00932-y.

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2024Nonparametric conditional survival function estimation and plug-in bandwidth selection with multiple covariates. (2024). Nielsen, Jens P ; Guillen, Montserrat ; Bagkavos, Dimitrios. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:4:d:10.1007_s11749-024-00945-7.

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2025Conditional minimum density power divergence estimator for self-exciting integer-valued threshold autoregressive models. (2025). Sun, Mingyu ; Yang, Kai ; Li, Ang. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:34:y:2025:i:1:d:10.1007_s11749-024-00956-4.

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2024Inequality and institutional outcomes in Viet Nam: A combined principal components and clustering analysis. (2024). Hoang, Thu K ; Gisselquist, Rachel M ; Martin, Klarizze Anne ; Thu, Hoai Thi. In: WIDER Working Paper Series. RePEc:unu:wpaper:wp-2024-38.

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2025Behavioural explanations of Expectile VaR forecasting and dynamic hedging strategies for downside risk during the COVID‐19 pandemic: Insights from financial markets. (2025). Masmoudi, Afif ; Abbes, Mouna Boujelbne ; Gaadane, Sahbi ; Trichilli, Yousra. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:44-70.

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2025Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality. (2025). Siu, Tak Kuen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:8:p:917-945.

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2024Forecasting economic activity using a neural network in uncertain times: Monte Carlo evidence and application to the German GDP. (2024). Holtemöller, Oliver ; Holtemoller, Oliver ; Kozyrev, Boris. In: IWH Discussion Papers. RePEc:zbw:iwhdps:287749.

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Works by Howell Tong:

YearTitleTypeCited
2019ON BROWNIAN MOTION APPROXIMATION OF COMPOUND POISSON PROCESSES WITH APPLICATIONS TO THRESHOLD MODELS In: Advances in Decision Sciences.
[Full Text][Citation analysis]		article0
2021Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis In: Papers.
[Full Text][Citation analysis]		paper1
2021Testing for threshold effects in the TARMA framework In: Papers.
[Full Text][Citation analysis]		paper3
2025On a new robust method of inference for general time series models In: Papers.
[Full Text][Citation analysis]		paper0
2003Smoothing for Spatiotemporal Models and Its Application to Modeling Muskrat-Mink Interaction In: Biometrics.
[Full Text][Citation analysis]		article6
2003Smoothing for spatiotemporal models and its application to modeling Muskrat-Mink interaction.(2003) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 6		paper
2004Testing for Common Structures in a Panel of Threshold Models In: Biometrics.
[Full Text][Citation analysis]		article1
19951. Networks and Chaos—Statistical and Probabilistic Aspects In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article0
199613. Chaotic Dynamics: Theory and Applications to Economics In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article0
2022Asymptotic theory of principal component analysis for time series data with cautionary comments In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]		article2
2022Asymptotic theory of principal component analysis for time series data with cautionary comments.(2022) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 2		paper
1998On the statistical inference of a machine‐generated autoregressive AR(1) model In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article0
2000On the estimation of an instantaneous transformation for time series In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article0
2002An adaptive estimation of dimension reduction space In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article221
2004Semiparametric non‐linear time series model selection In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article7
1975A Simulation Study of the Estimation of Evolutionary Spectral Functions In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article2
1981Data Transformation and Self‐Exciting Threshold Autoregression In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article3
1991On Tests for Self‐Exciting Threshold Autoregressive‐Type Non‐Linearity in Partially Observed Time Series In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article5
1993A Note on Tests for Threshold‐Type Non‐Linearity in Open Loop Systems In: Journal of the Royal Statistical Society Series C.
[Full Text][Citation analysis]		article0
1990NUMERICAL EVALUATION OF DISTRIBUTIONS IN NON‐LINEAR AUTOREGRESSION In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article5
1981A NOTE ON THE DISTRIBUTIONS OF NON‐LINEAR AUTOREGRESSIVE STOCHASTIC MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article2
1981A NOTE ON A MARKOV BILINEAR STOCHASTIC PROCESS IN DISCRETE TIME In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2017A New Multivariate Nonlinear Time Series Model for Portfolio Risk Measurement: The Threshold Copula-Based TAR Approach In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article4
2017A new multivariate nonlinear time series model for portfolio risk measurement: the threshold copula-based TAR approach.(2017) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 4		paper
1982A NOTE ON USING THRESHOLD AUTOREGRESSIVE MODELS FOR MULTI‐STEP‐AHEAD PREDICTION OF CYCLICAL DATA In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
1983ON THE DISTRIBUTION OF A SIMPLE STATIONARY BILINEAR PROCESS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
1983A STATISTICAL APPROACH TO DIFFERENCE‐DELAY EQUATION MODELLING IN ECOLOGY–TWO CASE STUDIES1 In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
1986ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article254
1987A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article11
2020ON AN ABSOLUTE AUTOREGRESSIVE MODEL AND SKEW SYMMETRIC DISTRIBUTIONS In: Statistica.
[Citation analysis]		article1
2004Statistical Tests for Lyapunov Exponents of Deterministic Systems In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article3
2004Statistical tests for Lyapunov exponents of deterministic systems.(2004) In: LSE Research Online Documents on Economics.
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This paper has nother version. Agregated cites: 3		paper
2006On a Simple Graphical Approach to Modelling Economic Fluctuations with an Application to United Kingdom Price Inflation, 1265 to 2005 In: Annals of Actuarial Science.
[Full Text][Citation analysis]		article0
2008Estimation and tests for power-transformed and threshold GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2015Frontiers in Time Series and Financial Econometrics: An overview In: Journal of Econometrics.
[Full Text][Citation analysis]		article2
2015Frontiers in Time Series and Financial Econometrics: An Overview.(2015) In: Tinbergen Institute Discussion Papers.
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2015Frontiers in Time Series and Financial Econometrics: An Overview.(2015) In: Documentos de Trabajo del ICAE.
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2015Threshold models in time series analysis—Some reflections In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2002Model Specification Tests in Nonparametric Stochastic Regression Models In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article19
1993On residual sums of squares in non-parametric autoregression In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2023On the least squares estimation of multiple-threshold-variable autoregressive models In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper3
2024On the Least Squares Estimation of Multiple-Threshold-Variable Autoregressive Models.(2024) In: Journal of Business & Economic Statistics.
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1996Asymmetric least squares regression estimation: a nonparametric approach In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper62
1994Quantifying the influence of initial values on nonlinear prediction In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper7
2002Nonlinear time series modelling of highly fluctuating biological population over space - main results In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper0
2001Bootstrap estimation of actual significance levels for tests based on estimated nuisance parameters In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper0
2000Nonparametric estimation of ratios of noise to signal in stochastic regression In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper7
2000Common structure in panels of short time series In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
1998Cross-validatory bandwidth selection for regression estimation based on dependent data In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper7
1995On initial-condition sensitivity and prediction in nonlinear stochastic systems In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
1994On subset selection in non-parametric stochastic regression In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper13
1994On prediction and chaos in stochastic systems In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper4
1998A bootstrap detection for operational determinism In: LSE Research Online Documents on Economics.
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1996Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems In: LSE Research Online Documents on Economics.
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2016Nested sub-sample search algorithm for estimation of threshold models In: LSE Research Online Documents on Economics.
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2015Frontiers in Time Series and Financial Econometrics In: Econometric Institute Research Papers.
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2004On Bayesian Value at Risk: From Linear to Non-Linear Portfolios In: Asia-Pacific Financial Markets.
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2006A note on time-reversibility of multivariate linear processes In: Biometrika.
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2006Semiparametric penalty function method in partially linear model selection In: MPRA Paper.
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2004Nonparametric and semiparametric regression model selection In: MPRA Paper.
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2012Discussion of ‘An analysis of global warming in the Alpine region based on nonlinear nonstationary time series models’ by Battaglia and Protopapas In: Statistical Methods & Applications.
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2001Bayesian Risk Measures for Derivatives via Random Esscher Transform In: North American Actuarial Journal.
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2004On Pricing Derivatives Under GARCH Models: A Dynamic Gerber-Shiu Approach In: North American Actuarial Journal.
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2004Some Nonlinear Threshold Autoregressive Time Series Models for Actuarial Use In: North American Actuarial Journal.
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2012Asset allocation under threshold autoregressive models In: Applied Stochastic Models in Business and Industry.
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2008Asset Pricing:A Structural Theory and Its Applications In: World Scientific Books.
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2008Introduction to Modern Asset Pricing In: World Scientific Book Chapters.
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2008A Structural Theory of Asset Pricing and the Equity Premium Puzzle In: World Scientific Book Chapters.
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2008Algebra of Stochastic Discount Factors — The Structural Theory of Asset Pricing (Part II) In: World Scientific Book Chapters.
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2008Investment and Consumption in a Multi-period Framework In: World Scientific Book Chapters.
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