17
H index
25
i10 index
1070
Citations
York University | 17 H index 25 i10 index 1070 Citations RESEARCH PRODUCTION: 37 Articles 53 Papers 1 Books 3 Chapters RESEARCH ACTIVITY: 30 years (1994 - 2024). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pja135 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Joann Jasiak. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Econometrics | 8 |
Annals of Economics and Statistics | 4 |
Journal of Time Series Analysis | 3 |
Journal of Financial Econometrics | 2 |
Journal of Empirical Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Center for Research in Economics and Statistics | 19 |
Papers / arXiv.org | 10 |
Working Papers / York University, Department of Economics | 5 |
Post-Print / HAL | 4 |
Year | Title of citing document |
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2024 | The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719. Full description at Econpapers || Download paper |
2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper |
2024 | Open Markets and Hybrid Jacobi Processes. (2021). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2110.14046. Full description at Econpapers || Download paper |
2024 | An Intraday GARCH Model for Discrete Price Changes and Irregularly Spaced Observations. (2022). Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:2211.12376. Full description at Econpapers || Download paper |
2023 | Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843. Full description at Econpapers || Download paper |
2024 | Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper |
2023 | Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543. Full description at Econpapers || Download paper |
2024 | Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218. Full description at Econpapers || Download paper |
2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper |
2023 | Standard Error Biases When Using Generated Regressors in Accounting Research. (2023). Melessa, Sam ; Hribar, Paul ; Chen, Wei. In: Journal of Accounting Research. RePEc:bla:joares:v:61:y:2023:i:2:p:531-569. Full description at Econpapers || Download paper |
2023 | Estimating the probability of default for noâ€default and lowâ€default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107. Full description at Econpapers || Download paper |
2023 | Duration time-series models with proportional hazard. (2008). gourieroux, christian ; Gagliardini, Patrick. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:29:y:2008:i:1:p:74-124. Full description at Econpapers || Download paper |
2023 | On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196. Full description at Econpapers || Download paper |
2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper |
2023 | Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937. Full description at Econpapers || Download paper |
2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
2024 | Dynamic behaviors and non-instantaneous impulsive vaccination of an SAIQR model on complex networks. (2024). Wang, Jinrong ; Fu, Xinjie. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:465:y:2024:i:c:s0096300323005945. Full description at Econpapers || Download paper |
2023 | A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers || Download paper |
2024 | Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Pia, Marco ; Herrera, Rodrigo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615. Full description at Econpapers || Download paper |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
2023 | Scalable inference for a full multivariate stochastic volatility model. (2023). Plataniotis, Anastasios ; Petrova, Katerina ; Titsias, Michalis K ; Dellaportas, Petros. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:501-520. Full description at Econpapers || Download paper |
2023 | Modeling realized covariance measures with heterogeneous liquidity: A generalized matrix-variate Wishart state-space model. (2023). Hartkopf, Jan Patrick ; Gribisch, Bastian. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:43-64. Full description at Econpapers || Download paper |
2023 | Stochastic properties of nonlinear locally-nonstationary filters. (2023). Nientker, Marc ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:2082-2095. Full description at Econpapers || Download paper |
2023 | Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586. Full description at Econpapers || Download paper |
2023 | Semiparametric estimation of latent variable asset pricing models. (2023). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001598. Full description at Econpapers || Download paper |
2024 | COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2024). Casarin, Roberto ; Billio, Monica ; Iacopini, Matteo ; Costola, Michele. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:113-131. Full description at Econpapers || Download paper |
2024 | International asset pricing with heterogeneous agents: Estimation and inference. (2024). Tinang, Jules ; Tedongap, Romeo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001263. Full description at Econpapers || Download paper |
2023 | DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations. (2023). Bauwens, Luc ; Xu, Yongdeng. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:938-955. Full description at Econpapers || Download paper |
2023 | Covid-19, credit risk management modeling, and government support. (2023). Telg, Sean ; Lucas, Andre ; Dubinova, Anna. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622002187. Full description at Econpapers || Download paper |
2024 | A short term credibility index for central banks under inflation targeting: An application to Brazil. (2024). Hecq, Alain ; Voisin, Elisa ; Issler, Joo Victor. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000445. Full description at Econpapers || Download paper |
2023 | Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937. Full description at Econpapers || Download paper |
2024 | Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251. Full description at Econpapers || Download paper |
2023 | The impact of bank loan announcements on stock liquidity. (2023). Pham, Thu Phuong ; Vu, Van Hoang ; Singh, Harminder. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:848-864. Full description at Econpapers || Download paper |
2023 | Rating transitions forecasting: a filtering approach. (2023). Picard, Tom ; Lelong, Jerome ; Cousin, Areski. In: Post-Print. RePEc:hal:journl:hal-03347521. Full description at Econpapers || Download paper |
2023 | Omega Compatibility: A Meta-analysis. (2023). Zhang, Xiang ; Maillet, Bertrand ; Caporin, Massimiliano ; Bernard, Carole. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-022-10306-x. Full description at Econpapers || Download paper |
2023 | The Rank-Size Rule and Challenges in Diversifying Commercial Real Estate Portfolios. (2023). Pace, Kelley R ; Narayanan, Rajesh P ; Dombrowski, Timothy P. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:67:y:2023:i:1:d:10.1007_s11146-020-09765-6. Full description at Econpapers || Download paper |
2023 | Disentangling the effect of measures, variants, and vaccines on SARS-CoV-2 infections in England: a dynamic intensity model. (2023). Madeira, Joao ; Cornea-Madeira, Adriana ; Boldea, Otilia. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:3:p:444-466.. Full description at Econpapers || Download paper |
2023 | The Variance Risk Premium in Equilibrium Models*. (2023). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:6:p:1977-2014.. Full description at Econpapers || Download paper |
2024 | Identifying the Volatility Risk Price Through the Leverage Effect. (2024). Sangrey, Paul ; Renault, Eric ; Cheng, XU. In: PIER Working Paper Archive. RePEc:pen:papers:24-013. Full description at Econpapers || Download paper |
2023 | The impact of bank loan announcements on stock liquidity. (2023). Vu, Van Hoang ; Singh, Harminder ; Pham, Thu Phuong. In: MPRA Paper. RePEc:pra:mprapa:116398. Full description at Econpapers || Download paper |
2023 | Uncertain Remedies to Fight Uncertain Consequences: The Case of Solar Geoengineering. (2023). Meier, Felix D ; Traeger, Christian P. In: RFF Working Paper Series. RePEc:rff:dpaper:dp-23-37. Full description at Econpapers || Download paper |
2023 | Fat Tailed DSGE Models: A Survey and New Results. (2023). Sorge, Marco ; Dave, Chetan. In: Working Papers. RePEc:ris:albaec:2023_003. Full description at Econpapers || Download paper |
2023 | Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555. Full description at Econpapers || Download paper |
2023 | Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models. (2023). Hartkopf, Jan Patrick. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:1:d:10.1007_s00181-022-02245-1. Full description at Econpapers || Download paper |
2023 | Information loss in volatility measurement with flat price trading. (2023). Yu, Jun ; Phillips, Peter. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02353-y. Full description at Econpapers || Download paper |
2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. 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 |
Year | Title | Type | Cited |
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2000 | Causality between Returns and Traded Volumes In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
1998 | Causality Between Returns and Trated Volumes.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2005 | Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 13 |
2020 | Analysis of Virus Transmission: A Stochastic Transition Model Representation of Epidemiological Models In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
2022 | Long Run Predictions In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2021 | Generalized Covariance Estimator In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Generalized Covariance Estimator.(2023) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2023 | Composite Likelihood for Stochastic Migration Model with Unobserved Factor In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Long Run Risk in Stationary Structural Vector Autoregressive Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models In: Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether.(2023) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2024 | Digital Divide: Empirical Study of CIUS 2020 In: Papers. [Full Text][Citation analysis] | paper | 0 |
2023 | Penalized Likelihood Inference with Survey Data In: Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Optimization of the Generalized Covariance Estimator in Noncausal Processes In: Papers. [Full Text][Citation analysis] | paper | 1 |
2024 | Optimization of the Generalized Covariance Estimator in Noncausal Processes.(2024) In: CEIS Research Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2023 | GCov-Based Portmanteau Test In: Papers. [Full Text][Citation analysis] | paper | 0 |
1994 | Bayesian Analysis of Stochastic Volatility Models: Comment. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 3 |
2006 | Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 46 |
2006 | Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2016 | Filtering, Prediction and Simulation Methods for Noncausal Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 24 |
2023 | Dynamic deconvolution and identification of independent autoregressive sources In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
2023 | Temporally Local Maximum Likelihood with Application to SIS Model In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 0 |
1998 | GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 46 |
2000 | Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 6 |
2000 | Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1998 | Finite-Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors.(1998) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
1995 | Stochastic Volatility and Time Deformation: An Application to Trading Volume and Leverage Effects In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 29 |
1994 | Stochastic Volatility and time Deformation: an Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
1994 | Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects..(1994) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 29 | paper | |
1995 | Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 20 |
1995 | Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
1995 | Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
1995 | Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 12 |
1996 | Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
1997 | GARCH for Irregularly Spaced Data: The ACD-GARCH Model In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 10 |
1999 | Nonlinear innovations and impulse responses In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 10 |
1999 | Nonlinear Innovations and Impulse Response.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2001 | Compound Autoregressive Models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2001 | Local Likelihood Density Estimation and Value at Risk In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2010 | Local Likelihood Density Estimation and Value-at-Risk.(2010) In: Journal of Probability and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2004 | The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 15 |
2006 | A Degeneracy in the Analysis of Volatility and Covolatility Effects In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | Filtering and Prediction in Noncausal Processes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2014 | Misspecification of Causal and Noncausal Orders in Autoregressive Processes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2015 | Semi-Parametric Estimation of Noncausal Vector Autoregression In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2016 | Robust Analysis of the Martingale Hypothesis In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | Robust analysis of the martingale hypothesis.(2019) In: Econometrics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
2016 | Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
2020 | Stationary bubble equilibria in rational expectation models.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2020 | Stationary Bubble Equilibria in Rational Expectation Models.(2020) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2020 | Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2023 | Time varying Markov process with partially observed aggregate data: An application to coronavirus.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
1997 | Stochastic Volatility Duration Models In: Working Papers. [Full Text][Citation analysis] | paper | 76 |
2004 | Stochastic volatility duration models.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 76 | article | |
1998 | Truncated Maximum Likelihood and Nonparametric Tail Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
1998 | Nonlinear Autocorrelograms : An Application to Intra-Trade Durations In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
1998 | Nonlinear Panel Data Models with Dynamic Heterogeneity In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
1999 | Dynamic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
2001 | DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
1999 | Nonlinear Persistence and Copersistence In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2011 | Nonlinear Persistence and Copersistence.(2011) In: Palgrave Macmillan Books. [Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
1999 | Nonlinear Persistence and Copersistence.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2024 | Modelling common bubbles in cryptocurrency prices In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
2001 | Memory and infrequent breaks In: Economics Letters. [Full Text][Citation analysis] | article | 62 |
2006 | Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 33 |
2008 | Dynamic quantile models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 51 |
2006 | DYNAMIC QUANTILE MODELS.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | paper | |
2009 | The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 158 |
2005 | The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 158 | paper | |
2017 | Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
2018 | Misspecification of noncausal order in autoregressive processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
2008 | The ordered qualitative model for credit rating transitions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 36 |
2006 | The Ordered Qualitative Model For Credit Rating Transitions.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2009 | L-performance with an application to hedge funds In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 17 |
2009 | L-performance with an application to hedge funds.(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
1999 | Intra-day market activity In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 58 |
2004 | Heterogeneous INAR(1) model with application to car insurance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 27 |
2012 | Granularity adjustment for default risk factor model with cohorts In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
2022 | An econometric panel data model of the COVID-19 pandemic In: Post-Print. [Citation analysis] | paper | 0 |
2022 | An Econometric Panel Data Model of the COVID-19 Pandemic.(2022) In: Journal of Statistical and Econometric Methods. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2001 | Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors. In: International Economic Review. [Citation analysis] | article | 90 |
2006 | Autoregressive gamma processes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 97 |
2016 | The Tradability Premium on the S&P 500 Index In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
2022 | Testing for Endogeneity of Covid-19 Patient Assignments* In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2010 | Inference for Noisy Long Run Component Process In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2007 | Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 10 |
2015 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
2015 | The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Economics Books. [Citation analysis] | book | 1 |
2022 | Transition model for coronavirus management In: Canadian Journal of Economics/Revue canadienne d'économique. [Full Text][Citation analysis] | article | 0 |
2021 | Forecast performance and bubble analysis in noncausal MAR(1, 1) processes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
1999 | Persistence in Intertrade Durations In: Working Papers. [Full Text][Citation analysis] | paper | 33 |
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