Olivier Wintenberger : Citation Profile

Université Pierre et Marie Curie (Paris 6-Jussieu)

6

H index

5

i10 index

210

Citations

RESEARCH PRODUCTION:

16

Articles

12

Papers

RESEARCH ACTIVITY:

   20 years (2005 - 2025). See details.
   Cites by year: 10
   Journals where Olivier Wintenberger has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 16 (7.08 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwi297
   Updated: 2025-12-27    RAS profile: 2025-06-10    
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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:

Francq, Christian (34)

Laurent, Sébastien (23)

darolles, serge (16)

Koopman, Siem Jan (12)

Sucarrat, Genaro (12)

Lucas, Andre (11)

Blasques, Francisco (10)

Escribano, Alvaro (10)

Xu, Yongdeng (7)

Hafner, Christian (6)

LINTON, OLIVER (5)

Cites to:

Koopman, Siem Jan (15)

Engle, Robert (13)

Bollerslev, Tim (13)

Rahbek, Anders (13)

Lucas, Andre (11)

Blasques, Francisco (11)

Petrella, Ivan (11)

Delle Monache, Davide (11)

Bauwens, Luc (9)

Zakoian, Jean-Michel (8)

Francq, Christian (8)

Main data

Where Olivier Wintenberger has published?

Journals with more than one article published# docs
Stochastic Processes and their Applications5
Dependence Modeling2
Statistical Papers2

Working Papers Series with more than one paper published# docs
Post-Print / HAL3
Papers / arXiv.org3
MPRA Paper / University Library of Munich, Germany2
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Olivier Wintenberger (2025 and 2024)

YearTitle of citing document
2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318.

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2024An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2024). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

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2025Maximal Inequalities for Empirical Processes under General Mixing Conditions with an Application to Strong Approximations. (2024). Pouzo, Demian. In: Papers. RePEc:arx:papers:2402.11394.

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2025Online Distributional Regression. (2024). Hirsch, Simon ; Berrisch, Jonathan ; Ziel, Florian. In: Papers. RePEc:arx:papers:2407.08750.

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2025Volatility Spillovers and Interconnectedness in OPEC Oil Markets: A Network-Based log-ARCH Approach. (2025). Djebari, Fayçal ; Otto, Philipp ; Mazouz, Khelifa ; Mehidi, Kahina. In: Papers. RePEc:arx:papers:2507.15046.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024Conditional-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.

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2024Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions. (2024). van Brummelen, Janneke ; Koopman, Siem Jan ; Gorgi, Paolo ; Blasques, Francisco. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002919.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Observation-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.

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2024Dynamic partial correlation models. (2024). Lucas, Andre ; Dinnocenzo, Enzo. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000939.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2024Financial contagion dynamics from the US to the PIIGS amidst the global financial crisis. (2024). Tzomakas, Christos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001017.

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2025Forecasting Financial Volatility Under Structural Breaks: A Comparative Study of GARCH Models and Deep Learning Techniques. (2025). Espinoza, Jenny ; Chung, Vctor ; Quispe, Renn. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:9:p:494-:d:1742074.

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2024Autoregressive conditional betas. (2024). Francq, Christian ; Blasques, F ; Laurent, Sebastien. In: Post-Print. RePEc:hal:journl:hal-04676069.

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2025The exponential HEAVY model: an improved approach to volatility modeling and forecasting. (2025). Xu, Yongdeng. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:65:y:2025:i:2:d:10.1007_s11156-024-01358-1.

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2025On change point detection in regression function using nonparametric autoregressive processes. (2025). Kouassi, Ben Clestin ; Hili, Ouagnina ; Katchekpele, Edoh. In: Indian Journal of Pure and Applied Mathematics. RePEc:spr:indpam:v:56:y:2025:i:1:d:10.1007_s13226-023-00471-6.

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2024A Cramér–von Mises test for a class of mean time dependent CHARN models with application to change-point detection. (2024). Ngatchou-Wandji, Joseph ; Ltaifa, Marwa. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:27:y:2024:i:1:d:10.1007_s11203-023-09295-x.

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2025Statistical learning for $$\psi $$ ψ -weakly dependent processes. (2025). Diop, Mamadou Lamine ; Kengne, William. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:28:y:2025:i:2:d:10.1007_s11203-025-09329-6.

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2024Learning CHARME models with neural networks. (2024). Gmez-Garca, Jos G ; Fadili, Jalal ; Chesneau, Christophe. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:3:d:10.1007_s00362-023-01442-z.

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2024Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2024). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065.

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2025Score-driven time-varying parameter models with splinebased densities. (2025). Koopman, Siem Jan ; Gorgi, Paolo ; van Brummelen, Janneke. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250011.

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2025Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes. (2025). Opschoor, Anne ; Lucas, Andrae ; Schoemaker, Daan. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250039.

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2024Heterogeneity and dynamics in network models. (2024). Lucas, Andre ; Zhang, Xingmin ; D'Innocenzo, Enzo ; Opschoor, Anne. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:1:p:150-173.

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2025Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers. (2025). Xu, Yongdeng. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1266-1279.

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Works by Olivier Wintenberger:

YearTitleTypeCited
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models In: Papers.
[Full Text][Citation analysis]		paper13
2018Feasible 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: 13		paper
2017On the tail behavior of a class of multivariate conditionally heteroskedastic processes In: Papers.
[Full Text][Citation analysis]		paper1
2017On 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
2021AdaVol: An Adaptive Recursive Volatility Prediction Method In: Papers.
[Full Text][Citation analysis]		paper2
2022AdaVol: An Adaptive Recursive Volatility Prediction Method.(2022) In: Econometrics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2022AdaVol: An Adaptive Recursive Volatility Prediction Method.(2022) In: Post-Print.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2022Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article0
2013Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article65
2013Continuous 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: 65		paper
2005An Invariance Principle for New Weakly Dependent Stationary Models using Sharp Moment Assumptions In: Working Papers.
[Full Text][Citation analysis]		paper1
2013GARCH models without positivity constraints: Exponential or log GARCH? In: Journal of Econometrics.
[Full Text][Citation analysis]		article45
2012Garch models without positivity constraints: exponential or log garch?.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 45		paper
2008Weakly dependent chains with infinite memory In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article44
2019The tail empirical process of regularly varying functions of geometrically ergodic Markov chains In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article2
2019Heavy tails for an alternative stochastic perpetuity model In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2022Contrast estimation of time-varying infinite memory processes In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2023Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article0
2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models * In: Working Papers.
[Full Text][Citation analysis]		paper7
2024Viking: variational Bayesian variance tracking In: Statistical Inference for Stochastic Processes.
[Full Text][Citation analysis]		article0
2024Kalman recursions Aggregated Online In: Statistical Papers.
[Full Text][Citation analysis]		article0
2025Online convex optimization for survival analysis: an adaptive and stochastic approach In: Statistical Papers.
[Full Text][Citation analysis]		article0
2018Goodness-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]		article6
2024Multivariate Sparse Clustering for Extremes In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2015A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper0
2016Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]		paper18
2013Prediction of time series by statistical learning: general losses and fast rates In: Dependence Modeling.
[Full Text][Citation analysis]		article6
2014Prediction 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: 6		article

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