Olivier Wintenberger : Citation Profile

Are you Olivier Wintenberger?

Université Pierre et Marie Curie (Paris 6-Jussieu)

6

H index

4

i10 index

188

Citations

RESEARCH PRODUCTION:

14

Articles

12

Papers

RESEARCH ACTIVITY:

   19 years (2005 - 2024). See details.
   Cites by year: 9
   Journals where Olivier Wintenberger has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 16 (7.84 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwi297
   Updated: 2024-12-03    RAS profile: 2024-11-07    
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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 (31)

Laurent, Sébastien (17)

darolles, serge (16)

Koopman, Siem Jan (12)

Sucarrat, Genaro (12)

Escribano, Alvaro (10)

Blasques, Francisco (10)

Lucas, Andre (10)

Hafner, Christian (6)

Blazsek, Szabolcs (5)

Lalaharison, Hanjarivo (4)

Cites to:

Koopman, Siem Jan (14)

Rahbek, Anders (13)

Bollerslev, Tim (13)

Engle, Robert (13)

Delle Monache, Davide (12)

Petrella, Ivan (12)

Lucas, Andre (11)

Blasques, Francisco (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

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

Recent works citing Olivier Wintenberger (2024 and 2023)

YearTitle of citing document
2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2023Statistical inference for the logarithmic spatial heteroskedasticity model with exogenous variables. (2023). Zhu, KE ; Su, Bing. In: Papers. RePEc:arx:papers:2301.06658.

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2024An adaptive volatility method for probabilistic forecasting and its application to the M6 financial forecasting competition. (2023). Werge, Nicklas ; de Vilmarest, Joseph. In: Papers. RePEc:arx:papers:2303.01855.

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2023.

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2023Quantile three-factor model with heteroskedasticity, skewness, and leptokurtosis. (2023). , Mike. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:182:y:2023:i:c:s0167947323000130.

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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 ; Blasques, Francisco ; Gorgi, Paolo. 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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2023Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect. (2023). Bee, Marco ; Tafakori, Laleh ; Pourkhanali, Armin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003198.

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2023Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317.

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2023FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156.

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2023Data-driven model selection for same-realization predictions in autoregressive processes. (2023). Kamila, Kare. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:75:y:2023:i:4:d:10.1007_s10463-022-00855-1.

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2023A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5.

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2023A general procedure for change-point detection in multivariate time series. (2023). Kengne, William ; Diop, Mamadou Lamine. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:32:y:2023:i:1:d:10.1007_s11749-022-00824-z.

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2023Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution. (2021). Lucas, Andr E ; Blasques, Francisco ; Rossini, Luca ; Opschoor, Anne. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20210010.

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2024Observation-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.

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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]		paper9
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: 9		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]		article60
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: 60		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]		article38
2012Garch models without positivity constraints: exponential or log garch?.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2008Weakly dependent chains with infinite memory In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article40
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]		paper6
2024Viking: variational Bayesian variance tracking In: Statistical Inference for Stochastic Processes.
[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]		article5
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: 5		article

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