Access Statistics for Dominique Madeleine GUEGAN

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Cross-Sectional Performance Measure for Portfolio Management 0 0 0 22 1 2 2 57
A Cross-Sectional Performance Measure for Portfolio Management 0 0 1 40 0 0 4 127
A Meta-Distribution for Non-Stationary Samples 0 0 0 44 0 1 3 272
A New Modelling Test: The Univariate MT-STAR Model 0 0 0 21 0 0 3 108
A Note on fair Value and Illiquid Markets 0 0 1 24 1 2 3 57
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios 0 0 0 26 1 2 5 92
A SETAR model with long-memory dynamics 0 0 0 427 0 0 2 821
A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques 0 0 0 22 1 2 2 32
A k- factor GIGARCH process: estimation and application to electricity market spot prices 0 0 0 26 0 1 2 100
A mathematical resurgence of risk management: an extreme modeling of expert opinions 0 0 0 26 0 1 2 55
A mathematical resurgence of risk management: an extreme modeling of expert opinions 0 0 0 25 1 3 4 50
A modified Panjer algorithm for operational risk capital calculations 0 0 1 88 1 2 7 223
A new algorithm for the loss distribution function with applications to Operational Risk Management 0 0 0 71 0 0 1 158
A new algorithm for the loss distribution function with applications to Operational Risk Management 0 0 0 41 1 2 5 67
A note on fair value and illiquid markets 0 0 1 54 0 0 3 188
A note on self-similarity for discrete time series 0 0 0 147 0 0 2 442
A note on self-similarity for discrete time series 0 0 0 9 1 1 2 31
A performance measure of Zero-dollar Long/Short equally weighted portfolios 0 0 0 59 0 0 6 284
A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates 0 0 0 22 0 1 4 134
A short note on option pricing with Lévy Processes 0 0 0 3 1 1 2 28
A short note on option pricing with Lévy Processes 0 0 0 16 0 1 1 112
A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques 0 0 0 24 1 1 3 31
A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques 0 0 0 31 0 0 2 118
A test for a new modelling: The Univariate MT-STAR Model 0 0 0 44 0 1 7 186
A test for a new modelling: The Univariate MT-STAR Model 0 0 0 67 1 1 18 207
A theoretical framework for trading experiments 0 0 1 93 0 2 9 162
A theoretical framework for trading experiments 0 0 0 31 2 2 4 43
Aggregation of Market Risks using Pair-Copulas 0 0 0 37 0 0 4 162
Aggregation of Market Risks using Pair-Copulas 1 1 2 20 2 5 12 75
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 33 1 1 3 88
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 103 0 0 7 324
Alternative Modeling for Long Term Risk 0 0 0 23 1 2 2 38
Alternative methods for forecasting GDP 0 0 1 78 2 2 5 120
Alternative methods for forecasting GDP 0 0 0 198 1 4 15 562
Alternative methods for forecasting GDP 0 0 0 90 1 1 1 85
An Autocorrelated Loss Distribution Approach: back to the time series 0 0 0 23 1 1 5 60
An Econometric Study of Vine Copulas 0 0 0 69 1 1 2 194
An Econometric Study of Vine Copulas 0 0 0 12 1 2 2 50
An Omnibus Test to Detect Time-Heterogeneity in Time Series 0 0 0 19 1 2 2 35
An Omnibus Test to Detect Time-Heterogeneity in Time Series 0 0 0 10 1 3 3 51
An econometric Study for Vine Copulas 0 0 0 26 1 1 1 76
An econometric specification of monetary policy dark art 0 0 0 55 0 0 3 246
An economic view of carbon allowances market 0 1 1 47 1 3 3 70
An economic view of carbon allowances market 0 1 1 97 0 1 2 332
An efficient threshold choice for operational risk capital computation 0 0 0 4 1 1 5 28
An efficient threshold choice for operational risk capital computation 0 0 0 78 1 2 4 212
An efficient threshold choice for operational risk capital computation 0 0 0 16 1 1 3 67
An omnibus test to detect time-heterogeneity in time series 0 0 0 35 0 1 1 107
Analyse d’Intervention et Prévisions. Problématique et Application à des données de la RATP 0 0 0 9 0 1 1 62
Another Characterization of Long Memory Behavior 0 0 0 3 0 2 5 790
Asymptotic Behavior for the Extreme Values of a Linear Regression Model 0 0 0 18 0 0 0 76
BL-GARCH model with elliptical distributed innovations 0 0 0 51 2 2 3 105
Breaks or Long Memory Behaviour: An empirical Investigation 0 0 0 40 1 1 1 75
Breaks or long memory behaviour: an empirical investigation 0 0 0 45 1 2 2 41
Business surveys modelling with Seasonal-Cyclical Long Memory models 0 0 0 10 1 3 3 51
Business surveys modelling with Seasonal-Cyclical Long Memory models 0 0 0 18 0 0 1 108
Business surveys modelling with Seasonal-Cyclical Long Memory models 0 0 0 4 1 3 4 37
Business surveys modelling with seasonal-cyclical long memory models 0 0 0 52 0 0 0 178
CAN THE SUP LR TEST DISCRIMINATE BETWEEN DIFFERENT SWITCHING REGRESSIONS MODELS: APPLICATIONS TO THE U.S GNP AND THE US/UK EXCHANGE RATE? 0 0 0 10 0 0 2 43
Change analysis of a dynamic copula for measuring dependence in multivariate financial data 0 0 0 128 1 1 3 237
Change analysis of dynamic copula for measuring dependence in multivariate financial data 0 0 2 102 1 1 14 339
Change analysis of dynamic copula for measuring dependence in multivariate financial data 0 0 0 25 2 2 4 85
Changing-regime volatility: A fractionally integrated SETAR model 0 0 0 28 1 3 7 107
Changing-regime volatility: A fractionally integrated SETAR model 0 0 0 42 1 1 2 119
Chaos in Economics and Finance 0 0 1 193 2 4 7 223
Chaos in economics and finance 0 0 0 52 1 3 8 101
Chaos in economics and finance 0 0 1 210 0 2 7 427
Comparaison of Several Estimation Procedures for Long Term Behavior 0 0 0 7 1 1 3 30
Comparaison of several estimation procedures for long term behavior 0 0 0 28 0 2 5 59
Comparing variable selection techniques for linear regression: LASSO and Autometrics 0 0 0 229 4 8 14 588
Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison 0 0 0 65 1 1 1 272
Cross-Sectional Analysis through Rank-based Dynamic 0 0 1 40 0 0 10 182
Cross-Sectional Analysis through Rank-based Dynamic Portfolios 0 0 0 16 2 2 12 76
De-noising with wavelets method in chaotic time series: application in climatology, energy and finance 0 0 0 72 0 0 0 130
Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices 0 0 0 18 0 0 1 53
Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices 0 0 0 32 0 0 0 105
Derivative Pricing and Hedging on Carbon Market 0 0 0 43 2 2 2 81
Derivative pricing and hedging on Carbon Market 0 1 3 155 0 1 6 367
Detection of the Industrial Business Cycle using SETAR models 0 0 0 28 1 1 2 88
Detection of the industrial business cycle using SETAR models 0 0 1 97 0 2 5 285
Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions 0 0 0 18 1 3 5 67
Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions 0 0 0 27 0 3 5 62
Dynamic Analysis of the Insurance Linked Securities Index 0 0 0 70 1 3 4 162
Dynamic analysis of the insurance linked securities index 0 0 0 81 0 0 0 220
Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes 0 0 0 66 0 0 2 218
Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes 0 0 0 32 1 2 4 73
Effect of noise filtering on predictions: on the routes of chaos 0 0 0 78 0 0 1 154
Effect of noise filtering on predictions: on the routes of chaos 0 0 0 8 1 2 3 42
Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions 0 0 1 19 0 0 2 97
Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions 0 0 1 7 1 1 3 40
Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets 0 0 0 107 0 0 3 258
Empirical Projected Copula Process and Conditional Independence An Extended Version 0 0 0 9 1 1 3 40
Empirical Projected Copula Process and Conditional Independence an Extended Version 0 0 0 28 0 0 0 84
Estimating parameters for a k-GIGARCH process 0 0 0 8 0 0 0 43
Estimation and Applications of Gegenbauer Processes 0 0 0 45 0 0 3 101
Estimation of k-Factor Gigarch Process: A Monte Carlo Study 0 0 0 8 1 2 3 60
Estimation of k-factor GIGARCH process: a Monte Carlo study 0 0 0 6 1 3 4 52
Estimation of k-factor GIGARCH process: a Monte Carlo study 0 0 1 66 0 1 2 227
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro 0 0 0 112 0 2 5 240
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area 0 0 0 67 1 1 3 117
Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations 0 0 0 15 1 2 4 67
Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations 0 0 0 63 0 0 4 226
Extreme Distribution of a Generalized Stochastic Volatility Model 0 0 0 26 1 1 1 98
Extreme values of particular nonlinear processes 0 0 0 6 0 0 1 29
Extreme values of random or chaotic discretization steps 0 0 0 4 1 2 4 20
Extreme values of random or chaotic discretization steps 0 0 0 3 0 0 2 36
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 85 0 2 4 421
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 12 1 1 1 65
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 3 1 1 1 29
Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy 0 0 0 141 1 1 5 331
Forecasting chaotic systems: The role of local Lyapunov exponents 0 0 0 43 1 1 4 111
Forecasting chaotic systems: The role of local Lyapunov exponents 0 0 0 30 0 0 3 103
Forecasting chaotic systems: the role of local Lyapunov exponents 0 0 0 161 0 1 2 424
Forecasting chaotic systems: the role of local Lyapunov exponents 0 0 1 31 1 1 4 107
Forecasting electricity spot market prices with a k-factor GIGARCH process 0 0 0 101 1 3 6 138
Forecasting electricity spot market prices with a k-factor GIGARCH process 0 0 0 131 0 2 3 442
Forecasting electricity spot market prices with a k-factor GIGARCH process 0 0 0 14 1 4 5 62
Fractional and seasonal filtering 0 0 0 1 1 2 3 32
Fractional seasonality: Models and Application to Economic Activity in the Euro Area 0 0 0 19 1 1 1 84
Further evidence on the impact of economic news on interest 0 0 1 37 0 0 4 145
Further evidence on the impact of economic news on interest rates 0 0 0 56 0 2 11 206
Further evidence on the impact of economic news on interest rates 0 0 0 10 1 1 1 42
GDP nowcasting with ragged-edge data: A semi-parametric modelling 0 0 0 60 1 1 2 129
GDP nowcasting with ragged-edge data: A semi-parametric modelling 0 0 1 98 0 0 2 263
GDP nowcasting with ragged-edge data: a semi-parametric modeling 0 0 0 47 1 2 4 96
Global and local stationary modelling in finance: theory and empirical evidence 0 0 0 13 1 3 3 32
Global and local stationary modelling in finance: theory and empirical evidence 0 0 1 192 1 4 7 463
Hedging tranches index products: illustration of model dependency 0 0 1 13 1 1 3 72
How Can We Define the Long Memory Concept? An Econometric Survey 0 0 0 5 0 2 5 539
How can we define the concept of long memory ? An econometric survey 0 0 0 125 0 1 4 402
Is it possible to discriminate between different switching regressions models? An empirical investigation 0 0 0 28 1 2 3 121
La persistance dans les marchés financiers 0 0 1 34 1 1 8 105
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 0 0 2 93
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 1 3 3 58
Local Lyapunov Exponents: A new way to predict chaotic systems 0 0 0 30 1 1 2 79
Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems 0 0 2 60 0 1 4 231
Long-memory dynamics in a SETAR model - Applications to stock markets 0 0 0 60 0 1 2 134
Martingalized Historical approach for Option Pricing 0 0 0 23 1 1 2 117
Martingalized Historical approach for Option Pricing 0 0 0 33 1 1 1 115
Missing trader fraud on the emissions market 0 0 4 137 0 0 17 291
Missing trader fraud on the emissions market 0 0 1 30 1 3 9 121
Modelization and Nonparametric Estimation for a Dynamical System with Noise 0 0 0 2 0 1 4 25
Modelization and Nonparametric estimation for a dynamical system with noise 0 0 0 14 0 1 3 41
Modelling squared returns using a SETAR model with long-memory dynamics 0 0 0 34 0 1 3 142
Multi-period conditional distribution functions for heteroscedastic models with applications to VaR 0 0 0 35 0 0 0 103
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach 0 0 0 18 0 0 6 93
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach 0 0 0 4 0 1 5 33
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach 0 0 2 60 1 2 6 106
New Prospects on Vines 0 0 0 26 1 1 4 64
New prospects on vines 0 0 0 36 0 0 3 152
Non-stationarity and meta-distribution 0 0 0 73 1 1 2 266
Non-stationarity and meta-distribution 0 0 0 0 1 1 1 45
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 1 1 1 97 1 2 4 246
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 0 47 1 1 6 80
Note on new prospects on vines 0 0 0 10 1 1 3 35
On the Necessity of Five Risk Measures 0 0 0 70 1 3 3 56
On the necessity of five risk measures 0 0 0 139 1 3 4 108
On the necessity of five risk measures 0 0 0 29 0 1 2 143
On the use of nearest neighbors in finance 0 0 0 92 0 0 2 191
Operational risk: A Basel II++ step before Basel III 0 0 1 112 1 1 5 190
Operational risk: A Basel II++ step before Basel III 0 0 1 26 1 1 8 69
Operational risk: A Basel II++ step before Basel III 0 0 0 39 0 1 4 45
Operational risk: A Basel II++ step before Basel III 1 1 2 8 2 2 10 76
Operational risk: a Basel II++ step before Basel III 0 0 0 73 1 1 5 188
Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations 0 0 0 26 2 3 4 101
Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results 0 0 1 86 2 4 5 221
Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology 0 0 0 61 1 2 5 158
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 48 0 0 0 158
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 10 1 1 2 50
Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology 0 0 0 72 0 0 2 158
Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results 0 0 0 102 0 2 4 234
Option pricing with discrete time jump processes 0 0 0 18 0 2 3 62
Option pricing with discrete time jump processes 0 0 0 35 1 2 2 176
Option pricing with discrete time jump processes 0 0 0 12 2 3 4 171
Portfolio Symmetry and Momentum 0 0 0 34 0 0 3 174
Portfolio Symmetry and Momentum 0 0 0 14 1 1 2 131
Portfolio Symmetry and Momentum 0 0 0 25 1 1 3 107
Portfolio Symmetry and Momentum 0 0 0 13 1 1 1 56
Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems 0 0 0 45 1 2 2 121
Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems 0 0 0 56 0 1 1 176
Predictive Dimension: An Alternative Definition of the Embedding Dimension 0 0 1 23 0 1 2 86
Pricing bivariate option under GARCH processes with time-varying copula 0 0 0 142 0 2 4 380
Pricing bivariate option under GARCH processes with time-varying copula 0 0 0 8 1 3 4 53
Pricing bivariate option under GARCH processes with time-varying copula 0 0 0 11 1 2 3 73
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market 0 0 0 15 1 1 3 62
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market 0 0 0 119 0 0 0 362
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market 0 0 0 30 1 2 4 136
Probability density of the wavelet coefficients of a noisy chaos 0 0 0 6 0 0 0 49
Probability density of the wavelet coefficients of a noisy chaos 0 0 0 2 1 1 1 18
Prédiction of Chaotic Time Series in the Presence of Measurement Error: The Importance of Initial Conditions 0 0 0 12 0 0 2 35
Real-time detection of the business cycle using SETAR models 0 0 1 22 1 1 2 63
Regime switching model: real or spurious long memory? 0 0 0 11 0 0 0 45
Regime switching models: real or spurious long memory? 0 0 0 33 0 1 2 127
Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market 0 0 0 18 2 2 3 39
Risk assessment for a Structured Product Specific to the CO2 Emission Permits Market 0 0 1 27 0 0 5 115
Statistical Estimation of the Embedding Dimension of a Dynamic System 0 0 0 21 0 0 2 48
Statistical evidence of tax fraud on the carbon allowances market 0 0 0 33 1 5 12 94
Statistical evidence of tax fraud on the carbon allowances market 0 0 0 23 0 0 1 96
Stress Testing Engineering: the real risk measurement? 0 0 0 88 1 1 2 66
Stress Testing Engineering: the real risk measurement? 0 0 0 141 0 0 3 129
Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 0 1 44 0 2 13 144
Testing Fractional Order of Long Memory Processes: A Monte Carlo Study 0 0 0 17 1 1 2 64
Testing for Leverage Effect in Financial Returns 0 0 0 78 0 2 19 253
Testing for Leverage Effects in the Returns of US Equities 0 0 0 45 1 3 6 106
Testing for Non-Linearity in Intra-Day Financial Series: The Cases of Two French Stocks 0 0 0 0 1 1 2 287
Testing fractional order of long memory processes: a Monte Carlo study 0 0 0 14 1 2 3 51
Testing fractional order of long memory processes: a Monte Carlo study 0 0 0 70 0 1 3 188
Testing unit roots and long range dependence of foreign exchange 0 0 0 17 1 1 3 29
Testing unit roots and long range dependence of foreign exchange 0 0 0 31 0 1 3 98
Tests of Structural Changes in Conditional Distributions with Unknown Changepoints 0 0 0 44 1 1 1 48
Tests of structural changes in conditional distributions with unknown changepoints 0 0 0 4 1 1 2 21
The Multivariate Threshold Model -An Alternative to Detect Breaks and Hidden Cycles on Real Data 0 0 0 35 0 1 1 67
The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting 0 0 0 38 2 4 7 91
The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting 0 0 1 92 0 1 3 400
The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model 0 0 0 37 1 3 3 155
The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics 0 0 0 59 0 1 2 266
The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics 0 0 0 11 1 3 3 54
Towards an understanding approach of the insurance linked securities market 0 0 2 278 0 3 8 682
Towards an understanding approach of the insurance linked securities market 0 0 0 34 1 2 5 99
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 20 0 1 6 54
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 39 0 1 2 88
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 13 1 1 3 50
Understanding Exchange Rates Dynamics 0 0 0 10 1 2 3 57
Understanding Exchange Rates Dynamics 0 0 0 55 0 1 6 141
Une mesure de la persistance dans les indices boursiers 0 0 0 30 0 2 4 132
Using a time series approach to correct serial correlation in Operational Risk capital calculation 0 0 0 31 0 0 3 120
Using a time series approach to correct serial correlation in operational risk capital calculation 0 0 0 16 1 1 3 27
Value at Risk Computation in a Non-Stationary Setting 0 0 1 47 1 1 2 56
Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics 0 0 1 39 2 5 9 103
Viewing Risk Measures as information 0 0 0 25 1 1 3 71
Viewing Risk Measures as information 0 0 0 47 1 2 2 39
Viewing risk measures as information 0 0 0 36 0 1 1 69
Wavelet Method for Locally Stationary Seasonal Long Memory Processes 0 0 0 38 1 1 3 61
Wavelet method for locally stationary seasonal long memory processes 0 0 0 76 0 0 3 186
What is the Best Approach to Measure the Interdependence between Different Markets? 1 3 9 126 8 15 72 1,148
Which is the best model for the US inflation rate: a structural changes model or a long memory 0 0 1 74 0 0 1 433
Which is the best model for the US inflation rate: a structural changes model or a long memory process ? 0 0 0 34 1 1 2 74
tail behavior of a threshold autoregressive stochastic volatility model 0 0 0 17 0 0 0 68
Total Working Papers 4 9 62 11,557 158 337 948 34,630
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Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques 0 0 1 6 0 1 6 54
A comparison of techniques of estimation in long-memory processes 0 0 0 17 2 3 4 57
An omnibus test to detect time-heterogeneity in time series 0 0 0 4 0 1 1 37
Asymptotic normality of the discrete Fourier transform of long memory time series 0 0 0 16 0 0 0 44
Breaks or long memory behavior: An empirical investigation 0 0 0 16 0 1 2 75
Business surveys modelling with Seasonal-Cyclical Long Memory models 0 0 0 5 0 0 1 30
Change analysis of a dynamic copula for measuring dependence in multivariate financial data 0 0 1 12 0 2 5 92
Changing-regime volatility: a fractionally integrated SETAR model 0 0 0 18 0 1 2 78
Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate 0 0 3 60 0 1 4 222
Detection of the Industrial Business Cycle using SETAR Models 0 0 0 33 0 2 2 119
Effect of Noise Filtering on Predictions:on the Routes of Chaos 0 0 0 7 0 0 1 68
Empirical estimation of tail dependence using copulas: application to Asian markets 0 0 1 310 0 2 9 768
Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area 0 0 0 26 0 0 1 87
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 0 0 2 2 84
Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy 0 0 2 104 1 2 8 328
Forecasting electricity spot market prices with a k-factor GIGARCH process 0 0 2 26 0 0 6 87
Forecasting with k-Factor Gegenbauer Processes: Theory and Applications 0 0 0 0 0 1 9 498
GDP nowcasting with ragged-edge data: a semi-parametric modeling 0 0 2 19 0 0 6 141
How can we Define the Concept of Long Memory? An Econometric Survey 0 0 2 69 0 2 10 215
Long-memory dynamics in a SETAR model - applications to stock markets 0 0 0 51 0 0 1 145
Martingalized historical approach for option pricing 0 0 0 15 0 0 1 93
Modelization and Nonparametric Estimation for Dynamical Systems with Noise 0 0 0 8 0 0 0 42
Modelling squared returns using a SETAR model with long-memory dynamics 0 0 0 45 0 1 1 247
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 0 0 16 1 1 4 77
Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system 0 0 0 15 0 0 0 57
On the necessity of five risk measures 0 0 1 14 1 3 5 63
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 6 0 1 2 41
Option pricing with discrete time jump processes 0 0 0 15 0 2 3 70
Portfolio symmetry and momentum 0 0 0 13 0 0 3 80
Power of the Lagrange multiplier test for certain subdiagonal bilinear models 0 0 0 15 0 0 1 98
Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data 0 0 1 148 0 0 5 390
Pricing bivariate option under GARCH processes with time-varying copula 0 0 0 28 0 0 2 93
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market 0 0 0 14 0 0 2 72
Testing unit roots and long range dependence of foreign exchange 0 0 0 6 0 0 0 24
The stationary seasonal hyperbolic asymmetric power ARCH model 0 0 0 6 0 2 2 73
Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate 0 0 0 0 0 0 4 76
Which is the Best Model for the US Inflation Rate: A Structural Change Model or a Long Memory Process? 0 0 0 0 2 5 15 172
Total Journal Articles 0 0 16 1,163 7 36 130 4,997


Statistics updated 2021-11-05