Access Statistics for Dominique Madeleine GUEGAN

Author contact details at EconPapers.

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 0 0 4 55
A Cross-Sectional Performance Measure for Portfolio Management 0 1 2 39 0 1 6 122
A Meta-Distribution for Non-Stationary Samples 0 0 0 44 0 1 7 262
A New Modelling Test: The Univariate MT-STAR Model 0 0 0 21 0 0 9 102
A Note on fair Value and Illiquid Markets 0 0 0 23 0 0 3 53
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios 0 0 0 26 0 1 4 87
A SETAR model with long-memory dynamics 0 0 1 427 0 1 8 816
A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques 0 0 0 22 0 0 4 30
A k- factor GIGARCH process: estimation and application to electricity market spot prices 0 0 1 26 0 0 5 98
A mathematical resurgence of risk management: an extreme modeling of expert opinions 0 0 0 26 0 1 3 52
A mathematical resurgence of risk management: an extreme modeling of expert opinions 0 0 0 25 0 1 6 46
A modified Panjer algorithm for operational risk capital calculations 0 0 1 87 0 0 3 214
A new algorithm for the loss distribution function with applications to Operational Risk Management 0 0 0 71 0 0 2 156
A new algorithm for the loss distribution function with applications to Operational Risk Management 0 0 0 41 0 0 0 61
A note on fair value and illiquid markets 0 0 0 53 0 0 2 184
A note on self-similarity for discrete time series 0 0 0 9 0 0 2 29
A note on self-similarity for discrete time series 0 0 0 147 0 0 4 439
A performance measure of Zero-dollar Long/Short equally weighted portfolios 0 0 2 59 0 2 8 277
A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates 1 1 1 22 1 1 3 130
A short note on option pricing with Lévy Processes 0 0 0 16 0 0 6 108
A short note on option pricing with Lévy Processes 0 0 0 3 0 0 5 26
A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques 0 0 0 24 0 0 1 28
A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques 0 0 0 31 0 0 4 116
A test for a new modelling: The Univariate MT-STAR Model 0 0 0 44 0 0 6 177
A test for a new modelling: The Univariate MT-STAR Model 0 1 1 67 5 15 42 181
A theoretical framework for trading experiments 0 0 1 91 1 1 11 151
A theoretical framework for trading experiments 0 0 0 31 1 1 6 38
Aggregation of Market Risks using Pair-Copulas 0 0 0 18 0 0 3 60
Aggregation of Market Risks using Pair-Copulas 0 0 2 35 1 2 16 155
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 103 1 1 6 312
Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach 0 0 0 33 1 1 5 84
Alternative Modeling for Long Term Risk 0 0 0 23 0 0 1 35
Alternative Modeling for Long Term Risk 0 0 0 40 0 0 3 83
Alternative methods for forecasting GDP 0 0 1 88 1 1 10 81
Alternative methods for forecasting GDP 0 0 1 197 0 0 19 540
Alternative methods for forecasting GDP 0 0 0 77 0 1 7 115
An Autocorrelated Loss Distribution Approach: back to the time series 0 0 0 23 1 1 4 51
An Econometric Study of Vine Copulas 0 0 0 12 0 1 4 48
An Econometric Study of Vine Copulas 0 0 0 69 0 1 4 192
An Omnibus Test to Detect Time-Heterogeneity in Time Series 0 0 0 19 0 0 3 33
An Omnibus Test to Detect Time-Heterogeneity in Time Series 0 0 0 10 0 0 6 48
An econometric Study for Vine Copulas 0 0 0 26 0 1 3 74
An econometric specification of monetary policy dark art 0 1 1 55 1 2 8 242
An economic view of carbon allowances market 0 0 0 46 0 0 1 67
An economic view of carbon allowances market 0 0 1 96 0 0 7 328
An efficient threshold choice for operational risk capital computation 0 0 0 16 2 2 8 62
An efficient threshold choice for operational risk capital computation 1 1 2 78 3 4 11 207
An efficient threshold choice for operational risk capital computation 0 0 0 4 1 2 6 22
An omnibus test to detect time-heterogeneity in time series 0 0 0 35 0 0 4 106
Analyse d’Intervention et Prévisions. Problématique et Application à des données de la RATP 0 0 0 9 1 1 9 60
Another Characterization of Long Memory Behavior 0 0 0 3 0 0 1 785
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 0 0 0 102
Breaks or Long Memory Behaviour: An empirical Investigation 0 0 0 40 0 0 19 73
Breaks or long memory behaviour: an empirical investigation 0 0 0 45 0 0 1 39
Business surveys modelling with Seasonal-Cyclical Long Memory models 0 0 0 4 0 0 10 33
Business surveys modelling with Seasonal-Cyclical Long Memory models 0 0 1 18 0 1 6 107
Business surveys modelling with Seasonal-Cyclical Long Memory models 0 0 0 10 0 0 1 48
Business surveys modelling with seasonal-cyclical long memory models 0 0 0 52 0 0 6 176
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 1 39
Change analysis of a dynamic copula for measuring dependence in multivariate financial data 0 0 0 128 1 1 8 233
Change analysis of dynamic copula for measuring dependence in multivariate financial data 0 0 0 25 0 1 7 80
Change analysis of dynamic copula for measuring dependence in multivariate financial data 2 2 3 99 2 2 14 318
Changing-regime volatility: A fractionally integrated SETAR model 0 0 0 28 0 0 8 99
Changing-regime volatility: A fractionally integrated SETAR model 0 0 0 42 0 0 2 117
Chaos in Economics and Finance 0 1 1 192 0 2 5 216
Chaos in economics and finance 1 1 1 52 1 1 4 93
Chaos in economics and finance 0 0 0 209 0 1 9 419
Comparaison of Several Estimation Procedures for Long Term Behavior 0 0 0 7 0 0 0 27
Comparaison of several estimation procedures for long term behavior 0 0 0 28 0 0 2 53
Comparing variable selection techniques for linear regression: LASSO and Autometrics 0 0 0 229 3 7 23 567
Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison 0 0 0 65 0 0 2 269
Cross-Sectional Analysis through Rank-based Dynamic 1 1 1 39 2 2 4 170
Cross-Sectional Analysis through Rank-based Dynamic Portfolios 0 0 0 16 0 0 1 63
De-noising with wavelets method in chaotic time series: application in climatology, energy and finance 0 0 0 72 0 0 3 130
Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices 0 0 0 32 0 2 3 105
Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices 0 0 0 18 0 0 7 51
Derivative Pricing and Hedging on Carbon Market 0 0 2 43 0 0 3 79
Derivative pricing and hedging on Carbon Market 2 2 9 152 2 3 17 355
Detection of the Industrial Business Cycle using SETAR models 0 0 0 28 0 0 4 86
Detection of the industrial business cycle using SETAR models 0 0 0 96 0 0 2 279
Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions 0 0 0 18 1 1 16 60
Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions 0 0 0 27 2 2 3 54
Dynamic Analysis of the Insurance Linked Securities Index 0 0 0 70 0 0 3 158
Dynamic analysis of the insurance linked securities index 0 0 0 81 0 1 6 219
Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes 0 0 2 66 0 0 7 215
Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes 0 0 0 32 0 2 3 68
Effect of noise filtering on predictions: on the routes of chaos 0 0 0 8 0 0 0 39
Effect of noise filtering on predictions: on the routes of chaos 0 0 1 78 0 0 7 152
Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions 0 2 3 18 1 5 11 92
Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions 0 0 1 6 0 2 10 35
Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets 0 0 1 107 0 1 8 255
Empirical Projected Copula Process and Conditional Independence An Extended Version 0 0 0 9 0 0 10 37
Empirical Projected Copula Process and Conditional Independence an Extended Version 0 0 0 28 0 0 0 82
Estimating parameters for a k-GIGARCH process 0 0 0 8 0 0 1 43
Estimation and Applications of Gegenbauer Processes 0 0 1 43 0 3 11 91
Estimation of k-Factor Gigarch Process: A Monte Carlo Study 0 0 0 8 0 0 5 56
Estimation of k-factor GIGARCH process: a Monte Carlo study 1 1 1 65 1 1 17 225
Estimation of k-factor GIGARCH process: a Monte Carlo study 0 0 0 6 0 0 2 48
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro 0 1 3 111 1 4 13 229
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area 0 0 1 67 0 0 10 114
Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations 0 0 0 63 0 1 8 222
Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations 0 0 0 15 0 0 0 63
Extreme Distribution of a Generalized Stochastic Volatility Model 0 0 0 26 0 0 1 97
Extreme values of particular nonlinear processes 0 0 0 6 0 0 5 27
Extreme values of random or chaotic discretization steps 0 0 0 4 0 0 1 16
Extreme values of random or chaotic discretization steps 0 0 0 3 0 0 0 32
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 85 0 1 5 416
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 3 0 0 4 28
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 12 0 3 7 64
Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy 1 1 1 141 1 1 5 326
Forecasting chaotic systems: The role of local Lyapunov exponents 0 0 0 30 0 0 14 98
Forecasting chaotic systems: The role of local Lyapunov exponents 0 0 0 43 0 0 5 107
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 1 160 0 1 9 420
Forecasting electricity spot market prices with a k-factor GIGARCH process 1 1 1 131 1 1 6 439
Forecasting electricity spot market prices with a k-factor GIGARCH process 0 0 0 14 0 0 3 56
Forecasting electricity spot market prices with a k-factor GIGARCH process 0 0 0 101 1 1 6 132
Fractional and seasonal filtering 0 0 0 1 0 0 2 29
Fractional seasonality: Models and Application to Economic Activity in the Euro Area 0 0 0 19 0 0 8 81
Further evidence on the impact of economic news on interest 0 0 0 36 0 0 5 139
Further evidence on the impact of economic news on interest rates 0 0 0 56 0 0 3 191
Further evidence on the impact of economic news on interest rates 0 0 0 10 0 0 2 41
GDP nowcasting with ragged-edge data: A semi-parametric modelling 0 0 1 96 0 0 10 255
GDP nowcasting with ragged-edge data: A semi-parametric modelling 0 0 0 60 0 0 25 127
GDP nowcasting with ragged-edge data: a semi-parametric modeling 0 0 0 47 0 0 3 88
Global and local stationary modelling in finance: theory and empirical evidence 1 1 1 190 2 2 6 453
Global and local stationary modelling in finance: theory and empirical evidence 0 0 1 13 0 0 2 29
Hedging tranches index products: illustration of model dependency 0 0 0 12 0 0 0 68
How Can We Define the Long Memory Concept? An Econometric Survey 0 0 0 5 0 1 5 531
How can we define the concept of long memory ? An econometric survey 0 0 0 125 0 2 15 398
Is it possible to discriminate between different switching regressions models? An empirical investigation 0 0 1 28 0 0 5 118
La persistance dans les marchés financiers 0 0 0 33 0 0 4 94
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 0 0 3 90
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 0 0 4 55
Local Lyapunov Exponents: A new way to predict chaotic systems 0 0 0 30 0 0 6 77
Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems 0 0 0 58 0 0 6 226
Long-memory dynamics in a SETAR model - Applications to stock markets 0 0 0 60 0 0 2 132
Martingalized Historical approach for Option Pricing 0 0 1 23 0 0 6 115
Martingalized Historical approach for Option Pricing 0 0 0 33 0 0 3 113
Missing trader fraud on the emissions market 0 0 0 29 0 0 1 110
Missing trader fraud on the emissions market 0 0 1 132 1 2 10 270
Modelization and Nonparametric Estimation for a Dynamical System with Noise 0 0 0 2 0 0 1 19
Modelization and Nonparametric estimation for a dynamical system with noise 0 0 0 14 0 0 3 38
Modelling squared returns using a SETAR model with long-memory dynamics 0 0 1 34 0 0 10 137
Multi-period conditional distribution functions for heteroscedastic models with applications to VaR 0 1 1 35 0 3 5 103
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach 0 0 0 4 1 2 4 25
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach 0 0 0 18 0 1 3 86
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach 0 0 0 58 0 1 8 99
New Prospects on Vines 0 0 0 26 0 0 1 60
New prospects on vines 0 0 0 36 0 0 4 146
Non-stationarity and meta-distribution 0 0 0 0 0 0 2 44
Non-stationarity and meta-distribution 0 0 0 73 0 0 6 264
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 0 47 0 0 2 73
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis 0 0 2 96 0 0 9 239
Note on new prospects on vines 0 0 0 10 0 0 3 32
On the Necessity of Five Risk Measures 0 0 0 70 1 2 6 53
On the necessity of five risk measures 0 0 0 29 0 0 5 140
On the necessity of five risk measures 0 0 0 139 0 1 5 104
On the use of nearest neighbors in finance 0 0 0 92 0 0 2 189
Operational risk: A Basel II++ step before Basel III 0 1 1 111 0 2 5 183
Operational risk: A Basel II++ step before Basel III 0 0 1 6 0 3 14 61
Operational risk: A Basel II++ step before Basel III 0 0 0 39 0 1 3 39
Operational risk: A Basel II++ step before Basel III 0 1 1 25 0 1 4 58
Operational risk: a Basel II++ step before Basel III 0 0 0 73 0 1 4 179
Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations 0 0 0 26 0 0 24 96
Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results 0 0 2 85 0 0 3 216
Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology 0 0 1 61 0 0 6 153
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 10 0 1 4 48
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 48 0 1 5 158
Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology 0 0 0 72 0 0 9 155
Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results 0 0 2 101 0 1 7 228
Option pricing with discrete time jump processes 0 0 0 12 0 0 6 167
Option pricing with discrete time jump processes 0 0 1 18 0 0 9 58
Option pricing with discrete time jump processes 0 0 0 35 0 0 12 172
Portfolio Symmetry and Momentum 0 0 0 14 1 1 8 129
Portfolio Symmetry and Momentum 0 0 0 13 0 0 6 54
Portfolio Symmetry and Momentum 0 0 0 34 0 0 2 168
Portfolio Symmetry and Momentum 0 0 0 25 0 1 3 103
Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems 0 0 0 44 0 0 1 118
Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems 0 1 2 56 0 1 6 172
Predictive Dimension: An Alternative Definition of the Embedding Dimension 0 0 0 20 0 1 3 81
Pricing bivariate option under GARCH processes with time-varying copula 0 0 0 11 0 1 24 70
Pricing bivariate option under GARCH processes with time-varying copula 0 0 0 8 0 1 5 49
Pricing bivariate option under GARCH processes with time-varying copula 0 0 0 142 1 2 5 375
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market 0 0 0 119 0 1 6 358
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market 0 0 0 15 0 1 5 59
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market 0 0 0 30 0 1 10 132
Probability density of the wavelet coefficients of a noisy chaos 0 0 0 6 0 0 4 47
Probability density of the wavelet coefficients of a noisy chaos 0 0 0 2 0 1 1 17
Prédiction of Chaotic Time Series in the Presence of Measurement Error: The Importance of Initial Conditions 0 0 0 12 0 0 1 33
Real-time detection of the business cycle using SETAR models 0 0 0 20 0 1 4 59
Regime switching models: real or spurious long memory ? 0 0 0 11 0 0 2 43
Regime switching models: real or spurious long memory ? 0 0 0 33 0 0 4 123
Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market 0 0 0 18 0 0 1 36
Risk assessment for a Structured Product Specific to the CO2 Emission Permits Market 0 0 1 26 0 0 3 107
Statistical Estimation of the Embedding Dimension of a Dynamic System 0 0 0 21 1 1 3 46
Statistical evidence of tax fraud on the carbon allowances market 0 0 1 33 0 0 3 82
Statistical evidence of tax fraud on the carbon allowances market 0 0 1 23 0 0 4 95
Stress Testing Engineering: the real risk measurement? 0 0 0 88 0 1 1 64
Stress Testing Engineering: the real risk measurement? 0 0 3 140 0 0 13 123
Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis 0 1 2 43 0 3 13 129
Testing Fractional Order of Long Memory Processes: A Monte Carlo Study 0 0 0 17 0 0 3 62
Testing for Leverage Effect in Financial Returns 0 0 0 78 0 4 18 230
Testing for Leverage Effects in the Returns of US Equities 0 0 1 45 0 1 9 97
Testing for Non-Linearity in Intra-Day Financial Series: The Cases of Two French Stocks 0 0 0 0 0 0 1 285
Testing fractional order of long memory processes: a Monte Carlo study 0 0 0 70 0 0 2 184
Testing fractional order of long memory processes: a Monte Carlo study 0 0 2 14 0 0 6 48
Testing unit roots and long range dependence of foreign exchange 0 0 0 31 0 1 1 95
Testing unit roots and long range dependence of foreign exchange 0 0 0 17 0 0 0 26
Tests of Structural Changes in Conditional Distributions with Unknown Changepoints 0 0 0 44 0 1 5 47
Tests of structural changes in conditional distributions with unknown changepoints 0 0 0 4 0 0 1 19
The Multivariate Threshold Model -An Alternative to Detect Breaks and Hidden Cycles on Real Data 0 0 0 35 0 0 2 66
The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting 0 3 3 91 0 5 12 389
The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting 0 0 0 38 0 0 0 84
The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model 0 0 1 37 0 0 9 151
The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics 0 0 0 11 0 0 3 51
The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics 0 0 0 59 1 2 6 264
Towards an understanding approach of the insurance linked securities market 2 4 6 274 2 5 10 671
Towards an understanding approach of the insurance linked securities market 1 1 1 34 1 2 4 93
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 39 0 0 3 86
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 19 0 0 6 45
Turning point chronology for the Euro-Zone: A Distance Plot Approach 0 0 0 12 0 0 10 46
Understanding Exchange Rates Dynamics 0 0 0 10 0 1 9 53
Understanding Exchange Rates Dynamics 0 0 2 54 0 2 9 134
Une mesure de la persistance dans les indices boursiers 0 0 0 30 0 0 11 127
Using a time series approach to correct serial correlation in Operational Risk capital calculation 0 1 1 30 7 21 29 113
Using a time series approach to correct serial correlation in operational risk capital calculation 0 0 0 16 0 1 3 23
Value at Risk Computation in a Non-Stationary Setting 0 0 0 46 0 0 1 53
Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics 1 3 3 38 3 5 14 92
Viewing Risk Measures as information 0 0 1 25 0 0 9 68
Viewing Risk Measures as information 0 0 0 47 0 0 3 37
Viewing risk measures as information 0 0 0 35 0 0 8 65
Wavelet Method for Locally Stationary Seasonal Long Memory Processes 0 0 0 38 0 0 0 58
Wavelet method for locally stationary seasonal long memory processes 0 0 0 76 0 0 1 182
What is the Best Approach to Measure the Interdependence between Different Markets? 0 4 18 114 6 28 167 1,037
Which is the best model for the US inflation rate: a structural changes model or a long memory 0 0 0 73 1 3 6 432
Which is the best model for the US inflation rate: a structural changes model or a long memory process ? 0 0 0 34 0 1 3 72
tail behavior of a threshold autoregressive stochastic volatility model 0 0 0 17 0 0 0 65
Total Working Papers 16 40 121 11,505 70 230 1,565 33,422
1 registered items for which data could not be found


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 0 5 0 0 5 47
A comparison of techniques of estimation in long-memory processes 0 0 0 17 0 0 4 52
An omnibus test to detect time-heterogeneity in time series 0 0 0 4 0 0 3 36
Asymptotic normality of the discrete Fourier transform of long memory time series 0 0 0 16 0 0 1 44
Breaks or long memory behavior: An empirical investigation 0 0 0 15 0 1 9 71
Business surveys modelling with Seasonal-Cyclical Long Memory models 0 0 0 5 0 0 3 29
Change analysis of a dynamic copula for measuring dependence in multivariate financial data 1 1 1 11 3 5 10 87
Changing-regime volatility: a fractionally integrated SETAR model 0 0 0 17 0 0 4 75
Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate 0 0 0 57 0 0 1 218
Detection of the Industrial Business Cycle using SETAR Models 0 0 0 33 0 0 2 117
Effect of Noise Filtering on Predictions:on the Routes of Chaos 0 0 0 7 0 1 3 65
Empirical estimation of tail dependence using copulas: application to Asian markets 0 0 1 309 1 3 17 757
Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area 0 1 1 26 0 2 15 86
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 0 0 1 7 82
Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy 0 0 2 102 1 3 10 319
Forecasting electricity spot market prices with a k-factor GIGARCH process 1 1 1 23 2 2 10 79
Forecasting with k-Factor Gegenbauer Processes: Theory and Applications 0 0 0 0 0 1 10 483
GDP nowcasting with ragged-edge data: a semi-parametric modeling 0 0 1 17 0 0 11 134
How can we Define the Concept of Long Memory? An Econometric Survey 0 0 0 66 0 1 2 204
Long-memory dynamics in a SETAR model - applications to stock markets 0 0 0 51 1 1 5 144
Martingalized historical approach for option pricing 0 0 1 15 1 1 7 92
Modelization and Nonparametric Estimation for Dynamical Systems with Noise 0 0 0 8 0 0 4 42
Modelling squared returns using a SETAR model with long-memory dynamics 0 0 1 45 0 1 8 246
Nonlinear dynamics and recurrence plots for detecting financial crisis 0 1 1 15 0 3 8 70
Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system 0 1 1 15 0 1 2 57
On the necessity of five risk measures 0 0 0 13 0 2 6 56
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 6 0 1 4 36
Option pricing with discrete time jump processes 0 0 1 15 1 1 14 67
Portfolio symmetry and momentum 0 0 0 13 0 0 3 76
Power of the Lagrange multiplier test for certain subdiagonal bilinear models 0 0 0 15 0 1 2 97
Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data 0 0 1 146 0 0 2 384
Pricing bivariate option under GARCH processes with time-varying copula 0 0 0 28 0 1 5 91
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market 0 0 0 14 0 1 5 70
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 0 11 71
Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate 0 0 0 0 0 0 4 72
Which is the Best Model for the US Inflation Rate: A Structural Change Model or a Long Memory Process? 0 0 0 0 1 3 10 157
Total Journal Articles 2 5 13 1,141 11 37 227 4,837


Statistics updated 2020-08-05