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Research:
International collaboration on econometric analysis for models applied in analysis of macroeconomic and financial data. This includes analysis for testing and inference, as well as implementation of:
Time varying volatility models: GARCH models, univariate and multivariate.
Bootstrap theory and bootstrap applications
Hawkes and general Point Processes
Nonlinear time series models: stochastic regime switching and threshold models.
Nonlinear, and linear, cointegration models: with and without time varying volatility
Poisson intensity count models
International collaboration on econometric analysis for models applied in analysis of macroeconomic and financial data. This includes analysis for testing and inference, as well as implementation of:
Time varying volatility models: GARCH models, univariate and multivariate.
Bootstrap theory and bootstrap applications
Hawkes and general Point Processes
Nonlinear time series models: stochastic regime switching and threshold models.
Nonlinear, and linear, cointegration models: with and without time varying volatility
Poisson intensity count models
研究兴趣
论文共 81 篇作者统计合作学者相似作者
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JOURNAL OF ECONOMETRICSno. 2 (2024): 105613
JOURNAL OF ECONOMETRICSno. 1 (2024): 105379-105379
JOURNAL OF BUSINESS & ECONOMIC STATISTICSno. 1 (2024): 197-214
ECONOMETRICS JOURNALno. 1 (2024): 107-125
arXiv (Cornell University) (2023)
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SSRN Electronic Journalno. 2 (2023): 105175
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