|
2024
|
Observation-driven filtering of time-varying parameters using moment conditions
|
Journal of Econometrics
|
A
|
4
|
|
2024
|
Dynamic partial correlation models
|
Journal of Econometrics
|
A
|
2
|
|
2024
|
Modeling Extreme Events: Time-Varying Extreme Tail Shape
|
Journal of Business & Economic Statistics
|
A
|
4
|
|
2024
|
Heterogeneity and dynamics in network models
|
Journal of Applied Econometrics
|
B
|
4
|
|
2023
|
Time-Varying Parameters in Econometrics: The editor’s foreword
|
Journal of Econometrics
|
A
|
4
|
|
2023
|
Dynamic clustering of multivariate panel data
|
Journal of Econometrics
|
A
|
4
|
|
2023
|
Time-varying variance and skewness in realized volatility measures
|
International Journal of Forecasting
|
B
|
2
|
|
2023
|
Covid-19, credit risk management modeling, and government support
|
Journal of Banking & Finance
|
B
|
3
|
|
2022
|
Maximum likelihood estimation for score-driven models
|
Journal of Econometrics
|
A
|
4
|
|
2021
|
Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting
|
International Journal of Forecasting
|
B
|
2
|
|
2021
|
Closed-Form Multi-Factor Copula Models With Observation-Driven Dynamic Factor Loadings
|
Journal of Business & Economic Statistics
|
A
|
4
|
|
2020
|
Risk endogeneity at the lender/investor-of-last-resort
|
Journal of Monetary Economics
|
A
|
4
|
|
2019
|
Bank Business Models at Zero Interest Rates
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2018
|
Dynamic discrete copula models for high‐frequency stock price changes
|
Journal of Applied Econometrics
|
B
|
4
|
|
2018
|
New HEAVY Models for Fat-Tailed Realized Covariances and Returns
|
Journal of Business & Economic Statistics
|
A
|
4
|
|
2017
|
Intraday Stochastic Volatility in Discrete Price Changes: The Dynamic Skellam Model
|
Journal of the American Statistical Association
|
B
|
3
|
|
2017
|
Global Credit Risk: World, Country and Industry Factors
|
Journal of Applied Econometrics
|
B
|
3
|
|
2017
|
Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models
|
Journal of Applied Econometrics
|
B
|
4
|
|
2017
|
Long-Term versus Short-Term Contingencies in Asset Allocation
|
Journal of Financial and Quantitative Analysis
|
B
|
2
|
|
2017
|
Do negative interest rates make banks less safe?
|
Economics Letters
|
C
|
4
|
|
2017
|
Network, market, and book-based systemic risk rankings
|
Journal of Banking & Finance
|
B
|
3
|
|
2017
|
Modeling Financial Sector Joint Tail Risk in the Euro Area
|
Journal of Applied Econometrics
|
B
|
3
|
|
2016
|
In-sample confidence bands and out-of-sample forecast bands for time-varying parameters in observation-driven models
|
International Journal of Forecasting
|
B
|
4
|
|
2016
|
Spillover dynamics for systemic risk measurement using spatial financial time series models
|
Journal of Econometrics
|
A
|
4
|
|
2016
|
Predicting Time-Varying Parameters with Parameter-Driven and Observation-Driven Models
|
Review of Economics and Statistics
|
A
|
3
|
|
2016
|
Accounting for missing values in score-driven time-varying parameter models
|
Economics Letters
|
C
|
3
|
|
2016
|
Score-driven exponentially weighted moving averages and Value-at-Risk forecasting
|
International Journal of Forecasting
|
B
|
2
|
|
2015
|
Numerically Accelerated Importance Sampling for Nonlinear Non-Gaussian State-Space Models
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2014
|
Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk
|
Review of Economics and Statistics
|
A
|
4
|
|
2014
|
Nowcasting and forecasting global financial sector stress and credit market dislocation
|
International Journal of Forecasting
|
B
|
3
|
|
2014
|
Washington meets Wall Street: A closer examination of the presidential cycle puzzle
|
Journal of International Money and Finance
|
B
|
5
|
|
2014
|
Conditional Euro Area Sovereign Default Risk
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2013
|
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
|
Journal of Applied Econometrics
|
B
|
3
|
|
2012
|
Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2012
|
Cash Flow and Discount Rate Risk in Up and Down Markets: What Is Actually Priced?
|
Journal of Financial and Quantitative Analysis
|
B
|
3
|
|
2011
|
A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
|
Journal of Business & Economic Statistics
|
A
|
3
|
|
2011
|
Modeling frailty-correlated defaults using many macroeconomic covariates
|
Journal of Econometrics
|
A
|
3
|
|
2011
|
Blockholder dispersion and firm value
|
Journal of Corporate Finance
|
B
|
3
|
|
2008
|
The multi-state latent factor intensity model for credit rating transitions
|
Journal of Econometrics
|
A
|
3
|
|
2006
|
Discrete versus continuous state switching models for portfolio credit risk
|
Journal of Banking & Finance
|
B
|
2
|
|
2005
|
Empirical credit cycles and capital buffer formation
|
Journal of Banking & Finance
|
B
|
3
|
|
2005
|
Business and default cycles for credit risk
|
Journal of Applied Econometrics
|
B
|
2
|
|
2004
|
A comparison of minimum MSE and maximum power for the nearly integrated non-Gaussian model
|
Journal of Econometrics
|
A
|
2
|
|
2002
|
Semi-nonparametric cointegration testing
|
Journal of Econometrics
|
A
|
2
|
|
2002
|
Erratum to "An analytic approach to credit risk of large corporate bond and loan portfolios" [Journal of Banking and Finance 25, no. 9, pp. 1635-1664]
|
Journal of Banking & Finance
|
B
|
4
|
|
2001
|
An analytic approach to credit risk of large corporate bond and loan portfolios
|
Journal of Banking & Finance
|
B
|
4
|
|
2000
|
SETS, arbitrage activity, and stock price dynamics
|
Journal of Banking & Finance
|
B
|
4
|
|
2000
|
Quantiles for t-statistics based on M-estimators of unit roots
|
Economics Letters
|
C
|
2
|
|
1998
|
Outlier robust analysis of long-run marketing effects for weekly scanning data
|
Journal of Econometrics
|
A
|
3
|
|
1997
|
Cointegration Testing Using Pseudolikelihood Ratio Tests
|
Econometric Theory
|
B
|
1
|
|
1995
|
Unit Root Tests Based on M Estimators
|
Econometric Theory
|
B
|
1
|
|
1995
|
An outlier robust unit root test with an application to the extended Nelson-Plosser data
|
Journal of Econometrics
|
A
|
1
|
|
1995
|
Classical and Bayesian aspects of robust unit root inference
|
Journal of Econometrics
|
A
|
3
|