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Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility
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Nonlinear Time Series Analysis with Applications to Foreign Exchange Rate Volatility (1998)Nonlinear Time Series Analysis with Appli…On geometric ergodicity of CHARME models (2010)On geometric ergodicity of CH…Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory (2006)Estimation of Value-at-Risk a…On the cusum of squares test for variance change in nonstationary and nonparametric time series models (2003)On the cusum of squares test …Bootstrapping nonparametric estimators of the volatility function (2003)Bootstrapping nonparametric e…Estimating Functions for Nonlinear Time Series Models (2001)Estimating Functions for Nonl…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)ARCH modeling in finance (1992)Statistical aspects of ARCH and stochastic volatility (1996)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Threshold heteroskedastic models (1994)Stationarity and Persistence in the GARCH(1,1) Model (1990)Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality (1995)Modelling Extremal Events (1997)Brownian Motion and Stochastic Calculus (1988)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Brownian Motion and Stochastic Calculus (2007)Time Series Segmentation Procedures to Detect, Locate and Estimate Change-Points (2014)Testing for structural change under non‐stationary variances (2015)Recent progress in parameter change test for integer-valued time series models (2021)Generalized autoregressive conditional heteroskedasticity (1986)Modelling of extremal events in insurance and finance (1994)Coherent Measures of Risk (1999)Computing VaR and AVaR of Skewed-T Distribution (2007)Filtered extreme‐value theory for value‐at‐risk estimation: evidence from Turkey (2010)
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  • 2003On the cusum of squares test for variance change in nonstationary and nonparametric time series models40 cited
  • 2006Estimation of Value-at-Risk and Expected Shortfall based on Nonlinear Models of Return Dynamics and Extreme Value Theory36 cited
  • 2001Estimating Functions for Nonlinear Time Series Models29 cited
  • 2010On geometric ergodicity of CHARME models26 cited
  • 2003Bootstrapping nonparametric estimators of the volatility function24 cited

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