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Multivariate Portmanteau Test For Autoregressive Models with Uncorrelated but Nonindependent Errors, и . Journal of Time Series Analysis, 28 (3): 454--470 (121 05 2007)doi: 10.1111/j.1467-9892.2006.00521.x.Estimating linear representations of nonlinear processes, и . Journal of Statistical Planning and Inference, 68 (1): 145--165 (01.05.1998)Conditional Heteroskedasticity Driven by Hidden Markov Chains, , и . Journal of Time Series Analysis, 22 (2): 197--220 (60 03 2001)doi: 10.1111/1467-9892.00219.Large sample properties of parameter least squares estimates for time-varying arma models, и . Journal of Time Series Analysis, 25 (5): 765--783 (245 09 2004)doi: 10.1111/j.1467-9892.2004.02003.x.Asymptotic Relative Efficiency of Goodness-Of-Fit Tests Based on Inverse and Ordinary Autocorrelations, и . Journal of Time Series Analysis, 27 (6): 843--855 (305 11 2006)doi: 10.1111/j.1467-9892.2006.00491.x.On White Noises Driven by Hidden Markov Chains, и . Journal of Time Series Analysis, 18 (6): 553--578 (305 11 1997)doi: 10.1111/1467-9892.00068.The L2-structures of standard and switching-regime GARCH models, и . Stochastic Processes and their Applications, 115 (9): 1557--1582 (сентября 2005)Ergodicity of Autoregressive Processes with Markov-Switching and Consistency of the Maximum-Likelihood Estimator, и . Statistics, 32 (2): 151--173 (1998)The Annals of Computational and Financial Econometrics, first issue., , , , , , , , , и 16 other автор(ы). Comput. Stat. Data Anal., 56 (11): 2991-2992 (2012)Multi-level Conditional VaR Estimation in Dynamic Models., и . TES, том 251 из Advances in Intelligent Systems and Computing, стр. 3-19. Springer, (2014)