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Management of Extreme Risks BOOK CHAPTER published 5 June 2018 in Financial Econometrics |
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6. Multifactor Pricing Models BOOK CHAPTER published 31 December 1997 in The Econometrics of Financial Markets |
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Risk Management and Tail Estimation BOOK CHAPTER published 21 February 2019 in Financial Econometrics |
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5. Persistence and Cointegration BOOK CHAPTER published 31 December 2002 in Financial Econometrics |
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11. Term-Structure Models BOOK CHAPTER published 31 December 1997 in The Econometrics of Financial Markets |
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Habit, Long-Run Risks, Prospect? A Statistical Inquiry JOURNAL ARTICLE published 1 October 2011 in Journal of Financial Econometrics |
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Index BOOK CHAPTER published 5 June 2018 in Financial Econometrics |
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Preface BOOK CHAPTER published 5 June 2018 in Financial Econometrics |
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State space models and the Kalman filter BOOK CHAPTER published 19 September 2008 in Financial Econometrics |
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Alternative point-optimal tests for regression coefficient stability JOURNAL ARTICLE published May 1993 in Journal of Econometrics |
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10. Dynamic Qualitative Processes BOOK CHAPTER published 31 December 2002 in Financial Econometrics |
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9. Derivative Pricing Models BOOK CHAPTER published 31 December 1997 in The Econometrics of Financial Markets |
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8. Intertemporal Equilibrium Models BOOK CHAPTER published 31 December 1997 in The Econometrics of Financial Markets |
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A Classification of Two-Factor Affine Diffusion Term Structure Models JOURNAL ARTICLE published 19 August 2005 in Journal of Financial Econometrics |
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Risk-neutral Modeling with Affine and Nonaffine Models JOURNAL ARTICLE published 1 October 2013 in Journal of Financial Econometrics |
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Limiting Posterior Distributions OTHER published 16 April 2004 in Optimal Statistical Decisions |
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Conjugate Prior Distributions OTHER published 16 April 2004 in Optimal Statistical Decisions |
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Gibbs Sampling in B-VAR Models with Latent Variables BOOK CHAPTER published 2000 in Innovations in Multivariate Statistical Analysis |
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Conditional Heteroscedasticity: BOOK CHAPTER published 5 June 2018 in Financial Econometrics |
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Modeling a Multivariate Transaction Process JOURNAL ARTICLE published 11 December 2007 in Journal of Financial Econometrics |