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University of Neuchâtel

Institute of Statitics

Limit theory for the sample autocorrelations and extremes of a GARCH (1, 1) process
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      Stochastic Process, Econometrics, Statistics, Extreme Value Theory
Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects
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      Econometrics, Applied Economics, stylized facts
Change of structure in financial time series, long range dependence and the GARCH model
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    • Central Limit Theorem
Tail index estimation for dependent data
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      Operations Research, Industrial Engineering, Empirical Process
Consistency of Hill's estimator for dependent data
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      Applied Mathematics, Statistics, Operations Research, Industrial Engineering
Nonstationarities in stock returns
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      Econometrics, Applied Economics, Long Memory
Asymptotic behavior of Hill's estimator for autoregressive data
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      Applied Mathematics, Statistics, Operations Research, Industrial Engineering
Is GARCH (1, 1) as good a model as the Nobel prize accolades would imply
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Is it really long memory we see in financial returns
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      Long Memory, stylized facts
A simple non-stationary model for stock returns
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Is GARCH (1, 1) as good a model as the accolades of the Nobel prize would imply
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Testing for independence in heavy tailed and positive innovation time series
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      Applied Mathematics, Statistics, Poisson Process, Numerical Analysis and Computational Mathematics
Empirical testing of the infinite source Poisson data traffic model
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      Applied Mathematics, Statistics, Operations Research, Industrial Engineering
A non-stationary multivariate model for financial returns
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Why does the GARCH (1, 1) model fail to provide sensible longer-horizon volatility forecasts
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    • Econometrics
Changes of structure in financial time series and the GARCH model
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    • Central Limit Theorem
When did the 2001 recession really start?
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    • Econometrics
The IGARCH e® ect: Consequences on volatility forecasting and option trading
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The cost of sustainability on optimal portfolio choices
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      Socially-responsible Investing, Efficient Frontier, Socially Responsible Investing
The relevance of Corporate Social Responsibility criteria to explaining firm profitability: A case study of the publishers of the Dow Jones Sustainability Indexes1
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