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No-arbitrage macroeconomic determinants of the yield curve
International audience -
Specification tests of parametric dynamic conditional quantiles
International audience -
A flexible approach to parametric inference in nonlinear and time varying tim...
International audience -
Inconsistency of the MLE and inference based on weighted LS for LARCH models
International audience -
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion ...
International audience -
Threshold bipower variation and the impact of jumps on volatility forecasting
International audience -
Predictive density construction and accuracy testing with multiple possibly m...
International audience -
Fourth order pseudo maximum likelihood methods
International audience -
High-growth recoveries, inventories and the great moderation
International audience -
A class of simple distribution-free rank-based unit root tests
International audience -
Likelihood-based scoring rules for comparing density forecasts in tails
International audience -
An I() model with trend and cycles
International audience
