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- INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL. Journal of Time Series Analysis 2015. 36:61-66 .
- On conditionally heteroscedastic AR models with thresholds. Statistica Sinica 2014. 24:625-652 .
- NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL. Journal of Time Series Analysis 2014. 35:189-202 .
- Quasi-maximum exponential likelihood estimators for a double AR(p)model. Statistica Sinica 2013. 23:251-270 .
- Asymptotic theory on the least squares estimation of threshold moving-average models. Econometric Theory 2013. 29:482-516 .
- On moving-average models with feedback. Bernoulli 2012. 18:735-745 .
- The global weighted LAD estimators for finite/infinite variance ARMA ($p,q$) models. Econometric Theory 2012. 28:1065-1086 .
- Likelihood ratio tests for the structural change of an AR(p) model to a Threshold AR(p) model. Journal of Time Series Analysis 2012. 33:223-232 .
- Score based goodness-of-fit tests for time series. Statistica Sinica 2011. 21:1807-1829 .
- Global self-weighted and local quasi-maximum exponential likelihood estimators for ARMA–GARCH/IGARCH models. The Annals of Statistics 2011. 39:2131-2163 .
- On the least squares estimation of threshold autoregressive and moving-average models. Statistics and Its Interface 2011. 4:183-196 .
- Testing for structural change of AR model to threshold AR model. Journal of Time Series Analysis 2011. 32:547-565 .
- On non-stationary threshold autoregressive models. Bernoulli 2011. 17:969-986 .
- Correction: Residual empirical processes for long and short memory time series. The Annals of Statistics 2010. 38:3839-3839 .
- A general asymptotic theory for time-series models. Statistica Neerlandica 2010. 64:97-111 .
- Correction to ``Residual empirical processes for long and short memory time series'' (2008V36 p2453-2470). The Annals of Statistics 2010. 38:3839-3839 .
- Estimation in nonstationary random coefficient autoregressive models. Journal of Time Series Analysis 2009. 30:395-416 .
- Asymptotic inference for a nonstationary double ar(1) model. Biometrika 2008. 95:257-263 .
- Residual empirical processes for long and short memory time series. The Annals of Statistics 2008. 36:2453-2470 .
- Ergodicity and invertibility of threshold moving-average models. Bernoulli 2007. 13:161-168 .
- Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models. Journal of Econometrics 2007. 140:849-873 .
- Testing for change points in time series models and limiting theorems for NED sequences. The Annals of Statistics 2007. 35:1213-1237 .
- Empirical likelihood for GARCH models. Econometric Theory 2006. 22:403-428 .
- Fitting an error distribution in some heteroscedastic time series models. The Annals of Statistics 2006. 34:994-1012 .
- Joint modeling of cointegration and conditional heteroscedasticity with applications. Annals of the Institute of Statistical Mathematics 2005. 57:83-103 .
- Mixed portmanteau tests for time-series models. Journal of Time Series Analysis 2005. 26:569-579 .
- Testing for a linear ma model against threshold ma models. The Annals of Statistics 2005. 33:2529-2552 .
- Self-weighted least absolute deviation estimation for infinite variance autoregressive models. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2005. 67:381-393 .
- Estimation and testing stationarity for double-autoregressive models. Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2004. 66:63-78 .
- Hill's estimator for the tail index of an ARMA model. Journal of Statistical Planning and Inference 2004. 123:279-293 .
- Regression quantiles for unstable autoregressive models. Journal of Multivariate Analysis 2004. 89:304-328 .
- Asymptotic inference for unit root processes with GARCH$(1,1)$ errors. Econometric Theory 2003. 19:541-564 .
- Estimation and testing for unit root processes with garch (1, 1) errors: Theory and Monte Carlo evidence. Econometric Reviews 2003. 22:179-202 .
- Estimation and testing for unit root processes with GARCH $(1, 1)$ errors: Theory and Monte Carlo evidence. Econometric Reviews 2003. 22:179-202 .
- On adaptive estimation in nonstationary ARMA models with GARCH errors. The Annals of Statistics 2003. 31:642-674 .
- Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory 2003. 19:280-310 .
- Adaptive estimators and tests of stationary and nonstationary short- and long-memory ARFIMA-GARCH models. Journal of the American Statistical Association 2003. 98:955-967 .
- Determining an optimal window size for modeling volatility. .
- Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics 2002. 106:109-117 .
- Necessary and sufficient moment conditions for the GARCH$(r,s)$ and asymmetric power GARCH$(r,s)$ models. Econometric Theory 2002. 18:722-729 .
- Asymptotic inference for nonstationary fractionally integrated autoregressive moving-average models. Econometric Theory 2001. 17:738-764 .
- Estimation for partially nonstationary multivariate autoregressive models with conditional heteroscedasticity. Biometrika 2001. 88:1135-1152 .
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model. Journal of Applied Probability 1999. 36:688-705 .
- On the probabilistic properties of a double threshold ARMA conditional heteroskedastic model. Journal of Applied Probability 1999. 36:688-705 .
- Weak convergence of the sequential empirical processes of residuals in nonstationary autoregressive models. The Annals of Statistics 1998. 26:741-754 .
- Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors. The Annals of Statistics 1998. 26:84-125 .
- Diagnostic checking of nonlinear multivariate time series with multivariate ARCH errors. Journal of Time Series Analysis 1997. 18:447-464 .
- On fractionally integrated autoregressive moving-average time series models with conditional heteroscedasticity. Journal of the American Statistical Association 1997. 92:1184-1194 .