"Pseudo-Maximum
Likelihood Estimation in Two Classes of Semiparametric
Diffusion Models ," forthcoming in Journal of Econometrics.
"Likelihood-Based
Inference for Cointegration with Nonlinear
Error-Correction" (with A. Rahbek), forthcoming in Journal of Econometrics.
"Nonparametric
Filtering of the Realised Spot Volatility: A
Kernel-based Approach," forthcoming in Econometric Theory.
"Semiparametric Modelling and
Estimation: A Selective Overview" (in Russian), Quantile 7 (2009), 53-83. (English version)
"Uniform
Convergence Rates of Kernel Estimators with Heterogeneous, Dependent
Data," Econometric
Theory 25 (2009), 1433-1445.
"Asymptotics of the QMLE for Non-linear ARCH Models"
(with A. Rahbek), Journal of Time Series Econometrics 1(1) (2009), Article
2.
"On Stationarity and Ergodicity of
the Bilinear Model with Applications to GARCH Models," Journal of Time Series Analysis 30 (2009),
125-144.
"Estimation of Partial Differential Equations with
Applications in Finance," Journal of Econometrics 144 (2008), 392-408.
"Semi-nonparametric IV Estimation of
Shape-Invariant Engel Curves" (with R.
Blundell & X. Chen), Econometrica 75 (2007),
1613-1669.
"A Closed-form Estimator for the GARCH(1,1)
Model" (with O. Linton), Econometric Theory 22 (2006), 323-337.
“Asymptotics of the QMLE for a Class of ARCH(q)
Models” (with A. Rahbek), Econometric Theory
21 (2005), 946-961.
“Nonparametric
Estimation of A Multifactor Heath-Jarrow-Morton
Model: An Integrated Approach” (with A. Jeffrey, O. Linton, T.
Nguyen, & P.C.B.
Phillips), Journal
of Financial Econometrics 2 (2004), 251-289.