"On Stationarity and
Ergodicity of the Bilinear Model with Applications to GARCH Models,"
forthcoming in Journal of Time Series Analysis.
"Nonparametric Filtering of the
Realised Spot Volatility: A Kernel-based Approach," forthcoming in
Econometric
Theory.
"Likelihood-Based
Inference for Cointegration with Nonlinear Error-Correction" (with A. Rahbek), forthcoming in Journal of Econometrics.
"Asymptotics of the QMLE
for Non-linear ARCH Models" (with A. Rahbek), forthcoming in Journal of Time
Series Econometrics.
"Estimation of Partial
Differential Equations with Applications in Finance," Journal of Econometrics 144, 392-408, 2008.
"Semi-nonparametric
IV Estimation of Shape-Invariant Engel Curves" (with R.
Blundell & X. Chen), Econometrica 75, 1613-1669, 2007.
"A Closed-form
Estimator for the GARCH(1,1) Model" (with O. Linton), Econometric Theory
22, 323-337, 2006.
“Asymptotics
of the QMLE for a Class of ARCH(q) Models” (with A. Rahbek), Econometric Theory
21, 946-961, 2005.
“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, 251-289, 2004.