v Research articles
“Autocontours:
Dynamic Specification Testing” with Z. Senyuz
and E. Yoldas, Journal of Business and Economic Statistics,
29(1):186-200, 2011. PDF
“Autocontour-based
Evaluation of Multivariate Predictive Densities” with E. Yoldas, International Journal of Forecasting,
2011. (International Institute of Forecasters/SAS award) (available
on line September 1, 2011) PDF
“Time
Series Modelling of Histogram-valued Data. The Daily Histogram Time Series of the SP500 Intradaily Returns” with J. Arroyo, International
Journal of Forecasting, 2011 (available on line April 8, 2011). PDF
“Smoothing
Methods for Histogram-valued Time Series. An application to Value-at-Risk” with J. Arroyo, C. Mate, and A.
Munoz San Roque, Statistical Analysis and Data Mining,
4(2): 216-228, 2011. PDF
“Forecasting with
Interval and Histogram Data. Some Financial Applications” with J.
Arroyo and C. Mate, in Handbook
of Empirical Economics and Finance, A. Ullah
and D. Giles (eds.), Chapman and Hall, pp. 247-280, 2011. PDF http://www.crcpress.com/
“Multivariate
Autocontours for Specification Testing in
Multivariate GARCH Models” with E. Yoldas, in Volatility
and Time Series Econometrics. Essays in Honor of Robert F. Engle, T. Bollerslev, M. Watson, J.
Russell (eds.), Oxford University Press, 2010. http://www.oup.com/us PDF
“Jumps in
Cross-Sectional Rank and Expected Returns: A Mixture Model” with T.H. Lee
and S. Mishra, Journal of Applied Econometrics, 23,
2008. PDF
“Optimality
of the RiskMetrics
VaR Model” with T.H. Lee and E. Yoldas, Finance Research Letters, 4,
137-145, 2007. PDF
“Dynamic
Monitoring of Financial Intermediaries with Subordinated Debt”, with D.
Nickerson, Journal of Risk and Finance, 7(5):463-487, 2006. (SSRN’s
Top Ten download list for Banking and
Insurance Abstracts All Time Hits, 2003)
PDF
“Outsourcing:
Three Long Run Predictions”, Global Business and Economics Review,
7 (2/3), 226-233, 2005. PDF
“Forecasting
Volatility. A Reality Check based
on Option Pricing, Utility Function, Value-at-Risk, and Predictive
Likelihood” with T.H. Lee and S. Mishra, International Journal of Forecasting,
20:629-645, 2004. PDF
“Testing
for Neglected Nonlinearity in Regression Models. A Collection of New Tests based on the Theory of
Random Fields” with C. Dahl, Journal of Econometrics, 114(1):
141-164, May 2003. PDF
“Identifying
Nonlinear Components by Random Fields in the US GNP Growth. Implications for the Shape of the Business
Cycle” with C. Dahl, Studies in Nonlinear Dynamics and
Econometrics, vol. 7, no. 1, April 2003. PDF
“Value-in-Stress. A Coherent Approach to Stress Testing”, Journal
of Fixed Income, 13(2):7-18, 2003. PDF
“Linkages between
Secondary and Primary Markets for Mortgages. The Role of the Retained Portfolio
Investments of the Government-sponsored Enterprises”, Journal
of Fixed Income, 11(1): 29-36, 2001. PDF
“Rao’s
Score Test with Nonparametric Density Estimators” with A. Ullah, Journal
of Statistical Planning and
Inference, 97:85-100, 2001. PDF
“The Extent, Pattern,
and Degree of Market Integration: A Multivariate Approach for the Brazilian
Rice Market”, with S. Helfand, American
Journal of Agricultural Economics,
83(3):576-592, 2001. PDF
“Efficiency Comparisons
of Maximum Likelihood based Estimators in GARCH Models” with F. Drost, Journal of Econometrics, 93:93-111,
1999. PDF
“Smooth‑Transition
GARCH Models”, Studies in Non-Linear Dynamics and
Econometrics, 3(2) 61-78, 1998. PDF
“Dynamic Asset Pricing
and Statistical Properties of Risk”, Journal of Economics and Business,
50 (5):461‑470, 1998. PDF
“A Note on Adaptation in GARCH
Models”, Econometric Reviews, 16(1):55-68, 1997. PDF
“The
Pricing of Time‑Varying Beta”, Empirical
Economics, 22:345-363, 1997.
PDF
“Time‑Varying Risk. The Case of the American Computer Industry”, Journal
of Empirical Finance, 2:333‑342, 1996. PDF
“Semiparametric ARCH Models”, with R.F. Engle, Journal
of Business and Economic Statistics, 9:345‑360, October 1991. PDF
v Chapters in books
“Nonlinear Time Series and
Financial Forecasting” with T.H. Lee, Encyclopedia of Complexity and
Systems Science, B. Mizrach 9ed., Springer Verlag, 2009
(invited). PDF http://www.springerlink.com/content/978-1-4419-7700-7
“Vector Autoregression”,
in International
Encyclopedia of the Social Sciences, 2nd edition, W. A. Darity, Editor in Chief, Macmillan Reference USA, 2007,
(invited). http://www.gale.cengage.com/iess
“Maximum Likelihood
Regression”, in International Encyclopedia of the Social
Sciences, 2nd edition, W. A. Darity,
Editor in Chief, Macmillan Reference USA, 2007 (invited). http://www.gale.cengage.com/iess
“Serial Correlation”, in International
Encyclopedia of the Social Sciences, 2nd edition, W. A. Darity, Editor in Chief, Macmillan Reference USA, 2007,
(invited). http://www.gale.cengage.com/iess
“Trends”, in International
Encyclopedia of the Social Sciences, 2nd edition, W. A. Darity, Editor in Chief, Macmillan Reference USA, 2007,
(invited). http://www.gale.cengage.com/iess
“Identity Matrix”, in International
Encyclopedia of the Social Sciences, 2nd edition, W. A. Darity, Editor in Chief, Macmillan Reference USA, 2007,
(invited). http://www.gale.cengage.com/iess
“Economic Development and the
Determinants of Spatial Integration in Agricultural Markets” with S. Helfand, in Economics, Politics, and Social Issues in
Latin America, edited by Mary
L. Lassiter, Nova Science Publishers, 2007, pg. 75-96. BOOK
Translated
into Portuguese: “Desenvolvimento Econômico e os Determinantes da Integração
Espacial nos Mercados Agrícolas” in Região e espaço no desenvolvimiento
agricola brasíleiro, S. Helfand and G. Castro de Rezende (eds.), Rio de Janeiro: IPEA.
Portuguese translation
of “The Extent, Pattern, and Degree of Market Integration: A Multivariate Approach for the Brazilian
Rice Market”, in Região e espaço no desenvolvimiento
agricola brasíleiro, S. Helfand and G. Castro de Rezende (eds.), Rio de Janeiro: IPEA, 2003.
“Time Series Testing and
Endogenous Growth”, refereed chapter in the book Business and Economics for the
21st Century, Volume I, pp.
190-201, edited by the Business and Economics Society International, December
1997.
Reprint of “Semiparametric
ARCH Models”, (article no.6) contribution to the book ARCH Selected Readings, for the
collection Advanced Texts in
Econometrics, pp. 114-144,
Oxford University Press, edited by R.F. Engle, October 1995.
v Monographs
“An Impact
Analysis of Tribal Government Gaming in California”, with A. Deolalikar, M. Johnson, M. Marks, and J. Martin, edited by
the Center for California Native Nations, University of California, Riverside,
January 2006. PDF
v Textbooks
“Forecasting
for Economics and Business. A hands-on approach”, under
contract with Pearson/Prentice Hall, in progress, scheduled for release in
2012.
“Lecture
Notes on Introduction to Time Series Analysis” with J. Gonzalo, CD-ROM,
Department of Economics, University of California, Riverside, 2002.
v Technical Reports
“Construction of alternative air quality
indexes” with A. Deolalikar and P. Pattanaik. Report to the National Science Foundation, Human and Social
Dynamics section, NSF award #0525251. September 2006. PDF
v Proceedings
“Monitoring Financial
Intermediaries with Subordinated Debt: A Dynamic signal Model for Bank
Risk” with D. Nickerson, FEN American Finance Association,
2003 Washington, DC Meetings, Abstracting Journal, 1,17, December
2002.
“Spatial Relationships
and Market Integration: The Case of the Brazilian Rice Market” with S. Helfand, in O Agronegócio do Mercosul e sua Inserção na Economia Mundial, Annals of the XXXVII Congresso
Brasileiro de Economia e Sociologia Rural, CD-ROM, edited by Aguiar, Danilo and J.B. Pinho, Foz do Iguaçu, PR,
Brazil, 1999, 10 pages.
“Rao’s
Score Test for the Semiparametric Models” with
A. Ullah, Proceedings of the American Statistical
Association, Business and Economics Section, pp. 28-31, 1998 (invited
article).
“Dynamic
Asset Pricing and Statistical Properties of Risk”, Proceedings of the American
Society of Business and Behavioral Sciences, vol.4, pp. 159-163, 1997.
“Maximum Likelihood
Estimation and Testing Strategies in GARCH Models”, with J.S. Racine, Proceedings
of the American Statistical Association, Business and Economics
Section, pp. 47-54, 1995, (invited article).