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Information about:
Pierre Duchesne

Personal Details | Affiliation | Works
This is information that was supplied by Pierre Duchesne in registering through RePEc. If you are Pierre Duchesne , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Pierre
Middle Name:
Last Name: Duchesne
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RePEc Short-ID: pdu23

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Homepage: http://dms.umontreal.ca/~duchesne.html
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Georges Dionne & Pierre Duchesne & Maria Pacurar, 2005. "Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange," Cahiers de recherche 0533, CIRPEE. [Downloadable!]

Articles

  1. Eugen Ursu & Pierre Duchesne, 2009. "Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(2), pages 183-212. [Downloadable!] (restricted)

  2. Eugen Ursu & Pierre Duchesne, 2009. "On modelling and diagnostic checking of vector periodic autoregressive time series models," Journal of Time Series Analysis, Blackwell Publishing, vol. 30(1), pages 70-96, 01. [Downloadable!] (restricted)

  3. Poulin, Jennifer & Duchesne, Pierre, 2008. "On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 52(9), pages 4432-4457, May. [Downloadable!] (restricted)

  4. Chabot-Hallé, Dominique & Duchesne, Pierre, 2008. "Diagnostic checking of multivariate nonlinear time series models with martingale difference errors," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 997-1005, June. [Downloadable!] (restricted)

  5. Duchesne, Pierre, 2006. "On Testing For Serial Correlation With A Wavelet-Based Spectral Density Estimator In Multivariate Time Series," Econometric Theory, Cambridge University Press, vol. 22(04), pages 633-676, August. [Downloadable!]

  6. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December. [Downloadable!] (restricted)

  7. Pierre Duchesne, 2005. "On the asymptotic distribution of residual autocovariances in VARX models with applications," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 14(2), pages 449-473, December. [Downloadable!] (restricted)

  8. Pierre Duchesne, 2005. "Testing for serial correlation of unknown form in cointegrated time series models," Annals of the Institute of Statistical Mathematics, Springer, vol. 57(3), pages 575-595, September. [Downloadable!] (restricted)

  9. Pierre Duchesne, 2005. "Robust and powerful serial correlation tests with new robust estimates in ARX models," Journal of Time Series Analysis, Blackwell Publishing, vol. 26(1), pages 49-81, 01. [Downloadable!] (restricted)

  10. Duchesne, Pierre, 2004. "On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model," Economics Letters, Elsevier, vol. 83(2), pages 193-197, May. [Downloadable!] (restricted)

  11. Duchesne, Pierre, 2004. "On matricial measures of dependence in vector ARCH models with applications to diagnostic checking," Statistics & Probability Letters, Elsevier, vol. 68(2), pages 149-160, June. [Downloadable!] (restricted)

  12. Duchesne, Pierre, 2004. "On robust testing for conditional heteroscedasticity in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 227-256, June. [Downloadable!] (restricted)

  13. Duchesne, Pierre & Roy, Roch, 2004. "On consistent testing for serial correlation of unknown form in vector time series models," Journal of Multivariate Analysis, Elsevier, vol. 89(1), pages 148-180, April. [Downloadable!] (restricted)

  14. Bilodeau, Martin & Duchesne, Pierre, 2002. "Principal Component Analysis from the Multivariate Familial Correlation Matrix," Journal of Multivariate Analysis, Elsevier, vol. 82(2), pages 457-470, August. [Downloadable!] (restricted)

NEP Fields

1 paper by this author was announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2005-12-20 Author is listed
  2. NEP-CMP: Computational Economics (1) 2005-12-20 Author is listed
  3. NEP-FIN: Finance (1) 2005-12-20 Author is listed
  4. NEP-FMK: Financial Markets (1) 2005-12-20 Author is listed
  5. NEP-FOR: Forecasting (1) 2005-12-20 Author is listed
  6. NEP-RMG: Risk Management (1) 2005-12-20 Author is listed
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This page was last updated on 2010-1-1.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.