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Publications

by members of

Laboratoire de Statistique Théorique et Appliquée
Université Pierre et Marie Curie (Paris 6-Jussieu)
Paris, France

(Laboratory of Theoretical and Applied Statistics, University of Paris 6)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles |

Working papers

2020

  1. Nicklas Werge & Olivier Wintenberger, 2020. "AdaVol: An Adaptive Recursive Volatility Prediction Method," Papers 2006.02077, arXiv.org, revised Jan 2021.

2017

  1. Rasmus Pedersen & Olivier Wintenberger, 2017. "On the tail behavior of a class of multivariate conditionally heteroskedastic processes," Papers 1701.05091, arXiv.org, revised Dec 2017.

2016

  1. F Blasques & P Gorgi & S Koopman & O Wintenberger, 2016. "Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models," Papers 1610.02863, arXiv.org.
  2. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2016. "Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models," Tinbergen Institute Discussion Papers 16-082/III, Tinbergen Institute.

2015

  1. Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger, 2015. "A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”," Tinbergen Institute Discussion Papers 15-131/III, Tinbergen Institute.

2013

  1. Wintenberger, Olivier, 2013. "Continuous invertibility and stable QML estimation of the EGARCH(1,1) model," MPRA Paper 46027, University Library of Munich, Germany.

2012

  1. Francq, Christian & Wintenberger, Olivier & Zakoian, Jean-Michel, 2012. "Garch models without positivity constraints: exponential or log garch?," MPRA Paper 41373, University Library of Munich, Germany.

2005

  1. Paul Doukhan & Olivier Wintenberger, 2005. "An Invariance Principle for New Weakly Dependent Stationary Models using Sharp Moment Assumptions," Working Papers 2005-51, Center for Research in Economics and Statistics.

Journal articles

2019

  1. Kulik, Rafał & Soulier, Philippe & Wintenberger, Olivier, 2019. "The tail empirical process of regularly varying functions of geometrically ergodic Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4209-4238.
  2. Mikosch, Thomas & Rezapour, Mohsen & Wintenberger, Olivier, 2019. "Heavy tails for an alternative stochastic perpetuity model," Stochastic Processes and their Applications, Elsevier, vol. 129(11), pages 4638-4662.

2018

  1. Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan, 2018. "Goodness-of-fit tests for Log-GARCH and EGARCH models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 27(1), pages 27-51, March.

2014

  1. Alquier Pierre & Li Xiaoyin & Wintenberger Olivier, 2014. "Prediction of time series by statistical learning: general losses and fast rates," Dependence Modeling, De Gruyter, vol. 1, pages 65-93, January.

2013

  1. Olivier Wintenberger, 2013. "Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 40(4), pages 846-867, December.
  2. Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel, 2013. "GARCH models without positivity constraints: Exponential or log GARCH?," Journal of Econometrics, Elsevier, vol. 177(1), pages 34-46.

2008

  1. Doukhan, Paul & Wintenberger, Olivier, 2008. "Weakly dependent chains with infinite memory," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 1997-2013, November.

2006

  1. Moore, L.M. & McKay, M.D. & Campbell, K.S., 2006. "Combined array experiment design," Reliability Engineering and System Safety, Elsevier, vol. 91(10), pages 1281-1289.

1985

  1. McKay, M.E. & Rabl, A., 1985. "A case study on cogeneration," Energy, Elsevier, vol. 10(6), pages 707-720.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.