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Pierre Duchesne

Personal Details

First Name:Pierre
Middle Name:
Last Name:Duchesne
Suffix:
RePEc Short-ID:pdu23
http://dms.umontreal.ca/~duchesne.html

Affiliation

Université de Montréal, Département de mathématiques et statistique

http://www.dms.umontreal.ca
Québec, Canada, Montréal

Research output

as
Jump to: Working papers Articles

Working papers

  1. Duchesne, Pierre & Francq, Christian, 2010. "On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses," MPRA Paper 19740, University Library of Munich, Germany.
  2. 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.

Articles

  1. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.
  2. Duchesne, Pierre, 2010. "Corrigendum to: "On matricial measures of dependence in vector ARCH models with applications to diagnostic checking" [Statist. Probab. Lett. 68 (2004) 149-160]," Statistics & Probability Letters, Elsevier, vol. 80(9-10), pages 910-910, May.
  3. Duchesne, Pierre & Lafaye De Micheaux, Pierre, 2010. "Computing the distribution of quadratic forms: Further comparisons between the Liu-Tang-Zhang approximation and exact methods," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 858-862, April.
  4. Belsley, David A. & Duchesne, Pierre & Kapetanios, George & John Kontoghiorghes, Erricos & Paolella, Marc & van Dijk, Herman K., 2010. "The Fifth Special Issue on Computational Econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2359-2359, November.
  5. Torsten Harms & Pierre Duchesne, 2010. "On kernel nonparametric regression designed for complex survey data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 72(1), pages 111-138, July.
  6. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 777-792, December.
  7. 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, May.
  8. Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.
  9. Eugen Ursu & Pierre Duchesne, 2009. "On modelling and diagnostic checking of vector periodic autoregressive time series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 70-96, January.
  10. 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.
  11. 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.
  12. 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(4), pages 633-676, August.
  13. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
  14. 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;Sociedad de Estadística e Investigación Operativa, vol. 14(2), pages 449-473, December.
  15. Pierre Duchesne, 2005. "Testing for serial correlation of unknown form in cointegrated time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 575-595, September.
  16. Pierre Duchesne, 2005. "Robust and powerful serial correlation tests with new robust estimates in ARX models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 49-81, January.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. 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.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

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.

    Cited by:

    1. Stavros Degiannakis & Pamela Dent & Christos Floros, 2014. "A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification," Manchester School, University of Manchester, vol. 82(1), pages 71-102, January.
    2. Luc Bauwens & Nikolaus Hautsch, 2007. "Modelling Financial High Frequency Data Using Point Processes," SFB 649 Discussion Papers SFB649DP2007-066, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    3. Dionne, Georges & Zhou, Xiaozhou, 2016. "The Dynamics of Ex-ante High-Frequency Liquidity: An Empirical Analysis," Working Papers 15-5, HEC Montreal, Canada Research Chair in Risk Management.
    4. Weiß, Gregor N.F. & Supper, Hendrik, 2013. "Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3334-3350.
    5. Tse, Yiu-Kuen & Dong, Yingjie, 2014. "Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 352-361.
    6. Batten, Jonathan A. & Kinateder, Harald & Wagner, Niklas, 2014. "Multifractality and value-at-risk forecasting of exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 71-81.
    7. Dahen, Hela & Dionne, Georges, 2010. "Scaling models for the severity and frequency of external operational loss data," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1484-1496, July.
    8. Liu, Shouwei & Tse, Yiu-Kuen, 2015. "Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach," Journal of Econometrics, Elsevier, vol. 189(2), pages 437-446.
    9. Lu-Tao Zhao & Li-Na Liu & Zi-Jie Wang & Ling-Yun He, 2019. "Forecasting Oil Price Volatility in the Era of Big Data: A Text Mining for VaR Approach," Sustainability, MDPI, Open Access Journal, vol. 11(14), pages 1-20, July.
    10. Holmberg, Ulf, 2012. "Essays on Credit Markets and Banking," Umeå Economic Studies 840, Umeå University, Department of Economics.
    11. Iacus, Stefano M. & Mercuri, Lorenzo & Rroji, Edit, 2017. "COGARCH(p, q): Simulation and Inference with the yuima Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 80(i04).
    12. Dionne, Georges & Pacurar, Maria & Zhou, Xiaozhou, 2015. "Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 202-219.
    13. Charlie X. Cai & Qi Zhang, 2016. "High†Frequency Exchange Rate Forecasting," European Financial Management, European Financial Management Association, vol. 22(1), pages 120-141, January.
    14. Mike So & Rui Xu, 2013. "Forecasting Intraday Volatility and Value-at-Risk with High-Frequency Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(1), pages 83-111, March.
    15. Chavez-Demoulin, V. & McGill, J.A., 2012. "High-frequency financial data modeling using Hawkes processes," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3415-3426.
    16. Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
    17. L. Ingber, 2020. "Forecasting with importance-sampling and path-integrals: Applications to COVID-19," Lester Ingber Papers 20fi, Lester Ingber.
    18. Karmakar, Madhusudan & Paul, Samit, 2019. "Intraday portfolio risk management using VaR and CVaR:A CGARCH-EVT-Copula approach," International Journal of Forecasting, Elsevier, vol. 35(2), pages 699-709.
    19. Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2011. "Common intraday periodicity," Research Memorandum 010, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    20. Rouetbi Emnal & Mamoghli Chokri, 2014. "Measuring Liquidity Risk in an Emerging Market: Liquidity Adjusted Value at Risk Approach for High Frequency Data," International Journal of Economics and Financial Issues, Econjournals, vol. 4(1), pages 40-53.
    21. Karmakar, Madhusudan & Paul, Samit, 2016. "Intraday risk management in International stock markets: A conditional EVT approach," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 34-55.
    22. Zhang Zongxin & Zhang Xiao, 2011. "Trading duration, mutual funds behavior and stock market shock: Based on ACD model to mine mutual funds investment behavior," China Finance Review International, Emerald Group Publishing, vol. 1(3), pages 220-240, July.
    23. Georges Dionne & Xiaozhou Zhou, 2020. "The dynamics of ex-ante weighted spread: an empirical analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 593-617, April.
    24. Lönnbark, Carl & Holmberg, Ulf & Brännäs, Kurt, 2011. "Value at Risk and Expected Shortfall for large portfolios," Finance Research Letters, Elsevier, vol. 8(2), pages 59-68, June.
    25. Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
    26. Anabelle Couleau & Teresa Serra & Philip Garcia, 2020. "Are Corn Futures Prices Getting “Jumpy”?," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 569-588, March.

Articles

  1. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.

    Cited by:

    1. Mengya Liu & Fukan Zhu & Ke Zhu, 2020. "Multi-frequency-band tests for white noise under heteroskedasticity," Papers 2004.09161, arXiv.org.
    2. Li, Linyuan & Yao, Shan & Duchesne, Pierre, 2014. "On wavelet-based testing for serial correlation of unknown form using Fan’s adaptive Neyman method," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 308-327.
    3. Gençay, Ramazan & Signori, Daniele, 2015. "Multi-scale tests for serial correlation," Journal of Econometrics, Elsevier, vol. 184(1), pages 62-80.

  2. Duchesne, Pierre & Lafaye De Micheaux, Pierre, 2010. "Computing the distribution of quadratic forms: Further comparisons between the Liu-Tang-Zhang approximation and exact methods," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 858-862, April.

    Cited by:

    1. Ryo Miyazaki & Hidetoshi Murakami, 2020. "The non-null limiting distribution of the generalized Baumgartner statistic based on the Fourier series approximation," Statistical Papers, Springer, vol. 61(5), pages 1893-1909, October.
    2. Jiménez-Gamero, M.D. & Alba-Fernández, M.V. & Jodrá, P. & Barranco-Chamorro, I., 2017. "Fast tests for the two-sample problem based on the empirical characteristic function," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 137(C), pages 390-410.
    3. Salcedo, Gladys E. & Porto, Rogério F. & Morettin, Pedro A., 2012. "Comparing non-stationary and irregularly spaced time series," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 3921-3934.
    4. Christian H. Weiß, 2018. "Goodness-of-fit testing of a count time series’ marginal distribution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(6), pages 619-651, August.
    5. Wei Cheng & Sohini Ramachandran & Lorin Crawford, 2020. "Estimation of non-null SNP effect size distributions enables the detection of enriched genes underlying complex traits," PLOS Genetics, Public Library of Science, vol. 16(6), pages 1-48, June.
    6. Roberto Colombi & Sabrina Giordano, 2019. "Likelihood-based tests for a class of misspecified finite mixture models for ordinal categorical data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(4), pages 1175-1202, December.
    7. Colombi, Roberto, 2020. "Selection tests for possibly misspecified hierarchical multinomial marginal models," Econometrics and Statistics, Elsevier, vol. 16(C), pages 136-147.
    8. Peng, Qidi & Schellhorn, Henry, 2018. "On the distribution of extended CIR model," Statistics & Probability Letters, Elsevier, vol. 142(C), pages 23-29.
    9. G. I. Rivas-Martínez & M. D. Jiménez-Gamero & J. L. Moreno-Rebollo, 2019. "A two-sample test for the error distribution in nonparametric regression based on the characteristic function," Statistical Papers, Springer, vol. 60(4), pages 1369-1395, August.
    10. Leão, Dorival & Ohashi, Alberto, 2012. "On the Discrete Cramér-von Mises Statistics under Random Censorship," Insper Working Papers wpe_275, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    11. David Lamparter & Daniel Marbach & Rico Rueedi & Zoltán Kutalik & Sven Bergmann, 2016. "Fast and Rigorous Computation of Gene and Pathway Scores from SNP-Based Summary Statistics," PLOS Computational Biology, Public Library of Science, vol. 12(1), pages 1-20, January.
    12. Ghiglietti, Andrea & Paganoni, Anna Maria, 2017. "Exact tests for the means of Gaussian stochastic processes," Statistics & Probability Letters, Elsevier, vol. 131(C), pages 102-107.
    13. C. Tort`u & I. Crimaldi & F. Mealli & L. Forastiere, 2020. "Modelling Network Interference with Multi-valued Treatments: the Causal Effect of Immigration Policy on Crime Rates," Papers 2003.10525, arXiv.org, revised Jun 2020.
    14. Pierre Duchesne & Pierre Lafaye de Micheaux, 2013. "Distributions for residual autocovariances in parsimonious periodic vector autoregressive models with applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 496-507, July.
    15. Marco Riani & Andrea Cerioli & Domenico Perrotta & Francesca Torti, 2015. "Simulating mixtures of multivariate data with fixed cluster overlap in FSDA library," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 9(4), pages 461-481, December.
    16. Chen, Tong & Lumley, Thomas, 2019. "Numerical evaluation of methods approximating the distribution of a large quadratic form in normal variables," Computational Statistics & Data Analysis, Elsevier, vol. 139(C), pages 75-81.
    17. Daniel B. McArtor & Gitta H. Lubke & C. S. Bergeman, 2017. "Extending multivariate distance matrix regression with an effect size measure and the asymptotic null distribution of the test statistic," Psychometrika, Springer;The Psychometric Society, vol. 82(4), pages 1052-1077, December.
    18. Fan, Yanan & de Micheaux, Pierre Lafaye & Penev, Spiridon & Salopek, Donna, 2017. "Multivariate nonparametric test of independence," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 189-210.
    19. Manuel Cabral Morais & Wolfgang Schmid & Patrícia Ferreira Ramos & Taras Lazariv & António Pacheco & Ivan Semeniuk, 2019. "Correction to: Comparison of joint control schemes for multivariate normal i.i.d. output," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 289-303, June.

  3. Torsten Harms & Pierre Duchesne, 2010. "On kernel nonparametric regression designed for complex survey data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 72(1), pages 111-138, July.

    Cited by:

    1. Sayed A. Mostafa & Ibrahim A. Ahmad, 2019. "Kernel density estimation from complex surveys in the presence of complete auxiliary information," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 82(3), pages 295-338, April.
    2. Slotwinski, Michaela & Schmidheiny, Kurt, 2014. "Behavioral Responses to Local Tax Rates: Quasi-Experimental Evidence from a Foreigners Tax Scheme in Switzerland," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100292, Verein für Socialpolitik / German Economic Association.
    3. Schmidheiny, Kurt & Slotwinski, Michaela, 2018. "Tax-induced mobility: Evidence from a foreigners' tax scheme in Switzerland," Journal of Public Economics, Elsevier, vol. 167(C), pages 293-324.

  4. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2009. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 777-792, December. See citations under working paper version above.
  5. 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, May.

    Cited by:

    1. Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.

  6. Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.

    Cited by:

    1. Abdoulkarim Ilmi Amir & Yacouba Boubacar Maïnassara, 2020. "Multivariate portmanteau tests for weak multiplicative seasonal VARMA models," Statistical Papers, Springer, vol. 61(6), pages 2529-2560, December.

  7. Eugen Ursu & Pierre Duchesne, 2009. "On modelling and diagnostic checking of vector periodic autoregressive time series models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 70-96, January.

    Cited by:

    1. Ursu, Eugen & Duchesne, Pierre, 2009. "On multiplicative seasonal modelling for vector time series," Statistics & Probability Letters, Elsevier, vol. 79(19), pages 2045-2052, October.
    2. T. Manouchehri & A. R. Nematollahi, 2019. "Periodic autoregressive models with closed skew-normal innovations," Computational Statistics, Springer, vol. 34(3), pages 1183-1213, September.
    3. Francesco Battaglia & Domenico Cucina & Manuel Rizzo, 2020. "Detection and estimation of additive outliers in seasonal time series," Computational Statistics, Springer, vol. 35(3), pages 1393-1409, September.
    4. PEREAU Jean-Christophe & URSU Eugen, 2015. "Application of periodic autoregressive process to the modeling of the Garonne river flows," Cahiers du GREThA (2007-2019) 2015-14, Groupe de Recherche en Economie Théorique et Appliquée (GREThA).
    5. Sarnaglia, A.J.Q. & Reisen, V.A. & Lévy-Leduc, C., 2010. "Robust estimation of periodic autoregressive processes in the presence of additive outliers," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2168-2183, October.

  8. 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.

    Cited by:

    1. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.
    2. Catani, P.S. & Ahlgren, N.J.C., 2017. "Combined Lagrange multiplier test for ARCH in vector autoregressive models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 62-84.

  9. 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.

    Cited by:

    1. Boubacar Maïnassara, Yacouba & Raïssi, Hamdi, 2015. "Semi-strong linearity testing in linear models with dependent but uncorrelated errors," Statistics & Probability Letters, Elsevier, vol. 103(C), pages 110-115.
    2. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    3. Boubacar Mainassara, Yacouba, 2009. "Multivariate portmanteau test for structural VARMA models with uncorrelated but non-independent error terms," MPRA Paper 18990, University Library of Munich, Germany.

  10. 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(4), pages 633-676, August.

    Cited by:

    1. Gencay, Ramazan & Fan, Yanqin, 2007. "Unit Root Tests with Wavelets," MPRA Paper 9832, University Library of Munich, Germany.
    2. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(1), pages 3-20, February.
    3. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
    4. Duchesne, Pierre & Li, Linyuan & Vandermeerschen, Jill, 2010. "On testing for serial correlation of unknown form using wavelet thresholding," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2512-2531, November.
    5. Gençay, Ramazan & Signori, Daniele, 2015. "Multi-scale tests for serial correlation," Journal of Econometrics, Elsevier, vol. 184(1), pages 62-80.
    6. Ramazan Gencay & Nikola Gradojevic, 2009. "Errors-in-Variables Estimation with No Instruments," Working Paper series 30_09, Rimini Centre for Economic Analysis.
    7. Zhou, Yong & Wan, Alan T.K. & Xie, Shangyu & Wang, Xiaojing, 2010. "Wavelet analysis of change-points in a non-parametric regression with heteroscedastic variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 183-201, November.

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

    Cited by:

    1. Gencay, Ramazan & Fan, Yanqin, 2007. "Unit Root Tests with Wavelets," MPRA Paper 9832, University Library of Munich, Germany.
    2. Buerhan Saiti & Azlan Ali & Naziruddin Abdullah & Sulaiman Sajilan, 2014. "Palm Oil Price, Exchange Rate, and Stock Market: A Wavelet Analysis on the Malaysian Market," Eurasian Journal of Economics and Finance, , vol. 2(1), pages 13-27.
    3. Li, Linyuan & Yao, Shan & Duchesne, Pierre, 2014. "On wavelet-based testing for serial correlation of unknown form using Fan’s adaptive Neyman method," Computational Statistics & Data Analysis, Elsevier, vol. 70(C), pages 308-327.
    4. Rachidi Kotchoni, 2012. "Applications of the Characteristic Function Based Continuum GMM in Finance," Post-Print hal-00867795, HAL.
    5. Kotchoni, Rachidi, 2012. "Applications of the characteristic function-based continuum GMM in finance," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3599-3622.
    6. Saiti, Buerhan & Bacha, Obiyathulla & Masih, Mansur, 2014. "Is the global leadership of the US financial market over other financial markets shaken by 2007-2009 financial crisis? Evidence from Wavelet Analysis," MPRA Paper 57064, University Library of Munich, Germany.
    7. Ramazan Gencay & Nikola Gradojevic, 2009. "Errors-in-Variables Estimation with No Instruments," Working Paper series 30_09, Rimini Centre for Economic Analysis.
    8. Jian Zhou, 2012. "Multiscale Analysis of International Linkages of REIT Returns and Volatilities," The Journal of Real Estate Finance and Economics, Springer, vol. 45(4), pages 1062-1087, November.

  12. 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;Sociedad de Estadística e Investigación Operativa, vol. 14(2), pages 449-473, December.

    Cited by:

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

  13. Pierre Duchesne, 2005. "Testing for serial correlation of unknown form in cointegrated time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 57(3), pages 575-595, September.

    Cited by:

    1. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
    2. 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.
    3. Patilea, V. & Raïssi, H., 2013. "Corrected portmanteau tests for VAR models with time-varying variance," Journal of Multivariate Analysis, Elsevier, vol. 116(C), pages 190-207.
    4. Bruggemann, Ralf & Lutkepohl, Helmut & Saikkonen, Pentti, 2006. "Residual autocorrelation testing for vector error correction models," Journal of Econometrics, Elsevier, vol. 134(2), pages 579-604, October.

  14. Pierre Duchesne, 2005. "Robust and powerful serial correlation tests with new robust estimates in ARX models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 49-81, January.

    Cited by:

    1. 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.

  15. 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.

    Cited by:

    1. 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.
    2. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
    3. Silvennoinen, Annastiina & Teräsvirta, Timo, 2007. "Multivariate GARCH models," SSE/EFI Working Paper Series in Economics and Finance 669, Stockholm School of Economics, revised 18 Jan 2008.

  16. 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.

    Cited by:

    1. Caroni, C. & Karioti, V., 2004. "Detecting an innovative outlier in a set of time series," Computational Statistics & Data Analysis, Elsevier, vol. 46(3), pages 561-570, June.
    2. Grossi, Luigi & Laurini, Fabrizio, 2009. "A robust forward weighted Lagrange multiplier test for conditional heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2251-2263, April.
    3. Fried, Roland, 2012. "On the online estimation of local constant volatilities," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3080-3090.
    4. Boudt, Kris & Croux, Christophe, 2010. "Robust M-estimation of multivariate GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2459-2469, November.

  17. 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.

    Cited by:

    1. Eichler, Michael, 2008. "Testing nonparametric and semiparametric hypotheses in vector stationary processes," Journal of Multivariate Analysis, Elsevier, vol. 99(5), pages 968-1009, May.
    2. Caporin Massimiliano & Paruolo Paolo, 2005. "Spatial effects in multivariate ARCH," Economics and Quantitative Methods qf0501, Department of Economics, University of Insubria.
    3. Pierre Duchesne, 2005. "Robust and powerful serial correlation tests with new robust estimates in ARX models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 49-81, January.
    4. Boubacar Mainassara, Y. & Francq, C., 2011. "Estimating structural VARMA models with uncorrelated but non-independent error terms," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 496-505, March.
    5. Alfredo García-Hiernaux, 2009. "Diagnostic checking using subspace methods," Documentos de Trabajo del ICAE 2009-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    6. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
    7. 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.
    8. Simos G. Meintanis & Joseph Ngatchou-Wandji & James Allison, 2018. "Testing for serial independence in vector autoregressive models," Statistical Papers, Springer, vol. 59(4), pages 1379-1410, December.

  18. 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.

    Cited by:

    1. Emanuela Leoncini & Cecilia Prata & Marco Malaguti & Ilaria Marotti & Antonio Segura-Carretero & Pietro Catizone & Giovanni Dinelli & Silvana Hrelia, 2012. "Phytochemical Profile and Nutraceutical Value of Old and Modern Common Wheat Cultivars," PLOS ONE, Public Library of Science, vol. 7(9), pages 1-13, September.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BEC: Business Economics (1) 2005-12-20
  2. NEP-CMP: Computational Economics (1) 2005-12-20
  3. NEP-ECM: Econometrics (1) 2010-01-16
  4. NEP-FMK: Financial Markets (1) 2005-12-20
  5. NEP-FOR: Forecasting (1) 2005-12-20
  6. NEP-RMG: Risk Management (1) 2005-12-20

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