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Pierre Duchesne

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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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  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.
  1. 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.
  2. 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.
  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. Torsten Harms & Pierre Duchesne, 2010. "On kernel nonparametric regression designed for complex survey data," Metrika, Springer, vol. 72(1), pages 111-138, July.
  5. 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.
  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.
  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.
  8. 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, 01.
  9. 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.
  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. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
  13. 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.
  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, vol. 14(2), pages 449-473, December.
  15. 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, 01.
  16. 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.
  17. 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.
  18. 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.
  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, 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.
  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.
2 papers by this author were 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-ECM: Econometrics (1) 2010-01-16. Author is listed
  4. NEP-FIN: Finance (1) 2005-12-20. Author is listed
  5. NEP-FMK: Financial Markets (1) 2005-12-20. Author is listed
  6. NEP-FOR: Forecasting (1) 2005-12-20. Author is listed
  7. NEP-RMG: Risk Management (1) 2005-12-20. Author is listed
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