Publications
2021
"Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods" (with Patrick Mogensen, Jong Myun Moon & Bertel Scherning), Journal of Econometrics 223, 328-360
"Diffusion Copulas: Identification and Estimation" (with R. Bu & K. Hadri), Journal of Econometrics 221, 616-643
"Identification of a Class of Index Models: A Topological Approach" (with Mogens Fosgerau), Econometrics Journal 24, 121-133
2017
"Higher Order Properties of Approximate Estimators" (with B. Salanié), Journal of Econometrics 198, 189-208.
2016
"Modeling Corporate Defaults: Poisson Autoregressions with Exogeneous Covariates (PARX)" (with A. Agosto, G. Cavaliere and A. Rahbek), Journal of Empirical Finance 38, 640-663.
"On Selection of Statistics for Approximate Bayesian Computing" (with M. Creel), Computational Statistics & Data Analysis 100, 99-114.
"Estimation of Stochastic Volatility Models by Nonparametric Filtering" (with S. Kanya), Econometric Theory 32, 861-916.
2015
"Nonparametric Identification and Estimation of Transformation Models" (with P.A. Chiappori & I. Komunjer), Journal of Econometrics 188, 22-39.
"ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models" (with M. Creel), Journal of Empirical Finance 31, 85-108.
2014
"Bounding Quantile Demand Functions Using Revealed Preference Inequalities" (with R. Blundell & R. Matzkin), Journal of Econometrics 179, 112-127.
"Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates" (with H. Han), Journal of Business & Economic Statistics 32, 416-429.
2013
"Control Functions and Simultaneous Equations Methods" (with R. Blundell & R. Matzkin), American Economic Review: Papers & Proceedings 103, 563-569.
"Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models" (with A. Rahbek), Econometric Theory 29, 1238-1288.
2012
"Nonparametric Detection and Estimation of Structural Change," Econometrics Journal 15, 420-461.
"Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments" (with M. Creel), Econometrics Journal 15, 490-515. (Computer guide)
"Testing Conditional Factor Models" (with A. Ang), Journal of Financial Economics 106, 132-156.
"Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood" (with Y. Shin), Journal of Econometrics 167, 76–94.
2011
"Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models" (with A. Mele), Journal of Financial Economics 102, 390–415.
"Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Journal of Econometrics 164, 382–403.
2010
"Likelihood-Based Inference for Cointegration with Nonlinear Error-Correction" (with A. Rahbek), Journal of Econometrics 158, 78–94.
"Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," Journal of Econometrics 156, 239–259.
"Nonparametric Filtering of the Realized Spot Volatility: A Kernel-based Approach," Econometric Theory 26, 60–93.
2009
"Uniform Convergence Rates of Kernel Estimators with Heterogeneous, Dependent Data," Econometric Theory 25, 1433–1445.
"Asymptotics of the QMLE for Non-linear ARCH Models" (with A. Rahbek), Journal of Time Series Econometrics 1(1), Article 2.
"On Stationarity and Ergodicity of the Bilinear Model with Applications to GARCH Models," Journal of Time Series Analysis 30, 125–144.
-2008
"Estimation of Partial Differential Equations with Applications in Finance," Journal of Econometrics 144 (2008), 392–408.
"Semi-nonparametric IV Estimation of Shape-Invariant Engel Curves" (with R. Blundell & X. Chen), Econometrica 75 (2007), 1613–1669.
"A Closed-form Estimator for the GARCH(1,1) Model" (with O. Linton), Econometric Theory 22 (2006), 323–337.
"Asymptotics of the QMLE for a Class of ARCH(q) Models" (with A. Rahbek), Econometric Theory 21 (2005), 946–961.
"Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach" (with A. Jeffrey, O. Linton, T. Nguyen & P.C.B. Phillips), Journal of Financial Econometrics 2 (2004), 251–289.
Other Publications
"Semiparametric Modelling and Estimation: A Selective Overview" (in Russian), Quantile 7 (2009), 53–83. (English version).
"Central Limit Theorem" and "Descriptive Statistics," in International Encyclopedia of the Social Sciences, 2nd Ed (2007).
"Consistent Standard Errors for Target Variance Approach to GARCH Estimation" (with O. Linton), Econometric Theory 19 (2003), 879-880 and 20 (2004), 990-993.
"An Alternative GLS-Like Transformation in Regression Models with AR(1) Errors" (with O. Linton), Econometric Theory 17 (2001), 853-854 and 18 (2002), 1008-1010.