Some Recent Publications

• New: Testing nonlinearity of  heavy-tailed time series. Journal of Applied Statistics, 2024. Data: danish-fire-insurance-losses.dat,  ethernet-traffic-n3142.dat. Supplementary material.  R-code. Doi: doi.org/10.1080/02664763.2024.2315450.
• Estimating generalized additive conditional quantiles for absolutely regular processes (with Y. Cheng). arXiv2306.03674, 2023.
• On portmanteau-type tests for nonlinear multivariate time series. Journal of Multivariate  Analysis, 2023, 195, 105157. (Matlab codes and data are available upon request).  Doi: doi.org/10.1016/j.mva.2023.105157.
• Penalized averaging of quantile forecasts from GARCH models with many exogenous predictors. Computational Economics, 2022. R-code (also available at ResearchGate). Doi: doi.org/10.1007/s10614-022-10289-90289-9 . 
• Kernel-based hidden Markov conditional densities (with G.E. Henter and A. Yuan). Computational Statistics and Data Analysis, 2022, 169. Supplementary material (also available at ResearchGate)  File 1 and  File 2.  Doi: doi.org/10.1016/j.csda.2022.107431.
• The marginal distribution function of threshold-type processes with central symmetric innovations.  Statistics, 2022, 56(1), 1-33.  Supplementary material.(also available at ResearchGate). Doi: https://doi.org/10.1080/02331888.2022.2029862.
• Asymmetric vector moving average models: Estimation and testing.  Computational Statistics, 2021, 36(2), 1437-1460. Data (also available at ResearchGate) . Doi: doi.org/10.1007/s00180-020-01056-1.
• A multi-step kernel-based regression estimator that adapts to error distributions of unknown form (with H. Reichardt).   Communications in Statistics: Theory and Methods, 2021, 50(24), 6211-6230. Replication files: Data and R codes (also available at ResearchGate). Doi:  https://doi.org/10.1080/03610926.2020.1741625.
• Penalized averaging of parametric and non-parametric quantile forecasts (with D. Zerom). Journal of Time Series Econometrics, 2020, 12(1). Data (also available at ResearchGate).  Doi: doi.org/10.1515/jtse-2019-0021.
• Semiparametric quantile averaging in the presence of high-dimensional predictors (with D. Zerom). International Journal of Forecasting, 2019, 35(3), 891-909. Supplementary material (also available at ResearchGate).   Doi:  http://doi.org/10.1016/j.ijforecast.2018.10.009.
• Mean-variance and mean-semivariance portfolio selection: A multivariate nonparametric approach (with H. Ben Salah, A. Gannoun, and M. Ribatet).  Financial Markets and Portfolio Management, 2018, 32:4, 419-436.  Data and R codes (also available at ResearchGate). Doi:  https://doi.org/10.1007/s11408-018-0317-4.
• Periodic autoregressive forecasting of global solar irradiation without knowledge-based model implementation (with C. Voyant and G. Notton). Solar Energy, 2018, 174, 121-129. Doi:  https://doi.org/10.1016/j.solener.2018.08.076. Data (also available at ResearchGate).
• Non parametric portmanteau tests for detecting non linearities in high dimensions (with A. Yuan). Communications in Statistics: Theory and Methods, 2016, 45(2), 385-399. Doi: http://dx.doi.org/10.1080/03610926.2013.815209
• Asymptotically informative prior for Bayesian analysis (with A. Yuan), Communications in Statistics: Theory and Methods, 2014, 43(14), 3080-3094. Doi: http://dx.doi.org/10.1080/03610926.2012.694549
• Information flows around the globe: Predicting opening gaps from overnight foreign stock price patterns (with C.G.H. Diks and L.T. Gatarek), Central European Journal of Economic Modelling and Econometrics, 2012, 41, 23-44. Doi: http://dx.doi.org/10.2139/ssrn.1510069
• Simultaneity and asymmetry of returns and volatilities: The emerging Baltic states’ stock exchanges (with K. Brännäs, C Lönnbark., and A. Soultanaeva), Studies in Nonlinear Dynamics & Econometrics, 2012, Vol. 16., Issue 1, Article 4. Doi: http://dx.doi.org/10.1515/1558-3708.1855
• Kernel-smoothed conditional quantiles of correlated bivariate discrete data (with A. Yuan),  Statistica Sinica, 2011, 21(4), 1611-1638. Doi: http://dx.doi.org/10.5705/ss.2010.061
• Some exact tests for manifest properties of latent trait models (with A. Yuan), Computational Statistics & Data Analysis, 2011, 55(1), 34-44.  Doi: http://dx.doi.org/10.1016/j.csda.2010.04.022
• Efficient estimation of an additive quantile regression model (with Y. Cheng and  D. Zerom), Scandinavian Journal of Statistics, 2011, 38(1), 46-62. Doi: http://dx.doi.org/10.1111/j.1467-9469.2010.00706.x
• Bahadur representation for the nonparametric M-estimator under alpha-mixing dependence (with Y. Cheng), Statistics, 2009, 43(5), 443-462. Doi: http://dx.doi.org/10.2139/ssrn.748885
• Partial sums of lagged cross-products of AR residuals and a test for white noise, TEST, 2008, 17(3), 567-584. Doi: http://dx.doi.org/10.1007/s11749-007-0058-6
• Parametric and nonparametric Granger causality testing: Linkages between international stock  markets (with S. Sivarajasingham), Physica A, 387(11), 2008,  2547-2560. Doi: http://dx.doi.org/10.1016/j.physa.2008.01.033
• MDL mean function selection in semiparametric kernel regression models (with A. Yuan), Communications in  Statistics: Theory and Methods, 2008, 37(14), 2237-2248. Doi: http://dx.doi.org/10.1080/03610920701875267
• TR Multivariate conditional median estimation (with A. Gannoun), Communications in Statistics: Simulation and Computation, 2007, 36(1), 165-176. Doi:  http://dx.doi.org/10.1080/03610910601096270
• Semiparametric regression with kernel error model (with A. Yuan), Scandinavian  Journal of Statistics, 2007, 34(4), 841-869. Doi: http://dx.doi.org/10.1111/j.1467-9469.2006.00531.x
• On the​ uth geometric conditional quantile (with Y. Cheng), Journal of Statistical Planning and Inference, 2007, 137(6), 1914-1930. Doi: http://dx.doi.org/10.1016/j.jspi.2006.02.014
• Power of the Neyman smooth test for evaluating multivariate forecast densities, Journal of Applied Statistics, 2007, 34(4), 371-382. Doi:  http://dx.doi.org/10.1080/02664760701231526
• Detecting change-points in multidimensional stochastic processes, Computational Statistics & Data Analysis, 2006, 51(3), 1892-1903. Doi: http://dx.doi.org/10.1016/j.csda.2005.12.004
• 25 Years of  time series forecasting (with R.J. Hyndman), International Journal of Forecasting, 2006, 22(3),  443-473. Doi: http://dx.doi.org/10.1016/j.ijforecast.2006.01.001
• A multivariate quantile predictor (with A. Gannoun and D. Zerom), Communications in Statistics: Theory and Methods, 2006,  35(1), 133-147. Doi: http://dx.doi.org/10.1080/03610920500439570 
• Estimating threshold cointegrated systems (with A. Vidiella-i-Anguera), Economics  Bulletin, 2005, 3, 1-7.
• Introduction to nonlinearities, business cycles and forecasting (with A. Garcia-Ferrer, P. Poncela, and E. Ruiz), International Journal of Forecasting, 2005, 21(4),  623-625. Doi: http://dx.doi.org/10.1016/j.ijforecast.2005.04.001
• Asymmetries in conditional mean variance; modelling stock returns by asMA-asQGARCH (with K. Brännäs), Journal of Forecasting, 2004, 23, 155-171. Doi:  http://dx.doi.org/10.1002/for.910
• Forecasting threshold cointegrated systems (with A. Vidiella-i-Anguera), International Journal of Forecasting, 2004, 20(2), 237-253. Doi: http://dx.doi.org/10.1016/j.ijforecast.2003.09.006
• On additive conditional quantiles with high-dimensional covariates (with D. Zerom), Journal of the American Statistical Association, 2003, 98(461), 135-146. Doi: http://dx.doi.org/10.1198/016214503388619166
• Modeling vector nonlinear time series using POLYMARS (with B.K. Ray). Computational Statistics & Data Analysis, 2003 42(1-2), 73-90. Doi: http://dx.doi.org/10.1016/s0167-9473(02)00123-8
• Nonlinear stochastic inflation modelling using SEASETARs (with A. Vidiella-i-Anguera), Insurance: Mathematics and Economics, 2003, 32, 3-18. Doi:  http://dx.doi.org/10.1016/s0167-6687(02)00190-7
• On conditional density estimation (with D. Zerom), Statistica Neerlandica, 2003, 57(2), 159-176. Doi: http://dx.doi.org/10.1111/1467-9574.00226