Research

Research Papers:

The limiting distribution of a nonstationary integer valued GARCH(1,1) process. (To appear in Journal of Time Series Analysis)

Anxious unit root processes (joint with Robert de Jong).

Optimal adaptive sampling for a symmetric two-state continuous time Markov chain. (To appear in Econometric Reviews)

The sum of the reciprocal of the random walk (joint with Robert de Jong). (To appear in Econometric Theory)

Mixing properties of the dynamic Tobit model with mixing errors (joint with Robert de Jong). Economics Letterhttps://www.sciencedirect.com/science/article/pii/S0165176517304627

A model for level induced conditional heteroskedasticity (joint with Robert de Jong). (To appear in Statistics and Probability Letters).