Olivier Wintenberger
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Olivier |
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Wintenberger |
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Contact
Affiliations
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Université Pierre et Marie Curie (Paris 6-Jussieu)
/ Laboratoire de Statistique Théorique et Appliquée
Research profile
author of:
- Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models (RePEc:arx:papers:1610.02863)
by F Blasques & P Gorgi & S Koopman & O Wintenberger - On the tail behavior of a class of multivariate conditionally heteroskedastic processes (RePEc:arx:papers:1701.05091)
by Rasmus Pedersen & Olivier Wintenberger - AdaVol: An Adaptive Recursive Volatility Prediction Method (RePEc:arx:papers:2006.02077)
by Nicklas Werge & Olivier Wintenberger - Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model (RePEc:bla:jtsera:v:43:y:2022:i:5:p:750-780)
by Sebastian Mentemeier & Olivier Wintenberger - Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model (RePEc:bla:scjsta:v:40:y:2013:i:4:p:846-867)
by Olivier Wintenberger - An Invariance Principle for New Weakly Dependent Stationary Models using Sharp Moment Assumptions (RePEc:crs:wpaper:2005-51)
by Paul Doukhan & Olivier Wintenberger - GARCH models without positivity constraints: Exponential or log GARCH? (RePEc:eee:econom:v:177:y:2013:i:1:p:34-46)
by Francq, Christian & Wintenberger, Olivier & Zakoïan, Jean-Michel - AdaVol: An Adaptive Recursive Volatility Prediction Method (RePEc:eee:ecosta:v:23:y:2022:i:c:p:19-35)
by Werge, Nicklas & Wintenberger, Olivier - Weakly dependent chains with infinite memory (RePEc:eee:spapps:v:118:y:2008:i:11:p:1997-2013)
by Doukhan, Paul & Wintenberger, Olivier - The tail empirical process of regularly varying functions of geometrically ergodic Markov chains (RePEc:eee:spapps:v:129:y:2019:i:11:p:4209-4238)
by Kulik, Rafał & Soulier, Philippe & Wintenberger, Olivier - Heavy tails for an alternative stochastic perpetuity model (RePEc:eee:spapps:v:129:y:2019:i:11:p:4638-4662)
by Mikosch, Thomas & Rezapour, Mohsen & Wintenberger, Olivier - Contrast estimation of time-varying infinite memory processes (RePEc:eee:spapps:v:152:y:2022:i:c:p:32-85)
by Bardet, Jean-Marc & Doukhan, Paul & Wintenberger, Olivier - Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference (RePEc:eee:spapps:v:161:y:2023:i:c:p:68-101)
by Buriticá, Gloria & Mikosch, Thomas & Wintenberger, Olivier - Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models (RePEc:hal:journl:hal-01377971)
by Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger - On the tail behavior of a class of multivariate conditionally heteroskedastic processes (RePEc:hal:journl:hal-01436267)
by Rasmus Søndergaard Pedersen & Olivier Wintenberger - AdaVol: An Adaptive Recursive Volatility Prediction Method (RePEc:hal:journl:hal-02733439)
by Nicklas Werge & Olivier Wintenberger - Unknown item RePEc:hal:wpaper:hal-01377971 (paper)
- Garch models without positivity constraints: exponential or log garch? (RePEc:pra:mprapa:41373)
by Francq, Christian & Wintenberger, Olivier & Zakoian, Jean-Michel - Continuous invertibility and stable QML estimation of the EGARCH(1,1) model (RePEc:pra:mprapa:46027)
by Wintenberger, Olivier - Viking: variational Bayesian variance tracking (RePEc:spr:sistpr:v:27:y:2024:i:3:d:10.1007_s11203-024-09312-7)
by Joseph de Vilmarest & Olivier Wintenberger - Kalman recursions Aggregated Online (RePEc:spr:stpapr:v:65:y:2024:i:2:d:10.1007_s00362-023-01410-7)
by Eric Adjakossa & Yannig Goude & Olivier Wintenberger - Goodness-of-fit tests for Log-GARCH and EGARCH models (RePEc:spr:testjl:v:27:y:2018:i:1:d:10.1007_s11749-016-0506-2)
by Christian Francq & Olivier Wintenberger & Jean-Michel Zakoïan - Multivariate Sparse Clustering for Extremes (RePEc:taf:jnlasa:v:119:y:2024:i:547:p:1911-1922)
by Nicolas Meyer & Olivier Wintenberger - A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model” (RePEc:tin:wpaper:20150131)
by Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger - Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models (RePEc:tin:wpaper:20160082)
by Francisco Blasques & Paolo Gorgi & Siem Jan Koopman & Olivier Wintenberger - Prediction of time series by statistical learning: general losses and fast rates (RePEc:vrs:demode:v:1:y:2013:i:2013:p:65-93:n:4)
by Alquier Pierre & Li Xiaoyin & Wintenberger Olivier - Prediction of time series by statistical learning: general losses and fast rates (RePEc:vrs:demode:v:1:y:2014:i::p:65-93:n:4)
by Alquier Pierre & Li Xiaoyin & Wintenberger Olivier