Details about Prosper Dovonon

Access statistics for papers by Prosper Dovonon.

Last updated 2023-01-21. Update your information in the RePEc Author Service.

Short-id: pdo318

Working Papers

2023

1. Efficiency bounds for moment condition models with mixed identification strength
   School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy

2019

2. Relevant moment selection under mixed identification strength
   School of Economics and Public Policy Working Papers, University of Adelaide, School of Economics and Public Policy

2017

3. Bootstrapping high-frequency jump tests
   TSE Working Papers, Toulouse School of Economics (TSE) View citations (10)
   Also in IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse (2017) View citations (1)
   CIRANO Working Papers, CIRANO (2016)
4. ROBUST ESTIMATION WITH EXPONENTIALLY TILTED HELLINGER DISTANCE
   Discussion Papers, Department of Economics, Simon Fraser University View citations (1)

2014

5. Bootstrapping the GMM overidentification test Under first-order underidentification
   CIRANO Working Papers, CIRANO View citations (11)

2012

6. Conditionally heteroskedastic factor models with skewness and leverage effects
   MPRA Paper, University Library of Munich, Germany View citations (3)
   See also Journal Article CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS WITH SKEWNESS AND LEVERAGE EFFECTS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (5) (2013)
7. Testing for Common GARCH Factors
   CIRANO Working Papers, CIRANO View citations (2)
   Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (1)

2010

8. Bootstrapping realized multivariate volatility measures
   MPRA Paper, University Library of Munich, Germany View citations (10)
   See also Journal Article Bootstrapping realized multivariate volatility measures, Journal of Econometrics, Elsevier (2013) View citations (23) (2013)
9. Large sample properties of the three-step euclidean likelihood estimators under model misspecification
   MPRA Paper, University Library of Munich, Germany View citations (4)
   See also Journal Article Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification, Econometric Reviews, Taylor & Francis Journals (2016) View citations (4) (2016)

Journal Articles

2016

1. Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification
   Econometric Reviews, 2016, 35, (4), 465-514 View citations (4)
   See also Working Paper Large sample properties of the three-step euclidean likelihood estimators under model misspecification, MPRA Paper (2010) View citations (4) (2010)

2013

2. Bootstrapping realized multivariate volatility measures
   Journal of Econometrics, 2013, 172, (1), 49-65 View citations (23)
   See also Working Paper Bootstrapping realized multivariate volatility measures, MPRA Paper (2010) View citations (10) (2010)
3. CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS WITH SKEWNESS AND LEVERAGE EFFECTS
   Journal of Applied Econometrics, 2013, 28, (7), 1110-1137 View citations (5)
   See also Working Paper Conditionally heteroskedastic factor models with skewness and leverage effects, MPRA Paper (2012) View citations (3) (2012)
4. Testing for Common Conditionally Heteroskedastic Factors
   Econometrica, 2013, 81, (6), 2561-2586 View citations (30)

2012

5. Inference about long run canonical correlations
   Journal of Time Series Analysis, 2012, 33, (4), 665-683 View citations (2)