Details about Pierre Duchesne

Access statistics for papers by Pierre Duchesne.

Last updated 2010-09-06. Update your information in the RePEc Author Service.

Short-id: pdu23

Working Papers

2010

1. On testing for the mean vector of a multivariate distribution with generalized and {2}-inverses
   MPRA Paper, University Library of Munich, Germany

2005

2. Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange
   Cahiers de recherche, CIRPEE View citations (4)
   See also Journal Article Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange, Journal of Empirical Finance, Elsevier (2009) View citations (36) (2009)

Journal Articles

2010

1. Computing the distribution of quadratic forms: Further comparisons between the Liu-Tang-Zhang approximation and exact methods
   Computational Statistics & Data Analysis, 2010, 54, (4), 858-862 View citations (29)
2. Corrigendum to: "On matricial measures of dependence in vector ARCH models with applications to diagnostic checking" [Statist. Probab. Lett. 68 (2004) 149-160]
   Statistics & Probability Letters, 2010, 80, (9-10), 910-910
3. On kernel nonparametric regression designed for complex survey data
   Metrika: International Journal for Theoretical and Applied Statistics, 2010, 72, (1), 111-138 View citations (5)
4. On testing for serial correlation of unknown form using wavelet thresholding
   Computational Statistics & Data Analysis, 2010, 54, (11), 2512-2531 View citations (5)
5. The Fifth Special Issue on Computational Econometrics
   Computational Statistics & Data Analysis, 2010, 54, (11), 2359-2359

2009

6. Estimation and model adequacy checking for multivariate seasonal autoregressive time series models with periodically varying parameters
   Statistica Neerlandica, 2009, 63, (2), 183-212 View citations (1)
7. Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange
   Journal of Empirical Finance, 2009, 16, (5), 777-792 View citations (36)
   See also Working Paper Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange, Cahiers de recherche (2005) View citations (4) (2005)
8. On modelling and diagnostic checking of vector periodic autoregressive time series models
   Journal of Time Series Analysis, 2009, 30, (1), 70-96 View citations (10)
9. On multiplicative seasonal modelling for vector time series
   Statistics & Probability Letters, 2009, 79, (19), 2045-2052 View citations (1)

2008

10. Diagnostic checking of multivariate nonlinear time series models with martingale difference errors
    Statistics & Probability Letters, 2008, 78, (8), 997-1005 View citations (5)
11. On the power transformation of kernel-based tests for serial correlation in vector time series: Some finite sample results and a comparison with the bootstrap
    Computational Statistics & Data Analysis, 2008, 52, (9), 4432-4457 View citations (2)

2006

12. ON TESTING FOR SERIAL CORRELATION WITH A WAVELET-BASED SPECTRAL DENSITY ESTIMATOR IN MULTIVARIATE TIME SERIES
    Econometric Theory, 2006, 22, (4), 633-676 View citations (9)
13. Testing for multivariate autoregressive conditional heteroskedasticity using wavelets
    Computational Statistics & Data Analysis, 2006, 51, (4), 2142-2163 View citations (9)

2005

14. On the asymptotic distribution of residual autocovariances in VARX models with applications
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2005, 14, (2), 449-473 View citations (3)
15. Robust and powerful serial correlation tests with new robust estimates in ARX models
    Journal of Time Series Analysis, 2005, 26, (1), 49-81 View citations (1)
16. Testing for serial correlation of unknown form in cointegrated time series models
    Annals of the Institute of Statistical Mathematics, 2005, 57, (3), 575-595 View citations (4)

2004

17. On consistent testing for serial correlation of unknown form in vector time series models
    Journal of Multivariate Analysis, 2004, 89, (1), 148-180 View citations (10)
18. On matricial measures of dependence in vector ARCH models with applications to diagnostic checking
    Statistics & Probability Letters, 2004, 68, (2), 149-160 View citations (5)
19. On robust testing for conditional heteroscedasticity in time series models
    Computational Statistics & Data Analysis, 2004, 46, (2), 227-256 View citations (4)
20. On the asymptotic distribution of the residual autocovariance matrices in the autoregressive conditional multinomial model
    Economics Letters, 2004, 83, (2), 193-197

2002

21. Principal Component Analysis from the Multivariate Familial Correlation Matrix
    Journal of Multivariate Analysis, 2002, 82, (2), 457-470 View citations (2)