Details about Olivier Wintenberger

Access statistics for papers by Olivier Wintenberger.

Last updated 2024-11-07. Update your information in the RePEc Author Service.

Short-id: pwi297

Working Papers

2022

1. AdaVol: An Adaptive Recursive Volatility Prediction Method
   Post-Print, HAL View citations (2)
   Also in Papers, arXiv.org (2021)
   See also Journal Article AdaVol: An Adaptive Recursive Volatility Prediction Method, Econometrics and Statistics, Elsevier (2022) View citations (2) (2022)

2018

2. Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models
   Post-Print, HAL View citations (2)
   Also in Papers, arXiv.org (2016) View citations (7)

2017

3. On the tail behavior of a class of multivariate conditionally heteroskedastic processes
   Papers, arXiv.org View citations (1)
   Also in Post-Print, HAL (2017)

2016

4. Feasible Invertibility Conditions and Maximum Likelihood Estimation for Observation-Driven Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (18)

2015

5. A Note on “Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model”
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)

2013

6. Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
   MPRA Paper, University Library of Munich, Germany View citations (71)
   See also Journal Article Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2013) View citations (70) (2013)

2012

7. Garch models without positivity constraints: exponential or log garch?
   MPRA Paper, University Library of Munich, Germany View citations (15)
   See also Journal Article GARCH models without positivity constraints: Exponential or log GARCH?, Journal of Econometrics, Elsevier (2013) View citations (37) (2013)

2005

8. An Invariance Principle for New Weakly Dependent Stationary Models using Sharp Moment Assumptions
   Working Papers, Center for Research in Economics and Statistics View citations (1)

Journal Articles

2024

1. Kalman recursions Aggregated Online
   Statistical Papers, 2024, 65, (2), 909-944
2. Multivariate Sparse Clustering for Extremes
   Journal of the American Statistical Association, 2024, 119, (547), 1911-1922
3. Viking: variational Bayesian variance tracking
   Statistical Inference for Stochastic Processes, 2024, 27, (3), 839-860

2023

4. Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference
   Stochastic Processes and their Applications, 2023, 161, (C), 68-101

2022

5. AdaVol: An Adaptive Recursive Volatility Prediction Method
   Econometrics and Statistics, 2022, 23, (C), 19-35 View citations (2)
   See also Working Paper AdaVol: An Adaptive Recursive Volatility Prediction Method, Post-Print (2022) View citations (2) (2022)
6. Asymptotic independence ex machina: Extreme value theory for the diagonal SRE model
   Journal of Time Series Analysis, 2022, 43, (5), 750-780
7. Contrast estimation of time-varying infinite memory processes
   Stochastic Processes and their Applications, 2022, 152, (C), 32-85

2019

8. Heavy tails for an alternative stochastic perpetuity model
   Stochastic Processes and their Applications, 2019, 129, (11), 4638-4662
9. The tail empirical process of regularly varying functions of geometrically ergodic Markov chains
   Stochastic Processes and their Applications, 2019, 129, (11), 4209-4238 View citations (4)

2018

10. Goodness-of-fit tests for Log-GARCH and EGARCH models
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2018, 27, (1), 27-51 View citations (6)

2014

11. Prediction of time series by statistical learning: general losses and fast rates
    Dependence Modeling, 2014, 1, (2013), 65-93 View citations (1)
    Also in Dependence Modeling, 2013, 1, (2013), 65-93 (2013) View citations (4)

2013

12. Continuous Invertibility and Stable QML Estimation of the EGARCH(1,1) Model
    Scandinavian Journal of Statistics, 2013, 40, (4), 846-867 View citations (70)
    See also Working Paper Continuous invertibility and stable QML estimation of the EGARCH(1,1) model, MPRA Paper (2013) View citations (71) (2013)
13. GARCH models without positivity constraints: Exponential or log GARCH?
    Journal of Econometrics, 2013, 177, (1), 34-46 View citations (37)
    See also Working Paper Garch models without positivity constraints: exponential or log garch?, MPRA Paper (2012) View citations (15) (2012)

2008

14. Weakly dependent chains with infinite memory
    Stochastic Processes and their Applications, 2008, 118, (11), 1997-2013 View citations (42)