D. Pena

Statistics and Probability · 1997–2016

A researcher in the Science corpus: 15 papers; trusts 31 researchers and is trusted by 41 researchers here, as inferred from the citation graph.

Subfields

• Statistics and Probability — 27 citations into it; #2,183 of 12,932 by trust here, #2,858 by citations
• Economics and Econometrics — 21 citations into it; #3,847 of 23,481 by trust here, #8,121 by citations
• Finance — 21 citations into it; #1,448 of 10,518 by trust here, #2,212 by citations
• Artificial Intelligence — 9 citations into it; #14,577 of 35,345 by trust here, #32,362 by citations
• Time-Series & Forecasting — 5 citations into it

Whom D. Pena trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Hirotugu Akaike
2. M. Forni
3. Tim Bollerslev
4. R. Fisher
5. Marc Hallin
6. Robert F. Engle
7. Marco Lippi
8. John Hartigan
9. Daniel B. Nelson
10. Siegfried Hormann

Who trusts D. Pena overall

1. Clifford Lam
2. Qiwei Yao
3. James H. Stock
4. Esam Mahdi
5. Jiazhu Pan
6. Adrian E. Raftery
7. Ricardo Fraiman
8. David E. Tyler
9. Jari Miettinen
10. Julio Rodríguez

Papers from D. Pena's perspective

Ordered by how strongly the researchers D. Pena trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
3. Determining the number of factors in approximate factor models with global and group-specific factors
4. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH
5. Statistics for long-memory processes
6. MODELING AND FORECASTING REALIZED VOLATILITY
7. Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
8. Time Series Analysis: Forecasting and Control
9. The Generalized Dynamic-Factor Model: Identification and Estimation
10. Factor modeling for high-dimensional time series: inference for the number of factors

Their papers

• Forecasting with nonstationary dynamic factor models (2004) — 79 citations
• Nonstationary dynamic factor analysis (2006) — 151 citations
• Persistence and Kurtosis in GARCH and Stochastic Volatility Models (2004) — 208 citations
• Cluster Identification Using Projections (2001) — 115 citations
• Forecasting time series with sieve bootstrap (2002) — 107 citations
• Outliers in multivariate time series (2000) — 189 citations
• A Powerful Portmanteau Test of Lack of Fit for Time Series (2002) — 135 citations
• Covariance changes detection in multivariate time series (2007) — 60 citations
• Effects of outliers on the identification and estimation of GARCH models (2007) — 110 citations
• The Identification of Multiple Outliers in ARIMA Models (2003) — 53 citations
• Descriptive measures of multivariate scatter and linear dependence (2003) — 81 citations
• Robust Estimation for ARMA models (2009) — 92 citations
• Generalized Dynamic Principal Components (2016) — 51 citations
• The log of the determinant of the autocorrelation matrix for testing goodness of fit in time series (2006) — 88 citations
• A multivariate Kolmogorov-Smirnov test of goodness of fit (1997)