Publications

Refereed Journals – Original Articles

2022: “Bootstrap specification tests for dynamic conditional distribution models,” with Mervyn J. Silvapulle, The Journal of Econometrics (in press).

2022: “A class of Minimum Distance Estimators in Markovian Multiplicative Error Models,” with Hira L. Koul and N. Balakrishna, Sankhya B, pp. 1-29.

2021: “Bootstrap based probability forecasting in multiplicative error models,” with Mervyn J. Silvapulle, The Journal of Econometrics, volume 221, issue 01, pp. 1–24.

2021: “A minimum distance lack-of-fit test in a Markovian multiplicative error model," with Hira L. Koul, Journal of Statistical Theory and Practice, volume 15(2). 1-22. Celebrating the Centenary of Professor C. R. Rao.

2019: “Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts," with David Harris, Gael M. Martin and Donald Poskitt, The Journal of Computational and Graphical Statistics, volume 28, issue 01, pp. 92-104.

2017: “Fitting a Two Phase Threshold Multiplicative Error Model,” with Hira L. Koul, The Journal of Econometrics, volume 197, issue 02, pp. 348–367.

2017: “Specification Tests for Multiplicative Error Models,” with Mervyn J. Silvapulle, Econometric Theory, volume 33, issue 02, pp. 413–438.

2016: “A goodness-of-fit test for a class of autoregressive conditional duration models,” with Javier Hidalgo and Mervyn J. Silvapulle, Econometric Reviews, 35(6), pp. 1111–1141.

2012: “Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models,” with Hira L. Koul and Mervyn J. Silvapulle, Econometric Theory, volume 28, issue 06, pp. 1283-1312.

Non-Refereed Abstracts, Reports & other Publications

Cavaliere, Giuseppe, Indeewara Perera, and Anders Rahbek. "Specification tests for GARCH processes." arXiv preprint arXiv:2105.14081 (2021).

Perera, Indeewara, and Mervyn J. Silvapulle. "Specification tests for time series models with GARCH-type conditional variance." Available at SSRN 3141822 (2018).

Harris, David, Gael M. Martin, Indeewara Perera, and Don S. Poskitt. "Construction and visualization of optimal confidence sets for frequentist distributional forecasts." arXiv preprint arXiv:1708.02234 (2017).