On robust testing for conditional heteroscedasticity in time series models. - Pierre Duchesne (Comput. Stat. Data Anal., 2004)

Testing for multivariate autoregressive conditional heteroskedasticity using wavelets. - Pierre Duchesne (Comput. Stat. Data Anal., 2006)

Evaluating financial time series models for irregularly spaced data: A spectral density approach. - Pierre Duchesne; Maria Pacurar (Comput. Oper. Res., 2008)

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. - Jennifer Poulin; Pierre Duchesne (Comput. Stat. Data Anal., 2008)

The Fifth Special Issue on Computational Econometrics. - David A. Belsley; Pierre Duchesne; George Kapetanios; Erricos John Kontoghiorghes; Marc S. Paolella; Herman K. van Dijk (Comput. Stat. Data Anal., 2010)

On testing for serial correlation of unknown form using wavelet thresholding. - Pierre Duchesne; Linyuan Li; Jill Vandermeerschen (Comput. Stat. Data Anal., 2010)

Computing the distribution of quadratic forms: Further comparisons between the Liu-Tang-Zhang approximation and exact methods. - Pierre Duchesne; Pierre Lafaye de Micheaux (Comput. Stat. Data Anal., 2010)

The Annals of Computational and Financial Econometrics, first issue. - David A. Belsley; Erricos John Kontoghiorghes; Herman K. van Dijk; Luc Bauwens; Siem Jan Koopman; Michael McAleer; Alessandra Amendola; Monica Billio; Christophe Croux; Cathy W. S. Chen; Russell Davidson; Pierre Duchesne; et al. (Comput. Stat. Data Anal., 2012)

On wavelet-based testing for serial correlation of unknown form using Fan's adaptive Neyman method. - Linyuan Li; Shan Yao; Pierre Duchesne (Comput. Stat. Data Anal., 2014)