Flávio Augusto Ziegelmann

Available identifiers

zbMath Open ziegelmann.flavio-augustoMaRDI QIDQ1997018

List of research outcomes

Publication	Date of Publication	Type
Robust nonparametric frontier estimation in two steps	2023-09-18	Paper
Mixing conditions of conjugate processes	2021-06-29	Paper
Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations	2021-03-01	Paper
Robust factor modelling for high-dimensional time series: an application to air pollution data	2019-11-25	Paper
Dynamic D-vine copula model with applications to Value-at-Risk (VaR)	2019-06-11	Paper
Conjugate processes: theory and application to risk forecasting	2018-02-13	Paper
LASSO‐Type Penalties for Covariate Selection and Forecasting in Time Series	2017-12-08	Paper
Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics	2016-12-13	Paper
Identifying the spectral representation of Hilbertian time series	2016-09-13	Paper
Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)	2015-04-27	Paper
Modeling dependence dynamics through copulas with regime switching	2012-05-11	Paper
Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class	2011-07-29	Paper
Identifying the finite dimensionality of curve time series	2011-01-19	Paper
A Local Linear Least-Absolute-Deviations Estimator of Volatility	2008-12-04	Paper
https://portal.mardi4nfdi.de/entity/Q3157579	2005-01-19	Paper
NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR	2003-05-18	Paper

Research outcomes over time

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