| Publication | Date of Publication | Type |
|---|
Dynamic core-satellite investing using higher order moments: an explicit solution
Quantitative Finance | 2024-04-12 | Paper |
| highfrequency | 2023-10-04 | Software |
ETF basket-adjusted covariance estimation
Journal of Econometrics | 2023-06-29 | Paper |
Interpretability of composite indicators based on principal components
Journal of Probability and Statistics | 2022-11-15 | Paper |
The optimal payoff for a Yaari investor
Quantitative Finance | 2022-10-14 | Paper |
Estimation and decomposition of food price inflation risk
Statistical Methods and Applications | 2022-07-07 | Paper |
| GAS | 2022-02-04 | Software |
Analyzing Intraday Financial Data in R: The highfrequency Package
Journal of Statistical Software | 2022-01-01 | Paper |
Robust interactive fixed effects
Econometrics and Statistics | 2022-01-01 | Paper |
| sentometrics | 2021-08-18 | Software |
The R Package sentometrics to Compute, Aggregate, and Predict with Textual Sentiment
Journal of Statistical Software | 2021-01-01 | Paper |
Analyzing intraday financial data in R: The highfrequency package
SSRN Electronic Journal | 2021-01-01 | Paper |
Multivariate GARCH models for large-scale applications: a survey
Handbook of Statistics | 2020-08-18 | Paper |
Nearest comoment estimation with unobserved factors
Journal of Econometrics | 2020-06-18 | Paper |
The effect of velocity sparsity on the performance of cardinality constrained particle swarm optimization
Optimization Letters | 2020-04-27 | Paper |
The minimum regularized covariance determinant estimator
Statistics and Computing | 2020-02-26 | Paper |
The minimum regularized covariance determinant estimator
Statistics and Computing | 2019-04-02 | Paper |
Generalized Autoregressive Score Models in R: The GAS Package
Journal of Statistical Software | 2019-01-01 | Paper |
Jump robust two time scale covariance estimation and realized volatility budgets
Quantitative Finance | 2018-09-19 | Paper |
Block rearranging elements within matrix columns to minimize the variability of the row sums
4OR | 2018-04-13 | Paper |
The impact of covariance misspecification in risk-based portfolios
Annals of Operations Research | 2017-08-25 | Paper |
The impact of covariance misspecification in risk-based portfolios
Annals of Operations Research | 2017-03-22 | Paper |
Positive semidefinite integrated covariance estimation, factorizations and asynchronicity
Journal of Econometrics | 2017-01-13 | Paper |
The Gaussian rank correlation estimator: robustness properties
Statistics and Computing | 2015-10-16 | Paper |
Robust M-estimation of multivariate GARCH models
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
The impact of a sustainability constraint on the mean-tracking error efficient frontier
Economics Letters | 2014-03-17 | Paper |
Jump robust daily covariance estimation by disentangling variance and correlation components
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
Robust explicit estimators of Weibull parameters
Metrika | 2011-02-18 | Paper |
