| Publication | Date of Publication | Type |
|---|
Forecasting time series by long-memory models for count data with an application to price jumps
AStA. Advances in Statistical Analysis | 2025-12-16 | Paper |
Time series clustering based on latent volatility mixture modeling with applications in finance
Mathematics and Computers in Simulation | 2025-01-09 | Paper |
Measuring climate transition risk spillovers
Review of Finance | 2024-10-30 | Paper |
ESG risk exposure: a tale of two tails
Quantitative Finance | 2024-08-26 | Paper |
Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH
Statistica Neerlandica | 2024-07-16 | Paper |
Estimating time-varying proximity with a state–space model
Journal of Statistical Computation and Simulation | 2023-09-19 | Paper |
Proximity-structured multivariate volatility models
Econometric Reviews | 2022-06-03 | Paper |
Dynamic large financial networks \textit{via} conditional expected shortfalls
European Journal of Operational Research | 2022-02-22 | Paper |
Fast clustering of GARCH processes via Gaussian mixture models
Mathematics and Computers in Simulation | 2021-02-15 | Paper |
Chasing volatility. A persistent multiplicative error model with jumps
Journal of Econometrics | 2020-02-11 | Paper |
Robust ranking of multivariate GARCH models by problem dimension
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Variance clustering improved dynamic conditional correlation MGARCH estimators
Computational Statistics and Data Analysis | 2018-11-23 | Paper |
Forecasting temperature indices density with time-varying long-memory models
Journal of Forecasting | 2018-10-11 | Paper |
Asset allocation strategies based on penalized quantile regression
Computational Management Science | 2018-10-10 | Paper |
Ensemble properties of high-frequency data and intraday trading rules
Quantitative Finance | 2018-09-19 | Paper |
Precious metals under the microscope: a high-frequency analysis
Quantitative Finance | 2018-09-19 | Paper |
Misspecification tests for periodic long memory GARCH models
Statistical Methods and Applications | 2016-03-17 | Paper |
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Journal of Econometrics | 2015-06-08 | Paper |
Option pricing with non-Gaussian scaling and infinite-state switching volatility
Journal of Econometrics | 2015-06-08 | Paper |
Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
Computational Statistics and Data Analysis | 2014-04-14 | Paper |
Modelling and forecasting wind speed intensity for weather risk management
Computational Statistics and Data Analysis | 2012-12-30 | Paper |
A generalized dynamic conditional correlation model for portfolio risk evaluation
Mathematics and Computers in Simulation | 2009-06-18 | Paper |
Generalised long-memory GARCH models for intra-daily volatility
Computational Statistics and Data Analysis | 2009-06-02 | Paper |
Periodic Long-Memory GARCH Models
Econometric Reviews | 2009-03-17 | Paper |
Variance (Non) Causality in Multivariate GARCH
Econometric Reviews | 2007-04-18 | Paper |
Multivariate Markov switching dynamic conditional correlation GARCH representations for contagion analysis
Statistical Methods and Applications | 2006-03-28 | Paper |
A note on calculating autocovariances of long‐memory processes
Journal of Time Series Analysis | 2005-05-20 | Paper |
Identification of long memory in GARCH models
Statistical Methods and Applications | 2005-03-03 | Paper |
