| Publication | Date of Publication | Type |
|---|
Monitoring Network Changes in Social Media
Journal of Business and Economic Statistics | 2024-10-28 | Paper |
Managing air quality: predicting exceedances of legal limits for PM10 and O\(_3\) concentration using machine learning methods
Environmetrics | 2024-10-28 | Paper |
Optimal Shrinkage-Based Portfolio Selection in High Dimensions
Journal of Business and Economic Statistics | 2024-08-13 | Paper |
Statistical Inference for the Expected Utility Portfolio in High Dimensions
IEEE Transactions on Signal Processing | 2022-09-23 | Paper |
A multivariate volatility vine copula model
Econometric Reviews | 2022-02-24 | Paper |
scientific article; zbMATH DE number 7142728 (Why is no real title available?)
| 2019-12-12 | Paper |
A partial correlation vine based approach for modeling and forecasting multivariate volatility time-series
Computational Statistics and Data Analysis | 2019-11-22 | Paper |
Tail event driven networks of SIFIs
Journal of Econometrics | 2019-04-26 | Paper |
GARCH processes and the phenomenon of misleading and unambiguous signals
Applied Stochastic Models in Business and Industry | 2019-02-08 | Paper |
Bayesian inference for the tangent portfolio
International Journal of Theoretical and Applied Finance | 2019-01-10 | Paper |
Determination and estimation of risk aversion coefficients
Computational Management Science | 2018-11-07 | Paper |
Using information quality for volatility model combinations
Quantitative Finance | 2018-09-19 | Paper |
Behavior of EWMA type control charts for small smoothing parameters
Computational Statistics and Data Analysis | 2018-08-21 | Paper |
Bayesian estimation of the global minimum variance portfolio
European Journal of Operational Research | 2018-05-24 | Paper |
Basic elements of computational statistics
Statistics and Computing | 2017-11-27 | Paper |
On the structure and estimation of hierarchical Archimedean copulas
Journal of Econometrics | 2017-05-12 | Paper |
Distributional properties of portfolio weights
Journal of Econometrics | 2016-05-02 | Paper |
Distribution of the product of a singular Wishart matrix and a normal vector
Theory of Probability and Mathematical Statistics | 2016-02-24 | Paper |
Quality surveillance with EWMA control charts based on exact control limits
Statistical Papers | 2015-08-03 | Paper |
Robust surveillance of covariance matrices using a single observation
Sankhyā. Series A | 2015-02-23 | Paper |
Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
Applied Mathematics and Computation | 2014-01-31 | Paper |
Dynamic structured copula models
Statistics \& Risk Modeling | 2014-01-22 | Paper |
On the exact and approximate distributions of the product of a Wishart matrix with a normal vector
Journal of Multivariate Analysis | 2014-01-13 | Paper |
Properties of hierarchical Archimedean copulas
Statistics & Risk Modeling | 2013-04-23 | Paper |
On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory
Scandinavian Journal of Statistics | 2012-09-01 | Paper |
Comparison of different estimation techniques for portfolio selection
AStA. Advances in Statistical Analysis | 2011-08-25 | Paper |
Nonparametric monitoring of equal predictive ability
Journal of Statistical Planning and Inference | 2011-06-24 | Paper |
Surveillance of the covariance matrix based on the properties of the singular Wishart distribution
Computational Statistics and Data Analysis | 2010-04-01 | Paper |
Flexible shrinkage in portfolio selection
Journal of Economic Dynamics and Control | 2009-08-07 | Paper |
Modeling Dependencies with Copulae
Applied Quantitative Finance | 2008-12-01 | Paper |
Properties of the singular, inverse and generalized inverse partitioned Wishart distributions
Journal of Multivariate Analysis | 2008-11-27 | Paper |
EWMA Charts for Multivariate Output: Some Stochastic Ordering Results
Communications in Statistics: Theory and Methods | 2008-10-28 | Paper |
ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
International Journal of Theoretical and Applied Finance | 2008-08-26 | Paper |
scientific article; zbMATH DE number 5302222 (Why is no real title available?)
| 2008-07-21 | Paper |
scientific article; zbMATH DE number 5302223 (Why is no real title available?)
| 2008-07-21 | Paper |
On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in σ
Statistics & Decisions | 2008-01-18 | Paper |
Discussion on “Sequential Design and Estimation in Heteroscedastic Nonparametric Regression” by Sam Efromovich
Sequential Analysis | 2007-03-21 | Paper |
Tail behaviour of a general family of control charts
Statistics & Decisions | 2004-03-08 | Paper |
