| Publication | Date of Publication | Type |
|---|
Quantifying extreme risks in high-frequency financial, energy, and commodity markets
Studies in Nonlinear Dynamics and Econometrics | 2026-08-31 | Paper |
Tail variance for generalised hyper-elliptical models -- corrigendum
ASTIN Bulletin | 2026-04-30 | Paper |
A nonparametric model for high-frequency energy prices
Studies in Nonlinear Dynamics and Econometrics | 2026-03-24 | Paper |
Tail variance for generalised hyper-elliptical models
ASTIN Bulletin | 2025-02-26 | Paper |
Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices
Journal of Business and Economic Statistics | 2025-01-20 | Paper |
Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging
Studies in Nonlinear Dynamics & Econometrics | 2024-06-11 | Paper |
Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals
Studies in Nonlinear Dynamics & Econometrics | 2023-04-19 | Paper |
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures
Insurance Mathematics & Economics | 2021-11-19 | Paper |
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method
Quantitative Finance | 2019-09-26 | Paper |
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
Journal of Statistical Theory and Practice | 2019-09-13 | Paper |
Conditional tail risk measures for the skewed generalised hyperbolic family
Insurance Mathematics & Economics | 2019-05-23 | Paper |
A Hybrid Model for Pricing and Hedging of Long-dated Bonds
Applied Mathematical Finance | 2018-09-18 | Paper |
Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
ASTIN Bulletin | 2018-06-05 | Paper |
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
Insurance Mathematics & Economics | 2016-12-13 | Paper |
Modeling spot price dependence in Australian electricity markets with applications to risk management
Computers & Operations Research | 2016-11-17 | Paper |
A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets
Studies in Nonlinear Dynamics & Econometrics | 2016-01-19 | Paper |
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
Insurance Mathematics & Economics | 2015-12-14 | Paper |
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
Insurance Mathematics & Economics | 2015-01-28 | Paper |
A tractable model for indices approximating the growth optimal portfolio
Studies in Nonlinear Dynamics & Econometrics | 2014-03-21 | Paper |
Estimating the diffusion coefficient function for a diversified world stock index
Computational Statistics and Data Analysis | 2012-07-16 | Paper |
Modelling co-movements and tail dependency in the international stock market via copulae
Asia-Pacific Financial Markets | 2010-10-06 | Paper |
