| Publication | Date of Publication | Type |
|---|
Modeling operational risk: estimation and effects of dependencies
Proceedings of COMPSTAT'2010 | 2020-07-14 | Paper |
PRICING DERIVATIVES IN HERMITE MARKETS
International Journal of Theoretical and Applied Finance | 2019-11-08 | Paper |
Value-at-Risk Prediction: A Comparison of Alternative Strategies
Journal of Financial Econometrics | 2019-08-01 | Paper |
The determination of the state covariance matrix of moving-average processes without computation
Economics Letters | 2016-01-01 | Paper |
Non-recursive methods for computing the coefficients of the autoregressive and the moving-average representation of mixed ARMA processes
Economics Letters | 2016-01-01 | Paper |
The real consequences of financial stress
Journal of Economic Dynamics and Control | 2015-12-22 | Paper |
Estimating a banking-macro model using a multi-regime VAR
Advances in Non-linear Economic Modeling | 2015-06-25 | Paper |
VaR-implied tail-correlation matrices
Economics Letters | 2014-06-18 | Paper |
Asymmetric multivariate normal mixture GARCH
Computational Statistics and Data Analysis | 2010-03-30 | Paper |
Differential evolution and combinatorial search for constrained index-tracking
Annals of Operations Research | 2010-03-01 | Paper |
Accurate value-at-risk forecasting based on the normal-GARCH model
Computational Statistics and Data Analysis | 2009-04-06 | Paper |
Portfolio Selection with Common Correlation Mixture Models
Contributions to Economics | 2009-02-26 | Paper |
Unconditional and conditional distributional models for the Nikkei index
Asia-Pacific Financial Markets | 2009-02-06 | Paper |
The Volatility of Realized Volatility
Econometric Reviews | 2008-11-19 | Paper |
| Portfolio selection in the presence of heavy-tailed asset returns | 2008-05-14 | Paper |
Portfolio optimization when risk factors are conditionally varying and heavy tailed
Computational Economics | 2007-08-17 | Paper |
| scientific article; zbMATH DE number 5145314 (Why is no real title available?) | 2007-04-20 | Paper |
Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances
Studies in Nonlinear Dynamics & Econometrics | 2006-01-27 | Paper |
Value-at-risk and asset allocation with stable return distributions
AStA. Allgemeines Statistisches Archiv | 2005-10-11 | Paper |
Stationarity of stable power-GARCH processes.
Journal of Econometrics | 2003-02-17 | Paper |
Computing the probability density function of the stable Paretian distribution
Mathematical and Computer Modelling | 2002-10-06 | Paper |
Statistical inference in regression with heavy-tailed integrated variables
Mathematical and Computer Modelling | 2002-06-13 | Paper |
The distribution of test statistics for outlier detection in heavy-tailed samples
Mathematical and Computer Modelling | 2002-06-13 | Paper |
A simple estimator for the characteristic exponent of the stable Paretian distribution
Mathematical and Computer Modelling | 2002-05-05 | Paper |
Maximum likelihood estimation of stable Paretian models.
Mathematical and Computer Modelling | 2002-05-05 | Paper |
Option pricing for stable and infinitely divisible asset returns
Mathematical and Computer Modelling | 2002-05-05 | Paper |
Test of association between multivariate stable vectors.
Mathematical and Computer Modelling | 2002-05-05 | Paper |
A new representation for the characteristic function of strictly geo-stable vectors
Journal of Applied Probability | 2002-02-17 | Paper |
| scientific article; zbMATH DE number 1471877 (Why is no real title available?) | 2001-06-11 | Paper |
| Stable Paretian models in finance | 2001-04-08 | Paper |
| scientific article; zbMATH DE number 1359993 (Why is no real title available?) | 2001-03-09 | Paper |
Time series with unit roots and infinite-variance disturbances
Applied Mathematics Letters | 2000-07-03 | Paper |
| scientific article; zbMATH DE number 1301874 (Why is no real title available?) | 1999-11-29 | Paper |
An approximation procedure for asymmetric stable Paretian densities
Computational Statistics | 1999-09-14 | Paper |
A tail estimator for the index of the stable paretian distribution<sup>∗</sup>
Communications in Statistics: Theory and Methods | 1998-11-09 | Paper |
Testing cointegrating coefficients in vector autoregressive error correction models
Economics Letters | 1998-08-13 | Paper |
Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances
Communications in Statistics. Stochastic Models | 1998-01-21 | Paper |
Integral and asymptotic representations of geo-stable densities
Applied Mathematics Letters | 1997-07-20 | Paper |
Tail estimation of the stable index \(\alpha\)
Applied Mathematics Letters | 1997-02-09 | Paper |
Stable GARCH models for financial time series
Applied Mathematics Letters | 1996-05-02 | Paper |
Modeling asset returns with alternative stable distributions<sup>*</sup>
Econometric Reviews | 1994-11-30 | Paper |
| scientific article; zbMATH DE number 472948 (Why is no real title available?) | 1994-10-27 | Paper |
Kalman-filtering methods for computing information matrices for time- invariant, periodic, and generally time-varying VARMA models and samples
Computers & Mathematics with Applications | 1994-09-25 | Paper |
Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
Journal of Econometrics | 1994-02-16 | Paper |
Asymptotic Distributions of Impulse Responses, Step Responses, and Variance Decompositions of Estimated Linear Dynamic Models
Econometrica | 1994-02-02 | Paper |
Forecasting international growth rates with leading indicators: A system- theoretic approach
Computers & Mathematics with Applications | 1993-02-11 | Paper |
| scientific article; zbMATH DE number 4197687 (Why is no real title available?) | 1991-01-01 | Paper |
Derivation of the unconditional state-covariance matrix for exact maximum-likelihood estimation of ARMA models
Journal of Economic Dynamics and Control | 1991-01-01 | Paper |
| scientific article; zbMATH DE number 4147357 (Why is no real title available?) | 1990-01-01 | Paper |
Modeling nonlinear processes with generalized autoregressions
Applied Mathematics Letters | 1990-01-01 | Paper |
Stable distributions for asset returns
Applied Mathematics Letters | 1989-01-01 | Paper |
Multivariate time series analysis with state space models
Computers & Mathematics with Applications | 1989-01-01 | Paper |
Iterative versus noniterative derivation of moving average parameters of ARMA processes
Applied Mathematics Letters | 1988-01-01 | Paper |
Derivation of the theoretical autocovariance and autocorrelation function of autoregessive moving average processes
Communications in Statistics: Theory and Methods | 1988-01-01 | Paper |
