E-LIB Suche - Ergebnisse für: Ziegelmann, Flávio A.

1

Realized semicovariances: Empirical applications to volatil..:

Ricco, Rafael ; Ziegelmann, Flavio A.
Brazilian Review of Finance. 21 (2023) 3 - p. 99-122 , 2023

Link: https://doi.org/10.12660..

2

Robust nonparametric frontier estimation in two steps:

Chen, Yining ; Torrent, Hudson S. ; Ziegelmann, Flavio A.
Econometric Reviews. 42 (2023) 7 - p. 612-634 , 2023

Link: https://doi.org/10.1080/..

3

A pairs trading strategy based on mixed copulas:

Sabino da Silva, Fernando A.B. ; Ziegelmann, Flavio A. ; Caldeira, João F.
The Quarterly Review of Economics and Finance. 87 (2023) - p. 16-34 , 2023

Link: https://doi.org/10.1016/..

4

Measuring systemic risk via GAS models and extreme value th..:

Gavronski, Pedro Gerhardt ; Ziegelmann, Flavio A.
Finance Research Letters. 38 (2021) - p. 101498 , 2021

Link: https://doi.org/10.1016/..

5

Dynamic D-Vine Copula Model with Applications to Value-at-R..:

Tófoli, Paula V. ; Ziegelmann, Flávio A. ; Candido, Osvaldo.
Journal of Time Series Econometrics. 11 (2019) 2 - p. , 2019

Link: https://doi.org/10.1515/..

6

Dynamics of financial returns densities: A functional appro..:

Horta, Eduardo ; Ziegelmann, Flavio
International Journal of Forecasting. 34 (2018) 1 - p. 75-88 , 2018

Link: https://doi.org/10.1016/..

7

Conjugate processes: Theory and application to risk forecas..:

Horta, Eduardo ; Ziegelmann, Flavio
Stochastic Processes and their Applications. 128 (2018) 3 - p. 727-755 , 2018

Link: https://doi.org/10.1016/..

8

A Comparison Study of Copula Models for European Financial ..:

Tofoli, Paula V. ; Ziegelmann, Flavio A. ; Candido, Osvaldo
International Journal of Economics and Finance. 9 (2017) 10 - p. 155 , 2017

Link: https://doi.org/10.5539/..

9

Identifying the spectral representation of Hilbertian time ..:

Horta, Eduardo ; Ziegelmann, Flavio
Statistics & Probability Letters. 118 (2016) - p. 45-49 , 2016

Link: https://doi.org/10.1016/..

10

Market risk forecasting for high dimensional portfolios via..:

Bartels, Mariana ; Ziegelmann, Flavio A.
Insurance: Mathematics and Economics. 70 (2016) - p. 66-79 , 2016

Link: https://doi.org/10.1016/..

11

LASSO‐Type Penalties for Covariate Selection and Forecastin..:

Konzen, Evandro ; Ziegelmann, Flavio A.
Journal of Forecasting. 35 (2016) 7 - p. 592-612 , 2016

Link: https://doi.org/10.1002/..

12

Volatility Forecasting via MIDAS, HAR and their Combination..:

Santos, Douglas G. ; Ziegelmann, Flavio A.
Journal of Forecasting. 33 (2014) 4 - p. 284-299 , 2014

Link: https://doi.org/10.1002/..

13

Assessing dependence between financial market indexes using..:

Silva Filho, Osvaldo C. ; Ziegelmann, Flavio A. ; Dueker, Michael J.
Quantitative Finance. 14 (2013) 12 - p. 2155-2170 , 2013

Link: https://doi.org/10.1080/..

14

A nonparametric method for estimating asymmetric densities ..:

Saulo, Helton ; Leiva, Víctor ; Ziegelmann, Flavio A..
Stochastic Environmental Research and Risk Assessment. 27 (2013) 6 - p. 1479-1491 , 2013

Link: https://doi.org/10.1007/..

15

Semiparametric estimation of volatility: some models and co..:

Ziegelmann, Flavio A.
Journal of Statistical Computation and Simulation. 81 (2011) 6 - p. 707-728 , 2011

Link: https://doi.org/10.1080/..