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Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics, Bartels, M., and Ziegelmann F. A. , Insurance Mathematics & Economics, Volume 70, p.66-79, (2016)
Identifying the Finite Dimensionality of Curve Time Series, Bathia, N., Yao Q., and Ziegelmann F. A. , Annals of Statistics, Volume 38, p.3352-3386, (2010)
Machine Learning Methods and Time Series: a Through Comparison Study via Simulation and U.S. Inflation Forecasting, Boesch, K., and Ziegelmann F. A. , (Submitted)
Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data, Borges, B. K., Caldeira J. F., and Ziegelmann F. A. , Brazilian Review of Econometrics, Volume 35, p.23-46, (2015)