@article {8308, title = {An adaLASSO variation for seasonal time series}, year = {Submitted}, author = {Rangel, L. N. and F. A. Ziegelmann and E. Konzen} } @article {8306, title = {Combining LASSO-Type Methods with a Smooth Transition Random Forest}, year = {Submitted}, author = {Gandini, A. and F. A. Ziegelmann} } @article {8493, title = {Dynamic Factor Copulas for Minimum-CVaR Portfolio Optimization}, year = {Submitted}, author = {G. Alovisi and F. A. Ziegelmann} } @article {8492, title = {Forecasting Tail Risk for Energy Markets via Dynamic GAS Vine Copulas}, year = {Submitted}, author = {L. Abreu and P. Tofoli and F. A. Ziegelmann} } @article {8305, title = {Machine Learning Methods and Time Series: a Through Comparison Study via Simulation and U.S. Inflation Forecasting}, year = {Submitted}, author = {Boesch, K. and F. A. Ziegelmann} } @article {7724, title = {Measuring and explaining efficiency of different countries responses to COVID-19 pandemic: a conditional robust nonparametric approach}, year = {Submitted}, author = {Kuchenbecker, A. S. and Torrent, H. S. and F. A. Ziegelmann} } @article {7728, title = {(Portuguese) O Impacto do Com{\'e}rcio Internacional sobre as Condi{\c c}{\~o}es de Sa{\'u}de: uma Abordagem Estrutural}, journal = {Revista Brasileira de Economia}, volume = {77}, year = {2023}, pages = {e122023}, author = {Souza, W. P. S. F. and F. A. Ziegelmann and Figueiredo, E. A.} } @article {7725, title = {A Pairs Trading Strategy based on Mixed Copulas}, journal = {The Quarterly Review of Economics and Finance}, volume = {87}, year = {2023}, pages = {16-34}, author = {Silva, F. B. S. and F. A. Ziegelmann and J. F. Caldeira} } @article {7726, title = {Realized Semicovariances: Empirical Applications to Volatility Forecasting and Portfolio Optimization}, journal = {Brazilian Review of Finance}, volume = {21}, year = {2023}, pages = {99-122}, author = {Ricco, R. and F. A. Ziegelmann} } @article {7723, title = {Robust Nonparametric Frontier Estimation in Two Steps}, journal = {Econometric Reviews}, volume = {42}, year = {2023}, pages = {612-634}, publisher = {Submitted}, author = {Chen, Y. and Torrent, H. S. and F. A. Ziegelmann} } @article {7722, title = {Measuring systemic risk via GAS models and extreme value theory: Revisiting the 2007 financial crisis}, journal = {Finance Research Letters}, volume = {38}, year = {2021}, pages = {101498}, author = {Gavronski, P. and F. A. Ziegelmann} } @article {6188, title = {(Portuguese) Uma nota sobre o pr{\^e}mio salarial em empresas exportadoras brasileiras}, journal = {Revista Brasileira de Economia}, volume = {74}, year = {2020}, pages = {221-232}, author = {Souza, W and F. A. Ziegelmann and E. Figueiredo} } @article {5233, title = {Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)}, journal = {Journal of Time Series Econometrics}, volume = {11}, year = {2019}, pages = {20170016}, author = {T{\'o}foli, P. and F. A. Ziegelmann and Silva Filho, O.C. and Pereira, P.L.V.} } @article {5460, title = {Mixing conditions of conjugate processes}, journal = {Chilean Journal of Statistics}, volume = {10}, year = {2019}, pages = {123-129}, author = {E. Horta and F. A. Ziegelmann} } @article {4937, title = {Robust factor modelling for high-dimensional time series: An application to air pollution data}, journal = {Applied Mathematics and Computation}, volume = {346}, year = {2019}, pages = {842-852}, author = {V. A. Reisen and A. M. Sgrancio and C. Levy-Leduc and P. Bondon and E. Z. Monte and H. Cotta and F. A. Ziegelmann} } @article {6187, title = {(Portuguese) As Condi{\c c}{\~o}es de Sa{\'u}de Afetam os Rendimentos do Trabalho? Evid{\^e}ncias para o Mercado de Trabalho no Brasil}, journal = {Economia Aplicada}, volume = {22}, year = {2018}, pages = {113-150}, author = {Souza, W and F. A. Ziegelmann and E. Figueiredo} } @article {4940, title = {Conjugate processes: Theory and application to risk forecasting}, journal = {Stochastic Processes and their Applications}, volume = {128}, year = {2018}, pages = {727-755}, author = {E. Horta and F. A. Ziegelmann} } @article {4938, title = {Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index}, journal = {International Journal of Forecasting}, volume = {34}, year = {2018}, pages = {75-88}, author = {E. Horta and F. A. Ziegelmann} } @article {4939, title = {Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO 2 concentrations}, journal = {Mathematics and Computers in Simulation}, volume = {146}, year = {2018}, pages = {27-43}, author = {V. A. Reisen and E. Z. Monte and G. C. Franco and A. M. Sgrancio and F. A. F. Molinares and P. Bondon and F. A. Ziegelmann} } @article {4945, title = {A Comparison Study of Copula Models for European Financial Index Returns}, journal = {International Journal of Economics and Finance}, volume = {9}, year = {2017}, pages = {155-178}, author = {P. Tofoli and F. A. Ziegelmann and O. C. Silva Filho} } @article {4948, title = {Identifying the spectral representation of Hilbertian time series}, journal = {Statistics \& Probability Letters}, volume = {118}, year = {2016}, pages = {45-49}, author = {E. Horta and F. A. Ziegelmann} } @article {4946, title = {LASSO-Type Penalties for Covariate Selection and Forecasting in Time Series}, journal = {Journal of Forecasting}, volume = {35}, year = {2016}, pages = {592-612}, author = {E. Konzen and F. A. Ziegelmann} } @article {4947, title = {Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics}, journal = {Insurance Mathematics \& Economics}, volume = {70}, year = {2016}, pages = {66-79}, author = {M. Bartels and F. A. Ziegelmann} } @article {4949, title = {Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM\&FBovespa Data}, journal = {Brazilian Review of Econometrics}, volume = {35}, year = {2015}, pages = {23-46}, author = {B.K. Borges and J. F. Caldeira and F. A. Ziegelmann} } @article {4953, title = {(Portuguese) Previs{\~o}es para o crescimento do PIB trimestral brasileiro com s{\'e}ries financeiras e econ{\^o}micas mensais: uma aplica{\c c}{\~a}o de MIDAS}, journal = {Economia Aplicada}, volume = {18}, year = {2014}, pages = {295-318}, author = {P. T. Zuanazzi and F. A. Ziegelmann} } @article {4950, title = {Assessing Dependence Between Financial Market Indexes Using Conditional Time-Varying Copulas: Applications to Value at Risk}, journal = {Quantitative Finance}, volume = {14}, year = {2014}, pages = {2155-2170}, author = {O. C. Silva Filho and F. A. Ziegelmann and M. Dueker} } @article {4951, title = {Assessing some stylized facts about financial market indexes: a Markov copula approach}, journal = {Journal of Economic Studies (Bradford)}, volume = {41}, year = {2014}, pages = {253-271}, author = {O. C. Silva Filho and F. A. Ziegelmann} } @article {4952, title = {Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA}, journal = {Journal of Forecasting}, volume = {33}, year = {2014}, pages = {284-299}, author = {D. G. Santos and F. A. Ziegelmann} } @article {4955, title = {Local exponential frontier estimation}, journal = {Brazilian Review of Econometrics}, volume = {33}, year = {2013}, pages = {171-216}, author = {C. Martins Filho and H. Torrent and F. A. Ziegelmann} } @article {4954, title = {A nonparametric method for estimating asymmetric densities based on skewed Birnbaum-Saunders distributions applied to environmental data}, journal = {. Stochastic Environmental Research and Risk Assessment}, volume = {27}, year = {2013}, pages = {1479-1491}, author = {H. Saulo and V. Leiva and F. A. Ziegelmann and C. Marchant} } @article {4958, title = {(Portuguese) Desempenho do modelo estoc{\'a}stico de m{\'e}dia-vari{\^a}ncia para o mercado brasileiro de a{\c c}{\~o}es}, journal = {Produto \& Produ{\c c}{\~a}o}, volume = {13}, year = {2012}, pages = {63-73}, author = {H. H. Hoeltgebaum and T. P. Filomena and D. Borenstein and M. Lejeune and F. A. Ziegelmann} } @article {4956, title = {(Portuguese) Estima{\c c}{\~a}o e Previs{\~a}o de Volatilidade em Per{\'\i}odos de Crise: Um Estudo Comparando Modelos GARCH e Modelos Aditivos Semi-Param{\'e}tricos}, journal = {Revista Brasileira de Finan{\c c}as}, volume = {10}, year = {2012}, pages = {49-70}, author = {D. G. Santos and F. A. Ziegelmann} } @article {4957, title = {Modeling dependence dynamics through copulas with regime switching}, journal = {Insurance Mathematics \& Economics}, volume = {50}, year = {2012}, pages = {346-356}, author = {O. C. Silva Filho and F. A. Ziegelmann and M. Dueker} } @article {4959, title = {Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class}, journal = {Journal of Statistical Computation and Simulation}, volume = {81}, year = {2011}, pages = {707-728}, author = {F. A. Ziegelmann} } @article {4962, title = {The Dynamics of the Brazilian Income}, journal = {Economics Bulletin}, volume = {30}, year = {2010}, pages = {1249-1260}, author = {E. Figueiredo and F. A. Ziegelmann} } @article {4963, title = {Estimating income mobility using census data}, journal = {Physica A}, volume = {389}, year = {2010}, pages = {4897-4903}, author = {E. Figueiredo and F. A. Ziegelmann} } @article {4961, title = {Estimation of Opportunity Inequality in Brazil using Nonparametric Local Logistic Regression}, journal = {Journal of Development Studies}, volume = {46}, year = {2010}, pages = {1593-1606}, author = {E. Figueiredo and F. A. Ziegelmann} } @article {4960, title = {Identifying the Finite Dimensionality of Curve Time Series}, journal = {Annals of Statistics}, volume = {38}, year = {2010}, pages = {3352-3386}, author = {N. Bathia and Q. Yao and F. A. Ziegelmann} } @article {4964, title = {(Portuguese) Algumas Simula{\c c}{\~o}es de Efeitos de Mobilidade de Renda sobre o N{\'\i}vel de Bem-Estar}, journal = {Revista Brasileira de Economia}, volume = {63}, year = {2009}, pages = {317-328}, author = {E. Figueiredo and F. A. Ziegelmann} } @article {4965, title = {(Portuguese) Mudan{\c c}a na Distribui{\c c}{\~a}o de Renda Brasileira: Signific{\^a}ncia Estat{\'\i}stica e Bem-Estar Econ{\^o}mico}, journal = {Revista de Ecoomia Aplicada}, volume = {2009}, year = {2009}, pages = {257-277}, author = {E. Figueiredo and F. A. Ziegelmann} } @article {4966, title = {(Portuguese) Identifica{\c c}{\~a}o de Estruturas N{\~a}o_lineares de S{\'e}ries Temporais atrav{\'e}s de Regress{\~a}o Linear Local e Modelos Aditivos}, journal = {Pesquisa Operacional}, volume = {28}, year = {2008}, pages = {45-57}, author = {R. M. Kirchner and R. Souza and F. A. Ziegelmann} } @article {4967, title = {A Local Linear Least-Absolute-Deviations Estimator of Volatility}, journal = {Communications in Statistics Simulation and Computation}, volume = {37}, year = {2008}, pages = {1543-1564}, author = {F. A. Ziegelmann} } @article {4968, title = {Identification of the structure of linear and non-linear time series models, using nonparametric estimation via local kernel functions}, journal = {Advances in Soft Computing}, volume = {1}, year = {2004}, pages = {589-596}, author = {R. M. Kirchner and R. Souza and F. A. Ziegelmann} } @article {3810, title = {The Local Exponential Estimator}, journal = {Econometric Theory}, volume = {18}, year = {2002}, pages = {985-992}, author = {Ziegelmann, Flavio A.} } @article {4969, title = {(Portuguese) Modelos de Volatilidade Estoc{\'a}stica com Deforma{\c c}{\~a}o Temporal: Um Estudo Emp{\'\i}rico para o {\'I}ndice BOVESPA}, journal = {Pesquisa e Planejamento Econ{\^o}mico}, volume = {27}, year = {1997}, pages = {323-343}, author = {P. V. Pereira and F. A. Ziegelmann} }