Publications

Export 45 results:
Ordenar por: [ Autor (Asc)] Tipo Ano
A B C D E F G H I J K L M N O P Q R S T U V W X Y Z 
A
Forecasting Tail Risk for Energy Markets via Dynamic GAS Vine Copulas, Abreu, L., Tofoli P., and Ziegelmann F. A. , (Submitted)
Dynamic Factor Copulas for Minimum-CVaR Portfolio Optimization, Alovisi, G., and Ziegelmann F. A. , (Submitted)
B
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)
C
Robust Nonparametric Frontier Estimation in Two Steps, Chen, Y., Torrent H. S., and Ziegelmann F. A. , Econometric Reviews, Volume 42, Issue 7, p.612-634, (2023)
F
Estimation of Opportunity Inequality in Brazil using Nonparametric Local Logistic Regression, Figueiredo, E., and Ziegelmann F. A. , Journal of Development Studies, Volume 46, p.1593-1606, (2010)
(Portuguese) Mudança na Distribuição de Renda Brasileira: Significância Estatística e Bem-Estar Econômico, Figueiredo, E., and Ziegelmann F. A. , Revista de Ecoomia Aplicada, Volume 2009, p.257-277, (2009)
The Dynamics of the Brazilian Income, Figueiredo, E., and Ziegelmann F. A. , Economics Bulletin, Volume 30, p.1249-1260, (2010)
Estimating income mobility using census data, Figueiredo, E., and Ziegelmann F. A. , Physica A, Volume 389, p.4897-4903, (2010)
(Portuguese) Algumas Simulações de Efeitos de Mobilidade de Renda sobre o Nível de Bem-Estar, Figueiredo, E., and Ziegelmann F. A. , Revista Brasileira de Economia, Volume 63, p.317-328, (2009)
Local exponential frontier estimation, Filho, Martins C., Torrent H., and Ziegelmann F. A. , Brazilian Review of Econometrics, Volume 33, p.171-216, (2013)
Assessing Dependence Between Financial Market Indexes Using Conditional Time-Varying Copulas: Applications to Value at Risk, Filho, Silva O. C., Ziegelmann F. A., and Dueker M. , Quantitative Finance, Volume 14, p.2155-2170, (2014)
Modeling dependence dynamics through copulas with regime switching, Filho, Silva O. C., Ziegelmann F. A., and Dueker M. , Insurance Mathematics & Economics, Volume 50, p.346-356, (2012)
Assessing some stylized facts about financial market indexes: a Markov copula approach, Filho, Silva O. C., and Ziegelmann F. A. , Journal of Economic Studies (Bradford), Volume 41, p.253-271, (2014)
G
Combining LASSO-Type Methods with a Smooth Transition Random Forest, Gandini, A., and Ziegelmann F. A. , (Submitted)
Measuring systemic risk via GAS models and extreme value theory: Revisiting the 2007 financial crisis, Gavronski, P., and Ziegelmann F. A. , Finance Research Letters, Volume 38, p.101498, (2021)
H
(Portuguese) Desempenho do modelo estocástico de média-variância para o mercado brasileiro de ações, Hoeltgebaum, H. H., Filomena T. P., Borenstein D., Lejeune M., and Ziegelmann F. A. , Produto & Produção, Volume 13, p.63-73, (2012)
Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index, Horta, E., and Ziegelmann F. A. , International Journal of Forecasting, Volume 34, p.75-88, (2018)
Mixing conditions of conjugate processes, Horta, E., and Ziegelmann F. A. , Chilean Journal of Statistics, Volume 10, Issue 2, p.123-129, (2019)
Conjugate processes: Theory and application to risk forecasting, Horta, E., and Ziegelmann F. A. , Stochastic Processes and their Applications, Volume 128, p.727-755, (2018)
Identifying the spectral representation of Hilbertian time series, Horta, E., and Ziegelmann F. A. , Statistics & Probability Letters, Volume 118, p.45-49, (2016)
K
Identification of the structure of linear and non-linear time series models, using nonparametric estimation via local kernel functions, Kirchner, R. M., Souza R., and Ziegelmann F. A. , Advances in Soft Computing, Volume 1, p.589-596, (2004)
(Portuguese) Identificação de Estruturas Não_lineares de Séries Temporais através de Regressão Linear Local e Modelos Aditivos, Kirchner, R. M., Souza R., and Ziegelmann F. A. , Pesquisa Operacional, Volume 28, p.45-57, (2008)