Publications

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Submitted
An adaLASSO variation for seasonal time series, Rangel, L. N., Ziegelmann F. A., and Konzen E. , (Submitted)
Forecasting Tail Risk for Energy Markets via Dynamic GAS Vine Copulas, Abreu, L., Tofoli P., and Ziegelmann F. A. , (Submitted)
2024
Combining LASSO-Type Methods with a Smooth Transition Random Forest, Gandini, A., and Ziegelmann F. A. , Annals of Data Science, (2024)
Dynamic Factor Copulas for Minimum-CVaR Portfolio Optimization, Alovisi, G., and Ziegelmann F. A. , Springer Nature: Time Series and Wavelets Analysis: Festschrift in Honor of Pedro A. Morettin, (2024)
Machine Learning Methods and Time Series: a Through Comparison Study via Simulation and U.S. Inflation Forecasting, Boesch, K., and Ziegelmann F. A. , Computational Economics, (2024)
Measuring and explaining efficiency of pre-vaccine country responses to COVID-19 pandemic: a conditional robust nonparametric approach, Kuchenbecker, A. S., Torrent H. S., and Ziegelmann F. A. , Empirical Economics, (2024)
2023
(Portuguese) O Impacto do Comércio Internacional sobre as Condições de Saúde: uma Abordagem Estrutural, Souza, W. P. S. F., Ziegelmann F. A., and Figueiredo E. A. , Revista Brasileira de Economia, Volume 77, Issue 2, p.e122023, (2023)
A Pairs Trading Strategy based on Mixed Copulas, Silva, F. B. S., Ziegelmann F. A., and Caldeira J. F. , The Quarterly Review of Economics and Finance, Volume 87, p.16-34, (2023)
Realized Semicovariances: Empirical Applications to Volatility Forecasting and Portfolio Optimization, Ricco, R., and Ziegelmann F. A. , Brazilian Review of Finance, Volume 21, Issue 33, p.99-122, (2023)
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)
2021
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)
2020
(Portuguese) Uma nota sobre o prêmio salarial em empresas exportadoras brasileiras, Souza, W., Ziegelmann F. A., and Figueiredo E. , Revista Brasileira de Economia, Volume 74, p.221-232, (2020)
2019
Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR), Tófoli, P., Ziegelmann F. A., Silva Filho O. C., and Pereira P. L. V. , Journal of Time Series Econometrics, Volume 11, Issue 2, p.20170016, (2019)
Mixing conditions of conjugate processes, Horta, E., and Ziegelmann F. A. , Chilean Journal of Statistics, Volume 10, Issue 2, p.123-129, (2019)
Robust factor modelling for high-dimensional time series: An application to air pollution data, Reisen, V. A., Sgrancio A. M., Levy-Leduc C., Bondon P., Monte E. Z., Cotta H., and Ziegelmann F. A. , Applied Mathematics and Computation, Volume 346, p.842-852, (2019)
2018
(Portuguese) As Condições de Saúde Afetam os Rendimentos do Trabalho? Evidências para o Mercado de Trabalho no Brasil, Souza, W., Ziegelmann F. A., and Figueiredo E. , Economia Aplicada, Volume 22, p.113-150, (2018)
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)
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)
Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO 2 concentrations, Reisen, V. A., Monte E. Z., Franco G. C., Sgrancio A. M., Molinares F. A. F., Bondon P., and Ziegelmann F. A. , Mathematics and Computers in Simulation, Volume 146, p.27-43, (2018)
2017
A Comparison Study of Copula Models for European Financial Index Returns, Tofoli, P., Ziegelmann F. A., and Filho Silva O. C. , International Journal of Economics and Finance, Volume 9, p.155-178, (2017)
2016
Identifying the spectral representation of Hilbertian time series, Horta, E., and Ziegelmann F. A. , Statistics & Probability Letters, Volume 118, p.45-49, (2016)
LASSO-Type Penalties for Covariate Selection and Forecasting in Time Series, Konzen, E., and Ziegelmann F. A. , Journal of Forecasting, Volume 35, p.592-612, (2016)
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)
2015
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)
2014
(Portuguese) Previsões para o crescimento do PIB trimestral brasileiro com séries financeiras e econômicas mensais: uma aplicação de MIDAS, Zuanazzi, P. T., and Ziegelmann F. A. , Economia Aplicada, Volume 18, p.295-318, (2014)