@article {8308,
	title = {An adaLASSO variation for seasonal time series},
	journal = {Journal of Forecasting},
	year = {Submitted},
	author = {Rangel, L. N. and F. A. Ziegelmann and E. Konzen}
}
@article {8492,
	title = {Forecasting Tail Risk for Energy Markets via Dynamic GAS Vine Copulas},
	journal = {Computational Economics},
	year = {Submitted},
	author = {L. Abreu and P. Tofoli and F. A. Ziegelmann}
}
@article {8856,
	title = {Predicting Football Matches with PARX-Copula Models: an Application to the Premier League},
	journal = {Journal of the Royal Statistical Society: Series A},
	year = {Submitted},
	author = {Leonardo Damiani and Ziegelmann, Flavio A.}
}
@article {7724,
	title = {Measuring and explaining efficiency of pre-vaccine country responses to COVID-19 pandemic: a conditional robust nonparametric approach},
	journal = {Empirical Economics},
	volume = {68},
	year = {2025},
	pages = {107-137},
	author = {Kuchenbecker, A. S. and Torrent, H. S. and F. A. Ziegelmann}
}
@article {8306,
	title = {Combining LASSO-Type Methods with a Smooth Transition Random Forest},
	journal = {Annals of Data Science},
	year = {2024},
	author = {Gandini, A. and F. A. Ziegelmann}
}
@inbook {8493,
	title = {Dynamic Factor Copulas for Minimum-CVaR Portfolio Optimization},
	booktitle = {Time Series and Wavelets Analysis: Festschrift in Honor of Pedro A. Morettin},
	year = {2024},
	publisher = {Springer Nature Switzerland},
	organization = {Springer Nature Switzerland},
	address = {p.175--195},
	abstract = {<p>Copula models have become popular for minimum conditional value-at-risk (CVaR) portfolio optimization, especially due to their ability to deal with nonlinear dependencies. Nevertheless, as the number of assets in a portfolio increases, the estimation of copulas, particularly dynamic ones, becomes computationally burdensome. In this work, our novel contribution is to adapt and implement a dynamic factor copula model for the asset returns dependencies and find an optimal, potentially high dimensional, portfolio via minimizing its CVaR. The resulting model is capable of addressing the {\textquoteleft}{\textquoteleft}curse of dimensionality{\textquoteright}{\textquoteright} for the dependencies, while maintaining enough complexity and flexibility. The factor copula dynamics are described by a generalized autoregressive scores (GAS) model for the factor loadings. Using data consisting of B3 Brazilian stocks from January 2013 to December 2020, we find the optimal portfolio and evaluate its out of sample economic performance. Empirical results suggest that our min-CVaR-factor-copula strategy has either equal or better risk/return metrics when compared to a traditional Gaussian copula, while being considerably superior than both Markowitz mean-variance and equal weights portfolios as well as the IBRX50 index.</p>
},
	url = {https://doi.org/10.1007/978-3-031-66398-7_9},
	author = {G. Alovisi and F. A. Ziegelmann}
}
@article {8305,
	title = {Machine Learning Methods and Time Series: a Through Comparison Study via Simulation and U.S. Inflation Forecasting},
	journal = {Computational Economics},
	year = {2024},
	author = {Boesch, K. 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}
}
