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Ortega, Juan-Pablo's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
197 |
Total
Citations
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1.
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Henriques, Julie
Tea-Cegos Deployment Ortega, Juan-Pablo
Centre National de la Recherche Scientifique (CNRS)
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14 Oct 12
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Last Revised:
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27 Mar 13
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55
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Markowitz portfolios, penalized regression, portfolio selection, portfolio management, sparsity, Sharpe ratio
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2.
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Chevassu, Florian
affiliation not provided to SSRN Ortega, Juan-Pablo
Centre National de la Recherche Scientifique (CNRS)
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39
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Kalman filter, score, model estimation, maximum likelihood estimation, ARMA
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3.
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Badescu, Alex
University of Calgary Elliott, Robert J.
University of Calgary - Haskayne School of Business Ortega, Juan-Pablo
Centre National de la Recherche Scientifique (CNRS)
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31
(240,683)
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GARCH models, hedging scheme, local risk minimization, conditional Esscher transform, Extended Girsanov Principle, bivariate diffusion limit, minimum variance hedge
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4.
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Ferrara, Laurent
Banque de France Marsilli, Clément
Banque de France Ortega, Juan-Pablo
Centre National de la Recherche Scientifique (CNRS)
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28
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Great Recession, Forecasting, Financial variables, MIDAS approach, Volatility
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5.
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Grigoryeva, Lyudmila
Université de Franche-Comté Ortega, Juan-Pablo
Centre National de la Recherche Scientifique (CNRS)
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19 Sep 12
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Last Revised:
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31 Oct 12
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22
(268,387)
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linear models, ARMA, temporal aggregation, forecasting, finite sample forecasting, flow temporal aggregation, stock temporal aggregation, multistep forecasting
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6.
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Chrétien, Stéphane
Université de Franche-Comté - Laboratoire de Mathematiques Ortega, Juan-Pablo
Centre National de la Recherche Scientifique (CNRS)
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11
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multivariate GARCH, VEC model, volatility modeling, multivariate financial time series, Bregman divergences, Burg's divergence, LogDet divergence, constrained optimization
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7.
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del Castillo, Joan
affiliation not provided to SSRN Ortega, Juan-Pablo
Centre National de la Recherche Scientifique (CNRS)
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11
(307,195)
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stochastic volatility models, ARSV models, hedging techniques, incomplete markets, local risk minimization, Kalman filter, hierarchical-likelihood
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Records 1 -
7
of 7 matches
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