Juan-Pablo Ortega

Nanyang Technological University

Professor

21 Nanyang Link

Singapore, 637371

Singapore

http://https://juan-pablo-ortega.com

Centre National de la Recherche Scientifique (CNRS)

Senior Scientist

16 route de Gray

Besançon, 25030

France

http://juan-pablo-ortega.com

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 30,056

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2,037

SSRN CITATIONS
Rank 24,365

SSRN RANKINGS

Top 24,365

in Total Papers Citations

33

CROSSREF CITATIONS

7

Scholarly Papers (18)

1.

Stochastic Nonlinear Time Series Forecasting Using Time-Delay Reservoir Computers: Performance and Universality

Neural Networks, 55C, 59-71 (2014)
Number of pages: 24 Posted: 06 Nov 2013 Last Revised: 13 May 2014
University of Konstanz, Tea-Cegos Deployment, University of Burgundy Franche-Comté and Nanyang Technological University
Downloads 293 (129,899)

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Reservoir computing, echo state networks, neural computing, time-delay reservoir, time series forecasting, universality, VEC-GARCH model, volatility forecasting, realized volatility, parallel reservoir computing

2.

Non-Affine GARCH Option Pricing Models, Variance Dependent Kernels, and Diffusion Limits

Number of pages: 54 Posted: 19 Dec 2015 Last Revised: 12 Jun 2017
Alexandru Badescu, Zhenyu Cui and Juan-Pablo Ortega
University of Calgary, Stevens Institute of Technology - School of Business and Nanyang Technological University
Downloads 265 (144,141)
Citation 10

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non-affine GARCH models, non-Gaussian innovations, exponential linear variance dependent pricing kernel, bivariate diffusion limit, option pricing

3.

Construction, Management, and Performance of Sparse Markowitz Portfolios

Studies in Nonlinear Dynamics and Econometrics, 18(4), 383-402, 2014
Number of pages: 26 Posted: 14 Oct 2012 Last Revised: 18 Sep 2014
Julie Henriques and Juan-Pablo Ortega
Tea-Cegos Deployment and Nanyang Technological University
Downloads 202 (187,038)

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Markowitz portfolios, penalized regression, portfolio selection, portfolio management, sparsity, Sharpe ratio

4.

Extending the Logit Model with Midas Aggregation: The Case of US Bank Failures

Number of pages: 30 Posted: 16 Feb 2018
Francesco Audrino, Alexander Kostrov and Juan-Pablo Ortega
University of St. Gallen, University of St. Gallen and Nanyang Technological University
Downloads 149 (243,363)

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bank failures, prediction, mixed-data sampling, logit model

5.

Non-Gaussian GARCH Option Pricing Models and Their Diffusion Limits

Forthcoming, European Journal of Operational Research
Number of pages: 30 Posted: 02 Nov 2013 Last Revised: 19 Jun 2015
Alexandru Badescu, Robert J. Elliott and Juan-Pablo Ortega
University of Calgary, University of Calgary - Haskayne School of Business and Nanyang Technological University
Downloads 136 (261,667)
Citation 7

Abstract:

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finance, non-Gaussian GARCH models, extended Girsanov principle, conditional Esscher transform, bivariate diffusion limit, option pricing

6.

Estimation and Empirical Performance of Non-Scalar Dynamic Conditional Correlation Models

Forthcoming in Computational Statistics and Data Analysis
Number of pages: 68 Posted: 11 Mar 2014 Last Revised: 21 Feb 2015
Luc Bauwens, Lyudmila Grigoryeva and Juan-Pablo Ortega
Université catholique de Louvain, University of Konstanz and Nanyang Technological University
Downloads 115 (295,986)
Citation 1

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multivariate volatility modeling, dynamic conditional correlations (DCC), non-scalar DCC models, constrained optimization, Bregman divergences, Bregman-proximal trust-region method.

7.

Volatility Forecasting Using Global Stochastic Financial Trends Extracted from Non-Synchronous Data

Number of pages: 36 Posted: 14 May 2015 Last Revised: 08 Aug 2017
Lyudmila Grigoryeva, Juan-Pablo Ortega and Anatoly Peresetsky
University of Konstanz, Nanyang Technological University and National Research University Higher School of Economics
Downloads 108 (309,384)
Citation 1

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multivariate volatility modeling and forecasting, global stochastic trend, extended Kalman filter, CAPM, dynamic conditional correlations (DCC), non-synchronous data.

8.

Maximum Likelihood Estimation of State-Space Models

Interstat, paper 1, January 2013
Number of pages: 14 Posted: 14 Oct 2012 Last Revised: 13 May 2014
Florian Chevassu and Juan-Pablo Ortega
affiliation not provided to SSRN and Nanyang Technological University
Downloads 107 (311,398)

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Kalman filter, score, model estimation, maximum likelihood estimation, ARMA

9.

A Note on the Wang Transform for Stochastic Volatility Pricing Models

Number of pages: 14 Posted: 18 Oct 2015 Last Revised: 29 Jul 2016
Alexandru Badescu, Zhenyu Cui and Juan-Pablo Ortega
University of Calgary, Stevens Institute of Technology - School of Business and Nanyang Technological University
Downloads 105 (315,343)

Abstract:

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distortion function, stochastic discount factor, generalized local risk-neutral valuation relationship, GARCH models, weak convergence, stochastic volatility

10.

Hybrid Forecasting with Estimated Temporally Aggregated Linear Processes

Forthcoming, Journal of Forecasting, To appear in the Journal of Forecasting
Number of pages: 20 Posted: 19 Sep 2012 Last Revised: 02 Jun 2014
Lyudmila Grigoryeva and Juan-Pablo Ortega
University of Konstanz and Nanyang Technological University
Downloads 98 (329,952)

Abstract:

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linear models, ARMA, temporal aggregation, forecasting, finite sample forecasting, flow temporal aggregation, stock temporal aggregation, multistep forecasting

11.

Quadratic Hedging Schemes for Non-Gaussian GARCH Models

Journal of Economic Dynamics and Control, Vol. 32, 13-32, 2014
Number of pages: 26 Posted: 27 Sep 2012 Last Revised: 13 May 2014
Alexandru Badescu, Robert J. Elliott and Juan-Pablo Ortega
University of Calgary, University of Calgary - Haskayne School of Business and Nanyang Technological University
Downloads 94 (338,972)
Citation 8

Abstract:

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GARCH models, hedging scheme, local risk minimization, conditional Esscher transform, Extended Girsanov Principle, bivariate diffusion limit, minimum variance hedge

12.

Forecasting Growth During the Great Recession: Is Financial Volatility the Missing Ingredient?

Economic Modelling, Vol. 36, 44-50, 2014, Banque de France Working Paper No. 454
Number of pages: 11 Posted: 10 Nov 2012 Last Revised: 13 May 2014
Laurent Ferrara, Clément Marsilli and Juan-Pablo Ortega
SKEMA Business School, Banque de France and Nanyang Technological University
Downloads 89 (350,789)
Citation 3

Abstract:

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Great Recession, Forecasting, Financial variables, MIDAS approach, Volatility

13.

GARCH Options via Local Risk Minimization

Quantitative Finance, 12(7), 1095-110, 2012
Number of pages: 25 Posted: 13 May 2014
Juan-Pablo Ortega
Nanyang Technological University
Downloads 62 (429,484)
Citation 3

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GARCH models, option pricing, option hedging, local risk minimization

14.

Asymptotic Forecasting Error Evaluation for Estimated Temporally Aggregated Linear Processes

International Journal of Computational Economics and Econometrics, Forthcoming
Number of pages: 25 Posted: 15 May 2014 Last Revised: 31 Jul 2014
Lyudmila Grigoryeva and Juan-Pablo Ortega
University of Konstanz and Nanyang Technological University
Downloads 60 (436,542)

Abstract:

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linear models, ARMA, temporal aggregation, forecasting, finite sample forecasting, multifrequency forecasting, flow temporal aggregation, stock temporal aggregation, multistep forecasting, hybrid forecasting.

15.

Multivariate GARCH Estimation via a Bregman-Proximal Trust-Region Method

Computational Statistics and Data Analysis, Forthcoming
Number of pages: 37 Posted: 14 Oct 2012 Last Revised: 13 May 2014
Stéphane Chrétien and Juan-Pablo Ortega
University of Burgundy Franche-Comté - Laboratoire de Mathematiques and Nanyang Technological University
Downloads 54 (458,439)

Abstract:

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multivariate GARCH, VEC model, volatility modeling, multivariate financial time series, Bregman divergences, Burg's divergence, LogDet divergence, constrained optimization

16.

Closed-Form Variance Swap Prices under General Affine GARCH Models and Their Continuous-Time Limits

Number of pages: 30 Posted: 08 Aug 2017
Alexandru Badescu, Zhenyu Cui and Juan-Pablo Ortega
University of Calgary, Stevens Institute of Technology - School of Business and Nanyang Technological University
Downloads 53 (462,272)
Citation 3

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Variance Swaps, Realized Variance, Affine GARCH Models, Variance Dependent Pricing Kernels, Diffusion Limits

17.

Hedging of Time Discrete Auto-Regressive Stochastic Volatility Options

Number of pages: 31 Posted: 26 Sep 2012 Last Revised: 13 Apr 2016
Alexandru Badescu, Joan del Castillo and Juan-Pablo Ortega
University of Calgary, Autonomous University of Barcelona and Nanyang Technological University
Downloads 37 (532,777)

Abstract:

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stochastic volatility models, ARSV models, hedging techniques, incomplete markets, local risk minimization, Kalman filter, hierarchical-likelihood

18.

Singular Ridge Regression with Homoscedastic Residuals: Generalization Error with Estimated Parameters

Number of pages: 24 Posted: 13 Jul 2017
Lyudmila Grigoryeva and Juan-Pablo Ortega
University of Konstanz and Nanyang Technological University
Downloads 10 (710,537)

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ridge regression, singular regression, training error, testing error, generalization error, regularization methods, high-dimensional regression