Filip Zikes

Imperial College London

South Kensington Campus

Exhibition Road

London, Greater London SW7 2AZ

United Kingdom

SCHOLARLY PAPERS

7

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997

SSRN CITATIONS
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SSRN RANKINGS

Top 12,752

in Total Papers Citations

5

CROSSREF CITATIONS

65

Scholarly Papers (7)

1.

Tailing Tail Risk in the Hedge Fund Industry

Number of pages: 39 Posted: 18 Apr 2012
Imperial College Business School, Queen Mary University of London - Economics Department and Imperial College London
Downloads 198 (154,652)
Citation 4

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alternative investment, copula, dynamic risk exposure, market uncertainty, tail dependence

Volatility Transmission in Emerging European Foreign Exchange Markets

Journal of Banking and Finance, Vol. 35, No. 11, 2011
Number of pages: 35 Posted: 20 Aug 2011 Last Revised: 28 Dec 2011
Evžen Kočenda, Vit Bubak and Filip Zikes
Charles University in Prague - Institute of Economic Studies, Instituto Desarrollo and Imperial College London
Downloads 93 (282,493)

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Foreign Exchange Markets, Volatility, Spillovers, Intraday Data, Nonlinear Dynamics

Volatility Transmission in Emerging European Foreign Exchange Markets

CESifo Working Paper Series No. 3063
Number of pages: 36 Posted: 07 Jun 2010
Vit Bubak, Evžen Kočenda and Filip Zikes
Instituto Desarrollo, Charles University in Prague - Institute of Economic Studies and Imperial College London
Downloads 88 (292,784)
Citation 1

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foreign exchange markets, volatility, spillovers, intraday data, nonlinear dynamics

3.

Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility

Journal of Financial Econometrics, 2016, Vol. 14, No. 1, 185--226
Number of pages: 49 Posted: 20 Aug 2013 Last Revised: 15 Oct 2017
Filip Zikes and Jozef Baruník
Imperial College London and Charles University in Prague - Department of Economics
Downloads 167 (180,139)
Citation 4

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conditional quantiles, Value-at-Risk, quantile regression, realized measures

4.

A Comprehensive Comparison of Nonparametric Tests for Jumps in Asset Prices

Number of pages: 48 Posted: 26 Jul 2011 Last Revised: 28 Dec 2011
Marina G Theodosiou and Filip Zikes
Central Bank of Cyprus and Imperial College London
Downloads 158 (188,833)
Citation 11

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quadratic variation, jumps, stochastic volatility, realized measures, high - frequency data

5.

Modeling and Forecasting Persistent Financial Durations

Econometric Reviews, 36:10, 1081-1110, 2017
Number of pages: 49 Posted: 15 Jul 2012 Last Revised: 15 Oct 2017
Filip Zikes, Jozef Baruník and Nikhil Shenai
Imperial College London, Charles University in Prague - Department of Economics and Imperial College London
Downloads 116 (241,113)
Citation 3

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price durations, long memory, multifractal models, realized volatility, Whittle estimation

6.

Design-Free Estimation of Variance Matrices

Number of pages: 43 Posted: 09 Aug 2011 Last Revised: 20 Nov 2014
Karim M. Abadir, Walter Distaso and Filip Zikes
Imperial College Business School, Imperial College Business School and Imperial College London
Downloads 105 (258,676)
Citation 8

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Variance matrices, ill-conditioning, mean squared error, mean absolute deviations, resampling

7.

Multivariate Mixture-of-Normals Hypothesis in Exchange Rates

Number of pages: 35 Posted: 27 Jul 2011 Last Revised: 08 May 2013
Walter Distaso and Filip Zikes
Imperial College Business School and Imperial College London
Downloads 72 (327,104)

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mixture of normals, realized covariance, continuous time models, high frequency data