Andrija Mihoci

Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics

Unter den Linden 6

Berlin, AK 10099

Germany

SCHOLARLY PAPERS

5

DOWNLOADS

170

SSRN CITATIONS

5

CROSSREF CITATIONS

3

Scholarly Papers (5)

1.

Adaptive Order Flow Forecasting with Multiplicative Error Models

SFB 649 Discussion Paper 2014-035
Number of pages: 28 Posted: 05 Jan 2017
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics and Singapore Management University
Downloads 57 (365,770)

Abstract:

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multiplicative error models, trading volume, order flow, forecasting

2.

Local Adaptive Multiplicative Error Models for High- Frequency Forecasts

SFB 649 Discussion Paper No. 2012-031
Number of pages: 33 Posted: 25 Aug 2013
Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 37 (436,712)
Citation 6

Abstract:

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multiplicative error model, local adaptive modeling, high-frequency processes, trading volume, forecasting

3.

Local Adaptive Multiplicative Error Models For High-Frequency Forecasts

Journal of Applied Econometrics, Vol. 30, pp. 529-550, 2015
Number of pages: 22 Posted: 06 Jun 2016
Humboldt University of Berlin - Institute for Statistics and Econometrics, University of Vienna - Department of Statistics and Operations Research and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 33 (453,628)
Citation 1

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4.

TERES - Tail Event Risk Expectile Based Shortfall

Number of pages: 30 Posted: 05 Jan 2017
Humboldt University of Berlin, Humboldt University of Berlin - Institute for Statistics and Econometrics and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 30 (467,535)
Citation 2

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Expected Shortfall, expectiles, tail risk, risk management, tail events, tail moments

5.

ICARE - Localizing Conditional Autoregressive Expectiles

SFB 649 Discussion Paper 2015-052
Number of pages: 36 Posted: 05 Jan 2017
Xiu Xu, Andrija Mihoci and Wolfgang K. Härdle
Humboldt University of Berlin - Institute for Statistics and Econometrics, Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics and Humboldt University of Berlin - Institute for Statistics and Econometrics
Downloads 13 (563,693)

Abstract:

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expectiles, tail risk, local parametric approach, risk management