Andrija Mihoci

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

Unter den Linden 6

Berlin, AK 10099

Germany

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

SCHOLARLY PAPERS

4

DOWNLOADS

289

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (4)

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1.

Adaptive Order Flow Forecasting with Multiplicative Error Models

Mihoci, A., Ting, CA., Lu, MJ. et al. Adaptive order flow forecasting with multiplicative error models. Digit Finance 4, 89–108 (2022). https://doi.org/10.1007/s42521-021-00047-1
Number of pages: 25 Posted: 05 Jan 2017 Last Revised: 05 May 2022
Andrija Mihoci, Christopher Hian-Ann Ting, Meng-Jou Lu and Kainat Khowaja
Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics, Singapore Management University, National Chiao-Tung University and International Research Training Group 1792, School of Business and Economics, Humboldt University of Berlin
Downloads 102 (429,765)
Citation 1

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multiplicative error models, trading volume, order flow, forecasting

2.

TERES - Tail Event Risk Expectile Based Shortfall

Number of pages: 30 Posted: 05 Jan 2017 Last Revised: 29 Jul 2020
Philipp Gschöpf, Wolfgang Karl Härdle and Andrija Mihoci
Humboldt University of Berlin, Blockchain Research Center Humboldt-Universität zu Berlin and Humboldt University of Berlin - C.A.S.E., Center for Applied Statistics and Economics
Downloads 99 (438,617)
Citation 2

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

3.

Local Adaptive Multiplicative Error Models for High- Frequency Forecasts

SFB 649 Discussion Paper No. 2012-031
Number of pages: 33 Posted: 25 Aug 2013
Wolfgang Karl Härdle, Nikolaus Hautsch and Andrija Mihoci
Blockchain Research Center Humboldt-Universität zu Berlin, 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 55 (609,383)
Citation 8

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

4.

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 Karl 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 Blockchain Research Center Humboldt-Universität zu Berlin
Downloads 33 (743,841)

Abstract:

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expectiles, tail risk, local parametric approach, risk management