Plattenstr. 14
Zürich, 8032
Switzerland
c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
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Outliers, fat-tailed distributions, GARCH, volatility
Environmental Finance, GARCH, Greenhouse Gases, Mixture Models, Tail Estimation
Fractional Differencing, Momentum Factor, Momentum Crashes, Reversal Strategy
conditional volatility, regime-dependent correlations, leverage effect, multivariate GARCH, second-order dependence, stock market
Fractional Differencing, Momentum Crashes, Momentum Factor, Portfolio Optimization, Regularization, Reversal Strategy
Density Forecasting, Expected Shortfall, Fat Tails, ICA, GARCH, Mixtures, Portfolio Selection, Stable Paretian Distribution, Value-at-Risk
Empirical Finance, Saddlepoint Approximation, Value at Risk
C16, C50
GARCH, News Impact Curve, Leverage Effect, Down-Market Effect, Mixtures, Time-Varying Weights, Value-at-Risk
density forecasting, EM-algorithm, fat tails, mixture distributions, multivariate laplace distribution, Quasi-Bayesian estimation, shrinkage estimation, weighted likelihood
COMFORT; Financial Crises; Portfolio Optimization; Risk Monitoring.
CCC; Common Jumps; Density Forecasting; EM-Algorithm; Fat Tails; GARCH; Multivariate Asymmetric Variance Gamma Distribution; Multivariate Generalized Hyperbolic Distribution; Multivariate Option Pricing; Stochastic Volatility
Risk Management, Value at Risk, Density Forecasting, Predictive Likelihood
GARCH; Markov Switching; Multivariate Generalized Hyperbolic Distribution; Portfolio Optimization; Value-at-Risk
Dynamic Conditional Correlations; Multivariate GARCH; Multivariate Generalized Hyperbolic Distribution; Principle Component Analysis; Financial Systemic Risk
Asymmetry, Copula, Density Forecasting, Empirical Finance, Fat Tails, GARCH, Integrated GARCH, Multivariate Distribution, Saddlepoint Approximation, Shrinkage Estimation, Weighted Likelihood
GARCH; Mixture-Normal-GARCH; Noncentral t; Table Lookup
ARCH, GARCH, CCC, DCC, Value at Risk, Julia
Elliptical Distributions, GARCH, Heavy-Tails, Multivariate Generalized Hyperbolic Distribution, Risk Parity
Asset Pricing Model, Cryptocurrencies, Expectation Maximization Algorithm, Heterogeneous Tails, Mixture Distribution, Portfolio Optimization
GJR-GARCH, Multivariate Generalized Hyperbolic Distribution, Non-Ellipticity, Value-at-Risk.
expected shortfall, multivariate GARCH, portfolio optimization, saddlepoint approximation, Value at Risk
empirical finance, extreme value theory, fat tails, GARCH, quantile regression
GARCH, kurtosis, leverage effect, Markov-switching, skewness, stationarity, value-at-risk
conditional volatility, density forecasting, empirical finance, exchange rates, nonlinear time series, regime switching
Conditional Volatility, Finite Normal Mixtures, Multivariate GARCH, Leverage Effect
Bootstrap, GARCH, Value-at-Risk