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Flavio Ziegelmann
Flavio Ziegelmann
Verified email at ufrgs.br
Title
Cited by
Cited by
Year
Modeling dependence dynamics through copulas with regime switching
OC da Silva Filho, FA Ziegelmann, MJ Dueker
Insurance: Mathematics and Economics 50 (3), 346-356, 2012
1162012
Nonparametric estimation of volatility functions: the local exponential estimator
FA Ziegelmann
Econometric Theory 18 (4), 985-991, 2002
1002002
Identifying the finite dimensionality of curve time series
N Bathia, Q Yao, F Ziegelmann
842010
A nonparametric method for estimating asymmetric densities based on skewed Birnbaum–Saunders distributions applied to environmental data
H Saulo, V Leiva, FA Ziegelmann, C Marchant
Stochastic Environmental Research and Risk Assessment 27, 1479-1491, 2013
802013
Volatility forecasting via MIDAS, HAR and their combination: An empirical comparative study for IBOVESPA
DG Santos, FA Ziegelmann
Journal of Forecasting 33 (4), 284-299, 2014
642014
Assessing dependence between financial market indexes using conditional time-varying copulas: Applications to value at risk (VaR)
OC Silva Filho, FA Ziegelmann, MJ Dueker
Quantitative Finance 14 (12), 2155-2170, 2014
462014
LASSO‐Type Penalties for Covariate Selection and Forecasting in Time Series
E Konzen, FA Ziegelmann
Journal of Forecasting 35 (7), 592-612, 2016
312016
Estimation of opportunity inequality in Brazil using nonparametric local logistic regression
EA de Figueiredo, FA Ziegelmann
The Journal of Development Studies 46 (9), 1593-1606, 2010
242010
Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations
VA Reisen, EZ Monte, G da Conceição Franco, AM Sgrancio, ...
Mathematics and Computers in Simulation 146, 27-43, 2018
202018
Mudança na distribuição de renda brasileira: significância estatística e bem-estar econômico
EA Figueiredo, FA Ziegelmann
Economia Aplicada 13, 257-277, 2009
182009
Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index
E Horta, F Ziegelmann
International Journal of Forecasting 34 (1), 75-88, 2018
172018
Modelos de volatilidade estocástica com deformação temporal: um estudo empírico para o índice Ibovespa
FA Ziegelmann
Pesquisa e planejamento econômico. Rio de Janeiro. Vol. 27, no. 2 (1997), p …, 1996
161996
Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
M Bartels, FA Ziegelmann
Insurance: Mathematics and Economics 70, 66-79, 2016
142016
Measuring systemic risk via GAS models and extreme value theory: Revisiting the 2007 financial crisis
PG Gavronski, FA Ziegelmann
Finance Research Letters 38, 101498, 2021
122021
Dynamic D-Vine copula model with applications to Value-at-Risk (VaR)
PV Tófoli, FA Ziegelmann, O Candido, PL Valls Pereira
Journal of Time Series Econometrics 11 (2), 20170016, 2019
102019
The dynamics of the Brazilian income
E Figueiredo, F Ziegelmann
Economics Bulletin 30 (2), 1249-1260, 2010
102010
A pairs trading strategy based on mixed copulas
FABS da Silva, FA Ziegelmann, JF Caldeira
The Quarterly Review of Economics and Finance 87, 16-34, 2023
92023
Robust factor modelling for high-dimensional time series: An application to air pollution data
VA Reisen, AM Sgrancio, C Lévy-Leduc, P Bondon, EZ Monte, HHA Cotta, ...
Applied Mathematics and Computation 346, 842-852, 2019
92019
Selection of minimum variance portfolio using intraday data: An empirical comparison among different realized measures for bm&fbovespa data
FA Ziegelmann, B Borges, JF Caldeira
Brazilian Review of Econometrics 35 (1), 23-46, 2015
92015
Assessing some stylized facts about financial market indexes: a Markov copula approach
O Candido Silva Filho, F Augusto Ziegelmann
Journal of Economic Studies 41 (2), 253-271, 2014
92014
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