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Flavio Ziegelmann
Flavio Ziegelmann
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Ano
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
1152012
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
832010
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
792013
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
162018
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
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
Estimation of Volatility Functions: Nonparametric and Semi-Parametric Methods
FA Ziegelmann
Tese de Doutorado, University of Kent at Canterbury (UK), 2002
92002
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
82023
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