Ziegelmann, Flavio : rechercher sur Z-Library

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1

Identificação de estruturas não-lineares de séries temporais através de regressão linear local e modelos aditivos

Kirchner, Rosane M., Souza, Reinaldo C., Ziegelmann, Flávio A.

Journal:

Pesquisa Operacional

Année:

2008

Fichier:

PDF, 295 KB

2008

2

Modeling dependence dynamics through copulas with regime switching

Osvaldo Candido da Silva Filho, Flavio Augusto Ziegelmann, Michael J. Dueker

Journal:

Insurance: Mathematics and Economics

Année:

2012

Langue:

english

Fichier:

PDF, 1.03 MB

english, 2012

3

Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

Silva Filho, Osvaldo C., Ziegelmann, Flavio A., Dueker, Michael J.

Journal:

Quantitative Finance

Année:

2014

Langue:

english

Fichier:

PDF, 651 KB

english, 2014

4

Mudança na distribuição de renda brasileira: significância estatística e bem-estar econômico

Figueiredo, Erik Alencar de, Ziegelmann, Flávio Augusto

Journal:

Economia Aplicada

Année:

2009

Fichier:

PDF, 221 KB

2009

5

A Local Linear Least-Absolute-Deviations Estimator of Volatility

Ziegelmann, Flavio A.

Journal:

Communications in Statistics - Simulation and Computation

Année:

2008

Langue:

english

Fichier:

PDF, 1.45 MB

english, 2008

6

Assessing some stylized facts about financial market indexes: a Markov copula approach

Candido Silva Filho, Osvaldo, Augusto Ziegelmann, Flavio

Journal:

Journal of Economic Studies

Année:

2014

Langue:

english

Fichier:

PDF, 461 KB

english, 2014

7

Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA

Santos, Douglas G., Ziegelmann, Flavio A.

Journal:

Journal of Forecasting

Année:

2014

Langue:

english

Fichier:

PDF, 265 KB

english, 2014

8

LASSO-Type Penalties for Covariate Selection and Forecasting in Time Series

Konzen, Evandro, Ziegelmann, Flavio A.

Journal:

Journal of Forecasting

Année:

2016

Langue:

english

Fichier:

PDF, 577 KB

english, 2016

9

Nonparametric Estimation of Volatility Functions: The Local Exponential Estimator

Flavio A. Ziegelmann

Journal:

Econometric Theory

Année:

2002

Langue:

english

Fichier:

PDF, 742 KB

english, 2002

10

Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index

Horta, Eduardo, Ziegelmann, Flavio

Journal:

International Journal of Forecasting

Année:

2018

Langue:

english

Fichier:

PDF, 1.05 MB

english, 2018

11

Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO 2 concentrations

Reisen, Valdério Anselmo, Monte, Edson Zambon, da Conceição Franco, Glaura, Sgrancio, Adriano Marcio, Molinares, Fábio Alexander Fajardo, Bondon, Pascal, Ziegelmann, Flávio Augusto, Abraham, Bovas

Journal:

Mathematics and Computers in Simulation

Année:

2018

Langue:

english

Fichier:

PDF, 571 KB

english, 2018

12

Estimating income mobility using census data

Erik Alencar de Figueiredo, Flávio Augusto Ziegelmann

Journal:

Physica A: Statistical Mechanics and its Applications

Année:

2010

Langue:

english

Fichier:

PDF, 290 KB

english, 2010

13

Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class

Ziegelmann, Flavio A.

Journal:

Journal of Statistical Computation and Simulation

Année:

2011

Langue:

english

Fichier:

PDF, 739 KB

english, 2011

14

Estimation of Opportunity Inequality in Brazil using Nonparametric Local Logistic Regression

de Figueiredo, Erik Alencar, Ziegelmann, Flávio Augusto

Journal:

Journal of Development Studies

Année:

2010

Langue:

english

Fichier:

PDF, 221 KB

english, 2010

15

IDENTIFYING THE FINITE DIMENSIONALITY OF CURVE TIME SERIES

Neil Bathia, Qiwei Yao and Flavio Ziegelmann

Journal:

The Annals of Statistics

Année:

2010

Langue:

english

Fichier:

PDF, 2.26 MB

english, 2010

16

NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR

Ziegelmann, Flavio A.

Journal:

Econometric Theory

Année:

2002

Langue:

english

Fichier:

PDF, 112 KB

english, 2002

17

Nonparametric Estimation of Volatility Functions: The Local Exponential Estimator

Flavio A. Ziegelmann

Journal:

Econometric Theory

Année:

2002

Fichier:

PDF, 742 KB

2002

18

Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics

Bartels, Mariana, Ziegelmann, Flavio A.

Journal:

Insurance: Mathematics and Economics

Année:

2016

Langue:

english

Fichier:

PDF, 3.18 MB

english, 2016

19

Identifying the spectral representation of Hilbertian time series

Horta, Eduardo, Ziegelmann, Flavio

Journal:

Statistics & Probability Letters

Année:

2016

Langue:

english

Fichier:

PDF, 396 KB

english, 2016

20

Identifying the finite dimensionality of curve time series

Bathia, Neil, Yao, Qiwei, Ziegelmann, Flavio

Journal:

The Annals of Statistics

Année:

2010

Langue:

english

Fichier:

PDF, 595 KB

english, 2010

21

Conjugate processes: Theory and application to risk forecasting

Horta, Eduardo, Ziegelmann, Flavio

Journal:

Stochastic Processes and their Applications

Année:

2017

Langue:

english

Fichier:

PDF, 1.04 MB

english, 2017

22

Previsões para o crescimento do PIB trimestral brasileiro com séries financeiras e econômicas mensais: uma aplicação de MIDAS

Zuanazzi, Pedro Tonon, Ziegelmann, Flávio Augusto

Journal:

Economia Aplicada

Année:

2014

Fichier:

PDF, 733 KB

2014

23

Robust factor modelling for high-dimensional time series: An application to air pollution data

Reisen, Valdério Anselmo, Sgrancio, Adriano Marcio, Lévy-Leduc, Céline, Bondon, Pascal, Monte, Edson Zambon, Aranda Cotta, Higor Henrique, Ziegelmann, Flávio Augusto

Journal:

Applied Mathematics and Computation

Année:

2019

Langue:

english

Fichier:

PDF, 1.20 MB

english, 2019

24

A Comparison Study of Copula Models for European Financial Index Returns

Tofoli, Paula V., Ziegelmann, Flavio A., Candido, Osvaldo

Journal:

International Journal of Economics and Finance

Année:

2017

Langue:

english

Fichier:

PDF, 1.98 MB

english, 2017

25

Effectiveness evaluation of mood disorder treatment algorithms in Brazilian public healthcare patients

Lima, Ana F., Miguel, Sandro R., Cohen, Mírian, Zimmermann, Jacques J., Shansis, Flávio M., Cruz, Luciane N., Ziegelmann, Patrícia K., Polanczyk, Carisi A., Fleck, Marcelo P.

Journal:

Revista Brasileira de Psiquiatria

Année:

2017

Langue:

english

Fichier:

PDF, 1.17 MB

english, 2017

26

Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)

Tófoli, Paula V., Ziegelmann, Flávio A., Candido, Osvaldo, Valls Pereira, Pedro L.

Journal:

Journal of Time Series Econometrics

Année:

2019

Langue:

english

Fichier:

PDF, 2.37 MB

english, 2019

27

Measuring Systemic Risk via GAS models and Extreme Value Theory: Revisiting the 2007 Financial Crisis

Gavronski, Pedro Gerhardt, Ziegelmann, Flavio A.

Journal:

Finance Research Letters

Année:

2020

Fichier:

PDF, 526 KB

2020