Szymon Borak : Citation Profile


Are you Szymon Borak?

Humboldt-Universität Berlin
Humboldt-Universität Berlin
Humboldt-Universität Berlin

4

H index

3

i10 index

129

Citations

RESEARCH PRODUCTION:

5

Papers

RESEARCH ACTIVITY:

   2 years (2005 - 2007). See details.
   Cites by year: 64
   Journals where Szymon Borak has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 1 (0.77 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbo287
   Updated: 2019-11-10    RAS profile: 2011-04-17    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Szymon Borak.

Is cited by:

Climent-Hernández, José (20)

Härdle, Wolfgang (20)

Weron, Rafał (7)

Fouilloux, Jessica (4)

Gaffeo, Edoardo (4)

Darné, Olivier (4)

LINTON, OLIVER (4)

Su, Liangjun (4)

Chevallier, Julien (4)

Song, Song (4)

Heekeren, Hauke (3)

Cites to:

Härdle, Wolfgang (10)

Fengler, Matthias (4)

LINTON, OLIVER (3)

Weron, Rafał (3)

Larson, Donald (2)

Connor, Gregory (2)

merton, robert (2)

Fama, Eugene (1)

Nelson, Charles (1)

Cai, Zongwu (1)

Schleich, Joachim (1)

Main data


Where Szymon Borak has published?


Working Papers Series with more than one paper published# docs
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany5

Recent works citing Szymon Borak (2018 and 2017)


YearTitle of citing document
2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas ; Papaioannou, George P. In: Papers. RePEc:arx:papers:1708.07063.

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2019State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

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2019Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation. (2019). Fabozzi, Frank J ; Rache, Svetlozar T ; Hu, Yuan. In: Papers. RePEc:arx:papers:1908.05419.

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2017On time-varying factor models: Estimation and testing. (2017). Su, Liangjun ; Wang, Xia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:84-101.

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2017Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39.

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2018Measuring the risk-adjusted performance of CO2 emission markets: Evidence from SENDECO2. (2018). Feria-Dominguez, Jose Manuel ; Guerra-Martinez, Jose Carlos ; Rodriguez-Carrillero, David. In: Utilities Policy. RePEc:eee:juipol:v:50:y:2018:i:c:p:124-132.

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2017Stochastic volatility of the futures prices of emission allowances: A Bayesian approach. (2017). Kim, Jungmu ; Ryu, Doojin ; Park, Yuen Jung. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:465:y:2017:i:c:p:714-724.

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2018Exact simulation for a class of tempered stable. (2018). Zhao, Hongbiao ; Qu, Yan ; Dassios, Angelos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:86981.

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2017Dynamic Semiparametric Factor Model with a Common Break. (2017). Wu, Wei Biao ; Wang, Weining ; Chen, Likai. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-026.

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2017Dynamic semi-parametric factor model for functional expectiles. (2017). Härdle, Wolfgang ; Burdejová, Petra ; Lessmann, Stefan ; Zharova, Alona ; Hardle, Wolfgang K ; Burdejova, Petra. In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-027.

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2017Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables. (2017). Climent-Hernández, José ; Climent Hernández, José ; Climent-Hernández, José ; Climent-Hernández, José ; Matu, Carolina Cruz. In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:4:p:1136-1159.

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2017Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process.. (2017). Climent-Hernández, José ; Climent Hernández, José ; Climent-Hernández, José ; Climent-Hernández, José ; Matu, Carolina Cruz. In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:4:p:1160-1182.

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2017The a-stable processes and their relationship with theexponent of self-similarity: Exchange rates of USADollar, Canadian Dollar, Euro and Yen. (2017). Climent-Hernández, José ; Climent Hernández, José ; Climent-Hernández, José ; Climent-Hernández, José ; Benavides, Domingo Rodriguez ; Hoyos, Luis Fernando. In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:5:p:11-12.

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2017Los procesos alfa estables y su relación con el exponentede autosimilitud: paridades de los tipos de cambio dólarestadounidense, dólar canadiense, euro y yen. (2017). Climent-Hernández, José ; Climent Hernández, José ; Climent-Hernández, José ; Climent-Hernández, José ; Benavides, Domingo Rodriguez ; Hoyos, Luis Fernando. In: Contaduría y Administración. RePEc:nax:conyad:v:62:y:2017:i:5:p:9-10.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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Works by Szymon Borak:


YearTitleTypeCited
2005Stable Distributions In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper36
2005FFT Based Option Pricing In: SFB 649 Discussion Papers.
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paper9
2005DSFM fitting of Implied Volatility Surfaces In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper2
2006Convenience Yields for CO2 Emission Allowance Futures Contracts In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper38
2007Time Series Modelling with Semiparametric Factor Dynamics In: SFB 649 Discussion Papers.
[Full Text][Citation analysis]
paper44

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