Simon A. Broda : Citation Profile


Are you Simon A. Broda?

Universiteit van Amsterdam (47% share)
Universiteit van Amsterdam (47% share)
Tinbergen Instituut (6% share)

4

H index

2

i10 index

70

Citations

RESEARCH PRODUCTION:

9

Articles

11

Papers

RESEARCH ACTIVITY:

   14 years (2006 - 2020). See details.
   Cites by year: 5
   Journals where Simon A. Broda has often published
   Relations with other researchers
   Recent citing documents: 9.    Total self citations: 7 (9.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbr550
   Updated: 2022-01-15    RAS profile: 2020-06-23    
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Relations with other researchers


Works with:

Arismendi Zambrano, Juan (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Simon A. Broda.

Is cited by:

Haas, Markus (4)

Rossi, Eduardo (4)

Basher, Syed (2)

Darné, Olivier (2)

ausloos, marcel (2)

Mittnik, Stefan (2)

Smeekes, Stephan (2)

Urga, Giovanni (2)

BenSaïda, Ahmed (2)

Shahzad, Syed Jawad Hussain (2)

Caporin, Massimiliano (2)

Cites to:

Acerbi, Carlo (6)

Tasche, Dirk (5)

Riani, Marco (4)

MacKinnon, James (4)

Harvey, Campbell (3)

Mittnik, Stefan (3)

Davidson, Russell (3)

Phillips, Peter (3)

Engle, Robert (2)

Nelson, Charles (2)

Startz, Richard (2)

Main data


Where Simon A. Broda has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis3

Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute2
UvA-Econometrics Working Papers / Universiteit van Amsterdam, Dept. of Econometrics2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Munich Reprints in Economics / University of Munich, Department of Economics2

Recent works citing Simon A. Broda (2021 and 2020)


YearTitle of citing document
2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:2005.12593.

Full description at Econpapers || Download paper

2020Loss aversion and market crashes. (2020). Ouzan, Samuel. In: Economic Modelling. RePEc:eee:ecmode:v:92:y:2020:i:c:p:70-86.

Full description at Econpapers || Download paper

2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

Full description at Econpapers || Download paper

2020On moments of doubly truncated multivariate normal mean–variance mixture distributions with application to multivariate tail conditional expectation. (2020). Balakrishnan, Narayanaswamy ; Roozegar, Roohollah ; Jamalizadeh, Ahad. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:177:y:2020:i:c:s0047259x19304087.

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2021A non-recursive formula for various moments of the multivariate normal distribution with sectional truncation. (2021). Ogasawara, Haruhiko. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:183:y:2021:i:c:s0047259x21000075.

Full description at Econpapers || Download paper

2020Implied volatility relationships between crude oil and the U.S. stock markets: Dynamic correlation and spillover effects. (2020). Ding, Zhihua ; Wu, Jy S ; Tseng, Hui-Kuan ; Liu, Zhenhua. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719308153.

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2021Risk Spillover during the COVID-19 Global Pandemic and Portfolio Management. (2021). Yousfi, Mohamed ; Bouzgarrou, Houssam ; Dhaoui, Abderrazak. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:5:p:222-:d:554950.

Full description at Econpapers || Download paper

2020Computation of Expected Shortfall by fast detection of worst scenarios. (2020). Virrion, Benjamin ; Reghai, Adil ; Bouchard, Bruno. In: Working Papers. RePEc:hal:wpaper:hal-02619589.

Full description at Econpapers || Download paper

2020The power of (non-)linear shrinking: a review and guide to covariance matrix estimation. (2019). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:323.

Full description at Econpapers || Download paper

Works by Simon A. Broda:


YearTitleTypeCited
2013Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors In: UvA-Econometrics Working Papers.
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paper1
2013Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors.(2013) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2013On Distributions of Ratios In: UvA-Econometrics Working Papers.
[Full Text][Citation analysis]
paper0
2016On distributions of ratios.(2016) In: Biometrika.
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This paper has another version. Agregated cites: 0
article
2014On Distributions of Ratios.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2008CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper27
2009CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation.(2009) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
article
2011Stable Mixture GARCH Models In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper18
2013Stable mixture GARCH models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
2007Saddlepoint approximations for the doubly noncentral t distribution In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article6
2007Bias-adjusted estimation in the ARX(1) model In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article4
2007Bias-adjusted estimation in the ARX(1) model.(2007) In: Munich Reprints in Economics.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
2009Evaluating the density of ratios of noncentral quadratic forms in normal variables In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article1
2018Approximating expected shortfall for heavy-tailed distributions In: Econometrics and Statistics.
[Full Text][Citation analysis]
article2
2017Multivariate elliptical truncated moments In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article3
2016Multivariate Elliptical Truncated Moments.(2016) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
paper
2009Assessing and improving the performance of nearly efficient unit root tests in small samples In: Munich Reprints in Economics.
[Citation analysis]
paper7
2009Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples.(2009) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2020On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗ In: Economics Department Working Paper Series.
[Full Text][Citation analysis]
paper0
2006Approximately Exact Inference in Dynamic Panel Models In: Computing in Economics and Finance 2006.
[Citation analysis]
paper1

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