6
H index
2
i10 index
90
Citations
Simon A. Broda : Citation Profile
Universiteit van Amsterdam (47% share) | RESEARCH PRODUCTION: 11 Articles 11 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2006 - 2021). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Simon A. Broda. | Is cited by:
| Cites to:
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Main data
Where Simon A. Broda has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Statistics & Data Analysis | 3 |
| Biometrika | 2 |
Recent works citing Simon A. Broda (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Multivariate range Value-at-Risk and covariance risk measures for elliptical and log-elliptical distributions. (2023). Yao, Jing ; Yin, Chuancun ; Zuo, Baishuai. In: Papers. RePEc:arx:papers:2305.09097. Full description at Econpapers || Download paper |
| 2023 | On variable ordination of modified Cholesky decomposition for estimating time?varying covariance matrices. (2020). Tsui, Kamwah ; Deng, Xinwei ; Kang, Xiaoning ; Pourahmadi, Mohsen. In: International Statistical Review. RePEc:bla:istatr:v:88:y:2020:i:3:p:616-641. Full description at Econpapers || Download paper |
| 2023 | Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207. Full description at Econpapers || Download paper |
| 2024 | Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029. Full description at Econpapers || Download paper |
| 2023 | Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735. Full description at Econpapers || Download paper |
| 2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper |
| 2023 | BeFi meets DeFi: A behavioral finance approach to decentralized finance asset pricing. (2023). Williams, T H ; Mekelburg, Erik ; Bennett, Donyetta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s027553192300065x. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon. In: Digital Finance. RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z. Full description at Econpapers || Download paper |
| 2023 | Another look at contagion across United States and European financial markets: Evidence from the credit default swaps markets. (2023). Apergis, Nicholas ; Tsionas, Mike G. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:1137-1155. Full description at Econpapers || Download paper |
Works by Simon A. Broda:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors In: UvA-Econometrics Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2013 | Tail 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 nother version. Agregated cites: 1 | paper | |
| 2013 | On Distributions of Ratios In: UvA-Econometrics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | On distributions of ratios.(2016) In: Biometrika. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2014 | On Distributions of Ratios.(2014) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2008 | CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 35 |
| 2009 | CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation.(2009) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
| 2011 | Stable Mixture GARCH Models In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 20 |
| 2013 | Stable mixture GARCH models.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2007 | Saddlepoint approximations for the doubly noncentral t distribution In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 6 |
| 2007 | Bias-adjusted estimation in the ARX(1) model In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 4 |
| 2007 | Bias-adjusted estimation in the ARX(1) model.(2007) In: Munich Reprints in Economics. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2009 | Evaluating the density of ratios of noncentral quadratic forms in normal variables In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2018 | Approximating expected shortfall for heavy-tailed distributions In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 2017 | Multivariate elliptical truncated moments In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 6 |
| 2016 | Multivariate Elliptical Truncated Moments.(2016) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
| 2009 | Assessing and improving the performance of nearly efficient unit root tests in small samples In: Munich Reprints in Economics. [Citation analysis] | paper | 7 |
| 2009 | Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples.(2009) In: Econometric Reviews. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2020 | On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗ In: Economics Department Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2021 | On quadratic forms in multivariate generalized hyperbolic random vectors In: Biometrika. [Full Text][Citation analysis] | article | 0 |
| 2006 | Approximately Exact Inference in Dynamic Panel Models In: Computing in Economics and Finance 2006. [Citation analysis] | paper | 1 |
| 2016 | Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models In: Journal of Behavioral Finance. [Full Text][Citation analysis] | article | 6 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team