Simon A. Broda : Citation Profile


Are you Simon A. Broda?

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

6

H index

2

i10 index

90

Citations

RESEARCH PRODUCTION:

11

Articles

11

Papers

RESEARCH ACTIVITY:

   15 years (2006 - 2021). See details.
   Cites by year: 6
   Journals where Simon A. Broda has often published
   Relations with other researchers
   Recent citing documents: 9.    Total self citations: 7 (7.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pbr550
   Updated: 2024-11-04    RAS profile: 2024-05-07    
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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)

ausloos, marcel (2)

Darné, Olivier (2)

Caporin, Massimiliano (2)

Pham, Linh (2)

Santucci de Magistris, Paolo (2)

Smeekes, Stephan (2)

BenSaïda, Ahmed (2)

Urga, Giovanni (2)

Mittnik, Stefan (2)

Cites to:

Acerbi, Carlo (8)

Tasche, Dirk (5)

Riani, Marco (4)

MacKinnon, James (4)

Davidson, Russell (3)

Mittnik, Stefan (3)

Phillips, Peter (3)

Harvey, Campbell (3)

Startz, Richard (2)

Ait-Sahalia, Yacine (2)

Engle, Robert (2)

Main data


Where Simon A. Broda has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis3
Biometrika2

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 (2024 and 2023)


YearTitle of citing document
2023Multivariate 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

2023Bayesian 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.

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2024Sustainable 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.

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2023Stablecoins 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.

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2023Forecasting 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.

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2023BeFi 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.

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2023Heterogeneous 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.

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2023Another 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:


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.
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This paper has nother version. Agregated cites: 1
paper
2013On Distributions of Ratios In: UvA-Econometrics Working Papers.
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paper0
2016On distributions of ratios.(2016) In: Biometrika.
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This paper has nother version. Agregated cites: 0
article
2014On Distributions of Ratios.(2014) In: Tinbergen Institute Discussion Papers.
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This paper has nother 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]
paper35
2009CHICAGO: 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
2011Stable Mixture GARCH Models In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper20
2013Stable mixture GARCH models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20
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 nother 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.
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article3
2017Multivariate elliptical truncated moments In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article6
2016Multivariate Elliptical Truncated Moments.(2016) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6
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 nother 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
2021On quadratic forms in multivariate generalized hyperbolic random vectors In: Biometrika.
[Full Text][Citation analysis]
article0
2006Approximately Exact Inference in Dynamic Panel Models In: Computing in Economics and Finance 2006.
[Citation analysis]
paper1
2016Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models In: Journal of Behavioral Finance.
[Full Text][Citation analysis]
article6

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