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1

A pairs trading strategy based on linear state space models and the Kalman filter

de Moura, Carlos Eduardo, Pizzinga, Adrian, Zubelli, Jorge

Journal:

Quantitative Finance

Year:

2016

Language:

english

File:

PDF, 1.11 MB

english, 2016

2

Restricted Kalman filtering revisited

Adrian Pizzinga, Cristiano Fernandes, Sergio Contreras

Journal:

Journal of Econometrics

Year:

2008

Language:

english

File:

PDF, 220 KB

english, 2008

3

Constrained Kalman Filtering: Additional Results

Adrian Pizzinga

Journal:

International Statistical Review

Year:

2010

Language:

english

File:

PDF, 271 KB

english, 2010

4

Diffuse Restricted Kalman Filtering

Pizzinga, Adrian

Journal:

Communication in Statistics- Theory and Methods

Year:

2013

Language:

english

File:

PDF, 202 KB

english, 2013

5

Semi-strong dynamic style analysis with time-varying selectivity measurement: Applications to Brazilian exchange-rate funds

Adrian Pizzinga, Luciano Vereda, Rodrigo Atherino, Cristiano Fernandes

Journal:

Applied Stochastic Models in Business and Industry

Year:

2008

Language:

english

File:

PDF, 154 KB

english, 2008

6

Further investigation into restricted Kalman filtering

Adrian Pizzinga

Journal:

Statistics & Probability Letters

Year:

2009

Language:

english

File:

PDF, 437 KB

english, 2009

7

Methodological Procedure for Estimating Brazilian Quarterly GDP Series

Luiz Fernando Cerqueira, Adrian Pizzinga, Cristiano Fernandes

Journal:

International Advances in Economic Research

Year:

2009

Language:

english

File:

PDF, 236 KB

english, 2009

8

Restricted Kalman filter applied to dynamic style analysis of actuarial funds

Reinaldo Marques, Adrian Pizzinga, Luciano Vereda

Journal:

Applied Stochastic Models in Business and Industry

Year:

2012

Language:

english

File:

PDF, 902 KB

english, 2012

9

[SpringerBriefs in Statistics] Restricted Kalman Filtering Volume 12 ||

Pizzinga, Adrian

Year:

2012

Language:

english

File:

PDF, 1.08 MB

english, 2012

10

State space models for the exchange rate pass-through: determinants and null/full pass-through hypotheses

de Souza, Rafael Martins, Maciel, Luiz Felipe Pires, Pizzinga, Adrian

Journal:

Applied Economics

Year:

2013

Language:

english

File:

PDF, 423 KB

english, 2013

11

Modeling and predicting IBNR reserve: extended chain ladder and heteroscedastic regression analysis

Costa, Leonardo, Pizzinga, Adrian, Atherino, Rodrigo

Journal:

Journal of Applied Statistics

Year:

2016

Language:

english

File:

PDF, 641 KB

english, 2016

12

State‐space models for predicting IBNR reserve in row‐wise ordered runoff triangles: calendar year IBNR reserves & tail effects

Costa, Leonardo, Pizzinga, Adrian

Journal:

Journal of Forecasting

Year:

2019

File:

PDF, 1.10 MB

2019

13

An Extensive Comparison of Some WellâEstablished Value at Risk Methods

Calmon, Wilson, Ferioli, Eduardo, Lettieri, Davi, Soares, Johann, Pizzinga, Adrian

Journal:

International Statistical Review

Year:

2020

File:

PDF, 776 KB

2020

14

Independent events and their complements

Crispim, Carolina Martins, Mizuno, Gabriel Perez, Pizzinga, Adrian

Journal:

International Journal of Mathematical Education

Year:

2020

File:

PDF, 1.15 MB

2020

15

Extensions to the invariance property of maximum likelihood estimation for affineâtransformed stateâspace models

Pizzinga, Adrian, Fernandes, Marcelo

Journal:

Journal of Time Series Analysis

Year:

2020

File:

PDF, 1.10 MB

2020