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1

Identificação de estruturas não-lineares de séries temporais através de regressão linear local e modelos aditivos

Kirchner, Rosane M., Souza, Reinaldo C., Ziegelmann, Flávio A.

Journal:

Pesquisa Operacional

Year:

2008

File:

PDF, 295 KB

2008

2

Modeling dependence dynamics through copulas with regime switching

Osvaldo Candido da Silva Filho, Flavio Augusto Ziegelmann, Michael J. Dueker

Journal:

Insurance: Mathematics and Economics

Year:

2012

Language:

english

File:

PDF, 1.03 MB

english, 2012

3

Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

Silva Filho, Osvaldo C., Ziegelmann, Flavio A., Dueker, Michael J.

Journal:

Quantitative Finance

Year:

2014

Language:

english

File:

PDF, 651 KB

english, 2014

4

Mudança na distribuição de renda brasileira: significância estatística e bem-estar econômico

Figueiredo, Erik Alencar de, Ziegelmann, Flávio Augusto

Journal:

Economia Aplicada

Year:

2009

File:

PDF, 221 KB

2009

5

Assessing some stylized facts about financial market indexes: a Markov copula approach

Candido Silva Filho, Osvaldo, Augusto Ziegelmann, Flavio

Journal:

Journal of Economic Studies

Year:

2014

Language:

english

File:

PDF, 461 KB

english, 2014

6

LASSO-Type Penalties for Covariate Selection and Forecasting in Time Series

Konzen, Evandro, Ziegelmann, Flavio A.

Journal:

Journal of Forecasting

Year:

2016

Language:

english

File:

PDF, 577 KB

english, 2016

7

Nonparametric Estimation of Volatility Functions: The Local Exponential Estimator

Flavio A. Ziegelmann

Journal:

Econometric Theory

Year:

2002

Language:

english

File:

PDF, 742 KB

english, 2002

8

Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index

Horta, Eduardo, Ziegelmann, Flavio

Journal:

International Journal of Forecasting

Year:

2018

Language:

english

File:

PDF, 1.05 MB

english, 2018

9

Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO 2 concentrations

Reisen, Valdério Anselmo, Monte, Edson Zambon, da Conceição Franco, Glaura, Sgrancio, Adriano Marcio, Molinares, Fábio Alexander Fajardo, Bondon, Pascal, Ziegelmann, Flávio Augusto, Abraham, Bovas

Journal:

Mathematics and Computers in Simulation

Year:

2018

Language:

english

File:

PDF, 571 KB

english, 2018

10

Estimating income mobility using census data

Erik Alencar de Figueiredo, Flávio Augusto Ziegelmann

Journal:

Physica A: Statistical Mechanics and its Applications

Year:

2010

Language:

english

File:

PDF, 290 KB

english, 2010

11

Semiparametric estimation of volatility: some models and complexity choice in the adaptive functional-coefficient class

Ziegelmann, Flavio A.

Journal:

Journal of Statistical Computation and Simulation

Year:

2011

Language:

english

File:

PDF, 739 KB

english, 2011

12

Estimation of Opportunity Inequality in Brazil using Nonparametric Local Logistic Regression

de Figueiredo, Erik Alencar, Ziegelmann, Flávio Augusto

Journal:

Journal of Development Studies

Year:

2010

Language:

english

File:

PDF, 221 KB

english, 2010

13

A Local Linear Least-Absolute-Deviations Estimator of Volatility

Ziegelmann, Flavio A.

Journal:

Communications in Statistics - Simulation and Computation

Year:

2008

Language:

english

File:

PDF, 1.45 MB

english, 2008

14

Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA

Santos, Douglas G., Ziegelmann, Flavio A.

Journal:

Journal of Forecasting

Year:

2014

Language:

english

File:

PDF, 265 KB

english, 2014

15

IDENTIFYING THE FINITE DIMENSIONALITY OF CURVE TIME SERIES

Neil Bathia, Qiwei Yao and Flavio Ziegelmann

Journal:

The Annals of Statistics

Year:

2010

Language:

english

File:

PDF, 2.26 MB

english, 2010

16

NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR

Ziegelmann, Flavio A.

Journal:

Econometric Theory

Year:

2002

Language:

english

File:

PDF, 112 KB

english, 2002

17

Nonparametric Estimation of Volatility Functions: The Local Exponential Estimator

Flavio A. Ziegelmann

Journal:

Econometric Theory

Year:

2002

File:

PDF, 742 KB

2002

18

Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics

Bartels, Mariana, Ziegelmann, Flavio A.

Journal:

Insurance: Mathematics and Economics

Year:

2016

Language:

english

File:

PDF, 3.18 MB

english, 2016

19

Identifying the spectral representation of Hilbertian time series

Horta, Eduardo, Ziegelmann, Flavio

Journal:

Statistics & Probability Letters

Year:

2016

Language:

english

File:

PDF, 396 KB

english, 2016

20

Identifying the finite dimensionality of curve time series

Bathia, Neil, Yao, Qiwei, Ziegelmann, Flavio

Journal:

The Annals of Statistics

Year:

2010

Language:

english

File:

PDF, 595 KB

english, 2010

21

Conjugate processes: Theory and application to risk forecasting

Horta, Eduardo, Ziegelmann, Flavio

Journal:

Stochastic Processes and their Applications

Year:

2017

Language:

english

File:

PDF, 1.04 MB

english, 2017

22

Previsões para o crescimento do PIB trimestral brasileiro com séries financeiras e econômicas mensais: uma aplicação de MIDAS

Zuanazzi, Pedro Tonon, Ziegelmann, Flávio Augusto

Journal:

Economia Aplicada

Year:

2014

File:

PDF, 733 KB

2014

23

Robust factor modelling for high-dimensional time series: An application to air pollution data

Reisen, Valdério Anselmo, Sgrancio, Adriano Marcio, Lévy-Leduc, Céline, Bondon, Pascal, Monte, Edson Zambon, Aranda Cotta, Higor Henrique, Ziegelmann, Flávio Augusto

Journal:

Applied Mathematics and Computation

Year:

2019

Language:

english

File:

PDF, 1.20 MB

english, 2019

24

A Comparison Study of Copula Models for European Financial Index Returns

Tofoli, Paula V., Ziegelmann, Flavio A., Candido, Osvaldo

Journal:

International Journal of Economics and Finance

Year:

2017

Language:

english

File:

PDF, 1.98 MB

english, 2017

25

Effectiveness evaluation of mood disorder treatment algorithms in Brazilian public healthcare patients

Lima, Ana F., Miguel, Sandro R., Cohen, Mírian, Zimmermann, Jacques J., Shansis, Flávio M., Cruz, Luciane N., Ziegelmann, Patrícia K., Polanczyk, Carisi A., Fleck, Marcelo P.

Journal:

Revista Brasileira de Psiquiatria

Year:

2017

Language:

english

File:

PDF, 1.17 MB

english, 2017

26

Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR)

Tófoli, Paula V., Ziegelmann, Flávio A., Candido, Osvaldo, Valls Pereira, Pedro L.

Journal:

Journal of Time Series Econometrics

Year:

2019

Language:

english

File:

PDF, 2.37 MB

english, 2019

27

Measuring Systemic Risk via GAS models and Extreme Value Theory: Revisiting the 2007 Financial Crisis

Gavronski, Pedro Gerhardt, Ziegelmann, Flavio A.

Journal:

Finance Research Letters

Year:

2020

File:

PDF, 526 KB

2020