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Ricco, Rafael [Author]; Ziegelmann, Flávio A. [Author]

Realized semicovariances : empirical applications to volatility forecasting and portfolio optimization

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2023

Published in: Revista Brasileira de Finanças ; 21(2023), 3 vom: Juli/Sept., Seite 99-122
Souza, Wallace Patrick Santos de Farias [Author]; Ziegelmann, Flávio A. [Author]; Figueiredo, Erik [Author]

O impacto do comércio internacional sobre as condições de saúde : uma abordagem estrutural

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2023

Published in: Revista brasileira de economia ; 77(2023), Artikel-ID e122023, Seite 1-24
Souza, Wallace Patrick Santos de Farias [Author]; Ziegelmann, Flávio A. [Author]; Figueiredo, Erik [Author]

Uma nota sobre o prêmio salarial em empresas exportadoras brasileiras

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2020

Published in: Revista brasileira de economia ; 74(2020), 2 vom: Apr./Juni, Seite 119-138
Ziegelmann, Flavio A.

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

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Informa UK Limited, 2011

Published in: Journal of Statistical Computation and Simulation, 81 (2011) 6, Seite 707-728
Ziegelmann, Flavio A.

A Local Linear Least-Absolute-Deviations Estimator of Volatility

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Informa UK Limited, 2008

Published in: Communications in Statistics - Simulation and Computation, 37 (2008) 8, Seite 1543-1564
Ziegelmann, Flavio A.

NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR

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Cambridge University Press (CUP), 2002

Published in: Econometric Theory, 18 (2002) 4, Seite 985-991
Ricco, Rafael; Ziegelmann, Flavio A.

Realized semicovariances: Empirical applications to volatility forecasting and portfolio optimization

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Fundacao Getulio Vargas, 2023

Published in: Brazilian Review of Finance, 21 (2023) 3, Seite 99-122
Konzen, Evandro; Ziegelmann, Flavio A.

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

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Wiley, 2016

Published in: Journal of Forecasting, 35 (2016) 7, Seite 592-612
Gandini, Alexandre L. D.; Ziegelmann, Flavio A.

Combining LASSO-type Methods with a Smooth Transition Random Forest

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Springer Science and Business Media LLC, 2024

Published in: Annals of Data Science (2024)
Santos, Douglas G.; Ziegelmann, Flavio A.

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

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Wiley, 2014

Published in: Journal of Forecasting, 33 (2014) 4, Seite 284-299
Kuchenbecker, Arthur S.; Torrent, Hudson S.; Ziegelmann, Flavio A.

Measuring and explaining efficiency of pre-vaccine country responses to COVID-19 pandemic: a conditional robust nonparametric approach

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Springer Science and Business Media LLC, 2024

Published in: Empirical Economics (2024)
Chen, Yining; Torrent, Hudson S.; Ziegelmann, Flavio A.

Robust nonparametric frontier estimation in two steps

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Informa UK Limited, 2023

Published in: Econometric Reviews, 42 (2023) 7, Seite 612-634
Tofoli, Paula V.; Ziegelmann, Flavio A.; Candido, Osvaldo

A Comparison Study of Copula Models for European Financial Index Returns

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Canadian Center of Science and Education, 2017

Published in: International Journal of Economics and Finance, 9 (2017) 10, Seite 155
Silva Filho, Osvaldo C.; Ziegelmann, Flavio A.; Dueker, Michael J.

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

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Informa UK Limited, 2014

Published in: Quantitative Finance, 14 (2014) 12, Seite 2155-2170
Saulo, Helton; Leiva, Víctor; Ziegelmann, Flavio A.; Marchant, Carolina

A nonparametric method for estimating asymmetric densities based on skewed Birnbaum–Saunders distributions applied to environmental data

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Springer Science and Business Media LLC, 2013

Published in: Stochastic Environmental Research and Risk Assessment, 27 (2013) 6, Seite 1479-1491
Kirchner, Rosane M.; Souza, Reinaldo C.; Ziegelmann, Flávio A.

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

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FapUNIFESP (SciELO), 2008

Published in: Pesquisa Operacional, 28 (2008) 1, Seite 45-57
Tófoli, Paula V.; Ziegelmann, Flávio A.; Candido, Osvaldo; Valls Pereira, Pedro L.

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

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Walter de Gruyter GmbH, 2019

Published in: Journal of Time Series Econometrics, 11 (2019) 2
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.

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

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EDITORA SCIENTIFIC, 2017

Published in: Revista Brasileira de Psiquiatria, 40 (2017) 1, Seite 26-34

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