Sergey Nasekin
Sergey Nasekin
Verified email at hu-berlin.de
Title
Cited by
Cited by
Year
Deep learning-based cryptocurrency sentiment construction
S Nasekin, CYH Chen
Available at SSRN 3310784, 2019
122019
TEDAS-Tail EventDriven ASsetAllocation
WK Härdle, S Nasekin, DLK Chuen, PK Fai
Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2014
122014
Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets
WK Härdle, DKC Lee, S Nasekin, A Petukhina
Journal of Asset Management 19 (1), 49-63, 2018
92018
A Descriptive Study of High-Frequency Trade and Quote Option Data
TG Andersen, I Archakov, LE Grund, N Hautsch, Y Li, S Nasekin, I Nolte, ...
Journal of Financial Econometrics, 2020
32020
Model-driven statistical arbitrage on LETF option markets
S Nasekin, WK Härdle
Quantitative Finance 19 (11), 1817-1837, 2019
32019
High-dimensional Lasso Quantile Regression Applied to Hedge Funds' Portfolio
S Nasekin
Humboldt-Univ., 2013
32013
The systemic risk of central SIFIs
CYH Chen, S Nasekin
SFB 649 Discussion Paper, 2017
12017
Leveraged ETF options implied volatility paradox: a statistical study
WK Härdle, S Nasekin, Z Hong
SFB 649 Discussion Paper 2016-004, Economic Risk, Berlin, 2016
12016
Tail Event Driven Asset Allocation: Evidence from Equity and Mutual Funds Markets.(2015)
WK HARDLE, DKC LEE, S NASEKIN, X NI, A PETUKINA
Singapore Economic Review Conference 2015, August 5 7, 1-25, 2015
12015
Quantifying systemic risk with factor copulas
CYH Chen, S Nasekin
The European Journal of Finance 26 (18), 1926-1947, 2020
2020
Quantifying systemic risk with factor copulas
S Nasekin, CYH Chen
Available at SSRN 3691984, 2020
2020
TEDAS-Tail Event Driven Asset Allocation
S Nasekin, WK Härdle, DKC Lee
Available at SSRN 3691980, 2017
2017
Dynamic dimension reduction for financial applications
S Nasekin
Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2017
2017
Leveraged ETF optionsimplied volatility paradox
WK Härdle, S Nasekin, Z Hong
Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2016
2016
Tail Event Driven ASset allocation
WK Härdle, DLK Chuen, S Nasekin, X Ni, A Petukhina
Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät, 2015
2015
Local Volatility Dynamics of Leveraged ETF Options
WK Härdle, Z Hong, S Nasekin
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Articles 1–16