Flavio Ziegelmann
Flavio Ziegelmann
Verified email at ufrgs.br
Title
Cited by
Cited by
Year
Modeling dependence dynamics through copulas with regime switching
OC da Silva Filho, FA Ziegelmann, MJ Dueker
Insurance: Mathematics and Economics 50 (3), 346-356, 2012
812012
Nonparametric estimation of volatility functions: the local exponential estimator
FA Ziegelmann
Econometric Theory, 985-991, 2002
802002
A nonparametric method for estimating asymmetric densities based on skewed Birnbaum–Saunders distributions applied to environmental data
H Saulo, V Leiva, FA Ziegelmann, C Marchant
Stochastic Environmental Research and Risk Assessment 27 (6), 1479-1491, 2013
622013
Identifying the finite dimensionality of curve time series
N Bathia, Q Yao, F Ziegelmann
The Annals of Statistics 38 (6), 3352-3386, 2010
542010
Volatility forecasting via MIDAS, HAR and their combination: An empirical comparative study for IBOVESPA
DG Santos, FA Ziegelmann
Journal of Forecasting 33 (4), 284-299, 2014
382014
Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
OC Silva Filho, FA Ziegelmann, MJ Dueker
Quantitative Finance 14 (12), 2155-2170, 2014
322014
Estimation of opportunity inequality in Brazil using nonparametric local logistic regression
EA De Figueiredo, FA Ziegelmann
The Journal of Development Studies 46 (9), 1593-1606, 2010
212010
Mudança na distribuição de renda brasileira: significância estatística e bem-estar econômico
EA Figueiredo, FA Ziegelmann
Economia Aplicada 13 (2), 257-277, 2009
162009
Modelos de Volatilidade Estocástica com Deformação Temporal: um estudo empírico para o índice ibovespa
FA Ziegelmann, PV PEREIRA
Pesquisa e Planejamento Econômico 27 (2), 353-376, 1997
161997
LASSO‐Type Penalties for Covariate Selection and Forecasting in Time Series
E Konzen, FA Ziegelmann
Journal of Forecasting 35 (7), 592-612, 2016
122016
Assessing some stylized facts about financial market indexes: a Markov copula approach
OC Silva Filho, FA Ziegelmann
Journal of Economic Studies, 2014
92014
The dynamics of the Brazilian income
E Figueiredo, F Ziegelmann
Economics Bulletin 30 (2), 1249-1260, 2010
92010
Estimation of Volatility Functions: Nonparametric and Semi-Parametric Methods
FA Ziegelmann
Tese de Doutorado, University of Kent at Canterbury (UK), 2002
92002
Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index
E Horta, F Ziegelmann
International Journal of Forecasting 34 (1), 75-88, 2018
82018
Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations
VA Reisen, EZ Monte, G da Conceição Franco, AM Sgrancio, ...
Mathematics and Computers in Simulation 146, 27-43, 2018
62018
Identifying the spectral representation of Hilbertian time series
E Horta, F Ziegelmann
Statistics & Probability Letters 118, 45-49, 2016
52016
Selection of minimum variance portfolio using intraday data: An empirical comparison among different realized measures for bm&fbovespa data
FA Ziegelmann, B Borges, JF Caldeira
Brazilian Review of Econometrics 35 (1), 23-46, 2015
52015
Estimating income mobility using census data
EA De Figueiredo, FA Ziegelmann
Physica A: Statistical Mechanics and its Applications 389 (21), 4897-4903, 2010
52010
Mobilidade de renda e bem-estar econômico no Brasil
EA de Figueirêdo, FA Ziegelmann
Revista Brasileira de Economia 63 (4), 183-194, 2009
52009
Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
M Bartels, FA Ziegelmann
Insurance: Mathematics and Economics 70, 66-79, 2016
42016
The system can't perform the operation now. Try again later.
Articles 1–20