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Results: 17
Number of items: 17
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Broda, S. A. (2012). The expected shortfall of quadratic portfolios with heavy-tailed risk factors. Mathematical Finance, 22(4), 710-728. https://doi.org/10.1111/j.1467-9965.2011.00482.x
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Broda, S. A., & Paolella, M. S. (2012). Saddlepoint approximations: a review and some new applications. In J. E. Gentle, W. K. Härdle, & Y. Mori (Eds.), Handbook of computational statistics: concepts and methods (2 ed., pp. 953-983). (Springer Handbooks of Computational Statistics). Springer. https://doi.org/10.1007/978-3-642-21551-3_32
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Broda, S. A., & Paolella, M. S. (2011). Expected shortfall for distributions in finance. In P. Čížek, W. K. Härdle, & R. Weron (Eds.), Statistical tools for finance and insurance (2 ed., pp. 57-99). Springer. https://doi.org/10.1007/978-3-642-18062-0_2
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Broda, S. A. (2010). Testing for sphericity in panels. (UvA-Econometrics discussion paper; No. 2010/09). Amsterdam School of Economics, Department of Quantitative Economics. http://aimsrv1.fee.uva.nl/koen/web.nsf/view/326CAC3B6B226467C12577F800531495/$file/1009.pdf
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Natora, M., Franke, F., Broda, S. A., & Obermayer, K. (2010). Optimal steering vector adaptation for linear filters leading to robust beamforming. In 4th International Symposium on Communications, Control and Signal Processing (ISCCSP), 2010: 3-5 March 2010, Limassol, Cyprus IEEE. https://doi.org/10.1109/ISCCSP.2010.5463496
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Broda, S. A., & Paolella, M. S. (2010). Saddlepoint approximation of expected shortfall for transformed means. (UvA-Econometrics discussion paper; No. 2010/08). Amsterdam School of Economics, Department of Quantitative Economics. http://aimsrv1.fee.uva.nl/koen/web.nsf/view/F1DB267CEBAAF846C12577F800528AE3/$file/1008.pdf
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Broda, S. A., & Paolella, M. S. (2009). CHICAGO: a fast and accurate method for portfilio risk calculation. Journal of Financial Econometrics, 7(4), 412-436. https://doi.org/10.1093/jjfinec/nbp011
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