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Results: 17
Number of items: 17
  • Broda, S. A., & Arismendi Zambrano, J. (2021). On quadratic forms in multivariate generalized hyperbolic random vectors. Biometrika, 108(2), 413–424. https://doi.org/10.1093/biomet/asaa067
  • Broda, S. A. (2019). Testing for individual sphericity in heterogeneous panels. Biometrika, 106(3), 740-747. https://doi.org/10.1093/biomet/asz018
  • Broda, S. A., Krause, J., & Paolella, M. S. (2018). Approximating expected shortfall for heavy-tailed distributions. Econometrics and Statistics, 8, 184-203. https://doi.org/10.1016/j.ecosta.2017.07.003
  • Arismendi, J. C., & Broda, S. (2017). Multivariate Elliptical Truncated Moments. Journal of Multivariate Analysis, 157, 29-44. https://doi.org/10.1016/j.jmva.2017.02.011
  • Broda, S. A., & Kan, R. (2016). On distributions of ratios. Biometrika, 103(1), 205-218. https://doi.org/10.1093/biomet/asv052
  • Open Access
    Nooijen, S. J., & Broda, S. A. (2016). Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models. The Journal of Behavioral Finance, 17(4), 321-335. https://doi.org/10.1080/15427560.2016.1238370
  • Broda, S. A., Krause, J., & Paolella, M. S. (2015). Approximating expected shortfall for heavy tailed distributions. University of Amsterdam.
  • Broda, S. A., & de Kan, R. (2013). On distributions of ratios. (Tinbergen Institute Discussion Papers; No. TI 2013-211/III). Tinbergen Institute. http://papers.tinbergen.nl/13211.pdf
  • Broda, S. A., Haas, M., Krause, J., Paolella, M. S., & Steude, S. C. (2013). Stable mixture GARCH models. Journal of Econometrics, 172(2), 292-306. https://doi.org/10.1016/j.jeconom.2012.08.012
  • Broda, S. A. (2013). Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors. (Tinbergen Institute Discussion Paper; No. TI 2013-001/III). Tinbergen Institute. http://papers.tinbergen.nl/13001.pdf
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