Azam Shamsi

Personal Details

First Name:	Azam
Middle Name:
Last Name:	Shamsi
Suffix:
RePEc Short-ID:	psh863
Terminal Degree:	(from RePEc Genealogy)

Affiliation

DeGroote School of Business
McMaster University

Hamilton, Canada
http://www.degroote.mcmaster.ca/
RePEc:edi:sbmcmca (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Maheu, John M & Shamsi, Azam, 2016. "Nonparametric Dynamic Conditional Beta," MPRA Paper 73764, University Library of Munich, Germany.
   • John M Maheu & Azam Shamsi Zamenjani, 2021. "Nonparametric Dynamic Conditional Beta," Journal of Financial Econometrics, Oxford University Press, vol. 19(4), pages 583-613.

   Cited by:

   1. Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," Working Papers halshs-01944656, HAL.
      • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas," AMSE Working Papers 1845, Aix-Marseille School of Economics, France.
      • Serge Darolles & Christian Francq & Sébastien Laurent, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Post-Print hal-01980815, HAL.
      • Darolles, Serge & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," Journal of Econometrics, Elsevier, vol. 204(2), pages 223-247.
      • Darolles, Serges & Francq, Christian & Laurent, Sébastien, 2018. "Asymptotics of Cholesky GARCH models and time-varying conditional betas," MPRA Paper 83988, University Library of Munich, Germany.
   2. Li, Chenxing, 2022. "A multivariate GARCH model with an infinite hidden Markov mixture," MPRA Paper 112792, University Library of Munich, Germany.

Articles

Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-ECM: Econometrics (1) 2016-09-25
2. NEP-ETS: Econometric Time Series (1) 2016-09-25
3. NEP-ORE: Operations Research (1) 2016-09-25

Corrections

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