Anna Downarowicz

Personal Details

First Name:	Anna
Middle Name:
Last Name:	Downarowicz
Suffix:
RePEc Short-ID:	pdo151
	[This author has chosen not to make the email address public]

Affiliation

Banco de España

Madrid, Spain
http://www.bde.es/
RePEc:edi:bdegves (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. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.

   Cited by:

   1. Heidari , Hassan & Refah-Kahriz, Arash & Hashemi Berenjabadi, Nayyer, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250, August.
   2. Luo, Cuicui & Seco, Luis & Wu, Lin-Liang Bill, 2015. "Portfolio optimization in hedge funds by OGARCH and Markov Switching Model," Omega, Elsevier, vol. 57(PA), pages 34-39.
   3. Diteboho Xaba & Ntebogang Dinah Moroke & Ishmael Rapoo, 2019. "Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 10-22.
   4. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.

2. Balbás, Alejandro & Downarowicz, Anna, 2004. "Infinitely many securities and the fundamental theorem of asset pricing," DEE - Working Papers. Business Economics. WB wb043513, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

   Cited by:

   1. Winslow Strong, 2011. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Papers 1112.5340, arXiv.org.
   2. Winslow Strong, 2014. "Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension," Finance and Stochastics, Springer, vol. 18(3), pages 487-514, July.
   3. Miklos Rasonyi, 2015. "Maximizing expected utility in the Arbitrage Pricing Model," Papers 1508.07761, arXiv.org, revised Mar 2017.
   4. Huy N. Chau, 2020. "On robust fundamental theorems of asset pricing in discrete time," Papers 2007.02553, arXiv.org, revised Apr 2024.

Articles

1. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.

   Cited by:

   1. Luo, Cuicui & Seco, Luis & Wu, Lin-Liang Bill, 2015. "Portfolio optimization in hedge funds by OGARCH and Markov Switching Model," Omega, Elsevier, vol. 57(PA), pages 34-39.
   2. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).

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 2 papers 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-RMG: Risk Management (2) 2005-09-11 2008-12-01
2. NEP-CFN: Corporate Finance (1) 2005-09-11
3. NEP-ECM: Econometrics (1) 2008-12-01
4. NEP-ENE: Energy Economics (1) 2005-09-11
5. NEP-ETS: Econometric Time Series (1) 2008-12-01
6. NEP-FIN: Finance (1) 2005-09-11
7. NEP-FMK: Financial Markets (1) 2005-09-11
8. NEP-FOR: Forecasting (1) 2008-12-01

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