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Szymon Borak

Personal Details

First Name:Szymon
Middle Name:
Last Name:Borak
Suffix:
RePEc Short-ID:pbo287
[This author has chosen not to make the email address public]
Terminal Degree:2008 Institut für Statistik und Ökonometrie (ISÖ); Wirtschaftswissenschaftliche Fakultät; Humboldt-Universität Berlin (from RePEc Genealogy)

Affiliation

(in no particular order)

Institut für Statistik und Ökonometrie (ISÖ) (Institute for Statistics and Econometrics)
Wirtschaftswissenschaftliche Fakultät (Faculty of Economics)
Humboldt-Universität Berlin (Humboldt University Berlin)

Berlin, Germany
http://ise.wiwi.hu-berlin.de/

+49-30-2093 5713
+49-30-2093 5712
Spandauer Str. 1, 10178 Berlin
RePEc:edi:ishubde (more details at EDIRC)

Sonderforschungsbereich 649: Ökonomisches Risiko (Collaborative Research Center 649: Economic Risk)
Wirtschaftswissenschaftliche Fakultät (Faculty of Economics)
Humboldt-Universität Berlin (Humboldt University Berlin)

Berlin, Germany
http://sfb649.wiwi.hu-berlin.de/

+49-30-2093-5708
+49-30-2093-5617
Spandauer Str. 1,10178 Berlin
RePEc:edi:sohubde (more details at EDIRC)

Center for Applied Statistics and Econometrics (CASE)
Humboldt-Universität Berlin (Humboldt University Berlin)

Berlin, Germany
http://www.case.hu-berlin.de/

+49(0)30-2093-5630
+49(0)30-2093-5649
Spandauer Str. 1, 10178 Berlin
RePEc:edi:cahubde (more details at EDIRC)

Research output

as
Jump to: Working papers Software

Working papers

  1. Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  2. Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron, 2006. "Convenience Yields for CO2 Emission Allowance Futures Contracts," SFB 649 Discussion Papers SFB649DP2006-076, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  3. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  4. Szymon Borak & Matthias Fengler & Wolfgang Härdle, 2005. "DSFM fitting of Implied Volatility Surfaces," SFB 649 Discussion Papers SFB649DP2005-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  5. Szymon Borak & Kai Detlefsen & Wolfgang Härdle, 2005. "FFT Based Option Pricing," SFB 649 Discussion Papers SFB649DP2005-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

Software components

  1. Szymon Borak & Rafal Weron, 2010. "STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch," Statistical Software Components M429004, Boston College Department of Economics.
  2. Szymon Borak & Rafal Weron, 2010. "STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis," Statistical Software Components M429005, Boston College Department of Economics.
  3. Szymon Borak & Rafal Weron, 2010. "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components M429004, Boston College Department of Economics.

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. Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Liebl, Dominik, 2010. "Estimation of the Semiparametric Factor Model: Application to Modelling Time Series of Electricity Spot Prices," MPRA Paper 26800, University Library of Munich, Germany.
    2. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships," HSC Research Reports HSC/13/11, Hugo Steinhaus Center, Wroclaw University of Technology.
    3. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    4. Su, Liangjun & Wang, Xia, 2017. "On time-varying factor models: Estimation and testing," Journal of Econometrics, Elsevier, vol. 198(1), pages 84-101.
    5. Härdle, Wolfgang Karl & Hautsch, Nikolaus & Mihoci, Andrija, 2012. "Modelling and forecasting liquidity supply using semiparametric factor dynamics," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 610-625.
    6. Piotr Majer & Peter N. C. Mohr & Hauke R. Heekeren & Wolfgang K. Härdle, 2016. "Portfolio Decisions and Brain Reactions via the CEAD method," Psychometrika, Springer;The Psychometric Society, vol. 81(3), pages 881-903, September.
    7. Likai Chen & Weining Wang & Wei Biao Wu, 2017. "Dynamic Semiparametric Factor Model with a Common Break," SFB 649 Discussion Papers SFB649DP2017-026, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    8. Boneva, Lena & Linton, Oliver & Vogt, Michael, 2015. "A semiparametric model for heterogeneous panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 188(2), pages 327-345.
    9. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    10. Enno Mammen & Byeong U. Park & Melanie Schienle, 2012. "Additive Models: Extensions and Related Models," SFB 649 Discussion Papers SFB649DP2012-045, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    11. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2010. "High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model," SFB 649 Discussion Papers SFB649DP2010-039, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    12. Alena Bömmel & Song Song & Piotr Majer & Peter Mohr & Hauke Heekeren & Wolfgang Härdle, 2014. "Risk Patterns and Correlated Brain Activities. Multidimensional Statistical Analysis of fMRI Data in Economic Decision Making Study," Psychometrika, Springer;The Psychometric Society, vol. 79(3), pages 489-514, July.
    13. Enzo Giacomini & Wolfgang Härdle, 2007. "Statistics of Risk Aversion," SFB 649 Discussion Papers SFB649DP2007-025, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    14. Wolfgang Karl Härdle,Piotr Majer & Melanie Schienle, 2012. "Yield Curve Modeling and Forecasting using Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2012-048, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    15. Gregory Connor & Oliver Linton & Matthias Hagmann, 2007. "Efficient Estimation of a Semiparametric Characteristic-Based Factor Model of Security Returns," FMG Discussion Papers dp599, Financial Markets Group.
    16. Yan Li & Liangjun Su & Yuewu Xu, 2015. "A Combined Approach to the Inference of Conditional Factor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 203-220, April.
    17. Mestekemper, Thomas & Windmann, Michael & Kauermann, Göran, 2010. "Functional hourly forecasting of water temperature," International Journal of Forecasting, Elsevier, vol. 26(4), pages 684-699, October.
    18. Borak, Szymon & Weron, Rafal, 2008. "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper 10421, University Library of Munich, Germany.
    19. Barbara Choroś-Tomczyk & Wolfgang Karl Härdle & Ostap Okhrin, 2013. "CDO Surfaces Dynamics," SFB 649 Discussion Papers SFB649DP2013-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    20. Thorsten Dickhaus, 2012. "Simultaneous Statistical Inference in Dynamic Factor Models," SFB 649 Discussion Papers SFB649DP2012-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    21. Song Song & Wolfgang K. Härdle & Ya'acov Ritov, 2014. "Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series," Econometrics Journal, Royal Economic Society, vol. 17(2), pages 101-131, June.
    22. Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
    23. Alena MyÅ¡iÄ ková & Song Song & Piotr Majer & Peter N.C. Mohr & Hauke R. Heekeren & Wolfgang K. Härdle, 2011. "Risk Patterns and Correlated Brain Activities. Multidimensional statistical analysis of fMRI data with application to risk patterns," SFB 649 Discussion Papers SFB649DP2011-085, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    24. Borus Jungbacker & Siem Jan Koopman & Michel van der Wel, 0000. "Dynamic Factor Models with Smooth Loadings for Analyzing the Term Structure of Interest Rates," Tinbergen Institute Discussion Papers 09-041/4, Tinbergen Institute, revised 17 Sep 2010.
    25. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
    26. Liebl, Dominik, 2010. "Modeling hourly Electricity Spot Market Prices as non stationary functional times series," MPRA Paper 25017, University Library of Munich, Germany.
    27. Xiaofeng Cao & Ostap Okhrin & Martin Odening & Matthias Ritter, 2015. "Modelling spatio-temporal variability of temperature," Computational Statistics, Springer, vol. 30(3), pages 745-766, September.
    28. Michel van der Wel & Sait R. Ozturk & Dick van Dijk, 2015. "Dynamic Factor Models for the Volatility Surface," CREATES Research Papers 2015-13, Department of Economics and Business Economics, Aarhus University.
    29. Enzo Giacomini & Wolfgang Härdle & Volker Krätschmer, 2009. "Dynamic semiparametric factor models in risk neutral density estimation," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(4), pages 387-402, December.
    30. Volodymyr Perederiy, 2007. "Kombinierte Liquiditäts- und Solvenzkennzahlen und ein darauf basierendes Insolvenzprognosemodell für deutsche GmbHs," SFB 649 Discussion Papers SFB649DP2007-060, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    31. Liebl, Dominik, 2013. "Modeling and Forecasting Electricity Spot Prices: A Functional Data Perspective," MPRA Paper 50881, University Library of Munich, Germany.
    32. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2016. "A semiparametric factor model for CDO surfaces dynamics," Journal of Multivariate Analysis, Elsevier, vol. 146(C), pages 151-163.

  2. Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron, 2006. "Convenience Yields for CO2 Emission Allowance Futures Contracts," SFB 649 Discussion Papers SFB649DP2006-076, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2010. "Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II," Post-Print hal-00797491, HAL.
    2. Panagiotis G. Papaioannou & George P. Papaioannou & Kostas Siettos & Akylas Stratigakos & Christos Dikaiakos, 2017. "Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece," Papers 1708.07063, arXiv.org.
    3. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
    4. Veith, Stefan & Werner, Jörg R. & Zimmermann, Jochen, 2009. "Capital market response to emission rights returns: Evidence from the European power sector," Energy Economics, Elsevier, vol. 31(4), pages 605-613, July.
    5. Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers 0492, University of Heidelberg, Department of Economics.
    6. Julien Chevallier, 2010. "Modelling the convenience yield in carbon prices using daily and realized measures," Working Papers halshs-00463921, HAL.
    7. Charles, Amélie & Darné, Olivier & Fouilloux, Jessica, 2013. "Market efficiency in the European carbon markets," Energy Policy, Elsevier, vol. 60(C), pages 785-792.
    8. Emilie Alberola & Benoît Chèze & Julien Chevallier, 2008. "The EU Emissions Trading Scheme : Disentangling the Effects of Industrial Production and CO2 Emissions on Carbon Prices," EconomiX Working Papers 2008-12, University of Paris Nanterre, EconomiX.
    9. Leon Vinokur, 2009. "Disposition in the Carbon Market and Institutional Constraints," Working Papers 652, Queen Mary University of London, School of Economics and Finance.
    10. Maria Mansanet-Bataller, 2011. "CO2 Prices and Portfolio Management during Phase II of the EU ETS," Working Papers 1101, Chaire Economie du climat.
    11. Don Bredin and John Parsons, 2016. "Why is Spot Carbon so Cheap and Future Carbon so Dear? The Term Structure of Carbon Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    12. Carlos Pinho & Mara Madaleno, 2011. "Links between spot and futures allowances: ECX and EEX markets comparison," International Journal of Global Energy Issues, Inderscience Enterprises Ltd, vol. 35(2/3/4), pages 101-131.
    13. Philip, Dennis & Shi, Yukun, 2015. "Impact of allowance submissions in European carbon emission markets," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 27-37.
    14. Rittler, Daniel, 2012. "Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 774-785.
    15. Marc Gronwald & Janina Ketterer & Stefan Trück, 2011. "The Dependence Structure between Carbon Emission Allowances and Financial Markets - A Copula Analysis," CESifo Working Paper Series 3418, CESifo Group Munich.
    16. Rammerstorfer, Margarethe & Eisl, Roland, 2011. "Carbon capture and storage—Investment strategies for the future?," Energy Policy, Elsevier, vol. 39(11), pages 7103-7111.
    17. Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
    18. Rickels, Wilfried & Duscha, Vicki & Keller, Andreas & Peterson, Sonja, 2007. "The determinants of allowance prices in the European emissions trading scheme: Can we expect an efficient allowance market 2008?," Kiel Working Papers 1387, Kiel Institute for the World Economy (IfW).
    19. Heinzel, Christoph, 2008. "Implications of diverging social and private discount rates for investments in the German power industry: a new case for nuclear energy?," Dresden Discussion Paper Series in Economics 03/08, Technische Universität Dresden, Faculty of Business and Economics, Department of Economics.
    20. Kumar, Surender & Managi, Shunsuke & Matsuda, Akimi, 2012. "Stock prices of clean energy firms, oil and carbon markets: A vector autoregressive analysis," Energy Economics, Elsevier, vol. 34(1), pages 215-226.
    21. Kim, Jungmu & Park, Yuen Jung & Ryu, Doojin, 2017. "Stochastic volatility of the futures prices of emission allowances: A Bayesian approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 714-724.
    22. Daskalakis, George & Psychoyios, Dimitris & Markellos, Raphael N., 2009. "Modeling CO2 emission allowance prices and derivatives: Evidence from the European trading scheme," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1230-1241, July.
    23. Szymon Borak & Wolfgang Härdle & Enno Mammen & Byeong U. Park, 2007. "Time Series Modelling with Semiparametric Factor Dynamics," SFB 649 Discussion Papers SFB649DP2007-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    24. Feria-Domínguez, José Manuel & Rodriguez-Carrillero, David & Guerra-Martinez, José Carlos, 2018. "Measuring the risk-adjusted performance of CO2 emission markets: Evidence from SENDECO2," Utilities Policy, Elsevier, vol. 50(C), pages 124-132.
    25. Koch, Nicolas & Bassen, Alexander, 2013. "Valuing the carbon exposure of European utilities. The role of fuel mix, permit allocation and replacement investments," Energy Economics, Elsevier, vol. 36(C), pages 431-443.
    26. Tisdell, John G. & Grainger, Corinne, 2008. "An Experimental Economic Analysis of Carbon Trading Options for Australia," 2008 Conference, August 28-29, 2008, Nelson, New Zealand 96661, New Zealand Agricultural and Resource Economics Society.
    27. Rotfuß, Waldemar, 2009. "Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis," ZEW Discussion Papers 09-018, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
    28. Vicente Medina Martínez & Ángel Pardo Tornero, 2012. "Stylized facts of CO2 returns," Working Papers. Serie AD 2012-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    29. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
    30. Julien Chevallier, 2010. "A Note on Cointegrating and Vector Autoregressive Relationships between CO2 allowances spot and futures prices," Economics Bulletin, AccessEcon, vol. 30(2), pages 1564-1584.

  3. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Nassim N. Taleb, 2012. "How We Tend To Overestimate Powerlaw Tail Exponents," Papers 1210.1966, arXiv.org.
    2. Barunik, Jozef & Kristoufek, Ladislav, 2010. "On Hurst exponent estimation under heavy-tailed distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(18), pages 3844-3855.
    3. Jozef Barunik & Lukas Vacha, 2012. "Monte Carlo-based tail exponent estimator," Papers 1201.4781, arXiv.org.
    4. José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Pricing of a structured product on the SX5E when the uncertainty of returns is modeled as a log-stable process," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1160-1182, Octubre-D.
    5. Ece Oral, 2016. "Measuring Consumer Inflation Expectations in Turkey," Eastern European Business and Economics Journal, Eastern European Business and Economics Studies Centre, vol. 2(1), pages 43-74.
    6. Gaffeo, Edoardo & Scorcu, Antonello E. & Vici, Laura, 2008. "Demand distribution dynamics in creative industries: The market for books in Italy," Information Economics and Policy, Elsevier, vol. 20(3), pages 257-268, September.
    7. Brahimi, Brahim & Abdelli, Jihane, 2016. "Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 135-143.
    8. Sandro Sapio, 2012. "Modeling the distribution of day-ahead electricity returns: a comparison," Quantitative Finance, Taylor & Francis Journals, vol. 12(12), pages 1935-1949, December.
    9. Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010. "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper 28593, University Library of Munich, Germany.
    10. E. Samanidou & E. Zschischang & D. Stauffer & T. Lux, 2007. "Agent-based Models of Financial Markets," Papers physics/0701140, arXiv.org.
    11. José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "Los procesos alfa estables y su relación con el exponentede autosimilitud: paridades de los tipos de cambio dólarestadounidense, dólar canadiense, euro y yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 9-10, Diciembre.
    12. Dominik Krezolek, 2012. "Non-Classical Measures of Investment Risk on the Market of Precious Non-Ferrous Metals Using the Methodology of Stable Distributions," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 89-104.
    13. Annibal Figueiredo & Iram Gleria & Raul Matsushita & Sergio Da Silva, 2004. "Financial Volatility and Independent and Identically Distributed Variables," Finance 0407011, EconWPA.
    14. Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, Open Access Journal, vol. 4(2), pages 1-28, May.
    15. José Antonio Climent Hernández & Carolina Cruz Matú, 2017. "Valuación de un producto estructurado de compra sobre el SX5E cuando la incertidumbre de los rendimientos está modelada con procesos log-estables," Contaduría y Administración, Accounting and Management, vol. 62(4), pages 1136-1159, Octubre-D.
    16. Annika Krutto, 2016. "Parameter Estimation in Stable Law," Risks, MDPI, Open Access Journal, vol. 4(4), pages 1-15, November.
    17. Raul Matsushita & Iram Gleria & Annibal Figueiredo & Sergio Da Silva, 2004. "The Econophysics of the Brazilian Real-US Dollar Rate," Finance 0407012, EconWPA.
    18. Fajardo, Jose Santiago, 2006. "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 60(4), February.
    19. Serttas, Fatma Ozgu, 2010. "Essays on infinite-variance stable errors and robust estimation procedures," ISU General Staff Papers 201001010800002742, Iowa State University, Department of Economics.
    20. Sigbert Klinke & Uwe Ziegenhagen & Yuval Guri, 2005. "Yxilon – a Modular Open-Source Statistical Programming Language," SFB 649 Discussion Papers SFB649DP2005-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    21. Kenneth Bruninx & Erik Delarue & William D'haeseleer, 2013. "Statistical description of the error on wind power forecasts via a Lévy α-stable distribution," RSCAS Working Papers 2013/50, European University Institute.
    22. José Antonio Climent Hernández & Luis Fernando Hoyos Reyes & Domingo Rodríguez Benavides, 2017. "The a-stable processes and their relationship with theexponent of self-similarity: Exchange rates of USADollar, Canadian Dollar, Euro and Yen," Contaduría y Administración, Accounting and Management, vol. 62(5), pages 11-12, Diciembre.
    23. Greg Hannsgen, 2011. "Infinite-variance, Alpha-stable Shocks in Monetary SVAR: Final Working Paper Version," Economics Working Paper Archive wp_682, Levy Economics Institute.
    24. Sebastian J. Goerg & Johannes Kaiser, 2009. "Nonparametric testing of distributions—the Epps–Singleton two-sample test using the empirical characteristic function," Stata Journal, StataCorp LP, vol. 9(3), pages 454-465, September.
    25. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    26. Paolella, Marc S., 2017. "Asymmetric stable Paretian distribution testing," Econometrics and Statistics, Elsevier, vol. 1(C), pages 19-39.
    27. Taleb, Nassim Nicholas, 2009. "Errors, robustness, and the fourth quadrant," International Journal of Forecasting, Elsevier, vol. 25(4), pages 744-759, October.
    28. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    29. Daniel Traian Pele & Vasile Nicolae Stanciulescu, 2015. "On a Class of Alpha-stable Distributions and Its Applications in Estimating Market Risk," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(2), pages 007-015, December.

  4. Szymon Borak & Matthias Fengler & Wolfgang Härdle, 2005. "DSFM fitting of Implied Volatility Surfaces," SFB 649 Discussion Papers SFB649DP2005-022, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Wolfgang Härdle & Julius Mungo, 2007. "Long Memory Persistence in the Factor of Implied Volatility Dynamics," SFB 649 Discussion Papers SFB649DP2007-027, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    2. Ralf Brüggemann & Wolfgang Härdle & Julius Mungo & Carsten Trenkler, 2006. "VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings," SFB 649 Discussion Papers SFB649DP2006-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

  5. Szymon Borak & Kai Detlefsen & Wolfgang Härdle, 2005. "FFT Based Option Pricing," SFB 649 Discussion Papers SFB649DP2005-011, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

    Cited by:

    1. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
    2. A S Hurn & Kenenth A Lindsay & Andrew McClelland, 2013. "On the Efficacy of Fourier Series Approximations for Pricing European and Digital Options," NCER Working Paper Series 90, National Centre for Econometric Research.
    3. Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, Reading University, revised Jun 2009.
    4. Ying Chen & Wolfgang Härdle & Vladimir Spokoiny, 2006. "GHICA - Risk Analysis with GH Distributions and Independent Components," SFB 649 Discussion Papers SFB649DP2006-078, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    5. Sigbert Klinke & Uwe Ziegenhagen & Yuval Guri, 2005. "Yxilon – a Modular Open-Source Statistical Programming Language," SFB 649 Discussion Papers SFB649DP2005-018, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    6. Horacio Alberto Ruiz Olvera, 2011. "Valuación de opciones europeas mediante procesos de Lévy exponenciales y transformada rápida de Fourier," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 6(2), pages 16-33.
    7. Srikanth Iyer & Seema Nanda & Swapnil Kumar, 2013. "An Empirical Comparison of Two Stochastic Volatility Models using Indian Market Data," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(3), pages 243-259, September.

Software components

  1. Szymon Borak & Rafal Weron, 2010. "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components M429004, Boston College Department of Economics.

    Cited by:

    1. Daniel Traian Pele & Vasile Nicolae Stanciulescu, 2015. "On a Class of Alpha-stable Distributions and Its Applications in Estimating Market Risk," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 7(2), pages 007-015, December.

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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 5 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-ECM: Econometrics (2) 2005-11-12 2007-07-20
  2. NEP-FIN: Finance (2) 2005-11-19 2005-11-19
  3. NEP-EEC: European Economics (1) 2006-11-25
  4. NEP-ENE: Energy Economics (1) 2006-11-25
  5. NEP-ENV: Environmental Economics (1) 2006-11-25
  6. NEP-ETS: Econometric Time Series (1) 2005-11-19
  7. NEP-ICT: Information & Communication Technologies (1) 2007-07-20

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