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Details about Julius Mungo

Workplace:Sonderforschungsbereich 649: Ökonomisches Risiko (Collaborative Research Center 649: Economic Risk), Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC)
Center for Applied Statistics and Econometrics (CASE), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC)
Institut für Statistik und Ökonometrie (ISÖ) (Institute for Statistics and Econometrics), Wirtschaftswissenschaftliche Fakultät (Faculty of Economics), Humboldt-Universität Berlin (Humboldt University Berlin), (more information at EDIRC)

Access statistics for papers by Julius Mungo.

Last updated 2012-09-07. Update your information in the RePEc Author Service.

Short-id: pmu160

Jump to Journal Articles

Working Papers

2009

  1. A Joint Analysis of the KOSPI 200 Option and ODAX Option Markets Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (4)

2008

  1. Value-at-Risk and Expected Shortfall when there is long range dependence
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (3)

2007

  1. Long Memory Persistence in the Factor of Implied Volatility Dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)

2006

  1. On the Difficulty to Design Arabic E-learning System in Statistics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (2)
  2. VAR Modeling for Dynamic Semiparametric Factors of Volatility Strings
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)

Journal Articles

2008

  1. VAR Modeling for Dynamic Loadings Driving Volatility Strings
    Journal of Financial Econometrics, 2008, 6, (3), 361-381 Downloads View citations (2)
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