Details about Simon A. Broda

Access statistics for papers by Simon A. Broda.

Last updated 2024-05-07. Update your information in the RePEc Author Service.

Short-id: pbr550

Working Papers

2020

1. On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors∗
   Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth

2016

2. Multivariate Elliptical Truncated Moments
   ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
   See also Journal Article Multivariate elliptical truncated moments, Journal of Multivariate Analysis, Elsevier (2017) View citations (7) (2017)

2014

3. On Distributions of Ratios
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2013)
   See also Journal Article On distributions of ratios, Biometrika, Biometrika Trust (2016) (2016)

2013

4. Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
   Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2013) View citations (5)

2011

5. Stable Mixture GARCH Models
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
   See also Journal Article Stable mixture GARCH models, Journal of Econometrics, Elsevier (2013) View citations (21) (2013)

2009

6. Assessing and improving the performance of nearly efficient unit root tests in small samples
   Munich Reprints in Economics, University of Munich, Department of Economics View citations (6)
   See also Journal Article Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples, Econometric Reviews, Taylor & Francis Journals (2009) View citations (7) (2009)

2008

7. CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
   See also Journal Article CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation, Journal of Financial Econometrics, Oxford University Press (2009) View citations (38) (2009)

2007

8. Bias-adjusted estimation in the ARX(1) model
   Munich Reprints in Economics, University of Munich, Department of Economics View citations (3)
   See also Journal Article Bias-adjusted estimation in the ARX(1) model, Computational Statistics & Data Analysis, Elsevier (2007) View citations (4) (2007)

2006

9. Approximately Exact Inference in Dynamic Panel Models
   Computing in Economics and Finance 2006, Society for Computational Economics View citations (1)

Journal Articles

2021

1. On quadratic forms in multivariate generalized hyperbolic random vectors
   (Expected shortfall: A natural coherent alternative to value at risk)
   Biometrika, 2021, 108, (2), 413-424

2018

2. Approximating expected shortfall for heavy-tailed distributions
   Econometrics and Statistics, 2018, 8, (C), 184-203 View citations (4)

2017

3. Multivariate elliptical truncated moments
   Journal of Multivariate Analysis, 2017, 157, (C), 29-44 View citations (7)
   See also Working Paper Multivariate Elliptical Truncated Moments, ICMA Centre Discussion Papers in Finance (2016) (2016)

2016

4. On distributions of ratios
   Biometrika, 2016, 103, (1), 205-218
   See also Working Paper On Distributions of Ratios, Tinbergen Institute Discussion Papers (2014) (2014)
5. Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models
   Journal of Behavioral Finance, 2016, 17, (4), 321-335 View citations (7)

2013

6. Stable mixture GARCH models
   Journal of Econometrics, 2013, 172, (2), 292-306 View citations (21)
   See also Working Paper Stable Mixture GARCH Models, Swiss Finance Institute Research Paper Series (2011) View citations (1) (2011)

2009

7. Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
   Econometric Reviews, 2009, 28, (5), 468-494 View citations (7)
   See also Working Paper Assessing and improving the performance of nearly efficient unit root tests in small samples, Munich Reprints in Economics (2009) View citations (6) (2009)
8. CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
   Journal of Financial Econometrics, 2009, 7, (4), 412-436 View citations (38)
   See also Working Paper CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation, Swiss Finance Institute Research Paper Series (2008) View citations (1) (2008)
9. Evaluating the density of ratios of noncentral quadratic forms in normal variables
   Computational Statistics & Data Analysis, 2009, 53, (4), 1264-1270 View citations (1)

2007

10. Bias-adjusted estimation in the ARX(1) model
    Computational Statistics & Data Analysis, 2007, 51, (7), 3355-3367 View citations (4)
    See also Working Paper Bias-adjusted estimation in the ARX(1) model, Munich Reprints in Economics (2007) View citations (3) (2007)
11. Saddlepoint approximations for the doubly noncentral t distribution
    Computational Statistics & Data Analysis, 2007, 51, (6), 2907-2918 View citations (7)