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Details about Simon A. Broda

Homepage:http://www1.feb.uva.nl/pp/sabroda/
Workplace:Amsterdam School of Economics, Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)
Afdeling Kwantitatieve Economie (Department of Quantitative Economics), Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)
Tinbergen Instituut (Tinbergen Institute), (more information at EDIRC)

Access statistics for papers by Simon A. Broda.

Last updated 2022-08-08. Update your information in the RePEc Author Service.

Short-id: pbr550


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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 Downloads

2016

  1. Multivariate Elliptical Truncated Moments
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading Downloads
    See also Journal Article in Journal of Multivariate Analysis (2017)

2014

  1. On Distributions of Ratios
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2013) Downloads

    See also Journal Article in Biometrika (2016)

2013

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

2011

  1. Stable Mixture GARCH Models
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2013)

2009

  1. 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 in Econometric Reviews (2009)

2008

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

2007

  1. 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 in Computational Statistics & Data Analysis (2007)

2006

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

Journal Articles

2018

  1. Approximating expected shortfall for heavy-tailed distributions
    Econometrics and Statistics, 2018, 8, (C), 184-203 Downloads View citations (3)

2017

  1. Multivariate elliptical truncated moments
    Journal of Multivariate Analysis, 2017, 157, (C), 29-44 Downloads View citations (6)
    See also Working Paper (2016)

2016

  1. On distributions of ratios
    Biometrika, 2016, 103, (1), 205-218 Downloads
    See also Working Paper (2014)

2013

  1. Stable mixture GARCH models
    Journal of Econometrics, 2013, 172, (2), 292-306 Downloads View citations (20)
    See also Working Paper (2011)

2009

  1. Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
    Econometric Reviews, 2009, 28, (5), 468-494 Downloads View citations (7)
    See also Working Paper (2009)
  2. CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
    The Journal of Financial Econometrics, 2009, 7, (4), 412-436 Downloads View citations (36)
    See also Working Paper (2008)
  3. Evaluating the density of ratios of noncentral quadratic forms in normal variables
    Computational Statistics & Data Analysis, 2009, 53, (4), 1264-1270 Downloads View citations (1)

2007

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