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Details about Marius Matei

Homepage:https://mateimar.wixsite.com/website
Phone:+40799248222
Postal address:National Bank of Romania, Financial Stability Department, Systemic Risk Monitoring Division, Strada Lipscani nr. 25, sector 3, Bucharest, 030031, Romania
Workplace:Centrul de Modelare Macroeconomica (Centre for Macroeconomic Modelling), Institutul National de Cercetari Economice (INCE) (National Institute of Economic Research), Academia Romana (Romanian Academy), (more information at EDIRC)
Banca Nationala a Romaniei (National Bank of Romania), (more information at EDIRC)
Department of Economics, Faculty of Business and Economics, Macquarie University, (more information at EDIRC)

Access statistics for papers by Marius Matei.

Last updated 2019-11-28. Update your information in the RePEc Author Service.

Short-id: pma1184


Jump to Journal Articles

Working Papers

2015

  1. Surfing through the GFC: systemic risk in Australia
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (7)

2014

  1. Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (2)

2010

  1. Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes
    Working Papers of Institute for Economic Forecasting, Institute for Economic Forecasting Downloads

2009

  1. Analiza riscului în evaluarea oportunitatilor internationale de investitii. Perspective în modelarea si previzionarea volatilitatii utilizate în estimarea riscului
    Working Papers of Macroeconomic Modelling Seminar, Institute for Economic Forecasting Downloads

Journal Articles

2019

  1. Bivariate Volatility Modeling with High-Frequency Data
    Econometrics, 2019, 7, (3), 1-15 Downloads

2018

  1. Testing for mutually exciting jumps and financial flights in high frequency data
    Journal of Econometrics, 2018, 202, (1), 18-44 Downloads View citations (4)

2012

  1. Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models
    Journal for Economic Forecasting, 2012, (1), 95-115 Downloads View citations (1)
  2. Price Volatility Forecast for Agricultural Commodity Futures: The Role of High Frequency Data
    Journal for Economic Forecasting, 2012, (4), 83-103 Downloads

2011

  1. Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data
    Journal for Economic Forecasting, 2011, (2), 116-141 Downloads

2009

  1. Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead
    Journal for Economic Forecasting, 2009, (4), 42-65 Downloads View citations (9)
 
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