Details about Julius Mungo

Access statistics for papers by Julius Mungo.

Last updated 2022-11-20. Update your information in the RePEc Author Service.

Short-id: pmu160

Working Papers

2009

1. A joint analysis of the KOSPI 200 option and ODAX option markets dynamics
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2008

2. Value-at-risk and expected shortfall when there is long range dependence
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2007

3. Long memory persistence in the factor of Implied volatility dynamics
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

2006

4. On the difficulty to design Arabic e-learning system in statistics
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
5. VAR modeling for dynamic semiparametric factors of volatility strings
   SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Journal Articles

2008

1. VAR Modeling for Dynamic Loadings Driving Volatility Strings
   Journal of Financial Econometrics, 2008, 6, (3), 361-381 View citations (9)