Details about Petra Posedel Šimović

Access statistics for papers by Petra Posedel Šimović.

Last updated 2022-06-20. Update your information in the RePEc Author Service.

Short-id: ppo310

Working Papers

2021

1. Classifying variety of customer's online engagement for churn prediction with mixed-penalty logistic regression
   Papers, arXiv.org

2016

2. Searching high and low: Extremal dependence of international sovereign bond markets
   Working Papers, The Institute of Economics, Zagreb View citations (1)

2015

3. The Determinants of Country´s Risk Premium Volatility: Evidence from Panel VAR Model
   Working Papers, The Institute of Economics, Zagreb
4. Time-varying integration in European post-transition sovereign bond market
   Working Papers, The Institute of Economics, Zagreb

2010

5. Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
   EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb View citations (17)
   See also Journal Article Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market, Business Systems Research, Sciendo (2010) View citations (16) (2010)
6. The Nonlinear House Price Adjustment Process in Developed and Transition Countries
   Working Papers, The Institute of Economics, Zagreb View citations (9)
   See also Journal Article Are House Prices Characterized by Threshold Effects? Evidence from Developed and Post-Transition Countries, Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences (2011) View citations (9) (2011)
7. The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2008

8. Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models
   Papers, arXiv.org View citations (2)
9. Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
   Papers, arXiv.org View citations (3)
   See also Journal Article Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models, Quantitative Finance, Taylor & Francis Journals (2011) View citations (6) (2011)

2007

10. Threshold Autoregressive Model of Exchange Rate Pass through Effect: The Case of Croatia
    EFZG Working Papers Series, Faculty of Economics and Business, University of Zagreb View citations (2)

Journal Articles

2021

1. Pricing the Volatility Risk Premium with a Discrete Stochastic Volatility Model
   Mathematics, 2021, 9, (17), 1-15 View citations (2)
2. Reinforcement Learning Approaches to Optimal Market Making
   Mathematics, 2021, 9, (21), 1-22 View citations (2)

2017

3. The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model
   Croatian Economic Survey, 2017, 19, (1), 37-66 View citations (1)

2016

4. Regime Switching Behaviour of Real Estate and Equity Prices in Emerging Countries
   Prague Economic Papers, 2016, 2016, (4), 396-410
5. Time-varying integration of the sovereign bond markets in European post-transition economies
   Journal of Empirical Finance, 2016, 36, (C), 30-40 View citations (9)

2012

6. Modelling local government unit credit risk in the Republic of Croatia
   Financial Theory and Practice, 2012, 36, (4), 329-354

2011

7. Are House Prices Characterized by Threshold Effects? Evidence from Developed and Post-Transition Countries
   Czech Journal of Economics and Finance (Finance a uver), 2011, 61, (6), 584-600 View citations (9)
   See also Working Paper The Nonlinear House Price Adjustment Process in Developed and Transition Countries, Working Papers (2010) View citations (9) (2010)
8. Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models
   Quantitative Finance, 2011, 11, (6), 917-932 View citations (6)
   See also Working Paper Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models, Papers (2008) View citations (3) (2008)

2010

9. Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market
   Business Systems Research, 2010, 1, (1-2), 39-46 View citations (16)
   See also Working Paper Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market, EFZG Working Papers Series (2010) View citations (17) (2010)

2009

10. House price determinants in transition and EU-15 countries
    Post-Communist Economies, 2009, 21, (3), 327-343 View citations (12)
11. Threshold Model of the Exchange Rate Pass-Through Effect
    Eastern European Economics, 2009, 47, (6), 43-59 View citations (5)

2006

12. Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model
    Financial Theory and Practice, 2006, 30, (4), 347-368 View citations (3)