publicações selecionadas
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artigo de revista
- Modelling and forecasting WIG20 daily returns. Central European Journal of Economic Modelling and Econometrics. 2017
- Specification and testing of multiplicative time-varying GARCH models with applications. Econometric Reviews. 2017
- Conditional correlation models of autoregressive conditional heteroscedasticity with nonstationary GARCH equations. Journal of Business & Economic Statistics. 2014
- Modelling changes in the unconditional variance of long stock return series. Journal of Empirical Finance. 2014
- Modelling volatility by variance decomposition. Journal of Econometrics. 2013
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capítulo de livro
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documento
- Outlier robust specification of multiplicative time-varying volatility models 2022
- Modelling time-varying volatility interactions 2021
- Financial market contagion and the sovereign debt crisis: a smooth transition approach 2018
- Models with multiplicative decomposition of conditional variances and correlations 2018
- Modelling and forecasting WIG20 daily returns 2017
- Modelling changes in the unconditional variance of long stock return series 2012
- Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations 2011
- Modelling volatility by variance decomposition 2011
- Modelling conditional and unconditional heteroskedasticity with smoothly time-varying structure 2008