Simon A. Broda

Lucerne University of Applied Sciences and Arts — Switzerland

Economics, Econometrics and Finance · Social Sciences

11h-index370citations36works0.02yr avg
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Research Topics

Financial Risk and Volatility Modeling(21), Statistical Distribution Estimation and Applications(7), Complex Systems and Time Series Analysis(6), Advanced Statistical Methods and Models(6), Monetary Policy and Economic Impact(5)

Publications36 total

<b>ARCHModels.jl</b>: Estimating ARCH Models in <i>Julia</i>
Journal of Statistical Software·2023· 1 citedOpen Access
On quadratic forms in multivariate generalized hyperbolic random vectors
Biometrika·2020· 4 cited
Archmodels.Jl: Estimating Arch Models in Julia
SSRN Electronic Journal·2020· 5 citedOpen Access
On Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors
MURAL - Maynooth University Research Archive Library (National University of Ireland, Maynooth)·2020Open Access
Testing for individual sphericity in heterogeneous panels
Biometrika·2019· 1 cited
Partial Moments for Quadratic Forms in Non-Gaussian Random Vectors: A Parametric Approach
SSRN Electronic Journal·2019Open Access
Approximating expected shortfall for heavy-tailed distributions
Econometrics and Statistics·2017· 19 cited
Multivariate elliptical truncated moments
Journal of Multivariate Analysis·2017· 18 citedOpen Access
Predicting Equity Markets with Digital Online Media Sentiment: Evidence from Markov-switching Models
Journal of Behavioral Finance·2016· 27 citedOpen Access
Multivariate Elliptical Truncated Moments
Maynooth University ePrints and eTheses Archive (Maynooth University)·2016Open Access
On distributions of ratios
Zurich Open Repository and Archive (University of Zurich)·2016Open Access
On distributions of ratios
Biometrika·2015· 7 cited
On Distributions of Ratios
SSRN Electronic Journal·2014· 2 citedOpen Access
Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors
RePEc: Research Papers in Economics·2013Open Access
Tail Probabilities and Partial Moments for Quadratic Forms in Multivariate Generalized Hyperbolic Random Vectors
SSRN Electronic Journal·2013· 6 citedOpen Access
Stable mixture GARCH models
Journal of Econometrics·2012· 60 cited
Saddlepoint Approximations: A Review and Some New Applications
2011· 7 cited
THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS
Mathematical Finance·2011· 19 cited
Expected shortfall for distributions in finance
2011· 40 cited
Stable Mixture GARCH Models
SSRN Electronic Journal·2011· 13 citedOpen Access
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Frequent Co-authors

Marc S. Paolella(18), Juan Arismendi-Zambrano(5), Kai Carstensen(4), Jochen Krause(3), Raymond Kan(3), Markus Haas(2), Sven C. Steude(2), Yianna Tchopourian(2), Steven J. Nooijen(1), Paolella(1), Michal Natora(1), Felix Franke(1), Klaus Obermayer(1)