Banner Viadrina

ausgewählte Publikationen

Flexible Shrinkage in Portfolio Selection, submitted for publication, 2007 (with V. Golosnoy).

Properties of the singular, inverse and generalized inverse partitioned Wishart distributions, submitted for publication, 2007 (with T. Bodnar).

EWMA charts for multivariate output: some stochastic ordering results, submitted for publication, 2007 (with M.C. Morais, A. Pacheco and W. Schmid).

On the structure and estimation of hierarchical Archimedean copulae, submitted for publication, 2007 (with O. Okhrin and W. Schmid).

Adaptive model combinations for volatility forecasts, submitted for publication, 2007 (with V. Golosnoy).

General uncertainty in portfolio selection: a case-based decision approach, to appear in Journal of Economic Behavior and Organization, 2007 (with V. Golosnoy).

Estimation of optimal portfolio weights, to appear in International Journal of Theoretical and Applied Finance, 2007 (with W. Schmid).

Surveillance of univariate and multivariate linear time series, to appear in Financial Surveillance, Wiley, 2007 (with W. Schmid).

Surveillance of univariate and multivariate nonlinear time series, to appear in Financial Surveillance, Wiley, 2007 (with W. Schmid).

Multivariate shrinkage for optimal portfolio weights, The European Journal of Finance 13, p.441-458, 2007 (with V. Golosnoy).

Comparison of different estimation techniques for portfolio selection, Advances in Statistical Analysis 91, p.109-127, 2007 (with W. Schmid).

Discussion on 'Sequential Design and Estimation in Heteroscedastic Nonparametric Regression' by Sam Efromovich, Sequential Analysis 26, p.53-55, 2007 (with W. Schmid).

On the stochastic behaviour of the run length of EWMA control schemes for the mean of correlated output in the presence of shifts in sigma, Statistics & Decisions, p.397-413, 2006 (with M.C. Morais, A. Pacheco and W. Schmid).

Distributional properties of portfolio weights, Journal of Econometrics 134, p.235-256, 2006 (with W. Schmid).

Portfolio characteristics under stochastic volatility, working paper, 2005 (with W. Schmid).

Tail behaviour of a general family of control charts, Statistics & Decisions 21, p.79-92, 2003 (with W. Schmid).

On the valuation of assets in random environments (in transient economies), Herald of Lviv University (Visnyk Lvivskoho Universytetu) 6, p.499-507, 2000 (with Y. Yeleyko, in Ukrainian).