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).
  • 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).
  • Portfolio characteristics under stochastic volatility, working paper, 2005 (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).