sample of publications
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articles
- Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection. JOURNAL OF BANKING & FINANCE. 118:1-13. 2020
- Disentangling the role of variance and covariance information in portfolio selection problems. QUANTITATIVE FINANCE. 19:57-76. 2018
- Combining Multivariate Volatility Forecasts: An Economic-Based Approach. Journal of Financial Econometrics. 15:247-285. 2017
- Comparing univariate and multivariate models to forecast portfolio Value-at-Risk. Journal of Financial Econometrics. 11:400-441. 2013
- A RBF neural network model with GARCH errors: Application to electricity price forecasting. ELECTRIC POWER SYSTEMS RESEARCH. 81:74-83. 2011
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conference contributions
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thesis
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working papers