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Dr. Simon Broda - Publications

Postdoktorand


PLE-G04, Plattenstr. 22, 8032 Zürich

Publications

Journal Articles (6)

Stable mixture GARCH models
Simon Broda, Markus Haas, Jochen Krause, Marc Paolella, Sven Christian Steude
In: Journal of Econometrics, Vol. 172 (No. 2), p. 292-306, 2013.


Evaluating the density of ratios of noncentral quadratic forms in normal variables
Simon Broda, Marc Paolella
In: Computational Statistics and Data Analysis, Vol. 53 (No. 4), p. 1264-1270, February 2009.


Assessing and improving the performance of nearly efficient unit root tests in small samples
Simon Broda, Kai Carstensen, Marc Paolella
In: Econometric Reviews, Vol. 28 (No. 5), p. 468-494, 2009.


CHICAGO: A fast and accurate method for portfolio risk calculation
Simon Broda, Marc Paolella
In: Journal of Financial Econometrics, Vol. 7 (No. 4), p. 412-436, 2009.


Bias-adjusted estimation in the ARX(1) model
Simon Broda, Marc Paolella, Kai Carstensen
In: Computational Statistics and Data Analysis, Vol. 51 (No. 7), p. 3355-3367, April 2007.


Saddlepoint approximations for the doubly noncentral t distribution
Simon Broda, Marc Paolella
In: Computational Statistics and Data Analysis, Vol. 51 (No. 6), p. 2907-2918, March 2007.


Book Chapters (2)

Saddlepoint approximations: A review and some new applications
Marc Paolella, Simon Broda
Editor(s): James E Gentle, Wolfgang K Härdle, Yuichi Mori
In: Handbook of Computational Statistics : Concepts and Methods, Springer Verlag, Berlin, p. 953-984, 2012.


Expected shortfall for distributions in finance
Marc Paolella, Simon Broda
Editor(s): Pavel Cizek, Wolfgang K Härdle, Rafal Weron
In: Statistical Tools for Finance and Insurance, Springer, Berlin / Heidelberg, p. 57-99, 2011.