Concepedia

Szilárd Pafka

SP

5

Publications

333

Citations

5

H-Index

2001

Active since

Affiliations

Eötvös Loránd University(Current)

Hungarian National Bank

Budapest Institute

Collegium Budapest

Szilárd Pafka is an author at Eötvös Loránd University specializing in management, finance, and portfolio optimization.

Top concepts

FinanceManagementStatisticsAsset PricingPortfolio OptimizationBusinessPortfolio SelectionPortfolio ManagementFinancial EngineeringMathematical Programming

Publications per year

2001–2007

5

Publications

5

Noise sensitivity of portfolio selection under various risk measures

Imre Kondor, Szilárd Pafka, Gábor P. Nagy · Journal of Banking & Finance · 2007 · 129 citations

Portfolio Optimization, Asset Pricing, Portfolio Selection +7

Estimated correlation matrices and portfolio optimization

Szilárd Pafka, Imre Kondor · Physica A Statistical Mechanics and its Applications · 2004 · 91 citations · Full text

Mathematical Programming, Portfolio Optimization, Management +4

Evaluating the RiskMetrics methodology in measuring volatility and Value-at-Risk in financial markets

Szilárd Pafka, Imre Kondor · Physica A Statistical Mechanics and its Applications · 2001 · 59 citations · Full text

Volatility Modeling, Financial Economics, Asset Pricing +13

Exponential Weighting and Random-Matrix-Theory-Based Filtering of Financial Covariance Matrices for Portfolio Optimization

Szilárd Pafka, Marc Potters, Imre Kondor · ArXiv.org · 2004 · 44 citations · Full text

Mathematical Programming, Engineering, Covariance Matrix Estimator +16

Multivariate Diagonal FIGARCH: Specification, Estimation and Application to Modelling Exchange Rates Volatility

Szilárd Pafka, László Mátyás · SSRN Electronic Journal · 2001 · 10 citations · Full text

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