Concepedia

Flávio Augusto Ziegelmann

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Publications

11

Citations

422

H-Index

11

Active since

2002

Affiliations

Universidade Federal do Rio Grande do Sul(Current)

Flávio Augusto Ziegelmann is an author at Universidade Federal do Rio Grande do Sul specializing in statistics, business, and engineering.

Top concepts

StatisticsBusinessEngineeringFinanceCopulasForecastingEconometricsAsset PricingVolatility ModelingFinancial Engineering

Publications per year

2002–2022

11

Publications

11

Modeling dependence dynamics through copulas with regime switching

Osvaldo Candido, Flávio Augusto Ziegelmann, Michael J. Dueker · Insurance Mathematics and Economics · 2012 · 98 citations

Gibbs Measure, Markov Chain Monte Carlo, Dependence Dynamics +3

A nonparametric method for estimating asymmetric densities based on skewed Birnbaum–Saunders distributions applied to environmental data

Helton Saulo, Víctor Leiva, Flávio Augusto Ziegelmann et al. · Stochastic Environmental Research and Risk Assessment · 2013 · 66 citations · Full text

Density Estimation, Environmental Monitoring, Engineering +6

NONPARAMETRIC ESTIMATION OF VOLATILITY FUNCTIONS: THE LOCAL EXPONENTIAL ESTIMATOR

Flávio Augusto Ziegelmann · Econometric Theory · 2002 · 63 citations

Volatility Modeling, Exponential Estimator, Engineering +11

Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA

Douglas Gomes dos Santos, Flávio Augusto Ziegelmann · Journal of Forecasting · 2014 · 53 citations

Empirical Comparative Study, Forecasting Methodology, Volatility Modeling +17

Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

Flávio Augusto Ziegelmann, Michael J. Dueker · Quantitative Finance · 2013 · 41 citations

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