Research output per year
Research output per year
- 13 results
Search results
-
2024
Quantifying Uncertainty of Portfolios using Bayesian Neural Networks
Esener, S., Wegner, E., Almeida, R. J., Bastürk, N. & Rodrigues, P., 1 Jan 2024, 2024 International Joint Conference on Neural Networks, IJCNN 2024 - Proceedings. IEEEResearch output: Chapter in Book/Report/Conference proceeding › Conference article in proceeding › Academic › peer-review
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2023
A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks
Pollastri, A., Rodrigues, P., Schlag, C. & Seeger, N. J., 1 Jan 2023, In: Journal of Empirical Finance. 70, p. 322-341 20 p.Research output: Contribution to journal › Article › Academic › peer-review
Open Access -
Destabilizing or passive? The impact of commodity index traders on equilibrium prices
Sun, H., Bos, J. W. B. & Rodrigues, P., 1 Jan 2023, In: International Review of Economics & Finance. 83, p. 271-285 15 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile36 Downloads (Pure) -
Portfolio Re-Balancing and Optimization Using Directional Changes and Genetic Algorithms
Almeida, R. J., Bastürk, N. & Rodrigues, P., 5 Jul 2023, 2023 IEEE Congress on Evolutionary Computation (CEC). IEEE Xplore, p. 1-8 8 p. 10254022Research output: Chapter in Book/Report/Conference proceeding › Conference article in proceeding › Academic › peer-review
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Portfolio Return Maximization using Robust Optimization and Directional Changes
de Almeida e Santos Nogueira, R. J., Bastürk, N. & Rodrigues, P., 2023, 2023 IEEE Symposium Series on Computational Intelligence (SSCI). IEEE, p. 401-406 6 p. (IEEE Symposium Series on Computational Intelligence).Research output: Chapter in Book/Report/Conference proceeding › Conference article in proceeding › Academic › peer-review
Open AccessFile33 Downloads (Pure) -
2018
Level and slope of volatility smiles in long-run risk models
Branger, N., Rodrigues, P. & Schlag, C., Jan 2018, In: Journal of Economic Dynamics & Control. 86, p. 95-122 28 p.Research output: Contribution to journal › Article › Academic › peer-review
Open AccessFile55 Downloads (Pure) -
Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns
Kaeck, A., Rodrigues, P. & Seeger, N. J., May 2018, In: Journal of Economic Dynamics & Control. 90, p. 1-29 29 p.Research output: Contribution to journal › Article › Academic › peer-review
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2017
Dense Betas
Kurz, M., Rodrigues, P. & Quaedvlieg, R., 6 Oct 2017.Research output: Contribution to conference › Paper › Academic
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Equity index variance: Evidence from flexible parametric jump-diffusion models
Kaeck, A., Rodrigues, P. & Seeger, N. J., Oct 2017, In: Journal of Banking & Finance. 83, p. 85-103Research output: Contribution to journal › Article › Academic › peer-review
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2016
Level and Slope of Volatility Smiles in Long-Run Risk Models
Branger, N., Rodrigues, P. & Schlag, C., 26 Apr 2016, SAFE, 27 p. (SAFE Working Paper; No. 186).Research output: Working paper / Preprint › Working paper
Open Access -
2015
Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
Ignatieva, K., Rodrigues, P. J. & Seeger, N., 2 Jan 2015, In: Journal of Business & Economic Statistics. 33, 1, p. 68-75 8 p.Research output: Contribution to journal › Article › Academic › peer-review
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Spatial dependence in international office markets
Chegut, A. M., Eichholtz, P. M. A. & Rodrigues, P. J., Aug 2015, In: Journal of Real Estate Finance and Economics. 51, 2, p. 317-350 34 p.Research output: Contribution to journal › Article › Academic › peer-review
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2013
The London commercial property price index
Chegut, A. M., Eichholtz, P. M. A. & Rodrigues, P. J., Nov 2013, In: Journal of Real Estate Finance and Economics. 47, 4, p. 588-616 29 p.Research output: Contribution to journal › Article › Academic › peer-review