Articles in journals with impact factor
2020 Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns, Journal of Financial Markets (forthcoming) preprint PDF
2019 Panel quantile regressions for estimating and predicting the value--at--risk of commodities, Journal of Futures Markets, 39(9), pp. 1167–1189.
2017 On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model, Journal of Forecasting, 36, pp.181–206, preprint PDF
Articles in refereed journals
2013 Dynamic Portfolio Optimization During Financial Crisis Using Daily Data and High-frequency Data, Biatec, Národná banka Slovenska
IES Working Papers
2017 Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns, IES Working Papers 20/2017
2014 On the modelling and forecasting multivariate realized volatility: Generalized Heterogeneous Autoregressive (GHAR) model, IES Working Papers 23/2014
