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Home | People | Simon Broda
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Simon Broda

Research Fellow

University
University of Amsterdam
Researchgroup
Econometrics
Interests
econometrics, financial econometrics, panel data, risk management, time series econometrics

List of publications

S.A. Broda and M. Haas and J. Krause and M.S. Paolella and S.C. Steude. 2013. Stable mixture GARCH models. Journal of Econometrics, 172, 292--306, 0304-4076

S.A. Broda. 2012. The expected shortfall of quadratic portfolios with heavy-tailed risk factors. Mathematical Finance, 22, 710--728, 0960-1627

S.A. Broda and K. Carstensen and M. Paolella. 2009. Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples. Econometric Reviews, 28, 468--494, 0747-4938

S.A. Broda and M.S. Paolella. 2009. CHICAGO: a fast and accurate method for portfilio risk calculation. Journal of Financial Econometrics, 7, 412--436, 1479-8417