Farrukh Javed
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- 2015
- Tail behavior and dependence structure the APARCH model
- 2014
- Leverage effect for volatility with generalized Laplace error
- 2013
- GARCH-Type models and the performance of information criteria
- Do Commodity Index Traders Destabilize Agricultural Futures Prices?
- The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH-MIDAS Approach
- Importance of macroeconomic variables for variance prediction: a GARCH-MIDAS approach
- 2012
- Effect of jumps on causation patterns: an international investigation
- Dynamic conditional correlation among EU countries: a DCC-MIDAS approach
- Sensitivity of the causality in variance tests to GARCH(1,1) parameters
- On Statistical Aspects of Modelling Financial Volatility