Farrukh Javed

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2025
Mark The method of moments for multivariate random sums in the Poisson-Skew-Normal case
Javed, Farrukh ^LU ; Loperfido, Nicola and Mazur, Stepan ^LU (2025) In Statistics and Probability Letters 219.
- Contribution to journal › Article
Mark Nonlinear forecasting with many predictors using mixed data sampling kernel ridge regression models
Dai, Deliang ; Javed, Farrukh ^LU ; Karlsson, Peter and Månsson, Kristofer (2025) In Annals of Operations Research
- Contribution to journal › Article
2024
Mark Tangency portfolio weights under a skew-normal model in small and large dimensions
Javed, Farrukh ^LU ; Mazur, Stepan and Thorsén, Erik (2024) In Journal of the Operational Research Society 75(7). p.1395-1406
- Contribution to journal › Article
Mark A reality check on the GARCH-MIDAS volatility models
Virk, Nader ; Javed, Farrukh ^LU ; Awartani, Basel and Hyde, Stuart (2024) In European Journal of Finance 30(6). p.575-596
- Contribution to journal › Article
2023
Mark Using machine learning to select variables in data envelopment analysis : Simulations and application using electricity distribution data
Duras, Toni ; Javed, Farrukh ^LU ; Månsson, Kristofer ; Sjölander, Pär and Söderberg, Magnus (2023) In Energy Economics 120.
- Contribution to journal › Article
Mark Dynamic relationship between Stock and Bond returns : A GAS MIDAS copula approach
Nguyen, Hoang and Javed, Farrukh ^LU (2023) In Journal of Empirical Finance 73. p.272-292
- Contribution to journal › Article
2015
Mark Tail behavior and dependence structure the APARCH model
Javed, Farrukh ^LU and Podgorski, Krzysztof ^LU (2015) In Working Papers in Statistics
- Working paper/Preprint › Working paper
2014
Mark Leverage effect for volatility with generalized Laplace error
Podgorski, Krzysztof ^LU and Javed, Farrukh ^LU (2014) In Economic Quality Control 29(2). p.157-166
- Contribution to journal › Article
2013
Mark GARCH-Type models and the performance of information criteria
Javed, Farrukh ^LU and Mantalos, Panagiotis ^LU (2013) In Communications in Statistics: Simulation and Computation 42(8). p.1917-1933
- Contribution to specialist publication or newspaper › Specialist publication article
Mark The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH-MIDAS Approach
Asgharian, Hossein ^LU ; Hou, Ai Jun and Javed, Farrukh ^LU (2013) In Journal of Forecasting 32(7). p.600-612
- Contribution to journal › Article

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