| Modeling dependence dynamics through copulas with regime switching OC da Silva Filho, FA Ziegelmann, MJ Dueker Insurance: Mathematics and Economics 50 (3), 346-356, 2012 | 114 | 2012 |
| Nonparametric estimation of volatility functions: the local exponential estimator FA Ziegelmann Econometric Theory 18 (4), 985-991, 2002 | 100 | 2002 |
| Identifying the finite dimensionality of curve time series N Bathia, Q Yao, F Ziegelmann | 83 | 2010 |
| A nonparametric method for estimating asymmetric densities based on skewed Birnbaum–Saunders distributions applied to environmental data H Saulo, V Leiva, FA Ziegelmann, C Marchant Stochastic Environmental Research and Risk Assessment 27, 1479-1491, 2013 | 79 | 2013 |
| Volatility forecasting via MIDAS, HAR and their combination: An empirical comparative study for IBOVESPA DG Santos, FA Ziegelmann Journal of Forecasting 33 (4), 284-299, 2014 | 63 | 2014 |
| Assessing dependence between financial market indexes using conditional time-varying copulas: Applications to value at risk (VaR) OC Silva Filho, FA Ziegelmann, MJ Dueker Quantitative Finance 14 (12), 2155-2170, 2014 | 46 | 2014 |
| LASSO‐Type Penalties for Covariate Selection and Forecasting in Time Series E Konzen, FA Ziegelmann Journal of Forecasting 35 (7), 592-612, 2016 | 31 | 2016 |
| Estimation of opportunity inequality in Brazil using nonparametric local logistic regression EA de Figueiredo, FA Ziegelmann The Journal of Development Studies 46 (9), 1593-1606, 2010 | 24 | 2010 |
| Robust estimation of fractional seasonal processes: Modeling and forecasting daily average SO2 concentrations VA Reisen, EZ Monte, G da Conceição Franco, AM Sgrancio, ... Mathematics and Computers in Simulation 146, 27-43, 2018 | 20 | 2018 |
| Mudança na distribuição de renda brasileira: significância estatística e bem-estar econômico EA Figueiredo, FA Ziegelmann Economia Aplicada 13, 257-277, 2009 | 18 | 2009 |
| Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index E Horta, F Ziegelmann International Journal of Forecasting 34 (1), 75-88, 2018 | 16 | 2018 |
| Modelos de volatilidade estocástica com deformação temporal: um estudo empírico para o índice Ibovespa FA Ziegelmann Pesquisa e planejamento econômico. Rio de Janeiro. Vol. 27, no. 2 (1997), p …, 1996 | 16 | 1996 |
| Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics M Bartels, FA Ziegelmann Insurance: Mathematics and Economics 70, 66-79, 2016 | 14 | 2016 |
| Measuring systemic risk via GAS models and extreme value theory: Revisiting the 2007 financial crisis PG Gavronski, FA Ziegelmann Finance Research Letters 38, 101498, 2021 | 12 | 2021 |
| Dynamic D-Vine copula model with applications to Value-at-Risk (VaR) PV Tófoli, FA Ziegelmann, O Candido, PL Valls Pereira Journal of Time Series Econometrics 11 (2), 20170016, 2019 | 10 | 2019 |
| The dynamics of the Brazilian income E Figueiredo, F Ziegelmann Economics Bulletin 30 (2), 1249-1260, 2010 | 10 | 2010 |
| Selection of minimum variance portfolio using intraday data: An empirical comparison among different realized measures for bm&fbovespa data FA Ziegelmann, B Borges, JF Caldeira Brazilian Review of Econometrics 35 (1), 23-46, 2015 | 9 | 2015 |
| Assessing some stylized facts about financial market indexes: a Markov copula approach O Candido Silva Filho, F Augusto Ziegelmann Journal of Economic Studies 41 (2), 253-271, 2014 | 9 | 2014 |
| Estimation of Volatility Functions: Nonparametric and Semi-Parametric Methods FA Ziegelmann Tese de Doutorado, University of Kent at Canterbury (UK), 2002 | 9 | 2002 |
| Robust factor modelling for high-dimensional time series: An application to air pollution data VA Reisen, AM Sgrancio, C Lévy-Leduc, P Bondon, EZ Monte, HHA Cotta, ... Applied Mathematics and Computation 346, 842-852, 2019 | 8 | 2019 |
