dr. S.A. (Simon) Broda
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Faculty of Economics and Business
Section Econometrics & Statistics
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Valckenierstraat
65
1018 XE Amsterdam
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s.a.broda@uva.nl
T: 0205254216
T: 0205254252
Positions
Assistant Professor
Research programme
UvA-Econometrics
Research interests
Multivariate Volatility Models, Transform Inversion Methods, Saddlepoint Approximations, Panel Data.
Curriculum Vitae
Teaching activities
Current year
Financial Econometrics (MSc)
Stochastic Calculus (MSc)
Computational Finance with MATLAB (MIF)
Advanced Financial Econometrics (MIF)
Financial Econometrics (MIF)
Previous years
Econometrics AE and Research Practicum (BSc)
2013
- S.A. Broda, M. Haas, J. Krause, M.S. Paolella & S.C. Steude (2013). Stable mixture GARCH models. Journal of Econometrics, 172 (2), 292-306. doi: 10.1016/j.jeconom.2012.08.012
2012
- S.A. Broda & M.S. Paolella (2012). Saddlepoint approximations: a review and some new applications. In J.E. Gentle, W.K. Härdle & Y. Mori (Eds.), Handbook of computational statistics: concepts and methods (2nd ed.) (Springer Handbooks of Computational Statistics) (pp. 953-983). Heidelberg / Dordrecht / London / New York: Springer Verlag.
- S.A. Broda (2012). The expected shortfall of quadratic portfolios with heavy-tailed risk factors. Mathematical Finance, 22 (4), 710-728. doi: 10.1111/j.1467-9965.2011.00482.x
2009
- S.A. Broda & M.S. Paolella (2009). CHICAGO: a fast and accurate method for portfilio risk calculation. Journal of Financial Econometrics, 7 (4), 412-436. doi: 10.1093/jjfinec/nbp011
- S.A. Broda, K. Carstensen & M. Paolella (2009). Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples. Econometric Reviews, 28 (5), 468-494. doi: 10.1080/07474930802467282
- S.A. Broda & M. Paolella (2009). Evaluating the Density of Ratios of Noncentral Quadratic Forms in Normal Variables. Computational Statistics and Data Analysis, 53 (4), 1264-1270. doi: 10.1016/j.csda.2008.10.035
2007
- S.A. Broda, K. Carstensen & M. Paolella (2007). Bias-Adjusted Estimation in the ARX(1) Model. Computational Statistics and Data Analysis, 51, 3355-3367. doi: 10.1016/j.csda.2006.07.009
- S.A. Broda & M. Paolella (2007). Saddlepoint approximations for the doubly noncentral t distribution. Computational Statistics and Data Analysis, 51 (6), 2907-2918. doi: 10.1016/j.csda.2006.11.024
2011
- S.A. Broda & M.S. Paolella (2011). Expected shortfall for distributions in finance. In P. Cizek, W.K. Härdle & R. Weron (Eds.), Statistical tools for finance and insurance (2nd ed.) (pp. 57-99). Heidelberg / Dordrecht / London / New York: Springer Verlag.
2010
- M. Natora, F. Franke, S.A. Broda & K. Obermayer (2010). Optimal steering vector adaptation for linear filters leading to robust beamforming. In 4th International Symposium on Communications, Control and Signal Processing (ISCCSP), 2010: 3-5 March 2010, Limassol, Cyprus. Piscataway, NJ: IEEE.
2013
- S.A. Broda & R. de Kan (2013). On distributions of ratios. (Preprints, Tinbergen Institute Discussion Papers, no TI 2013-211/III). Amsterdam / Rotterdam: Tinbergen Institute.
- S.A. Broda (2013). Tail probabilities and partial moments for quadratic forms in multivariate generalized hyperbolic random vectors. (Preprints, Tinbergen Institute Discussion Paper, no TI 2013-001/III). Amsterdam / Rotterdam: Tinbergen Institute.
2010
- S.A. Broda (2010). Testing for sphericity in panels. (intern rapport, UvA-Econometrics discussion paper, no 2010/09). Amsterdam: Amsterdam School of Economics, Department of Quantitative Economics.[go to publisher's site]
- S.A. Broda, D. Haas, J. Krause, M. Paolella & S. Steude (2010). A mix-stable GARCH model. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
- S.A. Broda & M.S. Paolella (2010). Saddlepoint approximation of expected shortfall for transformed means. (intern rapport, UvA-Econometrics discussion paper, no 2010/08). Amsterdam: Amsterdam School of Economics, Department of Quantitative Economics.
- S.A. Broda (2010). Inversion formulae for tail conditional expectations. (intern rapport). Amsterdam: Faculteit Economie en Bedrijfskunde.
2007
- S.A. Broda, M. Paolella & Y. Tchopourian (2007). Approximately Exact Inference in Dynamic Panel Models: a QUEST for Unbiasedness. (Preprints, Working Paper Series, no 305). Zürich: Institut für Schweizerisches Bankwesen.
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