Farrukh Javed
Senior lecturer
Publications
Displaying of publications. Sorted by year, then title.
Tangency portfolio weights under a skew-normal model in small and large dimensions
Farrukh Javed, Stepan Mazur, Erik Thorsén
(2023) Journal of the Operational Research Society
Journal articleDynamic relationship between Stock and Bond returns : A GAS MIDAS copula approach
Hoang Nguyen, Farrukh Javed
(2023) Journal of Empirical Finance, 73 p.272-292
Journal articleUsing machine learning to select variables in data envelopment analysis : Simulations and application using electricity distribution data
Toni Duras, Farrukh Javed, Kristofer Månsson, Pär Sjölander, Magnus Söderberg
(2023) Energy Economics, 120
Journal articleA reality check on the GARCH-MIDAS volatility models
Nader Virk, Farrukh Javed, Basel Awartani, Stuart Hyde
(2023) European Journal of Finance
Journal articleTail behavior and dependence structure the APARCH model
Farrukh Javed, Krzysztof Podgorski
(2015) Working Papers in Statistics
Working paperLeverage effect for volatility with generalized Laplace error
Krzysztof Podgorski, Farrukh Javed
(2014) Economic Quality Control, 29 p.157-166
Journal articleThe Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH-MIDAS Approach
Hossein Asgharian, Ai Jun Hou, Farrukh Javed
(2013) Journal of Forecasting, 32 p.600-612
Journal articleImportance of macroeconomic variables for variance prediction: a GARCH-MIDAS approach
Hossein Asgharian, Ai Jun HOU, Farrukh Javed
(2013) Journal of Forecasting, 32 p.600-612
Journal articleDo Commodity Index Traders Destabilize Agricultural Futures Prices?
Martin Bohl, Farrukh Javed, Patrick Stephan
(2013) Applied Economics Quarterly
Journal articleGARCH-Type models and the performance of information criteria
Farrukh Javed, Panagiotis Mantalos
(2013) Communications in Statistics: Simulation and Computation, 42 p.1917-1933
Journal articleEstimation of Solar Energy Potential for Islamabad, Pakistan
Intikhab Ulfat, Muhammad Jahangir, Feroz Ahmed, Farrukh Javed
(2012) Energy Procedia, 18 p.1496-1500
Journal articleEffect of jumps on causation patterns: an international investigation
Farrukh Javed
(2012) International Journal of Computational Economics and Econometrics
Journal articleOn Statistical Aspects of Modelling Financial Volatility
Farrukh Javed
(2012) Doctoral Theses in Statistics
DissertationDynamic conditional correlation among EU countries: a DCC-MIDAS approach
Farrukh Javed
(2012)
Working paperSensitivity of the causality in variance tests to GARCH(1,1) parameters
Farrukh Javed, Panagiotis Mantalos
(2012)
Working paperCorrelation Analysis of Monthly Average Daily Global Solar Radiation with Cloudiness for Karachi, Pakistan
Intikhab Ulfat, Zaheeruddin Ahmed, Muhammad Jahangir, Farrukh Javed
(2011) Karachi University Journal of Science, 39 p.37-39
Journal article