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Farrukh Javed

Position: Senior Lecturer School/office: Örebro University School of Business

Email: farrukh.javed@oru.se

Phone: +46 19 303000

Room: -

Research subject

Statistics

Research environments

Economics and Statistics

About Farrukh Javed

Farrukh Javed is an Assistant Professor at the unit of Statistics, School of Business. His research interests lie broadly in mathematical statistics, stochastic modelling, statistical learning and computationally intense methods of statistics. Recent research focus has been on non-linear and non-Gaussian stochastic models and statistical inference for them with application in finance.

Active projects

Completed projects

Macro and financial econometrics after the financial crisis

Research teams

stat@oru

Publications

Articles in journals | Conference papers | Manuscripts | Reports |

Articles in journals

Billah, M. E. & Javed, F. (2022). Bayesian Convolutional Neural Network-based Models for Diagnosis of Blood Cancer. Applied Artificial Intelligence, 36 (1).
Javed, F. , Kiss, T. & Österholm, P. (2022). Performance analysis of nowcasting of GDP growth when allowing for conditional heteroscedasticity and non-Gaussianity. Applied Economics, 54 (58), 6669-6686.
Alfelt, G. , Bodnar, T. , Javed, F. & Tyrcha, J. (2022). Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices. Journal of business & economic statistics.
Javed, F. , Loperfido, N. & Mazur, S. (2021). Edgeworth Expansions for Multivariate Random Sums. Econometrics and Statistics.
Javed, F. , Mazur, S. & Ngailo, E. (2021). Higher order moments of the estimated tangency portfolio weights. Journal of Applied Statistics, 48 (3), 517-535.
Javed, F. , Sabzevari, H. & Virk, N. (2021). Tail risk emanating from troubled European banking sectors. Finance Research Letters, 43.
Sjöqvist, H. , Längkvist, M. & Javed, F. (2020). An Analysis of Fast Learning Methods for Classifying Forest Cover Types. Applied Artificial Intelligence, 34 (10), 691-709.
Awartani, B. , Javed, F. , Maghyereh, A. & Virk, N. (2018). Time-varying transmission between oil and equities in the MENA region: New evidence from DCC-MIDAS analyses. Review of Development Finance, 8 (2), 116-126.
Virk, N. & Javed, F. (2017). European equity market integration and joint relationship of conditional volatility and correlations. Journal of International Money and Finance, 71, 53-77.
Javed, F. & Podgórski, K. (2017). Tail Behavior and Dependence Structure in the APARCH Model. Journal of Time Series Econometrics, 9 (2).
Javed, F. & Mantalos, P. (2015). Sensitivity of the causality in variance tests to GARCH(1,1) processes. Chilean Journal of Statistics, 6 (1), 49-65.
Javed, F. & Podgórski, K. (2014). Leverage Effect for Volatility with Generalized Laplace Error. Economic Quality Control, 29 (2), 157-166.
Bohl, M. T. , Javed, F. & Stephan, P. M. (2013). Do Commodity Index Traders Destabilize Agricultural Futures Prices?. Applied Economics Quarterly, 59 (2), 125-148.
Javed, F. (2013). Effect of jumps on causation patterns: an international investigation. International Journal of Computational Economics and Econometrics, 3 (3/4), 187-204.
Javed, F. & Mantalos, P. (2013). GARCH-Type Models and Performance of Information Criteria. Communications in statistics. Simulation and computation, 42 (8), 1917-1933.
Asgharian, H. , Hou, A. J. & Javed, F. (2013). The Importance of the Macroeconomic Variables in Forecasting Stock Return Variance: A GARCH-MIDAS Approach. Journal of Forecasting, 32 (7), 600-612.

Conference papers

Javed, F. , Mazur, S. & Thorsén, E. (2021). Tangency portfolio weights under a skew-normal model in small and large dimensions. Paper presented at International Conference "Modern Stochastics: Theory and Applications V", Kyiv, Ukraine, June 1-4, 2021.
Javed, F. & Podgórski, K. (2019). Volatility leverage ARCH models with non-Gaussian shocks. Paper presented at 12th Annual Meeting of the Society for Financial Econometrics (SoFiE), Shanghai, China, June 12-14, 2019.
Javed, F. , Thomas, I. & Memedi, M. (2018). A comparison of feature selection methods when using motion sensors data: a case study in Parkinson’s disease. Paper presented at 40th Annual International Conference of the IEEE Engineering in Medicine and Biology Society (EMBC'18), Honolulu, Hawaii, USA, July 17-21, 2018. IEEE.
Javed, F. , Mazur, S. & Loperfido, N. (2018). Fourth cumulant for multivariate aggregate claim models. Paper presented at 12th International Vilnius Conference on Probability Theory and Mathematical Statistics and 2018 IMS Annual Meeting on Probability and Statistics, Vilnius, Lithuania, July 2-6, 2018.
Javed, F. , Mazur, S. & Ngailo, E. (2017). Higher moments of the estimated tangency portfolio weights. Paper presented at European Meeting of Statisticians (EMS), Helsinki, Finland, July 24-28, 2017.
Javed, F. & Podgórski, K. (2016). Tail behavior and dependence structure in the APARCH model. Paper presented at 9th International Conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2016), Seville, Spain, December 9-11, 2016.
Ulfat, I. , Javed, F. , Abbasi, F. A. , Kanwal, F. , Usman, A. , Jahangir, M. & Ahmed, F. (2012). Estimation of solar energy potential for Islamabad, Pakistan. Paper presented at Terragreen 2012: Clean Energy Solutions for Sustainable Environment (CESSE). (pp. 1496-1500). Elsevier.

Manuscripts

Sabzevari, H. & Javed, F. Measuring Exposure of European Banking to the GIIPS Banking Sector.
Javed, F. Stochastic volatility models.
Javed, F. & Podgórski, K. Volatility leverage autoregressive models with non-Gaussian innovations.

Reports

Javed, F. , Mazur, S. & Thorsén, E. (2021). Tangency portfolio weights under a skew-normal model in small and large dimensions. Örebro: Örebro University, School of Business (Working Papers, School of Business 13).