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Farrukh Javed

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

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Phone: +46 19 303406

Room: N4027

Farrukh Javed

Research Subject

Research environments

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.

Research Projects

Research Teams

Publications

Publications

Articles in journals |  Conference papers |  Manuscripts |  Reports | 

Articles in journals

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. , 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.
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

Javed, F. , Loperfido, N. & Mazur, S. Fourth Cumulant of Multivariate Aggregate Claim Models.

Reports

Javed, F. , Mazur, S. & Ngailo, E. (2017). Higher order moments of the estimated tangency portfolio weights. Örebro, Sweden: Örebro University School of Business (Working Papers, School of Business 10).