Farrukh Javed
Tjänstetitel: Universitetslektor Organisation: Handelshögskolan vid Örebro universitet
E-post:
Telefon: 019 303406
Rum: N4027
Om Farrukh Javed
Farrukh Javed är Senior Universitetslektor för statistik vid Handelshögskolan. Hans forskningsintressen ligger i stor sett på matematisk statistik, stokastisk modellering, statistisk inlärning och beräkningsmässigt intensiva metoder för statistik. För närvarande är han involverad i flera projekt relaterade till icke-linjära och icke-gaussiska stokastiska modeller och statistisk inferens med inriktning på finansiella data.
Forskningsprojekt
Forskningsprojekt
- Efficient Stochastic Modeling of Temporal Financial Data within non-Gaussian Random Fields
- Higher cumulants for multivariate aggregate claim models
- Investigating the impact of multi-scale macroeconomic informations on market risks
- Makro- och finansiell ekonometri efter den finansiella krisen
- Skewness and kurtosis in portfolio analysis: modelling, estimation and test theory
Forskargrupper
Forskargrupper
Publikationer
Publikationer
Artiklar i tidskrifter |
Konferensbidrag |
Manuskript |
Rapporter |
Artiklar i tidskrifter
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.
Javed, F. , Mazur, S.
& Ngailo, E. (2020). Higher order moments of the estimated tangency portfolio weights. Journal of Applied Statistics.
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.
Konferensbidrag
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.
Konferensbidrag vid 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.
Konferensbidrag vid Terragreen 2012: Clean Energy Solutions for Sustainable Environment (CESSE) (ss. 1496-1500). Elsevier.
Manuskript
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.
Rapporter
Javed, F. , Loperfido, N.
& Mazur, S. (2020). Edgeworth Expansions for Multivariate Random Sums. Örebro: Örebro University, School of Business (Working Papers, School of Business 2020:9).