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Farrukh Javed

Tjänstetitel: Universitetslektor Organisation: Handelshögskolan vid Örebro universitet


Telefon: 019 303406

Rum: N4027

Farrukh Javed
Forskningsämne Forskningsmiljöer

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.



Artiklar i tidskrifter |  Konferensbidrag |  Manuskript |  Rapporter | 

Artiklar i tidskrifter

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.


Javed, F. & Podgórski, K. (2019). Volatility leverage ARCH models with non-Gaussian shocks. Konferensbidrag vid 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. 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.
Javed, F. , Mazur, S. & Loperfido, N. (2018). Fourth cumulant for multivariate aggregate claim models. Konferensbidrag vid 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. Konferensbidrag vid 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. Konferensbidrag vid 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. Konferensbidrag vid Terragreen 2012: Clean Energy Solutions for Sustainable Environment (CESSE) (ss. 1496-1500). Elsevier.



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).