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
Pågående projekt
- 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
Publikationer
Artiklar i tidskrifter |
Konferensbidrag |
Manuskript |
Rapporter |
Artiklar i tidskrifter
- 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.
- 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.
Konferensbidrag
- Javed, F. , Mazur, S. & Thorsén, E. (2021). Tangency portfolio weights under a skew-normal model in small and large dimensions. Konferensbidrag vid 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. 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.
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. , 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).