Sergey Nasekin

Personal Details

First Name:	Sergey
Middle Name:
Last Name:	Nasekin
Suffix:
RePEc Short-ID:	pna459
	[This author has chosen not to make the email address public]

Affiliation

Center for Applied Statistics and Econometrics (CASE)
Humboldt-Universität Berlin

Berlin, Germany
http://www.case.hu-berlin.de/
RePEc:edi:cahubde (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Wolfgang Karl Härdle & Sergey Nasekin & Zhiwu Hong, 2016. "Leveraged ETF options implied volatility paradox: a statistical study," SFB 649 Discussion Papers SFB649DP2016-004, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

   Cited by:

   1. Hongkai Cao & Rupak Chatterjee & Zhenyu Cui, 2019. "Options valuation and calibration for leveraged exchange-traded funds with Heston–Nandi and inverse Gaussian GARCH models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 1-37, September.

2. Wolfgang Karl Härdle & Sergey Nasekin & David Lee Kuo Chuen & Phoon Kok Fai, 2014. "TEDAS - Tail Event Driven ASset Allocation," SFB 649 Discussion Papers SFB649DP2014-032, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

   Cited by:

   1. Wolfgang Karl Härdle & David Kuo Chuen Lee & Sergey Nasekin & Alla Petukhina, 2018. "Tail Event Driven ASset allocation: evidence from equity and mutual funds’ markets," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 49-63, January.
   2. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers 0199, Dipartimento di Scienze Economiche "Marco Fanno".
      • Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based on Penalized Quantile Regression," Papers 1507.00250, arXiv.org.
      • Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2018. "Asset allocation strategies based on penalized quantile regression," Computational Management Science, Springer, vol. 15(1), pages 1-32, January.
   3. Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers SFB649DP2016-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-RMG: Risk Management (1) 2014-07-05

Corrections

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