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Anna Downarowicz

Personal Details

First Name:Anna
Middle Name:
Last Name:Downarowicz
Suffix:
RePEc Short-ID:pdo151
[This author has chosen not to make the email address public]

Affiliation

Banco de España

Madrid, Spain
http://www.bde.es/
RePEc:edi:bdegves (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.
  2. Gil-Bazo, Javier, 2005. "Market imperfections, discount factors and stochastic dominance: an empirical analysis with oil-linked derivatives," DEE - Working Papers. Business Economics. WB wb055013, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    repec:cte:wbrepe:wb043513 is not listed on IDEAS

Articles

  1. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.

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. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.

    Cited by:

    1. Heidari , Hassan & Refah-Kahriz, Arash & Hashemi Berenjabadi, Nayyer, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250, August.
    2. Luo, Cuicui & Seco, Luis & Wu, Lin-Liang Bill, 2015. "Portfolio optimization in hedge funds by OGARCH and Markov Switching Model," Omega, Elsevier, vol. 57(PA), pages 34-39.
    3. Diteboho Xaba & Ntebogang Dinah Moroke & Ishmael Rapoo, 2019. "Modeling Stock Market Returns of BRICS with a Markov-Switching Dynamic Regression Model," Journal of Economics and Behavioral Studies, AMH International, vol. 11(3), pages 10-22.
    4. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.

Articles

  1. Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.

    Cited by:

    1. Li, Xiafei & Liang, Chao & Chen, Zhonglu & Umar, Muhammad, 2022. "Forecasting crude oil volatility with uncertainty indicators: New evidence," Energy Economics, Elsevier, vol. 108(C).
    2. Luo, Cuicui & Seco, Luis & Wu, Lin-Liang Bill, 2015. "Portfolio optimization in hedge funds by OGARCH and Markov Switching Model," Omega, Elsevier, vol. 57(PA), pages 34-39.

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 2 papers 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 (2) 2005-09-11 2008-12-01
  2. NEP-CFN: Corporate Finance (1) 2005-09-11
  3. NEP-ECM: Econometrics (1) 2008-12-01
  4. NEP-ENE: Energy Economics (1) 2005-09-11
  5. NEP-ETS: Econometric Time Series (1) 2008-12-01
  6. NEP-FIN: Finance (1) 2005-09-11
  7. NEP-FMK: Financial Markets (1) 2005-09-11
  8. NEP-FOR: Forecasting (1) 2008-12-01

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