1. (with F. Hubalek), Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models, Mathematical Communications, 30 (1), 2025
  2. (with D. Deković), Hierarchical Risk Parity: Efficient Implementation
    and Real World Analysis,  Future Generation Computer
    Systems, 167, 107744, 2025
  3. (with Claire Y. T. Chen and Edward W. Sun), Classifying the Variety of Customers’ Online Engagement for Churn Prediction with a Mixed-Penalty Logistic Regression, Comput Econ (2022), https://doi.org/10.1007/s10614-022-10275-1
  4. (with B. Gašperov, S. Begušić and Z. Kostanjčar), Reinforcement Learning Approaches to Optimal Market Making, Mathematics, 2021, 9(21); 2689
  5. (with A. Tafro), Pricing the Volatility Risk Premium with a Discrete Stochastic Volatility Model, Mathematics, 2021, 9(17); 2038
  6. (with P. Palić and M. Vizek), The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model, Croatian Economic Survey, 2017, 19(1); 37–66
  7. (with B. Posedel), Tehno-ekonomska kompenzacija jalove snage distributivnih transformatora SN/NN (Techno-economic Reactive Power Compensation of MV/LV Distribution Transformers), Bosanskohercegovačka elektrotehnika, 2016, 10; 21-27
  8. (with M. Tkalec, M. Vizek and J. Lee), Time-Varying Integration of the Sovereign Bond Markets In European Post-transition Economies, Journal of Empirical Finance, 2016, 36; 30–40
  9. (with M. Njavro and M. Vizek), Regime Switching Behaviour of Real Estate and Equity Prices in Emerging Countries, Prague Economic Papers, 2016, 25 (4); 396-410
  10. (with M. Tkalec and M. Vizek), Are there nonlinearities in the interaction of equity and real estate markets?, The Empirical Economics Letters, 2014, 13(10); 333-351
  11. (with D. Brborovic) The Relation between Performance and Flows of Mutual Funds: Case of the Croatian Fund Market, Applied Mathematics, 2014, 5; 3067-3078
  12. (with F. Hubalek): Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach, Glasnik Matematicki, 2013, 48 (1); 185-210
  13. (with M. Primorac): Modelling local government unit credit risk in the Republic of Croatia, Financial Theory and Practice, 2012, 36(4); 330-354
  14. (with M. Vizek): Are House Prices Characterized by Threshold Effects? Evidence from Developed and Post-Transition Countries, Czech Journal of Economics and Finance, 2011, 61(6); 584-600.
  15. (with F. Hubalek): Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models, Quantitative Finance 2011, 11(6); 917-932
  16. Martingale Central Limit Theorem. In: Lovric M. (eds) International Encyclopedia of Statistical Science, Springer, Berlin, Heidelberg , 2011; 777-779
  17. (with B. J. Christensen): The risk-return tradeoff and leverage effect in a stochastic volatility-in-mean model, CREATES Research Paper 2010-50, 2010, School of Economics and Management, Aarhus University
  18. (with D. Benaković): Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market, Business Systems Research, 2010, 1(1-2); 39-46
  19. (with M. Vizek): House Price Determinants in Transition and EU-15 Countries, Post-Communist Economies, 2009, 21(3); 327-343
  20. (with J. Tica): Threshold Model of the Exchange Rate Pass-through Effect: The Case of Croatia, Eastern European Economics, 2009, 47(6); 43-59
  21. (with M. Pejić Bach i A. Stojanović): Determinante profitabilnosti banaka u Hrvatskoj, (in Croatian), Zbornik Ekonomskog fakulteta u Zagrebu, 2009, 1; 81-92
  22. (with F. Hubalek): Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models, Thiele Research Report 2007-05, 2007.
  23. Analysis of the Exchange Rate and Pricing Foreign Currency Options on the Croatian Market: the NGARCH Model as an Alternative to the Black-Scholes Model, Financial Theory and Practice, 4/2006; 345-367
  24. Properties and Estimation of GARCH(1,1) Model, Metodološki zvezki-Advances in Methodology and Statistics, 2005, 2(2); 243-257

Preprints:

  1. (with P. Palić and M. Vizek): The Determinants of Country’s Risk Premium Volatility: Evidence from Panel VAR Model, 2015, EIZ-WP-1505
  2. (with M. Tkalec and M. Vizek): Time‐varying integration in European post‐transition sovereign bond market, 2015, EIZ-WP-1501
  3. (with M. Vizek): The nonlinear house price adjustment process in developed and transition countries, 2010, EIZ-WP-1001