{"id":2,"date":"2019-10-17T15:53:39","date_gmt":"2019-10-17T13:53:39","guid":{"rendered":"http:\/\/from.hr\/petraposedelsimovic\/?page_id=2"},"modified":"2025-04-30T14:34:32","modified_gmt":"2025-04-30T12:34:32","slug":"primjer-stranice","status":"publish","type":"page","link":"http:\/\/petraposedelsimovic.from.hr\/?page_id=2","title":{"rendered":"Publications"},"content":{"rendered":"

 <\/p>\n

    \n
  1. (with F. Hubalek), Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models<\/a>, Mathematical Communications, <\/em>30 (1), 2025<\/li>\n
  2. (with D. Dekovi\u0107), Hierarchical Risk Parity: Efficient Implementation<\/a>
    \nand Real World Analysis,  Future Generation Computer<\/em>
    \nSystems<\/em>, 167<\/span><\/span>, 107744, 2025<\/li>\n
  3. (with Claire Y. T. Chen and Edward W. Sun), Classifying the Variety of Customers\u2019 Online Engagement for Churn Prediction with a Mixed-Penalty Logistic Regression<\/a>, Comput Econ<\/i> (2022), https:\/\/doi.org\/10.1007\/s10614-022-10275-1<\/li>\n
  4. (with B. Ga\u0161perov, S. Begu\u0161i\u0107 and Z. Kostanj\u010dar), Reinforcement Learning Approaches to Optimal Market Making<\/a>, Mathematics, <\/em>2021, <\/em>9(21); <\/em>2689<\/li>\n
  5. (with A. Tafro), Pricing the Volatility Risk Premium with a Discrete Stochastic Volatility Model<\/a>, Mathematics, <\/em>2021, <\/em>9(17); <\/em>2038<\/li>\n
  6. (with P. Pali\u0107 and M. Vizek), The Determinants of Country Risk Premium Volatility: Evidence from a Panel VAR Model<\/a>, Croatian Economic Survey<\/em>, 2017, 19(1); 37\u201366<\/li>\n
  7. (with B. Posedel), Tehno-ekonomska kompenzacija jalove snage distributivnih transformatora SN\/NN<\/a> (Techno-economic Reactive Power Compensation of MV\/LV Distribution Transformers), Bosanskohercegova\u010dka elektrotehnika, <\/em>2016, <\/em>10; 21-27<\/li>\n
  8. (with M. Tkalec, M. Vizek and J. Lee), Time-Varying Integration of the Sovereign Bond Markets In European Post-transition Economies<\/a>, Journal of Empirical Finance<\/em>, 2016, 36; 30\u201340<\/li>\n
  9. (with M. Njavro and M. Vizek), Regime Switching Behaviour of Real Estate and Equity Prices in Emerging Countries<\/a>, Prague Economic Papers<\/em>, 2016, 25 (4); 396-410<\/li>\n
  10. (with M. Tkalec and M. Vizek), Are there nonlinearities in the interaction of equity and real estate markets<\/a>?, The Empirical Economics Letters, <\/em>2014, <\/em>13(10); 333-351<\/li>\n
  11. (with D. Brborovic) The Relation between Performance and Flows of Mutual Funds: Case of the Croatian Fund Market<\/a>, Applied Mathematics, <\/em>2014, <\/em>5; 3067-3078<\/li>\n
  12. (with F. Hubalek): Asymptotic analysis and explicit estimation of a class of stochastic volatility models with jumps using the martingale estimating function approach<\/a>, Glasnik Matematicki<\/em>, 2013, 48 (1); 185-210<\/li>\n
  13. (with M. Primorac): Modelling local government unit credit risk in the Republic of Croatia<\/a>, Financial Theory and Practice<\/em>, 2012, 36(4); 330-354<\/li>\n
  14. (with M. Vizek): Are House Prices Characterized by Threshold Effects? Evidence from Developed and Post-Transition Countries<\/a>, Czech Journal of Economics and Finance<\/em>, 2011, 61(6); 584-600.<\/li>\n
  15. (with F. Hubalek): Joint analysis and estimation of stock prices and trading volume in Barndorff-Nielsen and Shephard stochastic volatility models,<\/a> Quantitative Finance <\/em>2011, <\/em>11(6); 917-932<\/li>\n
  16. Martingale Central Limit Theorem. In: Lovric M. (eds) International Encyclopedia of Statistical Science<\/em><\/a>, Springer, Berlin, Heidelberg , 2011; 777-779<\/li>\n
  17. (with B. J. Christensen): The risk-return tradeoff and leverage effect in a stochastic volatility-in-mean model<\/a>, CREATES Research Paper 2010-50, 2010, School of Economics and Management, Aarhus University<\/li>\n
  18. (with D. Benakovi\u0107): Do macroeconomic factors matter for stock returns? Evidence from estimating a multifactor model on the Croatian market<\/a>, Business Systems Research<\/em>, 2010, 1(1-2); 39-46<\/li>\n
  19. (with M. Vizek): House Price Determinants in Transition and EU-15 Countries<\/a>, Post-Communist Economies<\/em>, 2009, 21(3); 327-343<\/li>\n
  20. (with J. Tica): Threshold Model of the Exchange Rate Pass-through Effect: The Case of Croatia<\/a>, Eastern European Economics<\/em>, 2009, 47(6); 43-59<\/li>\n
  21. (with M. Peji\u0107 Bach i A. Stojanovi\u0107): Determinante profitabilnosti banaka u Hrvatskoj, (in Croatian), Zbornik Ekonomskog fakulteta u Zagrebu<\/em>, 2009, 1; 81-92<\/li>\n
  22. (with F. Hubalek): Asymptotic analysis for a simple explicit estimator in Barndorff-Nielsen and Shephard stochastic volatility models<\/a>, Thiele Research Report 2007-05, 2007.<\/li>\n
  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<\/a>, Financial Theory and Practice<\/em>, 4\/2006; 345-367<\/li>\n
  24. Properties and Estimation of GARCH(1,1) Model<\/a>, Metodolo\u0161ki zvezki-Advances in Methodology and Statistics<\/em>, 2005, 2(2); 243-257<\/li>\n<\/ol>\n

    Preprints:<\/strong><\/p>\n

      \n
    1. (with P. Pali\u0107 and M. Vizek): The Determinants of Country’s Risk Premium Volatility: Evidence from Panel VAR Model, 2015, EIZ-WP-1505<\/li>\n
    2. (with M. Tkalec and M. Vizek): Time\u2010varying integration in European post\u2010transition sovereign bond market, 2015, EIZ-WP-1501<\/li>\n
    3. (with M. Vizek): The nonlinear house price adjustment process in developed and transition countries, 2010, EIZ-WP-1001<\/li>\n<\/ol>\n","protected":false},"excerpt":{"rendered":"

        (with F. Hubalek), Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models, Mathematical Communications, 30 (1), 2025 (with D. Dekovi\u0107), Hierarchical Risk Parity: Efficient Implementation and Real World Analysis,  Future Generation Computer Systems, 167, 107744, 2025 (with Claire Y. T. Chen and Edward W. Sun), Classifying the Variety of Customers\u2019 Online […]<\/p>\n","protected":false},"author":3331,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"open","template":"","meta":{"ngg_post_thumbnail":0},"yoast_head":"\nPublications - Petra Posedel \u0160imovi\u0107<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"http:\/\/petraposedelsimovic.from.hr\/?page_id=2\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"Publications - Petra Posedel \u0160imovi\u0107\" \/>\n<meta property=\"og:description\" content=\"  (with F. Hubalek), Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models, Mathematical Communications, 30 (1), 2025 (with D. Dekovi\u0107), Hierarchical Risk Parity: Efficient Implementation and Real World Analysis,  Future Generation Computer Systems, 167, 107744, 2025 (with Claire Y. T. Chen and Edward W. Sun), Classifying the Variety of Customers\u2019 Online […]\" \/>\n<meta property=\"og:url\" content=\"http:\/\/petraposedelsimovic.from.hr\/?page_id=2\" \/>\n<meta property=\"og:site_name\" content=\"Petra Posedel \u0160imovi\u0107\" \/>\n<meta property=\"article:modified_time\" content=\"2025-04-30T12:34:32+00:00\" \/>\n<meta name=\"twitter:card\" content=\"summary\" \/>\n<meta name=\"twitter:label1\" content=\"Est. reading time\" \/>\n\t<meta name=\"twitter:data1\" content=\"3 minutes\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\/\/schema.org\",\"@graph\":[{\"@type\":\"WebSite\",\"@id\":\"http:\/\/petraposedelsimovic.from.hr\/#website\",\"url\":\"http:\/\/petraposedelsimovic.from.hr\/\",\"name\":\"Petra Posedel \\u0160imovi\\u0107\",\"description\":\"\",\"potentialAction\":[{\"@type\":\"SearchAction\",\"target\":{\"@type\":\"EntryPoint\",\"urlTemplate\":\"http:\/\/petraposedelsimovic.from.hr\/?s={search_term_string}\"},\"query-input\":\"required name=search_term_string\"}],\"inLanguage\":\"en-US\"},{\"@type\":\"WebPage\",\"@id\":\"http:\/\/petraposedelsimovic.from.hr\/?page_id=2#webpage\",\"url\":\"http:\/\/petraposedelsimovic.from.hr\/?page_id=2\",\"name\":\"Publications - Petra Posedel \\u0160imovi\\u0107\",\"isPartOf\":{\"@id\":\"http:\/\/petraposedelsimovic.from.hr\/#website\"},\"datePublished\":\"2019-10-17T13:53:39+00:00\",\"dateModified\":\"2025-04-30T12:34:32+00:00\",\"breadcrumb\":{\"@id\":\"http:\/\/petraposedelsimovic.from.hr\/?page_id=2#breadcrumb\"},\"inLanguage\":\"en-US\",\"potentialAction\":[{\"@type\":\"ReadAction\",\"target\":[\"http:\/\/petraposedelsimovic.from.hr\/?page_id=2\"]}]},{\"@type\":\"BreadcrumbList\",\"@id\":\"http:\/\/petraposedelsimovic.from.hr\/?page_id=2#breadcrumb\",\"itemListElement\":[{\"@type\":\"ListItem\",\"position\":1,\"name\":\"Home\",\"item\":\"http:\/\/petraposedelsimovic.from.hr\/\"},{\"@type\":\"ListItem\",\"position\":2,\"name\":\"Publications\"}]}]}<\/script>\n<!-- \/ Yoast SEO plugin. -->","yoast_head_json":{"title":"Publications - Petra Posedel \u0160imovi\u0107","robots":{"index":"index","follow":"follow","max-snippet":"max-snippet:-1","max-image-preview":"max-image-preview:large","max-video-preview":"max-video-preview:-1"},"canonical":"http:\/\/petraposedelsimovic.from.hr\/?page_id=2","og_locale":"en_US","og_type":"article","og_title":"Publications - Petra Posedel \u0160imovi\u0107","og_description":"  (with F. Hubalek), Asymptotic analysis for an optimal estimating function for Barndorff-Nielsen Shephard stochastic volatility models, Mathematical Communications, 30 (1), 2025 (with D. Dekovi\u0107), Hierarchical Risk Parity: Efficient Implementation and Real World Analysis,  Future Generation Computer Systems, 167, 107744, 2025 (with Claire Y. T. Chen and Edward W. 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