3 citations · 3 across the 4 of their papers we have counts for
4 papers
The Three-Dimensional Decomposition of Volatility Memory
Ziyao Wang, A. Alexandre Trindade, Svetlozar T. Rachev
This paper develops a three-dimensional decomposition of volatility memory into orthogonal components of level, shape, and tempo. The framework unifies regime-switching, fractional…
The Effective Number of Parameters in Kernel Density Estimation
Sofia Guglielmini, Igor Volobouev, Alexandre Trindade
The quest for a formula that satisfactorily measures the effective degrees of freedom in kernel density estimation (KDE) is a long standing problem with few solutions. Starting fro…
On the use of the M-quantiles for outlier detection in multivariate data
Sajal Chakroborty, Ram Iyer, A. Alexandre Trindade
Defining a successful notion of a multivariate quantile has been an open problem for more than half a century, motivating a plethora of possible solutions. Of these, the approach o…
A Socioeconomic Well-Being Index
A. Alexandre Trindade, Abootaleb Shirvani, Xiaohan Ma
An annual well-being index constructed from thirteen socioeconomic factors is proposed in order to dynamically measure the mood of the US citizenry. Econometric models are fitted t…