Dr Evarist Stoja
Evarist Stoja's research interests are in the areas of applied financial econometrics, risk modelling and management and asset pricing.
Here is a link to some of my papers
Fields of interest
Applied Financial Econometrics, Risk Modelling, Asset Pricing
- Stoja, E & Polanski, A, 2014, Co-Dependence of Extreme Events in High Frequency FX Returns. Journal of International Money and Finance, vol 44., pp. 164-178
- Stoja, E & Polanski, A, 2013, Multidimensional Risk and Risk Dependence. Journal of Banking and Finance, vol 37., pp. 3286-3294
- Stoja, E & Polanski, A, 2012, Efficient Evaluation of Multidimensional Time-Varying Density Forecasts with Applications to Risk Management. International Journal of Forecasting.
- Stoja, E, Harris, F, Yilmaz, Ra & , 2011, A Cyclical Model of Exchange Rate Volatility. Journal of Banking and Finance, vol 35., pp. 3055 - 3064
- Stoja, E, Harris, J, Shen, Ra & , 2010, The Limits to Minimum Variance Hedging. Journal of Business Finance and Accounting, vol 37., pp. 737 - 761
- Stoja, E, Harris, R & Tan, L, 2016, The Dynamic Black-Litterman Approach to Asset Allocation. European Journal of Operational Research.
- Stoja, E & Polanski, A, 2011, Dynamic density forecasts for multivariate asset returns. Journal of Forecasting, vol 30., pp. 523 - 540
- Stoja, E & Tucker, J, 2011, Industry membership and capital structure dynamics in the UK. International Review of Financial Analysis, vol 20., pp. 207 - 214
- Stoja, E & Polanski, A, 2010, Incorporating Higher Moments into Value-at-Risk Forecasting. Journal of Forecasting, vol 29., pp. 523 - 535
- Stoja, E, Harris, F, Yilmaz, Ra & , 2009, Day-of-the-Month Effects in the Performance of Momentum Trading Strategies in the Foreign Exchange Market. Journal of Trading, vol 4., pp. 48 - 55
- Harris, R, Stoja, E & Tucker, J, 2007, A simplified approach to modeling the co-movement of asset returns. Journal of Futures Markets, vol 27 (6)., pp. 575 - 598
- Stoja, E, 2007, The Capital Structure Decision. in: N Hyndman, DG McKillop (eds) Cases in Management Accounting and Business Finance. Institute of Chartered Accountants in Ireland, pp. 135 - 140
Full publications list in the University of Bristol publications system