Veronika Czellar

EDHEC Business School - Department of Data Science, Economics and Finance

Professor

24, avenue Gustave Delory

Roubaix, 59057

France

SCHOLARLY PAPERS

8

DOWNLOADS

994

SSRN CITATIONS
Rank 31,677

SSRN RANKINGS

Top 31,677

in Total Papers Citations

25

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

Robust Filtering

Number of pages: 48 Posted: 04 Aug 2012
Laurent E. Calvet, Veronika Czellar and Elvezio Ronchetti
EDHEC Business School - Department of Economics & Finance, EDHEC Business School - Department of Data Science, Economics and Finance and University of Geneva - Research Center for Statistics
Downloads 220 (170,781)
Citation 3

Abstract:

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Kalman filter, particle filter, robust statistics, state space model, stochastic volatility

2.

Asymmetric Stochastic Volatility Models: Properties and ABC Filter-based Maximum Likelihood Estimation

Number of pages: 56 Posted: 03 Jan 2015 Last Revised: 15 Dec 2016
Xiuping Mao, Veronika Czellar, Esther Ruiz and Helena Veiga
Zhongnan University of Economics and Law - School of Finance, EDHEC Business School - Department of Data Science, Economics and Finance, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Universidad Carlos III de Madrid - Department of Statistics and Econometrics
Downloads 166 (219,889)
Citation 17

Abstract:

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ABC filtering, Leverage effect, SV models, Value-at-Risk

3.

State-Observation Sampling and the Econometrics of Learning Models

Number of pages: 45 Posted: 26 May 2011
Laurent E. Calvet and Veronika Czellar
EDHEC Business School - Department of Economics & Finance and EDHEC Business School - Department of Data Science, Economics and Finance
Downloads 159 (228,038)
Citation 2

Abstract:

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Hidden Markov model, particle filter, learning, indirect inference, forecasting, state space model, value at risk

4.

M&A Rumors about Unlisted Firms

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 39 Posted: 21 Apr 2021
EMLYON Business School, Florida Atlantic University, EDHEC Business School - Department of Data Science, Economics and Finance and EMLYON Business School
Downloads 156 (231,722)

Abstract:

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Mergers, Acquisitions, Rumors, Unlisted Firms

5.

Indirect Robust Estimation of the Short-Term Interest Rate Process

Charles A. Dice Center Working Paper No. 2005-4
Number of pages: 30 Posted: 27 Feb 2005
EDHEC Business School - Department of Data Science, Economics and Finance, Cornell University - Samuel Curtis Johnson Graduate School of Management and University of Geneva - Research Center for Statistics
Downloads 128 (271,071)
Citation 4

Abstract:

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Generalized Method of Moments, Robust estimation, Indirect estimation, interest rates

6.

Through the Looking Glass: Indirect Inference via Simple Equilibria

HEC Paris Research Paper No. FIN-2014-1048
Number of pages: 58 Posted: 02 Jun 2014 Last Revised: 10 Jun 2014
Laurent E. Calvet and Veronika Czellar
EDHEC Business School - Department of Economics & Finance and EDHEC Business School - Department of Data Science, Economics and Finance
Downloads 101 (320,353)
Citation 4

Abstract:

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Hidden Markov model, long-run risk, learning, value at risk, indirect inference, particle filters

7.

M&A Rumors about Unlisted Firms: Online Appendix

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 7 Posted: 22 Apr 2021 Last Revised: 08 Jun 2021
EMLYON Business School, Florida Atlantic University, EDHEC Business School - Department of Data Science, Economics and Finance and EMLYON Business School
Downloads 37 (527,077)

Abstract:

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Mergers, Acquisitions, Rumors, Unlisted Firms, Indirect Inference

8.

Limited Participation in the Joint Behavior of Asset Prices and Individual Consumptions

Number of pages: 54 Posted: 24 Aug 2017
Veronika Czellar, René Garcia and Francois Le Grand
EDHEC Business School - Department of Data Science, Economics and Finance, Université de Montréal - CIREQ - Département de sciences économiques and EMLYON Business School
Downloads 27 (582,186)

Abstract:

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limited participation, heterogeneity, indirect inference, individual consumption distribution