F
Filip Zikes
Researcher at Federal Reserve System
Publications - 32
Citations - 607
Filip Zikes is an academic researcher from Federal Reserve System. The author has contributed to research in topics: Volatility (finance) & Market liquidity. The author has an hindex of 11, co-authored 31 publications receiving 560 citations. Previous affiliations of Filip Zikes include Imperial College London & Bank of England.
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Volatility Transmission in Emerging European Foreign Exchange Markets
TL;DR: In this article, the authors studied the dynamics of volatility transmission between Central European (CE) currencies and the EUR/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data.
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Semiparametric Conditional Quantile Models for Financial Returns and Realized Volatility
Filip Zikes,Jozef Baruník +1 more
TL;DR: In this article, the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility.
Journal ArticleDOI
Design-Free Estimation of Variance Matrices
TL;DR: A new method for estimating variance matrices that exploits the fact that orthogonal matrices are never ill-conditioned and therefore focus on improving the estimation of the eigenvalues, and which has lower error norms than the traditional one.
A Comprehensive Comparison of Alternative Tests for Jumps in Asset Prices
Marina G Theodosiou,Filip Zikes +1 more
TL;DR: In this paper, a comparison of the existing tests for the presence of jumps in prices of financial assets is presented, and the relative performance of the tests is examined in a Monte Carlo simulation, covering scenarios of both finite and infinite activity jumps, stochastic volatility models with continuous and discontinuous volatility sample paths, microstructure noise and infrequent trading.