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Nicolas Papageorgiou

Researcher at HEC Montréal

Publications -  46
Citations -  519

Nicolas Papageorgiou is an academic researcher from HEC Montréal. The author has contributed to research in topics: Hedge fund & Portfolio. The author has an hindex of 12, co-authored 46 publications receiving 481 citations. Previous affiliations of Nicolas Papageorgiou include University of Reading.

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Copula-Based Semiparametric Models for Multivariate Time Series

TL;DR: The authors extend to multivariate contexts the copula-based univariate time series modeling approach of Chen & Fan and discusses parameter estimation and goodness-of-fit testing for their model, with emphasis on meta-elliptical and Archimedean copulas.
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Copula-based semiparametric models for multivariate time series

TL;DR: Chen et al. as discussed by the authors extended the copula-based univariate time series modeling approach to multivariate contexts, where the series are first modeled individually and copulas are used to model the dependence between their innovations.
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A Constant-Volatility Framework for Managing Tail Risk

TL;DR: In this paper, the authors implement a robust methodology based on Dybvig's payoff distribution model to target a constant level of volatility and normalize monthly returns, which can help investors obtain their desired risk exposures over both short and longer time frames, reduce exposure to tail risk, and in general increase portfolios' risk adjusted performance.
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Replicating the Properties of Hedge Fund Returns

TL;DR: A multivariate extension of the Dybvig [1988] Payoff Distribution Model that can be used to replicate not only the marginal distribution of most hedge fund returns but also their dependence on other asset classes is implemented.