G. Tzagkarakis selected publications

Publications

1. G. Tzagkarakis, F. Maurer, and J. P. Nolan, "Taming impulsive high-frequency data using optimal sampling periods," Annals of Operations Research, 2023 (DOI: https://doi.org/10.1007/s10479-023-05701-y)

2. G. Tzagkarakis and F. Maurer, "Horizon-adaptive extreme risk quantification for cryptocurrency assets," Computational Economics, Vol. 62, pp. 1251-1286, 2023 (DOI: https://doi.org/10.1007/s10614-022-10300-3)

3. G. Tzagkarakis, J. Caicedo-Llano, and T. Dionysopoulos, "Sparse modeling of volatile financial time series via low-dimensional patterns over learned dictionaries," Algorithmic Finance, Vol. 4, pp. 139-158, 2015 (DOI: https://doi.org/10.3233/AF-150051)

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