Profile of Dr. Muhammad Sheraz

Fields of Activity / Competences 

  • Volatility Models
  • Portfolio Optimization
  • Time series analysis and forecasting
  • Methods and Key figures in Risk Management

 

Publications

Major Publications

  • Sheraz, M.; Nasir, I.:
    Information-Theoretic Measures and Modeling Stock Market Volatility: A Comparative Approach.
    Risks, Volume 9(5), 89, (2021).
  • Sheraz, M.; Nasir, I.; Dedu, S.:
    Extreme Value Analysis and Risk Assessment: A Case of Pakistan Stock Market.
    Economic Computation and Economic Cybernetics Studies and Research, Vol 3, 5-20, (2021).
  • Sheraz, M.; Dedu, S.:
    Bitcoin Cash: Stochastic Models of Fat-Tail Returns and Risk Modeling.
    Economic Computation and Economic Cybernetics Studies and Research, Vol 3, 43-58, (2020).
  • Sheraz, M.; Preda, V.; Dedu, S.:
    Non-Extensive Minimal Entropy Martingale Measures and semi-Markov Regime Switching Interest Rate Modeling.
    AIMS Mathematics, Volume 5(1), 300-310, (2019).
  • Sheraz, M.; Preda, V.; Dedu, S.:
    Tsallis and Kaniadakis Entropy Measures for Risk Neutral Densities.
    Lecture Notes in Computer Science LNCS (Springer) 10672, 55–63, (2018).

More publications by Muhammad Sheraz