Svetlozar T. Rachev

Svetlozar T. Rachev's AcademicInfluence.com Rankings

Svetlozar T. Rachev

Mathematics

#5835

World Rank

#8175

Historical Rank

Control Theory

#24

World Rank

#26

Historical Rank

Probability Theory

#74

World Rank

#96

Historical Rank

Statistics

#462

World Rank

#536

Historical Rank

mathematics Degrees

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Mathematics

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Svetlozar T. Rachev's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Mass transportation problems (1998) (804)
Handbook of heavy tailed distributions in finance (2003) (800)
Stable Paretian Models in Finance (2000) (788)
Modeling asset returns with alternative stable distributions (1993) (321)
The Monge–Kantorovich Mass Transference Problem and Its Stochastic Applications (1985) (306)
Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing (2005) (259)
Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis (2007) (241)
Different Approaches to Risk Estimation in Portfolio Theory (2004) (236)
Spot and Derivative Pricing in the EEX Power Market (2007) (201)
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures (2008) (182)
A characterization of random variables with minimum L 2 -distance (1990) (154)
Quantitative Stability in Stochastic Programming: The Method of Probability Metrics (2002) (152)
The Methods of Distances in the Theory of Probability and Statistics (2013) (150)
Financial Econometrics: From Basics to Advanced Modeling Techniques (2006) (137)
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY (2008) (125)
The basics of financial econometrics : tools, concepts, and asset management applications (2014) (125)
Bayesian methods in finance (2008) (117)
Probability metrics and recursive algorithms (1995) (114)
Maximum likelihood estimation of stable Paretian models (1999) (112)
Tempered stable and tempered infinitely divisible GARCH models (2010) (106)
Momentum strategies based on reward-risk stock selection criteria (2007) (106)
Optimal Financial Portfolios (2005) (105)
Phi-alpha optimal portfolios and Extreme Risk Management (2003) (104)
Financial market models with Lévy processes and time-varying volatility. (2008) (96)
Diagnosing and treating the fat tails in financial returns data (2000) (95)
Stationarity of stable power-GARCH processes (2002) (88)
Univariate Geometric Stable Laws (1999) (88)
Time series analysis for financial market meltdowns (2011) (82)
Option pricing for a logstable asset price model (1999) (80)
Mass Transportation Problems: Vol. I: Theory@@@Mass Transportation Problems: Vol. II: Applications (1999) (80)
Stable GARCH models for financial time series (1995) (80)
Stable modeling of value at risk (2001) (79)
Approximate Independence of Distributions on Spheres and Their Stability Properties (1991) (76)
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY (2005) (76)
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (2012) (76)
The theory of geometric stable distributions and its use in modeling financial data (1994) (75)
MCMC-based estimation of Markov Switching ARMA–GARCH models (2011) (72)
MULTIVARIATE STABLE FUTURES PRICES (1995) (70)
Alternative multivariate stable distributions and their applications to financial modeling (1991) (69)
Balancing energy strategies in electricity portfolio management (2011) (68)
Subordinated Market Index Models: A Comparison (1997) (68)
Unconditional and Conditional Distributional Models for the Nikkei Index (1998) (67)
Stable Paretian modeling in finance: some empirical and theoretical aspects (1998) (67)
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence (2009) (65)
Testing Multivariate Symmetry (1995) (65)
The Stable non-Gaussian Asset Allocation: A Comparison with the Classical Gaussian Approach (2003) (62)
Tempered Infinitely Divisible Distributions and Processes (2011) (60)
Fat-Tailed Models for Risk Estimation (2011) (59)
Appendix E: Model Selection Criterion: AIC and BIC (2014) (58)
Computing the Portfolio Conditional Value-at-Risk in the Alpha-Stable Case (2005) (58)
Stable distributions in the Black–Litterman approach to asset allocation (2007) (58)
Stable modeling of different European power markets (2005) (57)
Tempered stable distributions and processes in finance: numerical analysis (2010) (56)
Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples (2015) (56)
Handbook of computational and numerical methods in finance (2004) (55)
A stochastic model of radiation carcinogenesis: latent time distributions and their properties. (1993) (55)
The Modifled Tempered Stable Distribution, GARCH Models and Option Pricing (2008) (55)
A Comparison of Some Univariate Models for Value-at-Risk and Expected Shortfall (2006) (53)
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models (2014) (53)
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns (2007) (52)
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market (2008) (52)
Rating Based Modeling of Credit Risk: Theory and Application of Migration Matrices (2008) (51)
Smoothly truncated stable distributions, GARCH-models, and option pricing (2009) (50)
Quantifying Risk in the Electricity Business: A RAROC-based Approach (2007) (50)
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates (2012) (50)
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (2013) (48)
Portfolio Choice Theory with Non-Gaussian Distributed Returns (2003) (48)
Applying Robust Methods to Operational Risk Modeling (2006) (47)
Reply to comments on modeling asset returns with alternative stable distributions and some extensions (1993) (45)
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks (2005) (45)
Limit laws for a stochastic process and random recursion arising in probabilistic modelling (1995) (44)
Approximation of sums by compound Poisson distributions with respect to stop-loss distances (1990) (43)
A Note on the Estimation of the Frequency and Severity Distribution of Operational Losses (2004) (43)
Efficient global portfolios: Big data and investment universes (2013) (43)
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research (2007) (42)
Stochastic models for risk estimation in volatile markets: a survey (2008) (41)
A New Tempered Stable Distribution and Its Application to Finance (2009) (41)
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration (2008) (40)
Stable distributions for asset returns (1989) (40)
Modelling catastrophe claims with left-truncated severity distributions (2006) (39)
Sums of a Random Number of Random Variables and their Approximations with ν- Accompanying Infinitely Divisible Laws (1996) (38)
Calibrated FFT-based density approximations for alpha (2006) (38)
A tail estimator for the index of the stable paretian distribution (1998) (38)
A Probability Metrics Approach to Financial Risk Measures: Rachev/A Probability Metrics Approach to Financial Risk Measures (2011) (38)
An Ideal Metric and the Rate of Convergence to a Self-Similar Process (1987) (37)
Stable ETL Optimal Portfolios and Extreme Risk Management (2009) (37)
Tail estimation of the stable index α (1996) (36)
Orderings and Probability Functionals Consistent with Preferences (2009) (36)
Ill-Posed Problems in Probability And Stability of Random Sums (2007) (35)
Stable Modeling of Market and Credit Value at Risk (2003) (34)
Duality theorems for Kantorovich-Rubinstein and Wasserstein functionals (1990) (34)
A GARCH option pricing model with alpha-stable innovations (2005) (33)
Alpha-Stable Paradigm in Finanical Markets. (2009) (33)
Models for option prices (1995) (33)
Computing VaR and AVaR of Skewed-T Distribution (2007) (32)
Aggregation issues in operational risk (2008) (32)
Portfolio management with stable distributions (2000) (32)
CED model for asset returns and fractal market hypothesis (1999) (32)
Approximation, probability, and related fields (1994) (31)
Approximation of skewed and leptokurtic return distributions (2012) (30)
Computing VAR and AVaR in Infinitely Divisible Distributions (2009) (30)
Max-geometric Infinite Divisibility and Stability (1991) (30)
Rounding Proportions:Rules of Rounding (1993) (30)
The problem of optimal asset allocation with stable distributed returns (2000) (30)
Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns (2009) (29)
Long strange segments in a long-range-dependent moving average☆ (2001) (29)
Safety-first analysis and stable paretian approach to portfolio choice theory (2001) (29)
Option pricing formulae for speculative prices modelled by subordinated stochastic processes (1991) (29)
Probability and Statistics for Finance (2010) (29)
Subordinated Exchange Rate Models: Evidence for Heavy Tailed Distributions and Long-Range Dependence (2001) (28)
The problem of stability in queueing theory (1989) (28)
The Term Structure of Credit Spreads and Credit Default Swaps - An Empirical Investigation (2008) (28)
Rating Based Modeling of Credit Risk (2008) (28)
Solution of Some Transportation Problems with Relaxed or Additional Constraints (1994) (28)
DISTRIBUTIONAL ANALYSIS OF THE STOCKS COMPRISING THE DAX 30 (2005) (27)
CVaR sensitivity with respect to tail thickness (2013) (27)
Stable Models in Testable Asset Pricing (1994) (26)
On a Class of Minimal Functionals on a Space of Probability Measures (1985) (26)
Stochastic models of tumor latency and their biostatistical applications (1997) (26)
Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Thresholds ? (2005) (26)
Laplace-Weibull mixtures for modeling price changes (1993) (26)
A testable version of the Pareto-stable CAPM (1999) (26)
Association of stable random variables (1990) (26)
Calibrating affine stochastic mortality models using term assurance premiums (2011) (26)
Analysis of the intraday effects of economic releases on the currency market (2011) (25)
Concepts of Probability Theory (2012) (24)
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models (2009) (24)
Treatment of Incomplete Data in the Field of Operational Risk: The Effects on Parameter Estimates, EL and UL Figures (2006) (24)
Tempered stable Ornstein– Uhlenbeck processes: A practical view (2017) (24)
Risk management and dynamic portfolio selection with stable Paretian distributions (2010) (24)
Maximum submatrix traces for positive definite matrices (1993) (23)
Relative deviation metrics and the problem of strategy replication (2008) (23)
AN EMPIRICAL COMPARISON AMONG VAR MODELS AND TIME RULES WITH ELLIPTICAL AND STABLE DISTRIBUTED RETURNS (2006) (23)
Credit Portfolio Risk and Probability of Default Confidence Sets Through the Business Cycle (2005) (23)
BARRIER OPTION PRICING BY BRANCHING PROCESSES (2009) (23)
Asymptotic Distribution of Unbiased Linear Estimators in the Presence of Heavy-tailed Stochastic Regressors and Residuals (2004) (22)
Testing the Validity of Value-at-Risk Measures (1996) (22)
A Profit Model for Spread Trading with an Application to Energy Futures (2009) (22)
Rates of convergence in multivariate extreme value theory (1991) (21)
Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances (1997) (21)
Cointegrated processes with infinite variance innovations (1998) (21)
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion (2016) (20)
GEOMETRIC STABLE DISTRIBUTIONS AND LAPLACE-WEIBULL MIXTURES (1992) (20)
Credit Portfolio Risk and Pd Confidence Sets Through the Business Cycle (2005) (20)
Maximum likelihood estimators in regression models with infinite variance innovations (2003) (20)
TIME SERIES WITH UNIT ROOTS AND INFINITE-VARIANCE DISTURBANCES (1998) (20)
Long strange segments of a stochastic process and long range dependence (1999) (20)
On a Class of Distributions Stable Under Random Summation (2010) (19)
A generalized binomial model and option pricing formulae for subordinated stock-price processes (1995) (19)
Delta hedging strategies comparison (2008) (18)
Optimal Portfolio Selection and Risk Management: A Comparison between the Stable Paretian Approach and the Gaussian One (2004) (18)
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances (1996) (18)
Empirical Examination of Operational Loss Distributions (2006) (18)
CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES (1998) (17)
Orderings and Risk Probability Functionals in Portfolio Theory (2008) (17)
Pre-limit Theorems and Their Applications (1999) (17)
Multivariate Geometric Stable Laws (1999) (17)
Integral and asymptotic representations of geo-stable densities (1996) (16)
A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions (2009) (16)
Portfolio selection based on a simulated copula (2010) (16)
Autoregressive Moving Average Models (2014) (16)
Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions (2010) (16)
STABLE MODELING OF CREDIT RISK (2001) (16)
Long strange segments of a stochastic process (2001) (16)
Estimates of the Rate of Convergence for Max-Stable Processes (1989) (16)
Rates for the CLT Via New Ideal Metrics (1989) (16)
Risk assessment : decisions in banking and finance (2009) (15)
Multi-Tail Generalized Elliptical Distributions for Asset Returns (2009) (15)
Option pricing with time-changed Lévy processes (2013) (15)
Rate of Convergence for Sums and Maxima and Doubly Ideal Metrics (1993) (15)
Risk Attribution and Portfolio Performance Measurement-An Overview (2004) (14)
Approaches to credit risk in the new basel capital accord (2003) (14)
A Stochastic Model of Carcinogenesis and Tumor Size at Detection (1997) (14)
Mass transportation problems with capacity constraints (1999) (14)
On the Rate of Convergence in the CLT with Respect to the Kantorovich Metric (1994) (14)
Statistical Issues in Modeling Multivariate Stable Portfolios (2003) (14)
A bivariate limiting distribution of tumor latency time. (1995) (14)
Option pricing and hedging under a stochastic volatility Lévy process model (2012) (13)
Geometric stable distributions in Banach spaces (1994) (13)
A distribution of tumor size at detection and its limiting form. (1996) (13)
A Modified Tempered Stable Distribution with Volatility Clustering (2008) (13)
PERFORMANCE MEASUREMENTS: THE STABLE PARETIAN APPROACH (2000) (13)
Queueing models of potentially lethal damage repair in irradiated cells. (1996) (13)
Heavy-tailed distributional model for operational losses (2007) (13)
Mathematical Methods for Construction of Queueing Models (2013) (13)
Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View (2013) (12)
Dependence of stable random variables (1992) (12)
The Impact of Different Distributional Hypothesis on Returns in Asset Allocation (2005) (12)
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data (2013) (12)
Minimal Metrics in the Random Variables Space (1982) (12)
Robust and Non-Robust Models in Statistics (2009) (12)
Probability and Statistics for Finance: Rachev/Probability (2010) (12)
Local prelimit theorems and their applications to finance (2000) (12)
Modeling the Distribution of Highly Volatile Exchange-rate Time Series (1996) (11)
Estimation of operational value-at-risk in the presence of minimum collection threshold: An empirical study (2010) (11)
Stable Mixture Model with Dependent States for Financial Return Series Exhibiting Short Histories and Periods of Strong Passivity. (2010) (11)
A Transformation Property of Minimal Metrics (1991) (11)
METRIZATION OF STOCHASTIC DOMINANCE RULES (2012) (11)
The distribution of test statistics for outlier detection in heavy-tailed samples (2001) (11)
On the products of a random number of random variables in connection with a problem from mathematical economics (1989) (11)
Risk Probability Functionals and Probability Metrics Applied to Portfolio Theory (2006) (10)
Conditionally exponential dependence model for asset returns (1997) (10)
Stable distributions and the term structure of interest rates (1999) (10)
A characterization of queueing models and its stability (1986) (10)
PORTFOLIO CHOICE WITH HEAVY TAILED DISTRIBUTIONS (2004) (10)
$U$-Statistics of Random-Size Samples and Limit Theorems for Systems of Markovian Particles with Non-Poisson Initial Distributions (1993) (10)
Equity premium puzzle or faulty economic modelling? (2019) (10)
Rate of convergence in limit theorems for the max-scheme (1985) (10)
A Note on Forecasting Aggregate Recovery Rates with Macroeconomic Variables (2005) (10)
Bayesian Inference for Hedge Funds with Stable Distribution of Returns (2010) (9)
Option pricing for stable and infinitely divisible asset returns (1999) (9)
Subordinated Stock Price Models: Heavy Tails and Long-Range Dependence in the High-frequency Deutsche Bank Price Record (2000) (9)
A new ideal metric with applications to multivariate stable limit theorems (1992) (9)
Characterization problems in queueing and their stability (1985) (9)
Operational risk quantification : a risk flow approach (2010) (9)
Multiple subordinated modeling of asset returns: Implications for option pricing (2020) (8)
New duality theorems for marginal problems with some applications in stochastics (1989) (8)
Option Pricing with Greed and Fear Factor: The Rational Finance Approach (2017) (8)
A Binomial-Tree Model for Convertible Bond Pricing (2012) (8)
Risk Management and Portfolio Optimization for Volatile Markets (2008) (8)
Probability metrics with applications in finance (2008) (8)
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange (2007) (8)
RECENT RESULTS IN THE THEORY OF PROBABILITY METRICS (1991) (8)
Probability Distances and Probability Metrics: Definitions (2013) (8)
Hausdorff metric structure of the space of probability measures (1981) (8)
Innovation Processes in Logically Constrained Time Series (2011) (8)
Statistical inference in regression with heavy-tailed integrated variables (2001) (8)
On the Joint Estimation of Stable Law Parameters (1994) (8)
Characterizations of the bivariate exponential distribution and Marshall — Olkin distribution and stability (1983) (8)
Stable Non-Gaussian Models for Credit Risk Management (2003) (7)
Profitability of Momentum Strategies: Application of Novel Risk/Return Ratio Stock Selection Criteria (2017) (7)
The Theory of Orderings and Risk Probability Functionals (2006) (7)
Multiple Subordinated Modeling of Asset Returns (2019) (7)
Applied mean-ETL optimization in using earnings forecasts (2015) (7)
Asset Liability Management: A Review and Some New Results in the Presence of Heavy Tails (2003) (7)
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions (2009) (7)
Mean-ETL Portfolio Selection under Maximum Weight and Turnover Constraints Based on Fundamental Security Factors (2012) (7)
Volume functions of historical texts and the amplitude correlation principle (1990) (7)
Characterization of distributions symmetric with respect to a group of transformations and testing of corresponding statistical hypothesis (2001) (7)
Modelling Catastrophe Claims with Left-Truncated Severity Distributions (Extended Version) (2005) (7)
Option Pricing with Mixed Lévy Subordinated Price Process and Implied Probability Weighting Function (2019) (7)
The Application of Pairs Trading to Energy Futures Markets (2008) (7)
Rates of convergence of α-stable random motions (1991) (7)
Test of association between multivariate stable vectors (1999) (6)
Multivariate Heavy-Tailed Models for Value-at-Risk Estimation (2010) (6)
VaR, CVaR and Time Rules with Elliptical and Asymmetric Stable Distributed Returns (2017) (6)
The spread of AIDS among interactive transmission groups (2000) (6)
1 Risk and Return in Momentum Strategies : Profitability from Portfolios based on Risk-Adjusted Stock Ranking Criteria (2005) (6)
Mass-transshipment problems and ideal metrics (1994) (6)
Unconditional Copula-Based Simulation of Tail Dependence for Co-movement of International Equity Markets (2006) (6)
A new representation for the characteristic function of strictly geo-stable vectors (2000) (6)
RATE OF CONVERGENCE FOR MAXIMA OF RANDOM ARRAYS WITH APPLICATIONS TO STOCK RETURNS (1993) (6)
Enhancing binomial and trinomial equity option pricing models (2017) (6)
Value At Risk: Recent Advances (2019) (5)
New Tendencies in Rating SMEs with Respect to Basel II (2001) (5)
Intraday spot foreign exchange market. Analysis of efficiency, liquidity and volatility (2017) (5)
An extension of the kantorovich-rubinstein mass-transshipment problem (1995) (5)
A comparison among performance measures in portfolio theory (2005) (5)
The stability of a characterization of the bivariate Marshall-Olkin distribution (1991) (5)
Copula Concepts in Financial Markets (2009) (5)
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET (2016) (5)
Theoretical bounds for the tumor treatment efficacy (1988) (5)
Extreme functionals in the space of probability measures (1985) (5)
Tempered infinitely divisible distributions and processes@@@Tempered infinitely divisible distributions and processes (2010) (5)
Analysis of the factors influencing momentum profits (2009) (5)
Flow-induced redemption costs in funds of funds (2011) (5)
PRICING DERIVATIVES IN HERMITE MARKETS (2016) (5)
Asymptotic Distribution of Linear Unbiased Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals (2005) (5)
A Structural Classification of Probability Distances (2013) (5)
Market Impact Measurement of a VWAP Trading Algorithm (2010) (5)
OPTION PRICING IN MARKETS WITH INFORMED TRADERS (2020) (5)
Levy-Prokhorov distance in a space of semicontinuous set functions (1986) (5)
Proximity of probability measures with common marginals in a finite number of directions (1996) (4)
Basic Data Analysis (2011) (4)
Erratum to “Long strange segments in a long-range-dependent moving average” [Stochastic Process. Appl. 93 (2001) 119–148] (2002) (4)
Limit theorems for recursive algorithms (1994) (4)
Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation (2019) (4)
Implied Correlations in CDO Tranches (2005) (4)
Style-neutral funds of funds: Diversification or deadweight? (2011) (4)
Portfolio Optimization Constrained by Performance Attribution (2021) (4)
Risk Measures and Portfolio Selection (2012) (4)
Kantorovich's functionals in space of measures (1992) (4)
Building and Testing a Multiple Linear Regression Model (2014) (4)
Option Pricing Incorporating Factor Dynamics in Complete Markets (2020) (4)
A New Class of Probability Distributions and its Application to Finance (2004) (4)
Bounds for crude survival probabilities within competing risks framework and their statistical application (1988) (4)
Asset and Liability Management: Recent Advances (2000) (4)
Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns (2007) (4)
Stochastic Programming Methods in Asset-Liability Management (2017) (4)
Mixed Levy Subordinated Market Model and Implied Probability Weighting Function (2019) (3)
Stochastic programming and stable distributions in asset-liability management (2009) (3)
Discrete Probability Distributions (2012) (3)
A note on the stability of the estimation of the exponential distribution (1990) (3)
PHI-ALPHA OPTIMAL PORTFOLIOS & EXTREME RISK MANAGEMENT (2005) (3)
A Three-Factor Model for Mortality Modeling (2015) (3)
Mean-ETL Optimization of a Global Portfolio (2013) (3)
Glivenko–Cantelli Theorem and Bernstein–Kantorovich Invariance Principle (2013) (3)
Stability of Queueing Systems (2013) (3)
Multiple Linear Regression (2014) (3)
Systemic Risk Modeling with Lévy Copulas (2021) (3)
Explicit Solutions of Moment Problems 1. (1987) (3)
MCMC based Estimation of MS-ARMA-GARCH Models (2006) (3)
Regression Models with Categorical Variables (2014) (3)
Testing for structural breaks in time series regressions with heavy-tailed disturbances (2000) (3)
Mass transhipment problems and ideal metrics (1991) (3)
The World of Funds of Funds. (2017) (3)
Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach (2017) (3)
A counterexample to A.S. constructions (1990) (3)
Market Efficiency and Return Predictability (2012) (3)
Ideal quadratic metrics (1986) (3)
The stable non-Gaussian asset allocation (2000) (3)
Characterizations of inverse problems in queueing and their stability (1986) (3)
Approximation of Stable and Geometric Stable Distribution (2012) (3)
Bayesian Estimation of Stochastic Volatility Models (2012) (2)
Bayesian Methods in Finance: Rachev/Bayesian (2012) (2)
Vector Autoregressive Models II (2012) (2)
COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” (2011) (2)
Practical Portfolio Selection Problems Consistent With A Given Preference Ordering (2008) (2)
A note on the impact of non linear reward and risk measures (2010) (2)
Forecasting VaR in Spot and Futures Equity Markets (2010) (2)
Estimates of the deviation between the exponential and new classes of bivariate distributions (1987) (2)
Risk and Uncertainty (2011) (2)
Computational aspects of portfolio risk estimation in volatile markets: a survey (2013) (2)
Evidence of Long-Range Dependence and Heavy Tailedness from Modeling German Equity Market Volatility (2006) (2)
Precise upper bounds for the functionals describing tumour treatment efficiency (1989) (2)
Maximum Likelihood of Stable Paretian (1999) (2)
Maximum Likelihood Estimation of the Mortality Rate Function (1985) (2)
Discretization for stochastic differential equations, $L\sp p$ Wasserstein metrics, and econometrical models (1996) (2)
Heavy-Tailed and Stable Distributions in Financial Econometrics (2012) (2)
Option Pricing in Exponential Levy Models (2011) (2)
A New Hybrid Model for Intraday Spot Foreign Exchange Trading Accounting for Heavy Tails and Volatility Clustering (2009) (2)
Portfolio Performance Attribution (2017) (2)
Basel II Capital Accord (2012) (2)
Stability in the mean of the characterization of queueing models (1988) (2)
Tempered stable models for Islamic finance asset management (2014) (2)
Smooth monotone covariance for elliptical distributions and applications in finance (2014) (2)
Minimality of ideal probabilistic metrics (1986) (2)
A New Set of Financial Instruments (2016) (2)
Construction of probability metrics on classes of investors (2009) (2)
Approximation of aggregate and extremal losses within the very heavy tails framework (2010) (2)
MCMC methods for the estimation of MS-ARMA-GARCH Models (2007) (2)
GARCH-type Processes in Modeling Energy Prices (2004) (2)
The GARCH-stable option pricing model (2001) (2)
Maximum likelihood estimation of the bimodal failure rate for censored and tied observations (1989) (2)
Moment problems and their applications to the stability of queueing models (1992) (1)
Optimal Portfolio Management in Highly Volatile Markets (2013) (1)
Stability of the lack-of-memory property in a finite number of points (1985) (1)
On a special case of the basic problem in diffraction tomography (1996) (1)
Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis (2021) (1)
Relative deviation metrics with applications in finance (2007) (1)
Funds of hedge funds: a comparison among different portfolio optimization models implementing the zero-investment strategy (2008) (1)
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model (2012) (1)
Smoothly Truncated Stable GARCH Models (2011) (1)
Graphical Representation of Data (2011) (1)
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models (2021) (1)
Exponential Levy Models (2011) (1)
Stable Modeling of Energy Risk (2001) (1)
Stochastic Models in Mathematical Biology: Preface (2000) (1)
Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes (2021) (1)
Rates of convergence in the operator-stable limit theorem (1996) (1)
Stability of the characterization of the exponential law (1986) (1)
Minimal metrics in a space of random vectors with fixed one-dimensional marginal distributions (1986) (1)
Value at Risk: Recent Advances 1 Introduction: Var and the New Bank Capi- Tal Requirements for Market Risk (2000) (1)
Multi-Tail Elliptical Distributions (2007) (1)
LONG STRANGE SEGMENTS OF A STOCHASTIC PROCESS 1 (2001) (1)
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models (2016) (1)
A Rational Finance Explanation of the Stock Predictability Puzzle (2019) (1)
Option pricing with regime switching tempered stable processes (2012) (1)
Rate-of-convergence in the multivariate max-stable limit theorem (1997) (1)
CDO Correlation Smile / Skew in One-Factor Copula Models : An Extension with Smoothly Truncated α-Stable Distributions (2010) (1)
A Comparison of Gaussian and Non-Gaussian Portfolio Choice Models (2001) (1)
Bayesian Framework for Portfolio Allocation: The Mean-Variance Setting (2012) (1)
Reflection on Recovery and Loss Given Default. What Is and What Is Amiss. (2011) (1)
Stability of some characterization properties of the exponential distribution (1986) (1)
LONG STRANGE SEGMENTS OF A STOCHASTIC PROCESS AND LONGRANGE (1999) (1)
Performance Identification for REITs by Using Draw Measures (2013) (1)
A Quasi-Maximum Likelihood Estimation Strategy for Value-at-Risk Forecasting: Application to Equity Index Futures Markets (2015) (1)
Portfolio Selection in the Presence of Heavy-Tailed Asset Returns (2002) (1)
Probability Metrics Applied to Problems in Portfolio Theory (2007) (1)
Multiple Criteria Decision Support (1992) (1)
On the Statistical Inference from Survival Experiments with Two Types of Failure (1988) (1)
Semi-parametric estimators for heavy tailed distributions (2010) (1)
Multi‐Tail t‐Distribution (2011) (1)
A steady-state model for the spread of HIV among drug users (2000) (1)
Appendix D: Application of the Log‐normal Distribution to the Pricing of Call options (2011) (1)
Operational Risk Models (2012) (1)
Autoregressive Conditional Heteroskedastic Models (2012) (1)
Value-at-Risk (2012) (1)
ESG-Valued Portfolio Optimization and Dynamic Asset Pricing (2022) (1)
Bayesian Linear Regression Model (2012) (1)
Recovery Rate Modelling of Non-performing Consumer Credit Using Data Mining Algorithms (2012) (1)
Book reviews (1997) (0)
Taylor’s law and heavy-tailed distributions (2021) (0)
Chernobai, Anna and Burnecki, Krzysztof and Rachev, Svetlozar and Trueck, Stefan and Weron, Rafal (2019) (0)
Advanced REIT Portfolio Optimization: Innovative Tools for Risk Management (2022) (0)
The Black-Litterman Portfolio Selection Framework (2012) (0)
Modeling Operational Loss Distributions (2012) (0)
Propagation of Chaos and Contraction of Stochastic Mappings (2011) (0)
Autoregressive Heteroscedasticity Model and Its Variants (2014) (0)
Bayesian Numerical Computation (2012) (0)
Lecture 3: Probability metrics (2008) (0)
R ratio optimization with heterogeneous assets using genetic algorithm (2017) (0)
ESG-valued discrete option pricing in complete markets (2022) (0)
Average Value-at-Risk (2012) (0)
Bayesian Estimation of ARCH-Type Volatility Models (2012) (0)
A top-on-down approach to the management of risk, cost, and time tradeoffs in aerospace systems (1989) (0)
Computing AVaR through Monte Carlo (2011) (0)
Credit Risk Models and their Implications for the Credit Spread 2 . 1 Merton – Model (2004) (0)
An Application of Data Mining in Consumer Credit (2013) (0)
Continuous Probability Distributions with Appealing Statistical Properties (2012) (0)
Measures of Location and Spread (2011) (0)
Continuous Probability Distributions Dealing with Extreme Events (2012) (0)
Computational aspects of risk estimation in volatile markets: A survey (2010) (0)
Multivariate Probabilistic Wavelet Approximation (1994) (0)
Broad market risk for sector fund of funds: a copula-based dependence approach (2017) (0)
Modeling volatile markets and market crashes (Invited Talk) (2008) (0)
Book reviews (1993) (0)
Estimates and Diagnostics for Multivariate Linear Regression Analysis (2011) (0)
An Estimator of the Quadratic Variation of a Process with Finite Energy (2008) (0)
Applications of Ideal Metrics for Sums of i.i.d. Random Variables to the Problems of Stability and Approximation in Risk Theory (2013) (0)
A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility (2001) (0)
Monthly Returns for 20 Stocks: December 2000 - November 2005 (2012) (0)
Optimal Quality Usage (2013) (0)
An estimate of the rate of convergence to a limit distribution in the minimum scheme of a random number of identically distributed random variables (1991) (0)
K -Minimal Metrics (2013) (0)
Application of the Method of the Point Source of Innuence (psi) for Modeling of a Stochastic Process in Natural Phenomena (2007) (0)
Introduction to Time Series Analysis (2011) (0)
Appendix A: Important Functions and Their Features (2011) (0)
On constrained transportation problems (1993) (0)
Methods of Analysis of the Continuity of Queueing Models (1990) (0)
ARMA and ARCH Models with Infinite-Variance Innovations (2012) (0)
Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model (2012) (0)
Lecture 7: Average value-at-risk (2008) (0)
Lecture 5: Choice under uncertainty (2008) (0)
Normal GARCH models (2011) (0)
Positive and Negative Definite Kernels and Their Properties (2013) (0)
The Method of Moments in Tomography and Quantum Mechanics (1997) (0)
Simplification and Approximation of Probability Models (1990) (0)
Identification of Individual Queueing Models from Observations of Output Data — Inverse Characterization Problems (1990) (0)
Review: algorithmic trading (2017) (0)
Smoothing metrics for measures on groups (1989) (0)
Profitability of momentum strategies (2004) (0)
Conditional Expectation and Change of Measure (2012) (0)
Portfolio Optimization: Distributional Approach (2005) (0)
Some Statistical Tests Based on \mathfrak{N}-Distances (2013) (0)
The Bayesian Paradigm: Likelihood Function and Bayes' Theorem (2012) (0)
Measuring Unintended Indexing in Sector ETF Portfolios_Submission (2011) (0)
Basic Data Description for Financial Modeling and Analysis (2012) (0)
1 R Ratio Optimization with Heterogeneous Assets using Genetic Algorithm (2009) (0)
Option Pricing with Monte Carlo Methods (2011) (0)
Modeling Univariate Time Series (2012) (0)
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing (2017) (0)
Approaches to ARIMA Modeling and Forecasting (2012) (0)
Ideal Metrics and Stability of Characterizations of Probability Distributions (2013) (0)
Stable and Tempered Stable Distributions (2012) (0)
Chapter 40 – Regulation and Risk Management in the Greek Financial Markets (2003) (0)
PR ] 9 F eb 2 01 5 ν-Generalized Hyperbolic Distributions (2015) (0)
Computational Issues in Stable Financial Modeling (2004) (0)
Non‐Gaussian Portfolio Allocation (2011) (0)
Ideal Metrics with Respect to Summation Scheme for i.i.d. Random Variables (2013) (0)
Statistical Estimates Obtained by the Minimal Distances Method (2013) (0)
Moment Problems Related to the Theory of Probability Metrics: Relations Between Compound and Primary Distances (2013) (0)
Parameters of Location and scale of Random Variables (2011) (0)
Operational Risk is Not Just “Other” Risks (2012) (0)
Appendix D: Fundamentals of Matrix Algebra (2014) (0)
Principles of Optimization for Portfolio Selection (2012) (0)
Appendix B: Continuous Probability Distributions Commonly Used in Financial Econometrics (2014) (0)
Appendix F: Robust Statistics (2014) (0)
Stable Non-Gaussian Credit Risk Model; The Cognity Approach (2003) (0)
Chapter 35 – A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility (2003) (0)
Metrization of Epi-Convergence: An Application to the Strong Consistency of M-Estimators (1999) (0)
Stochastic Processes in Continuous Time (2012) (0)
Stable Non-Gaussian Credit Risk Model; The Cognity Approach (2003) (0)
Global Index on Financial Losses Due to Crime in the United States (2021) (0)
Monge–Kantorovich Mass Transference Problem, Minimal Distances and Minimal Norms (2013) (0)
Financial Econometrics: Scope and Methods (2012) (0)
Practical Operational Risk (2007) (0)
Prior and Posterior Information, Predictive Inference (2012) (0)
The Concept of Characterization as a General Mathematical Schema for Constructing Queueing Models (1990) (0)
SPHERES AND THEIR STABILITY PROPERTIES (2016) (0)
Analysis of Recovery Rate of Non-Performing Consumer Credit (2012) (0)
Hedonic Models of Real Estate Prices: GAM and Environmental Factors (2022) (0)
ν-Generalized Hyperbolic Distributions (2023) (0)
Multivariate Variables and Distributions (2011) (0)
Computer Tomography and Quantum Mechanics (1997) (0)
Factor Analysis and Principal Components Analysis (2014) (0)
Another Look at the Ho–Lee Bond Option Pricing Model (2017) (0)
A probabilistic approach to optimal quality usage (1992) (0)
Regulation and Risk Management in the Greek Financial Markets (2001) (0)
Metrics that are invariant relative to monotone transformations (1986) (0)
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (2012) (0)
Introduction to Stochastic Processes (2008) (0)
Appendix C: Inferential Statistics (2014) (0)
Review of Probability and Statistics (2012) (0)
Conditional Probability and Bayes' Rule (2011) (0)
Option pricing using a skew random walk pricing tree (2023) (0)
Isotonic maximum likelihood estimation of bimodal failure rate–a computer–based study (1989) (0)
Infinitely Divisible GARCH Models (2011) (0)
Lecture 6: Risk and uncertainty (2008) (0)
Distributions arising in the modelling of environmental processes (1990) (0)
Relations Between Minimal and Maximal Distances (2013) (0)
Modeling, Risk Assessment and Portfolio Optimization of Energy Futures (2017) (0)
How Close Are the Individual and Collective Models in Risk Theory (2013) (0)
Primary, Simple, and Compound Probability Distances and Minimal and Maximal Distances and Norms (2013) (0)
Option pricing and hedging under a stochastic volatility Lévy process model (2011) (0)
Formulating and Implementing Investment Strategies Using Financial Econometrics (2014) (0)
Prior Beliefs and Asset Pricing Models (2012) (0)
Construction of Queueing Models from Observations of Their Inputs — Direct Problems of Characterization (1990) (0)
American Option Pricing with Monte Carlo Methods (2011) (0)
Variability of Full-MLE ARMA-GARCH VaR and ETL Estimates (2011) (0)
Selected Topics in Regression Analysis (2012) (0)
Cointegration and State Space Models (2012) (0)
Convolution Metrics and Rates of Convergence in the CLT (Central Limit Theorem). (1987) (0)
Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\'evy Motions (2021) (0)
Basic Principles of Bayesian Analysis (2012) (0)
Copula and Dependence Measures (2011) (0)
\mathfrak{N}-Distance Tests of Uniformity on the Hypersphere (2013) (0)
New techniques for comparing the volume functions of historical texts (1989) (0)
Chapter 37 – Stable Modeling of Energy Risk (2003) (0)
A Classification of Probability Distances (2011) (0)
Global and Tail Dependence: A Differential Geometry Approach (2021) (0)
Characterization of the Components of Queueing Models (1990) (0)
Technical Appendix Lecture 6: Risk and uncertainty (2008) (0)
Stochastic Dominance Revisited (2011) (0)
Operational Risk: Definition, Classification, and its Place among Other Risks (2012) (0)
Risk Estimation for GARCH Processes with Heavy-Tailed Innovations (2011) (0)
Important Functions and Their Features (2012) (0)
Stability of the service process in a system of type M/M/1 (1986) (0)
Option pricing for Informed Traders (2017) (0)
Quantitative Relationships Between Minimal Distances and Minimal Norms (2013) (0)
Volatility Models: An Overview (2012) (0)
Designing and Building a Multivariate Linear Regression Model (2011) (0)
Testing the Assumptions of the Multivariate Linear Regression Model (2011) (0)
Mathematical and Computer Modelling (2002) (0)
Introduction to special issue: studies in mathematical and empirical finance (2009) (0)
Distances Defined by Zonoids (2013) (0)
Advanced Techniques for Bayesian Portfolio Selection (2012) (0)
Joint Probability Distributions (2011) (0)
Choice under Uncertainty (2011) (0)
Appendix B: Fundamentals of Matrix operations and Concepts (2011) (0)
Ideal Metric with Respect to Maxima Scheme of i.i.d. Random Elements (2013) (0)
Continuous Probability Distributions (2012) (0)
Lecture 8: Optimal portfolios (2008) (0)
Time-Scale Transformations: Effects on VaR Models (2004) (0)
Regression Applications in Finance (2012) (0)
Dilution of Sector Exposures: When Does Unintended Indexing Happen? (2014) (0)
Negative Definite Kernels and Metrics: Recovering Measures from Potentials (2013) (0)
Option Pricing in Non-Gaussian Ornstein-Uhlenbeck Markets (2017) (0)
Appendix A: Descriptive Statistics (2014) (0)
Chapter 38 – A Comparison of Gaussian and Non-Gaussian Portfolio Choice Models (2003) (0)
Introduction to Regression Analysis (2011) (0)
Simple Linear Regression (2014) (0)
Ideal Metrics and Rate of Convergence in the CLT for Random Motions (2013) (0)
Unifying Market Microstructure and Dynamic Asset Pricing (2023) (0)
Quantitative stability in stochastic programming (2000) (0)
Appendix C: Binomial and Multinomial Coefficients (2011) (0)
Introduction to Bayesian Inference (2012) (0)
$\nu$-Generalized Hyperbolic Distributions (2015) (0)
Substantive Formulation of the Problem of Queueing Model Construction (1990) (0)
Main Directions in the Theory of Probability Metrics (2013) (0)
Probability Distances and Metrics (2011) (0)
Uniformity in Weak and Vague Convergence (1986) (0)
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors (2022) (0)

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