← All authors Svetlozar T. Rachev Texas Tech University (from arXiv:2605.30562, 2026) · ORCID · OpenAlex
214 papers in scope · 211 published · 4 on the econ.EM arXiv · 5,934 citations · h-index 44 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Abootaleb Shirvani Frank J. Fabozzi Ayush Jha Ali Jaffri Iliyan Georgiev Giuseppe Cavaliere Edoardo Zanelli Anders Rahbek H. Peter Boswijk Tengyuan Liang Sanjog Misra Yang Zu Luca Fanelli Giovanni Angelini Max H. Farrell Jun Yu Vadim Gorin Anna Bykhovskaya Arkadiusz Szydłowski Marco Mazzali Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (4 of 214)
An axiomatic risk-reward framework for sustainable investing
published 2026 · Decisions in Economics and Finance · first circulated 2023
with Gabriele Torri, Rosella Giacometti, Darinka Dentcheva, W. Brent Lindquist
working paper 2026 · arXiv
Constructing Insurable Risk Portfolios
published 2026 · Technometrics
with Shuangzhe Liu
Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets
published 2026 · Journal of risk and financial management · first circulated 2025
Performance and Risk Analytics of Asian Exchange-Traded Funds
published 2026 · Journal of risk and financial management · 1 citations · first circulated 2025
Iterated poisson processes for catastrophic risk modeling in ruin theory
published 2025 · Insurance Mathematics and Economics · 1 citations
with Dongdong Hu, Hasanjan Sayit, Hailiang Yang, Yıldıray Yıldırım
Option-Implied Probabilities and Bond Valuation
published 2025 · The Journal of Fixed Income
working paper 2025 · arXiv
Bridging Asset Pricing and Market Microstructure: Option Valuation in Roll’s Framework
published 2025 · Journal of risk and financial management
with Davide Lauria, W. Brent Lindquist, Yuan Hu
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon
published 2025 · Econometric Reviews · first circulated 2024
Hedging via Perpetual Derivatives: Trinomial Option Pricing and Implied Parameter Surface Analysis
published 2025 · Journal of risk and financial management · first circulated 2024
with Jagdish Gnawali, W. Brent Lindquist
Optimizing Portfolios with Pakistan-Exposed Exchange-Traded Funds: Risk and Performance Insight
published 2025 · Journal of risk and financial management · 3 citations
Environmental, Social and Governance-Valued Portfolio Optimization and Dynamic Asset Pricing
published 2025 · Journal of risk and financial management · 2 citations
with Davide Lauria, W. Brent Lindquist, Stefan Mittnik
Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
published 2025 · Journal of risk and financial management · 11 citations · first circulated 2024
working paper 2025 · arXiv · 1 citations
Editorial for the Special Issue of Journal of Risk and Financial Management: Featured Papers in Mathematics and Finance
published 2025 · Journal of risk and financial management
with W. Brent Lindquist
published 2024 · Journal of risk and financial management · 2 citations
Bachelier’s Market Model for ESG Asset Pricing
published 2024 · Journal of risk and financial management · 4 citations · first circulated 2023
with Nancy Asare Nyarko, Blessing Omotade, Peter Yegon
An Empirical Implementation of the Shadow Riskless Rate
published 2024 · Risks · 1 citations
Alternatives to classical option pricing
published 2024 · Annals of Operations Research · 5 citations
with W. Brent Lindquist
Dynamic Asset Pricing in a Unified Bachelier–Black–Scholes–Merton Model
published 2024 · Risks · 2 citations
Hedonic Models Incorporating Environmental, Social, and Governance Factors for Time Series of Average Annual Home Prices
published 2024 · Journal of risk and financial management · 5 citations
with Jason R. Bailey, W. Brent Lindquist
A rational finance explanation of the stock predictability puzzle
published 2024 · Review of Financial Economics
Bitcoin Volatility and Intrinsic Time Using Double-Subordinated Lévy Processes
published 2024 · Risks · 6 citations · first circulated 2021
Option Pricing Using a Skew Random Walk Binary Tree
published 2024 · Journal of risk and financial management · 2 citations · first circulated 2023
Sustainability-valued discrete option pricing in complete markets
published 2024 · Journal of Sustainable Finance & Investment · 1 citations · first circulated 2022
with Yuan Hu, W. Brent Lindquist
The Financial Market of Indices of Socioeconomic Well-Being
published 2024 · Journal of risk and financial management · 4 citations
The implied views of bond traders on the spot equity market
published 2023 · Frontiers in Applied Mathematics and Statistics
with Yifan He, Yuan Hu
Editorial on the Volume “ESG Investing and ESG Finance”
published 2023 · Journal of risk and financial management · 1 citations
with W. Brent Lindquist
Exploring Dynamic Asset Pricing within Bachelier’s Market Model
published 2023 · Journal of risk and financial management · 4 citations
with Nancy Asare Nyarko, Bhathiya Divelgama, Jagdish Gnawali, Blessing Omotade, Peter Yegon
Exploring Implied Certainty Equivalent Rates in Financial Markets: Empirical Analysis and Application to the Electric Vehicle Industry
published 2023 · Journal of risk and financial management · 1 citations
with Yifan He
Heavy-Tailed Probability Distributions: Some Examples of Their Appearance
published 2023 · Mathematics · 6 citations
with Lev B. Klebanov, Yulia V. Kuvaeva-Gudoshnikova, Yulia Kuvaeva
ν-Generalized Hyperbolic Distributions
published 2023 · Journal of risk and financial management · 3 citations · first circulated 2015
with Lev B. Klebanov
Hedonic Models of Real Estate Prices: GAM Models; Environmental and Sex-Offender-Proximity Factors
published 2022 · Journal of risk and financial management · 14 citations
with J Bailey, Davide Lauria, W. Brent Lindquist, Stefan Mittnik, Jason R. Bailey, D. Lauria
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
published 2022 · Journal of Economic Dynamics and Control · 10 citations · first circulated 2021
Taylor’s law and heavy-tailed distributions
published 2021 · Proceedings of the National Academy of Sciences · 5 citations
with W. Brent Lindquist
Option pricing in an investment risk-return setting
published 2021 · Applied Economics · 1 citations · first circulated 2019
Option Pricing with Greed and Fear Factor: The Rational Finance Approach
published 2021 · The Journal of Derivatives · 5 citations · first circulated 2017
Global Index on Financial Losses Due to Crime in the United States
published 2021 · Journal of risk and financial management
Systemic Risk Modeling with Lévy Copulas
published 2021 · Journal of risk and financial management · 5 citations
with Yuhao Liu, Petar M. Djurić, Young Shin Kim, James Glimm
Option Pricing Incorporating Factor Dynamics in Complete Markets
published 2020 · Journal of risk and financial management · 12 citations
OPTION PRICING IN MARKETS WITH INFORMED TRADERS
published 2020 · International Journal of Theoretical and Applied Finance · 12 citations · first circulated 2017
Multiple subordinated modeling of asset returns: Implications for option pricing
published 2020 · Econometric Reviews · 14 citations · first circulated 2019
Equity Premium Puzzle or Faulty Economic Modelling?
published 2020 · Review of Quantitative Finance and Accounting · 2 citations
PRICING DERIVATIVES IN HERMITE MARKETS
published 2019 · International Journal of Theoretical and Applied Finance · 10 citations · first circulated 2016
Enhancing binomial and trinomial equity option pricing models
published 2018 · Finance research letters · 16 citations · first circulated 2017
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET
published 2017 · International Journal of Theoretical and Applied Finance · 9 citations · first circulated 2016
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
published 2016 · Computational Economics · 47 citations · first circulated 2014
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion
published 2016 · Economics Letters · 20 citations
A Three-Factor Model for Mortality Modeling
published 2015 · North American Actuarial Journal · 3 citations
Tempered stable Ornstein– Uhlenbeck processes: A practical view
published 2015 · Communications in Statistics - Simulation and Computation · 25 citations · first circulated 2013
Applied mean-ETL optimization in using earnings forecasts
published 2015 · International Journal of Forecasting · 8 citations
with Barret Pengyuan Shao, Yu Mu
Smooth monotone covariance for elliptical distributions and applications in finance
published 2014 · Quantitative Finance · 4 citations
International Real Estate Review
published 2013 · International Real Estate Review · 1 citations
with Michael Stein
Efficient global portfolios: Big data and investment universes
published 2013 · IBM Journal of Research and Development · 55 citations
with John B. Guerard, Barret Pengyuan Shao
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS
published 2013 · International Journal of Theoretical and Applied Finance · 21 citations · first circulated 2008
Option pricing with time-changed Lévy processes
published 2013 · Applied Financial Economics · 14 citations
Computational aspects of portfolio risk estimation in volatile markets: a survey
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 2 citations · first circulated 2010
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
published 2013 · Studies in Nonlinear Dynamics and Econometrics · 15 citations
A Binomial-Tree Model for Convertible Bond Pricing
published 2012 · The Journal of Fixed Income · 8 citations
CVaR sensitivity with respect to tail thickness
published 2012 · Journal of Banking & Finance · 25 citations · first circulated 2011
MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION
published 2012 · International Journal of Theoretical and Applied Finance · 4 citations · first circulated 2011
with Carlo Marinelli, Stefano d’Addona
On a Class of Distributions Stable Under Random Summation
published 2012 · Journal of Applied Probability · 23 citations
with Lev B. Klebanov, A. V. Kakosyan, Grigory Temnov, Ashot V. Kakosyan
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
published 2012 · Annals of Operations Research · 47 citations
Approximation of skewed and leptokurtic return distributions
published 2012 · Applied Financial Economics · 27 citations
METRIZATION OF STOCHASTIC DOMINANCE RULES
published 2012 · International Journal of Theoretical and Applied Finance · 11 citations
Mean-ETL Portfolio Selection under Maximum Weight and Turnover Constraints Based on Fundamental Security Factors
published 2012 · The Journal of Investing · 11 citations
with Naoshi Tsuchida, Xiaoping Zhou
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
published 2011 · Insurance Mathematics and Economics · 55 citations
Option pricing and hedging under a stochastic volatility Lévy process model
published 2011 · Review of Derivatives Research · 16 citations
Flow-induced redemption costs in funds of funds
published 2011 · Journal of Derivatives & Hedge Funds · 5 citations
with Michael Stein
Market impact measurement of a VWAP trading algorithm
published 2011 · Journal of risk management in financial institutions · 9 citations
with Jan Fraenkle, Christian P. Scherrer
Analysis of the intraday effects of economic releases on the currency market
published 2011 · Journal of International Money and Finance · 21 citations · first circulated 2010
COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”
published 2011 · Econometric Theory · 2 citations
Calibrating affine stochastic mortality models using term assurance premiums
published 2011 · Insurance Mathematics and Economics · 38 citations
Style-neutral funds of funds: Diversification or deadweight?
published 2011 · Journal of Asset Management · 4 citations
with Michael Stein
Fat-Tailed Models for Risk Estimation
published 2011 · The Journal of Portfolio Management · 58 citations
Tempered Infinitely Divisible Distributions and Processes
published 2011 · Theory of Probability and Its Applications · 61 citations · first circulated 2010
Time series analysis for financial market meltdowns
published 2010 · Journal of Banking & Finance · 92 citations
Approximation of aggregate and extremal losses within the very heavy tails framework
published 2010 · Quantitative Finance · 3 citations
Balancing energy strategies in electricity portfolio management
published 2010 · Energy Economics · 62 citations
Tempered stable and tempered infinitely divisible GARCH models
published 2010 · Journal of Banking & Finance · 105 citations
A Profit Model for Spread Trading with an Application to Energy Futures
published 2009 · The Journal of Trading · 24 citations
BARRIER OPTION PRICING BY BRANCHING PROCESSES
published 2009 · International Journal of Theoretical and Applied Finance · 18 citations
Stochastic programming and stable distributions in asset-liability management
published 2009 · The Journal of Risk · 6 citations
Risk management and dynamic portfolio selection with stable Paretian distributions
published 2009 · Journal of Empirical Finance · 23 citations
Multi-tail generalized elliptical distributions for asset returns
published 2009 · Econometrics Journal · 23 citations
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
published 2009 · Applied Financial Economics · 3 citations
MCMC-based estimation of Markov Switching ARMA–GARCH models
published 2009 · Applied Economics · 70 citations
Construction of probability metrics on classes of investors
published 2009 · Economics Letters · 2 citations
Stochastic models for risk estimation in volatile markets: a survey
published 2008 · Annals of Operations Research · 37 citations
A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions
published 2008 · European Financial Management · 12 citations
with Wei Sun, Frank J. Fabozzi
Orderings and Probability Functionals Consistent with Preferences
published 2008 · Applied Mathematical Finance · 20 citations
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
published 2008 · Journal of Empirical Finance · 21 citations
Aggregation issues in operational risk
published 2008 · The Journal of Operational Risk · 36 citations
with Rosella Giacometti, Anna Chernobai, Marida Bertocchi
Smoothly truncated stable distributions, GARCH-models, and option pricing
published 2008 · Mathematical Methods of Operations Research · 46 citations
with Christian Menn
Introduction to special issue: studies in mathematical and empirical finance
published 2008 · Mathematical Methods of Operations Research
Probability Metrics with Applications in Finance
published 2008 · Journal of Statistical Theory and Practice · 8 citations
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
published 2008 · Studies in Nonlinear Dynamics and Econometrics · 49 citations
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
published 2008 · Empirical Economics · 49 citations
with Wei Sun, Frank J. Fabozzi, Petko S. Kalev
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
published 2008 · International Journal of Theoretical and Applied Finance · 114 citations
Financial market models with Lévy processes and time-varying volatility
published 2007 · Journal of Banking & Finance · 97 citations
Optimal Financial Portfolios
published 2007 · Applied Mathematical Finance · 6 citations
A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
published 2007 · International Journal of Theoretical and Applied Finance · 43 citations · first circulated 2006
with Carlo Marinelli, Stefano d’Addona
Stable distributions in the Black–Litterman approach to asset allocation
published 2007 · Quantitative Finance · 63 citations
Relative deviation metrics and the problem of strategy replication
published 2007 · Journal of Banking & Finance · 20 citations
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
published 2007 · Annals of Finance · 35 citations
with Wei Sun, Frank J. Fabozzi, Petko S. Kalev
Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis
published 2007 · Medical Entomology and Zoology · 209 citations
no link
Spot and derivative pricing in the EEX power market
published 2007 · Journal of Banking & Finance · 24 citations
with Michael Bierbrauer, Christian Menn, Stefan Trück
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns
published 2007 · Journal of Economics and Business · 47 citations
with Wei Sun, Frank J. Fabozzi
Momentum strategies based on reward–risk stock selection criteria
published 2007 · Journal of Banking & Finance · 126 citations
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
published 2007 · Annals of economics and finance · 7 citations
no link
Heavy-tailed distributional model for operational losses
published 2007 · The Journal of Operational Risk · 14 citations
with Rosella Giacometti, Anna Chernobai, Marida Bertocchi, Giorgio Consigli
Financial Econometrics: From Basics to Advanced Modeling Techniques
published 2006 · Medical Entomology and Zoology · 145 citations
no link
Delta hedging strategies comparison
published 2006 · European Journal of Operational Research · 19 citations
with Domenico De Giovanni, Sergio Ortobelli Lozza
Quantifying risk in the electricity business: A RAROC-based approach
published 2006 · Energy Economics · 44 citations
with Marcel Prokopczuk, Gero Schindlmayr, Stefan Trück
Modelling catastrophe claims with left-truncated severity distributions
published 2006 · Computational Statistics · 38 citations · first circulated 2005
Applying robust methods to operational risk modeling
published 2006 · The Journal of Operational Risk · 68 citations
with Anna Chernobai
The proper use of the risk measures in the Portfolio Theory
published 2005 · International Journal of Theoretical and Applied Finance · 72 citations
Calibrated FFT-based density approximations for -stable distributions
published 2005 · Computational Statistics & Data Analysis · 52 citations
with Christian Menn
Credit portfolio risk and probability of default confidence sets through the business cycle
published 2005 · The Journal of Credit Risk · 18 citations
with Stefan Trück, Stefan Trueck
Different Approaches to Risk Estimation in Portfolio Theory
published 2004 · The Journal of Portfolio Management · 259 citations
with Almira Biglova, Sergio Ortobelli Lozza, Stoyan V. Stoyanov
A GARCH option pricing model with α-stable innovations
published 2004 · European Journal of Operational Research · 41 citations
with Christian Menn
Phi-alpha optimal portfolios and extreme risk management
published 2003 · Wilmott · 97 citations
with R. Douglas Martin, Frederic Siboulet
The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
published 2003 · Journal of Economic Dynamics and Control · 56 citations · first circulated 2000
with Yesim Tokat, Eduardo S. Schwartz
Maximum likelihood estimators in regression models with infinite variance innovations
published 2003 · Statistical Papers · 18 citations
with Vygantas Paulaauskas
Mathematical and Computer Modelling
published 2002 · Mathematical and Computer Modelling · 115 citations
Stationarity of stable power-GARCH processes
published 2002 · Journal of Econometrics · 88 citations
with Stefan Mittnik, Marc S. Paolella
Stable modeling of value at risk
published 2001 · Mathematical and Computer Modelling · 72 citations
with Irina Khindanova, Eduardo S. Schwartz
The distribution of test statistics for outlier detection in heavy-tailed samples
published 2001 · Mathematical and Computer Modelling · 12 citations
with Stefan Mittnik, Gennady Samorodnitsky
Statistical inference in regression with heavy-tailed integrated variables
published 2001 · Mathematical and Computer Modelling · 8 citations
with Stefan Mittnik, Vygantas Paulauskas
The GARCH-stable option pricing model
published 2001 · Mathematical and Computer Modelling · 4 citations
with H.A. Hauksson
Preface
published 2001 · Mathematical and Computer Modelling
with Stefan Mittnik
Safety-first analysis and stable paretian approach to portfolio choice theory
published 2001 · Mathematical and Computer Modelling · 26 citations
with Sergio Ortobelli Lozza
Subordinated exchange rate models: evidence for heavy tailed distributions and long-range dependence
published 2001 · Mathematical and Computer Modelling · 4 citations
with Carlo Marinelli, Richard Roll
A Comparison of Gaussian and Non-Gaussian Portfolio Choice Models
published 2001 · IFAC Proceedings Volumes · 1 citations
with Sergio Ortobelli Lozza, Isabella Huber, Markus Höchstötter
A Stable Cointegrated Var Model for Credit Returns with Time-Varying Volatility
published 2001 · IFAC Proceedings Volumes
with Bernhard Martin
Stable Modeling of Energy Risk
published 2001 · IFAC Proceedings Volumes
with Irina Khindanova, Zauresh Atakhanova, Zauresh Atkhanova
Regulation and Risk Management in the Greek Financial Markets
published 2001 · IFAC Proceedings Volumes
with Irina Khindanova, Bessy D. Athanasopoulos
Long strange segments of a stochastic process
published 2001 · The Annals of Applied Probability · 20 citations
with Peter Mansfield, Gennady Samorodnitsky
Characterization of distributions symmetric with respect to a group of transformations and testing of corresponding statistical hypothesis
published 2001 · Statistics & Probability Letters · 7 citations
with Lev B. Klebanov, Tomasz J. Kozubowski, V. �. Vol'kovich
Long strange segments in a long-range-dependent moving average” [Stochastic Process. Appl. 93 (2001) 119–148
published 2001 · Stochastic Processes and their Applications · 28 citations
with Gennady Samorodnitsky
A new representation for the characteristic function of strictly geo-stable vectors
published 2000 · Journal of Applied Probability · 6 citations
with Lev B. Klebanov, Stefan Mittnik, V. �. Vol'kovich
Diagnosing and treating the fat tails in financial returns data
published 2000 · Journal of Empirical Finance · 88 citations
with Stefan Mittnik, Marc S. Paolella
The spread of AIDS among interactive transmission groups
published 2000 · Mathematical and Computer Modelling · 4 citations
with Vera Haynatzka, J. Gani
Local prelimit theorems and their applications to finance
published 2000 · Applied Mathematics Letters · 10 citations
with Lev B. Klebanov, Mher Safarian
A steady-state model for the spread of HIV among drug users
published 2000 · Mathematical and Computer Modelling · 2 citations
with Gleb Haynatzki, J. Gani
Portfolio management with stable distributions
published 2000 · Mathematical Methods of Operations Research · 40 citations
with Seonkoo Han
Pre-limit Theorems and Their Applications
published 1999 · Acta Applicandae Mathematicae · 16 citations
with Lev B. Klebanov, Gábor J. Székely
Mass transportation problems with capacity constraints
published 1999 · Journal of Applied Probability · 11 citations
with Ingram Olkin
CED model for asset returns and fractal market hypothesis
published 1999 · Mathematical and Computer Modelling · 36 citations
Maximum likelihood estimation of stable Paretian models
published 1999 · Mathematical and Computer Modelling · 109 citations
with Stefan Mittnik, Toker Doğanoğlu, D. Chenyao
Option pricing for a logstable asset price model
published 1999 · Mathematical and Computer Modelling · 71 citations
with Simon Hurst, Eckhard Platen
Stable distributions and the term structure of interest rates
published 1999 · Mathematical and Computer Modelling · 12 citations
with Stamatios Dostoglou
A testable version of the Pareto-stable CAPM
published 1999 · Mathematical and Computer Modelling · 25 citations
with Bertrand Gamrowski
Test of association between multivariate stable vectors
published 1999 · Mathematical and Computer Modelling · 7 citations
with Stefan Mittnik, Ludger Rüschendorf
Option pricing for stable and infinitely divisible asset returns
published 1999 · Mathematical and Computer Modelling · 8 citations
with Stefan Mittnik
Preface
published 1999 · Mathematical and Computer Modelling
with Stefan Mittnik
Mass Transportation Problems: Vol. I: Theory
published 1999 · Journal of the American Statistical Association · 80 citations
with MTW, Ludger Rüschendorf
Time series with unit roots and infinite-variance disturbances
published 1998 · Applied Mathematics Letters · 15 citations
with Stefan Mittnik, J.-R. Kim
Cointegrated processes with infinite variance innovations
published 1998 · The Annals of Applied Probability · 19 citations
with Vygantas Paulauskas
CHI-SQUARE-TYPE DISTRIBUTIONS FOR HEAVY-TAILED VARIATES
published 1998 · Econometric Theory · 16 citations
with Stefan Mittnik, Jeong-Ryeol Kim
Unconditional and Conditional Distributional Models for the Nikkei Index
published 1998 · Asia-Pacific Financial Markets · 54 citations
with Stefan Mittnik, Marc S. Paolella
A tail estimator for the index of the stable paretian distribution
published 1998 · Communication in Statistics-Theory and Methods · 33 citations
with Stefan Mittnik, Marc S. Paolella
A Stochastic Model of Carcinogenesis and Tumor Size at Detection
published 1997 · Advances in Applied Probability · 17 citations
with Leonid Hanin, Alexander Tsodikov, Andrej Yu. Yakovlev
Limiting distribution of the collision resolution interval
published 1997 · Statistica Neerlandica · 5 citations
with Paul D. Feldman, Ludger Rüschendorf
Rate-of-convergence in the multivariate max-stable limit theorem
published 1997 · Statistics & Probability Letters · 1 citations
with Makoto Maejima
Subordinated Market Index Models: A Comparison
published 1997 · Financial Engineering and the Japanese Markets · 71 citations
with Simon Hurst, Eckhard Platen
Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances
published 1997 · Communications in Statistics Stochastic Models · 19 citations
with Jeong-Ryeol Kim, Stefan Mittnik
Conditionally exponential dependence model for asset returns
published 1997 · Applied Mathematics Letters · 8 citations
with Aleksander Weron, Karina Weron
Integral and asymptotic representations of geo-stable densities
published 1996 · Applied Mathematics Letters · 20 citations
with Lev B. Klebanov, J. A. Melamed, Stefan Mittnik
Tail estimation of the stable index α
published 1996 · Applied Mathematics Letters · 29 citations
with Stefan Mittnik
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances
published 1996 · Studies in Nonlinear Dynamics and Econometrics · 13 citations
with Jeong-Ryeol Kim, Stefan Mittnik
Rates of convergence in the operator-stable limit theorem
published 1996 · Journal of Theoretical Probability · 1 citations
with Makoto Maejima
Stable GARCH models for financial time series
published 1995 · Applied Mathematics Letters · 73 citations
with Anna K. Panorska, Stefan Mittnik
Testing Multivariate Symmetry
published 1995 · Journal of Multivariate Analysis · 67 citations
with C. R. Heathcote, B. N. Cheng
MULTIVARIATE STABLE FUTURES PRICES
published 1995 · Mathematical Finance · 69 citations
with B. N. Cheng
Limit laws for a stochastic process and random recursion arising in probabilistic modelling
published 1995 · Advances in Applied Probability · 44 citations
with Gennady Samorodnitsky
Models for Option Prices
published 1995 · Theory of Probability and Its Applications · 37 citations
with Ludger Rüschendorf
Mass-transshipment problems and ideal metrics
published 1994 · Journal of Computational and Applied Mathematics · 6 citations
with Leonid Hanin
Limit theorems for recursive algorithms
published 1994 · Journal of Computational and Applied Mathematics · 3 citations
with Phillip M. Feldman, Ludger Rüschendorf
Preface
published 1994 · Journal of Computational and Applied Mathematics · 1 citations
with Werner Römisch
Editorial
published 1994 · Journal of Computational and Applied Mathematics
with Werner Römisch
Solution of Some Transportation Problems with Relaxed or Additional Constraints
published 1994 · 27 citations
with Ludger Rüschendorf
The theory of geometric stable distributions and its use in modeling financial data
published 1994 · European Journal of Operational Research · 70 citations
with Tomasz J. Kozubowski
Geometric stable distributions in Banach spaces
published 1994 · Journal of Theoretical Probability · 13 citations
with Gennady Samorodnitsky
Laplace-Weibull Mixtures for Modeling Price Changes
published 1993 · Management Science · 26 citations
with Ashis SenGupta
Modeling asset returns with alternative stable distributions
published 1993 · Econometric Reviews · 299 citations
with Stefan Mittnik
Reply to comments on modeling asset returns with alternative stable distributions and some extensions *
published 1993 · Econometric Reviews · 47 citations
with Stefan Mittink
Rate of Convergence for Sums and Maxima and Doubly Ideal Metrics
published 1993 · Theory of Probability and Its Applications · 14 citations
with Ludger Rüschendorf
RATE OF CONVERGENCE FOR MAXIMA OF RANDOM ARRAYS WITH APPLICATIONS TO STOCK RETURNS
published 1993 · Statistics & Risk Modeling · 5 citations
Editorial
published 1992 · Journal of Computational and Applied Mathematics
with George A. Anastassiou
GEOMETRIC STABLE DISTRIBUTIONS AND LAPLACE-WEIBULL MIXTURES
published 1992 · Statistics & Risk Modeling · 15 citations
with Ashis SenGupta
Uniformities for the convergence in law and in probability
published 1992 · Journal of Theoretical Probability · 7 citations
with L. R�schendorf, Andreas Schief
Rates of convergence in multivariate extreme value theory
published 1991 · Journal of Multivariate Analysis · 21 citations
with Edward Omey
Rates of convergence of ?-stable random motions
published 1991 · Journal of Theoretical Probability · 6 citations
with J. E. Yukich
A Transformation Property of Minimal Metrics
published 1991 · Theory of Probability and Its Applications · 10 citations
with Ludger Rüschendorf
RECENT RESULTS IN THE THEORY OF PROBABILITY METRICS
published 1991 · Statistics & Risk Modeling · 8 citations
with Ludger Rüschendorf
On the rate of convergence of some functionals of a stochastic process
published 1990 · Journal of Applied Probability · 10 citations
with P. Todorović
Volume functions of historical texts and the amplitude correlation principle
published 1990 · Computers and the Humanities · 4 citations
with A. T. Fomenko
A note on the stability of the estimation of the exponential distribution
published 1990 · Statistics & Probability Letters · 1 citations
with Laurence A. Baxter
A counterexample to A.S. constructions
published 1990 · Statistics & Probability Letters · 3 citations
with Ludger Rüschendorf
A characterization of random variables with minimum L2-distance
published 1990 · Journal of Multivariate Analysis · 148 citations
with Ludger Rüschendorf
Stable distributions for asset returns
published 1989 · Applied Mathematics Letters · 39 citations
with Stefan Mittnik
Classification problem for probability metrics
published 1989 · Contemporary mathematics - American Mathematical Society · 3 citations
with R. M. Shortt
Maximum likelihood estimation of the bimodal failure rate for censored and tied observations
published 1989 · Statistics · 1 citations
with Kadyrova N.O, Yakovlev A.Yu
Isotonic maximum likelihood estimation of bimodal failure rate–a computer–based study
published 1989 · Statistics
with N. O. Kadyrova, Andrej Yu. Yakovlev
Bounds for crude survival probabilities within competing risks framework and their statistical application
published 1988 · Statistics & Probability Letters · 5 citations
with Andrej Yu. Yakovlev
On the Statistical Inference from Survival Experiments with Two Types of Failure
published 1988 · Biometrical Journal · 2 citations
with Andrej Yu. Yakovlev, N. O. Kadyrova, Ekaterina Myasnikova
An Ideal Metric and the Rate of Convergence to a Self-Similar Process
published 1987 · The Annals of Probability · 33 citations
with Makoto Maejima
Uniformity in Weak and Vague Convergence
published 1986 · Theory of Probability and Its Applications · 1 citations
Characterizations of inverse problems in queueing and their stability
published 1986 · Journal of Applied Probability · 4 citations
with В. В. Калашников
The Monge–Kantorovich Mass Transference Problem and Its Stochastic Applications
published 1985 · Theory of Probability and Its Applications · 296 citations
Maximum Likelihood Estimation of the Mortality Rate Function
published 1985 · Biometrical Journal · 2 citations
with Boyan N. Dimitrov, Andrej Yu. Yakovlev
On a Class of Minimal Functionals on a Space of Probability Measures
published 1985 · Theory of Probability and Its Applications · 21 citations
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