UCSB Statistics

Recent Technical Reports

2009

Anna Chernobai, Syracuse University
Christian Menn, DZ Bank AG, Platz der Republik, Germany
Svetlozar T. Rachev, University of Karlsruhe and KIT, Univ. of California, Santa Barbara and FinAnalytica
Stefan Truck, Macquarie University, Sydney
Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Threshold: An Empirical Study

Vygantas Paulauskas, Vilnius University
Svetlozar Rachev, University of Karlsruhe and KIT, Univ. of California, Santa Barbara and FinAnalytica
Frank J. Fabozzi, Yale School of Management
Comment on "Weak Convergence to a Matrix Stochastic Integral with Stable Processes"

Matthias Scherer, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara, and FinAnalytica INC
Young Shin Kim, University of Karlsruhe and KIT
Frank J. Fabozzi, Yale School of Management
A FFT-based approximation of tempered stable and tempered infinitely divisible distributions

Christoph Moller, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara, and FinAnalytica INC
Frank J. Fabozzi, Yale School of Management
Strategic deployment of balancing energy in the German electricity market

Christoph Moller, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and KIT
Frank J. Fabozzi, Yale School of Management
Balancing energy strategies in electricity portfolio management

Christian Scherrer, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara, and FinAnalytica INC
Young Shin Kim, University of Karlsruhe and KIT
Michael Feindt, University of Karlsruhe and KIT and Phi-T GmbH
Frank Fabozzi, Yale School of Management
Using a neural network approach for backtesting methodologies for estimating and forecasting asset risk

Michael Stein, University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT)
Svetlozar T. Rachev, University of Karlsruhe (TH) and Karlsruhe Institute of Technology (KIT), Germany & University of California, Santa Barbara & FinAnalytica, USA.
Stoyan V. Stoyanov, FinAnalytica USA
Frank J. Fabozzi, Yale School of Management
Broad Market Risk for Sector Fund of Funds: A Copula-Based Dependence Approach

Stoyan V. Stoyanov, FinAnalytica, Inc., USA
Svetlozar T. Rachev, University of Karlsruhe, KIT, Germany and University of California Santa Barbara, USA, and FinAnalytica USA
Frank J. Fabozzi, Yale University, School of Management
Metrization of stochastic dominance rules

Almira Biglova, University of Karlsruhe
Sergio Ortobelli, University of Bergamo,
Svetlozar Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara and Finanalytica Inc., Seattle, USA
Frank J. Fabozzi, Yale School of Management
Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed Distributions

Wei Sun, University of Karlsruhe, KIT, and GCFD, Germany
Svetlozar Rachev, University of Karlsruhe and KIT and University of California, Santa Barbara, USA and FinAnalytica
Ye Chen, University of Karlsruhe, KIT, and GCFD, Germany
Frank J. Fabozzi, Yale School of Management, USA
Measuring Intra-Daily Market Risk: A Neural Network Approach

Almira Biglova, University of Karlsruhe
Sergio Ortobelli, University of Bergamo,
Svetlozar Rachev, University of Karlsruhe and KIT and University of California, Santa Barbara and Finanalytica Inc.
Frank J. Fabozzi, Yale School of Management
Modeling, Estimation, and Optimization of Equity Portfolios with Heavy-tailed Distributions

Anna Serbinenko, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara and FinAnalytica Inc.
A New Hybrid Model for Intraday Spot Foreign Exchange Trading Accounting for Heavy Tails and Volatility Clustering

Anna Serbinenko, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara and FinAnalytica Inc.
Intraday spot foreign exchange market, Analysis of efficiency, liquidity and volatility

Stoyan Valchev, FinAnalytica Inc.
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara and FinAnalytica Inc.
Young Shin Kim, University of Karlsruhe and KIT
Frank J. Fabozzi, Yale School of Management
Conditional Valuation of Barrier Options with Incomplete Information

Christoph Moller, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara, and FinAnalytica INC
Young Shin Kim, University of Karlsruhe and KIT
Frank J. Fabozzi, Yale School of Management
Innovation processes in logically constrained time series

Review with Prof. Rachev: FEATURE - Assessing the risk of a cataclysm, (REUTERS-May 25, 2009)

Review with Prof. Rachev: FACTBOX - Tools to predict market shocks (REUTERS-May 24, 2009)

Svetlozar T. Rachev, University of Karlsruhe, KIT & University of California, Santa Barbara & FinAnalytica
The lice thing wasn't on anybody's radar

Svetlozar T. Rachev, University of Karlsruhe, KIT & University of California, Santa Barbara & FinAnalytica
Michael Stein, University of Karlsruhe, KIT
Wei Sun, University of Karlsruhe, KIT
Copula Concepts in Financial Markets

Michael Stein, University of Karlsruhe, KIT
Svetlozar T. Rachev, University of Karlsruhe, KIT & University of California, Santa Barbara & FinAnalytica
Style Neutral Funds of Funds: Diversification or Deadweight?

Michael Stein, University of Karlsruhe, KIT & Credit Suisse Asset Management
Svetlozar T. Rachev, University of Karlsruhe, KIT & University of Santa Barbara & FinAnalytica
Stoyan Stoyanov, University of Karlsruhe, KIT, FinAnalytica
R Ratio Optimization with Heterogeneous Assets using Genetic Algorithm

Young Shin Kim, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California Santa Barbara, and FinAnalytica INC
Michele Leonardo Bianchi, University of Bergamo
Frank J. Fabozzi, Yale School of Management
Computing VaR and AVaR In Infinitely Divisible Distributions

Young Shin Kim, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California Santa Barbara, and FinAnalytica INC
Michele Leonardo Bianchi, University of Bergamo
Frank J. Fabozzi, Yale School of Management
Tempered stable and tempered infinitely divisible GARCH models

2008

Valeria Caviezel, University of Bergamo, Italy
Sergio Ortobelli, University of Bergamo, Italy
Svetlozar (Zari) T.Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara and Chief Scientist of FinAnalytica INC.
SEMIPARAMETRIC ESTIMATORS FOR HEAVY TAILED DISTRIBUTIONS

Stoyan V. Stoyanov, FinAnalytica, Inc., USA and University of Karlsruhe, Germany, KIT
Svetlozar T. Rachev, University of Karlsruhe, Germany, KIT and University of California Santa Barbara, USA
Frank J. Fabozzi, Yale School of Management
Construction of probability metrics on classes of investors

Sergio Ortobelli, University of Bergamo, Italy
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara
Haim Shalit, Ben-Gurion University, Israel
Frank J. Fabozzi, Yale School of Management
Practical Portfolio Selection Problems Consistent With A Given Preference Ordering

Ekaterina N. Sereda, University of Karlsruhe
Efim M. Bronshtein, Ufa State Aviation Technical University
Svetozar T. Rachev, University of Karlsruhe and University of California, Santa Barbara and Chief Scientist FinAnalytica INC
Frank J. Fabozzi, Yale School of Management
Wei Sun, University of Karlsruhe
Stoyan Stoyanov, FinAnalytica INC., Seattle, USA and University of Karlsruhe
Distortion Risk Measures in Portfolio Optimization

Georgi K. Mitov, Bulgarian Academy of Science and FinAnalytica Inc.
Svetlozar T. Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara, and FinAnalytica Inc.
Young Shin Kim, University of Karlsruhe and KIT
Frank J. Fabozzi, Yale School of Management,
Barrier Option Pricing by Branching Processes

Wei Sun, University of Karlsruhe, KIT, and GCFD, Germany
Svetlozar T. Rachev, University of Karlsruhe, Germany, KIT and University of California Santa Barbara, USA and FinAnalytica Inc., USA
Ye Chen, University of Karlsruhe, KIT, and GCFD, Germany
Frank J. Fabozzi, 135 Prospect Street, New Haven, CT 06511 USA
Measuring Intra-Daily Market Risk: A Neural Network Approach

Stoyan V. Stoyanov, FinAnalytica Inc., USA and University of Karlsruhe, Germany, KIT
Borjana Racheva-Iotova, FinAnalytica Inc., USA
Svetlozar T. Rachev, University of Karlsruhe, Germany, KIT and University of California Santa Barbara, USA and FinAnalytica Inc., USA
Frank J. Fabozzi, 135 Prospect Street, New Haven, CT 06511 USA
Stochastic models for risk estimation in volatile markets: A survey

Sergio Ortobelli,University of Bergamo,
Almira Biglova, University of Karlsruhe and KIT
Prof. Svetlozar (Zari) T.Rachev, University of Karlsruhe and KIT, and University of California, Santa Barbara and FinAnalytica INC.
Stoyan Stoyanov, University of Karlsruhe and KIT and FinAnalytica INC
PORTFOLIO SELECTION BASED ON A SIMULATED COPULA

Amir Safari, University of Karlsruhe, Germany
Wei Sun, University of Karlsruhe, Germany
Detlef Seese1, University of Karlsruhe, Germany
Svetlozar Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara
REALIZED VOLATILITY AND CORRELATION ESTIMATORS UNDER NON-GAUSSIAN MICROSTRUCTURE NOISE

Ivan K. Mitov, Sofia University and FinAnalytica Inc.
Svetlozar T. Rachev, University of Karlsruhe and KIT and University of California Santa Barbara,
Frank J. Fabozzi, Yale School of Management,
APPROXIMATION OF AGGREGATE AND EXTREMAL LOSSES WITHIN THE VERY HEAVY TAILS FRAMEWORK

Michele Leonardo Bianchi, University of Bergamo
Svetlozar T. Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara
Young Shin Kim, University of Karlsruhe and Karlsruhe Institute of Technology (KIT)
Frank J. Fabozzi, Yale University,
Tempered infinitely divisible distributions and processes

Rosella Giacometti, University of Bergamo,
Svetlozar T. Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara,
Vito Sessa, University of Bergamo,
Luca Musicco, University of Bergamo,
Funds of Hedge Funds: a Comparison among Different Portfolio Optimization Models implementing the Zero-Investment Strategy

Takashi Kanamura, J-POWER,
Svetlozar T. Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara,
Frank J. Fabozzi, Yale School of Management,
The Application of Pairs Trading to Energy Futures Markets

Audrius Kabasinskas, Kaunas University of Technology,
Svetlozar T. Rachevy, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara,
Leonidas Sakalauskas, Institute of Mathematics and Informatics, Akademijos 4, Vilnius LT-08663, Lithuania,
Wei Sun, University of Karlsruhe,
Igoris Belovas, Institute of Mathematics and Informatics, Akademijos 4, Vilnius LT-08663, Lithuania,
ALPHA-STABLE PARADIGM IN FINANCIAL MARKETS

Almira Biglova, University of Karlsruhe,
Svetlozar Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara,
Stoyan Stoyanov, Finanalytica Inc., Seattle, USA, and University of Karlsruhe and Karlsruhe Institute of Technology (KIT),
Sergio Ortobelli, University of Bergamo,
Analysis of the Factors Influencing Momentum Profits

Svetlozar T. Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara,
Wei Sun, University of Karlsruhe,
Frank J. Fabozzi, Yale University,
A New Solution for Finance-Stable Family Models

Michele Leonardo Bianchi, University of Bergamo,
Svetlozar T. Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara,
Young Shin Kim, University of Karlsruhe and Karlsruhe Institute of Technology (KIT),
Frank J. Fabozzi, Yale University,
Tempered stable distributions and processes in finance: numerical analysis

Young S. Kim, University of Karlsruhe and the Karlsruhe Institute of Technology (KIT),
Svetlozar T. Rachev, University of Karlsruhe and KIT & University of California, Santa Barbara,
Dong M. Chung, The Catholic University of Korea,
Michele L. Bianchi, University of Bergamo,
A Modified Tempered Stable Distribution with Volatility Clustering

Michael Stein, University of Karlsruhe & Credit Suisse Asset Management,
Svetlozar T. Rachev, University of Karlsruhe and KIT & University of California, Santa Barbara,
Wei Sun, University of Karlsruhe,
The World of Funds of Funds

Rosella Giacometti, University of Bergamo
Svetlozar Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara,
Anna Chernobai, Syracuse University
Marida Bertocchi, University of Bergamo
Aggregation Issues in Operational Risk

Young Shin Kim, University of Karlsruhe and KIT
Svetlozar T. Rachev, University of Karlsruhe and Karlsruhe Institute of Technology (KIT) and University of California, Santa Barbara,
Dong Myung Chung, The Catholic University of Korea
Michele Leonardo Bianchi, University of Bergamo
The Modified Tempered Stable Distribution, GARCH Models and Option Pricing

2007

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Borjana Racheva, FinAnalytica,
Stoyan Stoyanov, FinAnalytica, Inc.,
Frank J. Fabozzi, Yale University, School of Management,
Risk Management and Portfolio Optimization for Volatile Markets

Rosella Giacometti, University of Bergamo, Department MSIA, Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Anna Chernobai, Syracuse University,
Marida Bertocchi, University of Bergamo, Department MSIA, Bergamo, Italy,
Aggregation Issues in Operational Risk

Stoyan Stoyanov, FinAnalytica, Inc.,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
Construction of probability metrics on classes of investors

Jochen Papenbrock, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Markus H��ochst��otter, University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
Price Calibration and Hedging of Correlation Dependent Credit Derivatives using a Structural Model with alpha-Stable Distributions

Steftcho Dokov, FinAnalytica Inc., Seattle,
Stoyan Stoyanov, FinAnalytica, Inc.,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Computing VaR and AVaR of Skewed-T Distribution

Amir Safari,University of Karlsruhe, Germany
Wei Sun, University of Karlsruhe, Germany
Detlef Seese, University of Karlsruhe, Germany
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Realized Volatility and Correlation Estimators under Non-Gaussian Microstructure Noise

Jan S. Henneke,University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
MCMC methods for the estimation of MS-ARMA-GARCH Models

Almira Biglova, University of Karlsruhe, Germany,
Takashi Kanamura, J-POWER, Japan,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Stoyan Stoyanov, FinAnalytica, Inc.,
Modeling, Risk Assessment and Portfolio Optimization of Energy Futures

Stoyan Stoyanov, FinAnalytica, Inc.,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns

Wei Sun, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
A New Approach of Using Levy Processes for Determining High-Frequency Value at Risk Predictions

Stoyan Stoyanov, FinAnalytica, Inc.,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
Probability metrics applied to problems in portfolio theory

YoungShin Kim, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Michele Leonardo Bianchi, University of Bergamo,
Frank J. Fabozzi, Yale University, School of Management,
Financial Market Models with Levy Processes and Time-Varying Volatility (pdf)

Sebastian Kring, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Markus H¨ochst¨otter, University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
Multi-Tail Elliptical Distributions (pdf)

Engländer, J.; Harris, S.C.; Kyprianou A. E., Strong Law of Large Numbers for branching diffusions, Submitted (pdf)

Engländer, J.; Branching diffusions, superdiffusions and random media (Bath lecture notes) (pdf)

Sergio Ortobelli, University of Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Haim Shalit, Ben-Gurion University, Israel,
Frank J. Fabozzi, Yale University, School of Management,
Orderings and Probability Functionals Consistent with Preferences (pdf)

YoungShin Kim, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Michele Leonardo Bianchi, University of Bergamo,
Frank J. Fabozzi, Yale University, School of Management,
A New Tempered Stable Distribution and Its Application to Finance (pdf)

Stoyan Stoyanov, FinAnalytica, Inc.,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
Probability Metrics with Applications in Finance (pdf)

Almira Biglova, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Portfolio Performance Attribution (pdf)

Sebastian Kring, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Markus Hoechstoetter, University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Sergio Ortobelli, University of Bergamo, Italy,
Stoyan Stoyanov, FinAnalytica, Inc.,
Frank J. Fabozzi, Yale University, School of Management,
Almira Biglova, University of Karlsruhe, Germany,
Desirable Properties of an Ideal Risk Measure in Portfolio Theory (pdf)

Rosella Giacometti, University of Bergamo, Department MSIA, Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Anna Chernobai, Syracuse University,
Giorgio Consigli, University of Bergamo, Department MSIA, Bergamo, Italy,
Marida Bertocchi, University of Bergamo, Department MSIA, Bergamo, Italy,
Practical Operational Risk (pdf)

2006

Dezhong Wang, University of California, Santa Barbara
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi,Yale University, School of Management,
Pricing of Credit Default Index Swap Tranches with One-Factor Heavy-Tailed Copula Models (pdf)

Sergio Ortobelli, University of Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi,Yale University, School of Management,
Risk management and dynamic portfolio selection with stable Paretian distributions (pdf)

Wei Sun, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi,Yale University, School of Management,
Long-Rang Dependence, Fractal Processes and Intra-Daily Data (pdf)

Dezhong Wang, University of California, Santa Barbara
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi,Yale University, School of Management,
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research (pdf)

YoungShin Kim, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
DongMyung Chung, The Catholic University of Korea,
Michele Leonardo Bianchi, University of Bergamo,
The Modified Tempered Stable Distribution, GARCH Models and Option Pricing (pdf)

Sergio Ortobelli, University of Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Haim Shalit, Ben-Gurion University, Israel,
Frank J. Fabozzi,Yale University, School of Management,
Risk Probability Functionals and Probability Metrics Applied to Portfolio Theory (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
R.Douglas Martin, FinAnalytica and University of Washington,
Borjana Racheva, FinAnalytica,
Stoyan Stoyanov, FinAnalytica, Inc.,
Stable ETL Optimal Protfolios & Extreme Risk Management (pdf)

Wei Sun, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi,Yale University, School of Management,
Petko S. Kalev, Monash University, Australia,
Unconditional Copula-Based Simulation of Tail Dependence for Co-movement of International Equity Markets (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Stefan Mittnik, University of Munich, Germany,
Interview for Journal of Risk Management (die ZeitschriftRISIKOMANAGER / Bank-Verlag) (in German with English Translation)

Md. Aleemuddin siddiqi, University of California, Santa Barbara,
S. Rao Jammalamadaka, Department of Statistics and Applied Probability, University of California, Santa Barbara,
Analysis of Microtubules using Growth Curve Modeling (pdf)

Sergio Ortobelli, University of Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Haim Shalit, Ben-Gurion University, Israel,
Frank J. Fabozzi,Yale University, School of Management,
The Theory of Orderings and Risk Probability Functionals (pdf)

Fabio Lamantia, University of Calabria, Italy,
Sergio Ortobelli, University of Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
An Empirical Comparison among VaR Models and Time Rules with Elliptical and Stable Distributed Returns (pdf)

Fabio Lamantia, University of Calabria, Italy,
Sergio Ortobelli, University of Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
VaR, CVaR and Time Rules with Elliptical and Asymmetric Stable Distributed Returns (pdf)

Wei Sun, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi,Yale University, School of Management,
Evidence of Long-Range Dependence and Heavy Tailedness from Modeling German Equity Market Returns (pdf)

Beyond the Normal Distribution; Interview with Zari Rachev and Stefan Mittnik, by Ben Fehr, F.A.Z. and Bundesbank
( German, English Translation )

Stoyan Stoyanov, FinAnalytica, Inc.,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Sergio Ortobelli, University of Bergamo, Italy,
Frank J. Fabozzi,Yale University, School of Management,
Relative deviation metrics with applications in finance (pdf)

Anna Chernobai, University of California, Santa Barbara,
Christian Menn, Cornell University,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Stefan Trück, University of Karlsruhe, Germany,
Marco Moscadelli, Bank of Italy,
Treatment of Incomplete Data in the Field of Operational Risk: The Effects on Parameter Estimates, EL and UL Figures (pdf)

C. Marinelli, Universität Bonn, Bonn, Germany,
S. d'Addona, University of Rome III, Rome, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
A comparison of some univariate models for Value-at-Risk and expected shortfall (pdf)

Wei Sun, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi,Yale University, School of Management,
Petco S. Kalev, Monash University, Australia,
Long-Range Dependence and Heavy Tailedness in Modeling Trade Duration (pdf)

Biliana Bagasheva, University of California, Santa Barbara,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
John Hsu, University of California, Santa Barbara,
and Frank J. Fabozzi,Yale University, School of Management,
Bayesian Applications to the Investment Management Process (pdf)

Jan S. Henneke, University of Karlsruhe, Germany and WestLB AG Düsseldorf,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
MCMC based Estimation of MS-ARMA-GARCH Models (pdf)

Anna Chernobai, University of California, Santa Barbara,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Applying Robust Methods to Operational Risk Modeling (pdf)

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Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany
Teo Jasic, University of Karlsruhe, Germany,
Stoyan Stoyanov, FinAnalytica, Inc.,
Frank J. Fabozzi,Yale University, School of Management,
Momentum Strategies Based on Reward-Risk Stock Selection Criteria (pdf)

Rosella Giacometti, University of Gergamo, Department MSIA, Bergamo, Italy,
Marida Bertocchi, University of Gergamo, Department MSIA, Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi,Yale University, School of Management,
Stable distributions in the Black-Litterman approach to the asset allocation (pdf)

Stefan Trück, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Changes in Migration Matrices and Credit VaR - a new Class of Difference Indices (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Stoyan Stoyanov, FinAnalytica, Inc.,
Chufang Wu, National Donghua Univ. Taiwan,
Frank J. Fabozzi,Yale University, School of Management,
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange (pdf)

Marcel Prokopczuk, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Gero Schindlmayer, EnBW Trading GmbH, Germany,
Stefan Trück, University of Karlsruhe, Germany,
Quatifying Risk in the Electricity Business: A RAROC-based Approach (pdf)

Nicole Lehnert, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Stefan Trück, University of Karlsruhe, Germany,
Implied Correlations in CDO Tranches (pdf)

Anna Chernobai, University of California, Santa Barbara,
Christian Menn, Cornell University,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Stefan Trück, University of Karlsruhe, Germany,
Estimation of Operational Value-at-Risk in the Presence of Minimum Collection Thresholds (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Sergio Ortobelli, University of Bergamo, Italy,
Stoyan Stoyanov, FinAnalytica, Inc.,
Frank J. Fabozzi,Yale University, School of Management,
Almira Biglova, University of Karlsruhe, Germany,
Desirable Properties of an Ideal Risk Measure in Portfolio Theory (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Teo Jasic, University of Karlsruhe, Germany,
Stoyan Stoyanov, FinAnalytica, Inc.,
Frank J. Fabozzi,Yale University, School of Management,
Momentum Strategies using Reward-Risk Stock Selection Criteria (pdf)

János Engländer, University of California, Santa Barbara,
P. L. Simon, ELTE, Department of applied analysis, Budapest, Hungary
Nonexistence of solutions in (0,1) for K-P-P-type equations for all d\ge 1 (pdf)

János Engländer, University of California, Santa Barbara,
Branching Brownian motion with "mild" Poissonian obstacles (pdf)

Jorge L. Hernández, University of California, Santa Barbara,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Construction of Lévy Drivers for Financial Models (pdf)
(Attachment) A General Framework for Term Structure Models Driven by Lévy Processes (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Anna Chernobai, University of California, Santa Barbara,
Christian Menn, Cornell University,
Empirical Examination of Operational Loss Distributions (pdf)

Nadezhda Safronova, University of Karlsruhe, Germany,
Isabella Huber, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Portfolio Optimization: Distributional Approach (pdf)

Christian Menn, Cornell University,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Smoothly Truncated Stable Distributions, GARCH-Models, and Option Pricing (pdf)

Lev B. Klebanov, Charles University, Praha, Czech Republic,
Tomasz J. Kozubowski, University of Nevada, Reno,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Ill-Posed Problems in Probability and Stability of Random Sums (pdf)

Anna Chernobai, University of California, Santa Barbara,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi,Yale University, School of Management,
Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples (pdf)

2005

Sergio Ortobelli, University of Bergamo, Italy,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Stoyan Stoyanov, FinAnalytica, Inc.,
Frank J. Fabozzi,Yale University, School of Management,
Almira Biglova, University of Karlsruhe, Germany,
The Proper Use of Risk Measures in Portfolio Theory (pdf)

Markus Hoechstoetter, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
Distributional Analysis of the Stocks Comprising the DAX 30 (pdf)

Marco Moscadelli, Banking Supervision Department, Bank of Italy,
Anna Chernobai, University of California, Santa Barbara,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Treatment of missing data in the field of operational risk: the impacts on patameter estimates, EL, VaR and CVaR figures (pdf)

Anna Chernobai, University of California, Santa Barbara,
Krzysztof Burnecki, Wroclaw Univ. of Technology, Poland,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Stefan Trück, University of Karlsruhe, Germany,
Rafal Weron, Wroclaw Univ. of Technology, Poland,
Modelling catastrophe claims with left-truncated severity distributions (pdf)
Modelling catastrophe claims with left-truncated severity distributions (extended version) (pdf)

János Engländer, University of California, Santa Barbara,
Ross G. Pinsky, Israel Insititute of Technology, Haifa, Israel,
The Compact Support Property for Measure-valued Processes (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Christian Menn, University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management,
Fat-tailed and Skewed Asset Return Distributions (pdf)

János Engländer, University of California, Santa Barbara,
A probabilistic investigation of the equation $Lu=u^p$ on $D\subseteq \mathbb R^d$ via the compact support property for critical superdiffusions (pdf)

Stefan Trück, University of Karlsruhe, Germany,
Stefan Harpaintner, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
A Note on Forecasting Aggregate Recovery Rates with Macroeconomic Variables (pdf)

Christian Mugele, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
S. Trück, University of Karlsruhe, Germany,
Stable Modeling of different European Power Markets (pdf)

S. Trück, University of Karlsruhe, Germany,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Credit Portfolio Risk and PD Confidence Sets through the Business Cycle (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Teo Jasic, University of Karlsruhe, Germany,
Almira Biglova, University of Karlsruhe, Germany,
Frank J. Fabozzi, Yale University, School of Management
Risk and Return in Momentum Strategies: Profitability from Portfolios based on Risk-Adjusted Stock Ranking Criteria (pdf)

Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
Stoyan Stoyanov, FinAnalytica, Inc.,
Almira Biglova, University of Karlsruhe , Germany ,
Frank J. Fabozzi, Yale University , School of Management ,
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks (pdf)

Anna Chernobai, University of California, Santa Barbara,
Christian Menn, University of Karlsruhe , Germany ,
S. Trück, University of Karlsruhe , Germany ,
Svetlozar T. Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany,
A note on the estimation of the frequency and severity distribution of operational losses (pdf)

2004

Almira Biglova, University of Karlsruhe , Germany ,
Teo Jasic, University of Karlsruhe , Germany ,
Svetlozar T. Rachev University of California , Santa Barbara,
Frank J. Fabozzi, Yale University , School of Management ,
Profitability of momentum strategies: Application of novel risk/return Ratio stock selection criteria (pdf)

Marida Bertocchi, University of Gergamo, Department MSIA, Bergamo, Italy,
Rosella Giacometti, University of Gergamo, Bergamo, Italy,
Sergio Ortobelli, University of Bergamo , Italy ,
Svetlozar T. Rachev University of California , Santa Barbara,
The Impact of different distributional hypothesis on returns in Asset allocation (pdf)

Marcel. Prokopczuk, University of Karlsruhe , Germany ,
Svetlozar T. Rachev, University of California , Santa Barbara ,
and Stefan Trück, University of Karlsruhe , Germany ,
Quantifying Risk in the Electricity Business: A RAROC-based Approach (pdf)

Marida Bertocchi, Department MSIA, Bergamo, Italy,
Rosella Giacometti, University of Gergamo, Department MSIA, Bergamo, Italy,
Sergio Ortobelli, University of Bergamo , Italy ,
Svetlozar T. Rachev University of California , Santa Barbara,
The Impact of Different Distributional Hypothesis on Returns in Asset Allocation (pdf)

Yongli Zhang, Department of Economics, University of California , Santa Barbara ,
and Svetlozar T. Rachev, University of California , Santa Barbara ,
Risk Attribution and Portfolio Performance Measurement -An overview (pdf)

Arne Benzin, University of Karlsruhe , Germany ,
Stefan Trück, University of Karlsruhe , Germany ,
and Svetlozar T. Rachev, University of California , Santa Barbara ,
Approaches to Credit Risk in the New Basel Capital Accord (pdf)

Stefan Trück, University of Karlsruhe , Germany ,
and Svetlozar T. Rachev, University of California , Santa Barbara ,
The Term Structure of Credit Spreads and Credit Default Swaps - an empirical investigation (pdf)

Almira Biglova, University of Karlsruhe , Germany ,
and Svetlozar T. Rachev, University of California , Santa Barbara ,
Profitability of Momentum Strategies (pdf)

Fabio Lamantia,University of Calabria, Italy,
Sergio Ortobelli, University of Bergamo , Italy ,
and Svetlozar T. Rachev, University of California , Santa Barbara ,
Value at Risk with stable distributed returns (pdf)

S toyan Stoyanov, Sofia University(Santa Barbara, CA, USA),
Gennady Samorodnitsky, Cornell University ,
Svetlozar T. Rachev, University of California , Santa Barbara ,
and Sergio Ortobelli, University of Bergamo , Italy ,
Computing the portfolio Conditional Value-at-Risk in the alpha-stable case (pdf)

Almira Biglova, University of Karlsruhe , Germany ,
Sergio Ortobelli, University of Bergamo , Italy ,
Svetlozar T. Rachev, University of California , Santa Barbara ,
and Stoyan Stoyanov, Sofia University(Santa Barbara, CA, USA)
The comparison among different approaches of the risk estimation in portfolio theory (pdf)

Domenico De Giovanni, University of Calabria, Italy,
Sergio Ortobelli, University of Bergamo , Italy ,
and Svetlozar T. Rachev, University of California , Santa Barbara ,
Delta hedging strategies comparison (pdf)

Christian Menn, University of Karlsruhe, Germany,
and Svetlozar T. Rachev, Department of Statistics and Applied Probability, University of California, Santa Barbara
Calibrated FFT-based density approximations for alpha-stable distributions (pdf)
Technical Report number:392

Christian Menn, University of Karlsruhe, Germany,
and Svetlozar T. Rachev, Department of Statistics and Applied Probability, University of California, Santa Barbara
A new Class of Probability Distributions and its Application to Finance (pdf)

Anna Chernobai and Svetolozar T. Rachev, Department of Statistics and Applied Probability, University of California, Santa Barbara
Toward Effective Financial Risk Management: Stable Modeling of Operational Risk (pdf)
Technical Report number: 393

Michael Grebeck and Svetlozar Rachev, Department of Statistics and Applied Probability, University of California, Santa Barbara
Stochastic Programming Methods In Asset-Liability Management (pdf)
Technical Report number: 394

Svetlozar Rachev, University of Karlsruhe, Germany and University of California, Santa Barbara,
Isabella Huber, University of Germany,
and Sergio Ortobelli, University of Bergamo, Italy
Portfolio Choice with Heavy Tailed Distributions (pdf)

Jeong-Ryeol Kurz-Kim, Deutsche Bundesbank,
Svetlozar T. Rachev,Department of Statistics and Applied Probability, University of California, Santa Barbara,
and Gennady Samorodnitsky, Cornell University
Asymptotic Distribution of Unbiased Linear Estimators in the Presence of Heavy-Tailed Stochastic Regressors and Residuals (pdf)

János Engländer, University of California, Santa Barbara and A. Winter, Mathematisches Institut, Universitat Erlangen–Nurnberg, Erlangen, Germany
Law of large numbers for a class of superdiffusions (pdf)

2003

Wendy Meiring, Department of Statistics and Applied Probability, University of California, Santa Barbara
Ozonesonde Mid-Latitude Stratospheric Ozone Variability, With Emphasis on the Quasi-Biennial Oscillation: A Functional Data Analysis Approach
Technical Report No. 391

S. Rao Jammalamadaka, Department of Statistics and Applied Probability, University of California, Santa Barbara and Tomasz Kozubowski, Department of Mathematics, University of Nevada, Reno
A New Family of Circular Models: The Wrapped Laplace Distributions

S. Rao Jammalamadaka, Department of Statistics and Applied Probability, University of California, Santa Barbara and S. Iyer, Department of Mathematics, Indian Institute of Technology, Kanpur, India
A Simple Estimate of the Index of Stability for Symmetric Stable Distributions

S. Rao Jammalamadaka, Department of Statistics and Applied Probability, University of California, Santa Barbara and S. Iyer, Department of Mathematics, Indian Institute of Technology, Kanpur, India
Approximate Self Consistency for Middle-Censored Data

S. Rao Jammalamadaka, Department of Statistics and Applied Probability, University of California, Santa Barbara and Emanuele Taufer, Department of Computer and Management Sciences, University of Trento
The use of Mean Residual Life in testing departures from Exponentiality

S. Rao Jammalamadaka, Department of Statistics and Applied Probability, University of California, Santa Barbara and
Emanuele Taufer Department of Computer and Management Sciences, University of Trento
Testing Exponentiality by comparing the Empirical Distribution Function of the Normalized Spacings with that of the Original Data

S. Rao Jammalamadaka, Department of Statistics and Applied Probability, University of California, Santa Barbara and
M. N. Goria, Trento University Trento, Italy
A Test of Goodness of Fit based on Gini’s Index of Spacings

S. Rao Jammalamadaka, Department of Statistics and Applied Probability, University of California, Santa Barbara and
Tomasz J. Kozubowski, Department of Mathematics, University of Nevada, Reno
New families of wrapped distributions for modeling skew circular data

János Engländer, University of California, Santa Barbara
A counterexample for a conjecture concerning a class of superprocesses (pdf)

János Engländer and A. E. Kyprianou, University of California and University of Utrecht
Local extinction versus local exponential growth for spatial branching processes (ps file)

János Engländer and Ross G. Pinsky, University of California, Santa Barbara and Technion -- Israel Institute of Technology
Uniqueness/nonuniqueness for positive solutions to semilinear equations of the form $u_t=Lu+Vu-\gamma u^P$ in $R^n$ (ps file)

János Engländer and F. den Hollander, University of California, Santa Barbara and Eurandom
Survival asymptotics for branching Brownian motion in a Poissonian trap field (pdf)

János Engländer, University of California, Santa Barbara
Large deviations for the growth rate of the support of supercritical super-Brownian motion (pdf)

2002

Svetlozar Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany
Sergio Ortobelli, University of Bergamo, Italy
Eduardo Schwartz, Anderson School of Management, University of California, Los Angeles
Thew Probelm of Optimal Asset Allocation with Stable Distributed Returns (2002)

Yesim Tokat, Department of Economics, University of California, Santa Barbara
Svetlozar T. Rachev, Department of Statistics and Applied Probability, University of California, Santa Barbara
and Institute of Statistics and Mathematical Economics, University of Karlsruhe, Germany
Eduardo S. Schwartz, Anderson School of Management, University of California, Los Angeles
The Stable non-Gaussian Asset Allocation:A Comparison with the Classical Gaussian Approach (2002)

Chunlei Ke and Yuedong Wang (2002), Nonlinear Nonparametric Regression Models. Technical Report No. 385, Department of Statistics and Applied Probability, UCSB (pdf file ).

Yuedong Wang, Chunlei Ke and Morton B. Brown (2002)
Shape Invariant Modelling of Circadian Rhythms with Random Effects and Smoothing Spline ANOVA Decompositions. Technical Report No. 386, Department of Statistics and Applied Probability, UCSB (pdf file).

Anna Liu and Yuedong Wang (2002), Hypothesis Testing in Smoothing Spline Models. Technical Report No. 387, Department of Statistics and Applied Probability, UCSB (pdf file ).

2001

· Stable Modeling of Market and Credit Value at Risk (2001)
Svetlozar Rachev, University of California, Santa Barbara and University of Karlsruhe, Germany
Eduardo Schwartz, University of California, Los Angeles
Irina Khindanova, Colorado School of Mines

· Andrew V. Carter(2001)
Finite dimensional approximations to nonparametric statisticalexperiments
[pdf file]

· Andrew V. Carter(2001)
Deficiency distance between multinomial and multivariate normalexperiments under smoothness constraints on the parameter set
[pdf file]

· S. Rao Jammalamadaka and V. Mangalam(2001)
Nonparametric Estimation for Middle-censored data
For more information about this paper, send email to rao@pstat.ucsb.edu

· S. Rao Jammalamadaka and K. Ghosh(2001)
A general estimation method using spacings
For more information about this paper, send email to rao@pstat.ucsb.edu

· Svetlozar(Zari) Rachev, Eduardo Schwartz and Irina Khindanova(2001)
Stable Modeling of Credit Risk
[pdf file]

· Svetlozar(Zari) Rachev and Gennady Samorodnitsky (2001)
Long Strange Segments in a Long Range Dependent Moving Average
For more information about this paper, send email to rachev@pstat.ucsb.edu

· Svetlozar(Zari) Rachev, L. Klebanov, T. Kozubowski, and V. Volkovich (2001)
Characterization of distibutions symmetric with respect to a group of transformations and testing of corresponding statistical hypothesis
For more information about this paper, send email to rachev@pstat.ucsb.edu

· Chunlei Ke and Yuedong Wang (2001)
Semi-parametric Nonlinear Mixed Effects Models and Their applications
To appear in the December issue of Journal of the American Statistical Association (with discussion).

2000

· Andrew V. Carter(2000)
Deficiency distance between multinomial and multivariate normal experiments
[pdf file]

· S. Rao Jammalamadaka and U. Lund(2000)
An entropy-based test for goodness of fit of the von Mises distribution
For more information about this paper, send email to rao@pstat.ucsb.edu

· S. Rao Jammalamadaka and M. Penrose(2000)
Poisson limits for pairwise and area interaction point processes
For more information about this paper, send email to rao@pstat.ucsb.edu

· Yuedong Wang, Wensheng Guo and Morton B. Brown (2000)
Spline Smoothing For Bivariate Data With Applications To Association Between Hormones
For more information about this paper, send email to yuedong@pstat.ucsb.edu

1999

· S. Rao Jammalamadaka and R. Gatto(1999)
A conditional saddlepoint approximation for testing problems
For more information about this paper, send email to rao@pstat.ucsb.edu

· Wensheng Guo, Yuedong Wang and Morton B. Brown (1999)
A Multiprocess State-Space Model for Time Series with Pulses and Changing Baseline
For more information about this paper, send email to yuedong@pstat.ucsb.edu