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)
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,
Composed
and Factor Composed Multivariate GARCH Models (pdf)
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 (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
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,
Optimal Financial Portfolios
(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
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)
¡¡
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)
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,
Optimal
Financial Portfolios (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
