| Publication | Date of Publication | Type |
|---|
Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule
Journal of Multivariate Analysis | 2025-01-20 | Paper |
Goodness-of-fit tests for the one-sided Lévy distribution based on quantile conditional moments
Journal of Applied Statistics | 2025-01-14 | Paper |
Blackwell optimality and policy stability for long-run risk-sensitive stochastic control
SIAM Journal on Control and Optimization | 2024-12-12 | Paper |
Goodness-of-fit test for stochastic processes using even empirical moments statistic
Chaos | 2024-07-12 | Paper |
On spatial contagion and multivariate GARCH models
Applied Stochastic Models in Business and Industry | 2024-07-10 | Paper |
Existence of bounded solutions to multiplicative Poisson equations under mixing property
European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations | 2024-06-26 | Paper |
Short communication: utility-based acceptability indices
SIAM Journal on Financial Mathematics | 2024-06-18 | Paper |
A note on the equivalence between the conditional uncorrelation and the independence of random variables
Electronic Journal of Statistics | 2024-03-25 | Paper |
Discrete‐time risk sensitive portfolio optimization with proportional transaction costs
Mathematical Finance | 2024-01-31 | Paper |
A note on Multiplicative Poisson Equation: developments in the span-contraction approach
| 2023-09-06 | Paper |
Estimation of stability index for symmetric {\alpha}-stable distribution using quantile conditional variance ratios
| 2022-12-27 | Paper |
Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
Statistical Methods and Applications | 2022-07-07 | Paper |
Publisher correction to: ``Goodness-of-fit test for \(\alpha\)-stable distribution based on the quantile conditional variance statistics
Statistical Methods and Applications | 2022-07-07 | Paper |
New fat-tail normality test based on conditional second moments with applications to finance
Statistical Papers | 2021-12-27 | Paper |
Long-run risk sensitive dyadic impulse control
Applied Mathematics and Optimization | 2021-08-11 | Paper |
Risk sensitive optimal stopping
Stochastic Processes and their Applications | 2021-06-04 | Paper |
Long-run risk-sensitive impulse control
SIAM Journal on Control and Optimization | 2020-10-30 | Paper |
A note on conditional variance and characterization of probability distributions
Statistics & Probability Letters | 2020-10-12 | Paper |
A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time
Mathematics of Operations Research | 2020-03-11 | Paper |
A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
Probability, Uncertainty and Quantitative Risk | 2020-02-17 | Paper |
The least squares method for option pricing revisited
Applicationes Mathematicae | 2018-07-27 | Paper |
A note on conditional covariance matrices for elliptical distributions
Statistics & Probability Letters | 2017-12-22 | Paper |
The 20-60-20 rule
Discrete and Continuous Dynamical Systems. Series B | 2016-09-30 | Paper |
Long run risk sensitive portfolio with general factors
Mathematical Methods of Operations Research | 2016-05-17 | Paper |
Dynamic Limit Growth Indices in Discrete Time
Stochastic Models | 2015-10-20 | Paper |
