| Publication | Date of Publication | Type |
|---|
Necessity of weak subordination for some strongly subordinated Lévy processes
Journal of Applied Probability | 2021-12-01 | Paper |
Calibration for weak variance-alpha-gamma processes
Methodology and Computing in Applied Probability | 2020-05-04 | Paper |
Self-decomposability of weak variance generalised gamma convolutions
Stochastic Processes and their Applications | 2020-01-24 | Paper |
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions
Bernoulli | 2019-01-28 | Paper |
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions
Bernoulli | 2019-01-28 | Paper |
Processes of \(r^{th}\) largest
Extremes | 2018-12-20 | Paper |
Functional laws for trimmed Lévy processes
Journal of Applied Probability | 2018-09-26 | Paper |
Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
Stochastic Processes and their Applications | 2017-06-22 | Paper |
Distributional representations and dominance of a Lévy process over its maximal jump processes
Bernoulli | 2016-07-14 | Paper |
Distributional representations and dominance of a Lévy process over its maximal jump processes
Bernoulli | 2016-07-14 | Paper |
| Multivariate Subordination using Generalised Gamma Convolutions with Applications to V.G. Processes and Option Pricing | 2015-02-13 | Paper |
Laws of the iterated logarithm for self-normalised Lévy processes at zero
Transactions of the American Mathematical Society | 2015-02-02 | Paper |
Unified asymptotic theory for nearly unstable AR(\(p\)) processes
Stochastic Processes and their Applications | 2013-03-06 | Paper |
Limit experiments of GARCH
Bernoulli | 2012-03-29 | Paper |
The small-time Chung-Wichura law for Lévy processes with non-vanishing Brownian component
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2011-09-27 | Paper |
Integrated functionals of normal and fractional processes
The Annals of Applied Probability | 2009-04-02 | Paper |
An almost sure functional limit theorem at zero for a class of Lévy processes normed by the square root function, and applications
Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete | 2008-10-16 | Paper |
A CONTINUOUS TIME APPROXIMATION OF AN EVOLUTIONARY STOCK MARKET MODEL
International Journal of Theoretical and Applied Finance | 2008-05-28 | Paper |
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
The Annals of Statistics | 2008-01-16 | Paper |
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
The Annals of Statistics | 2008-01-16 | Paper |
Fractional integral equations and state space transforms
Bernoulli | 2006-11-06 | Paper |
Decompounding Poisson random sums: recursively truncated estimates in the discrete case
Annals of the Institute of Statistical Mathematics | 2006-01-13 | Paper |
Maxima of stochastic processes driven by fractional Brownian motion
Advances in Applied Probability | 2005-10-17 | Paper |
Decompounding: an estimation problem for Poisson random sums.
The Annals of Statistics | 2004-07-01 | Paper |
