| Publication | Date of Publication | Type |
|---|
A review of Tyler's shape matrix and its extensions
| 2024-09-16 | Paper |
Power M-estimators for location and scatter
| 2024-09-16 | Paper |
PMF forecasting for count processes: a comprehensive performance analysis
| 2024-09-11 | Paper |
Erratum to: ``Savage's P3 is redundant
Econometrica | 2024-05-13 | Paper |
Efficient accounting for estimation uncertainty in coherent forecasting of count processes
Journal of Applied Statistics | 2022-06-13 | Paper |
Statistical properties of estimators for the log-optimal portfolio
Mathematical Methods of Operations Research | 2020-12-15 | Paper |
M-estimation with incomplete and dependent multivariate data
Journal of Multivariate Analysis | 2020-03-01 | Paper |
M-estimation with incomplete and dependent multivariate data
Journal of Multivariate Analysis | 2020-02-05 | Paper |
THE FUNDAMENTAL THEOREMS OF ASSET PRICING AND THE CLOSED-END FUND PUZZLE
International Journal of Theoretical and Applied Finance | 2019-09-09 | Paper |
Multiple tests for the performance of different investment strategies
AStA. Advances in Statistical Analysis | 2018-12-19 | Paper |
Arbitrage pricing theory in ergodic markets
International Journal of Theoretical and Applied Finance | 2018-09-04 | Paper |
CORRIGENDUM: “PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE”
International Journal of Theoretical and Applied Finance | 2018-06-29 | Paper |
Dominating estimators for minimum-variance portfolios
Journal of Econometrics | 2016-08-10 | Paper |
Pricing and valuation under the real-world measure
International Journal of Theoretical and Applied Finance | 2016-04-01 | Paper |
A Note on Bayesian Rationality and Correlated Equilibrium
| 2015-09-28 | Paper |
A theoretical foundation of portfolio resampling
Theory and Decision | 2015-09-24 | Paper |
Dependence of Stock Returns in Bull and Bear Markets
Dependence Modeling | 2014-05-21 | Paper |
Linear statistical inference for global and local minimum variance portfolios
Statistical Papers | 2012-09-23 | Paper |
Semicircle law of Tyler's \(M\)-estimator for scatter
Statistics & Probability Letters | 2012-07-05 | Paper |
A generalization of Tyler's M-estimators to the case of incomplete data
Computational Statistics and Data Analysis | 2010-04-06 | Paper |
A general approach to Bayesian portfolio optimization
Mathematical Methods of Operations Research | 2009-11-25 | Paper |
Asymptotic distributions of robust shape matrices and scales
Journal of Multivariate Analysis | 2009-06-09 | Paper |
On the extremal dependence coefficient of multivariate distributions
Statistics & Probability Letters | 2006-08-04 | Paper |
Estimating the tail-dependence coefficient: properties and pitfalls
Insurance Mathematics & Economics | 2005-09-29 | Paper |
Elliptical copulas: Applicability and limitations.
Statistics & Probability Letters | 2004-02-14 | Paper |
