| Publication | Date of Publication | Type |
|---|
The changing landscape of cyber risk: an empirical analysis of loss severity and tail dynamics
Insurance Mathematics & Economics | 2026-01-13 | Paper |
New robust inference for predictive regressions
Econometric Theory | 2025-01-20 | Paper |
Predictability of cryptocurrency returns: evidence from robust tests
Dependence Modeling | 2022-06-24 | Paper |
Equity returns and sentiment
Dependence Modeling | 2022-06-24 | Paper |
Equilibrium with monoline and multiline structures
Review of Finance | 2019-10-25 | Paper |
| Heavy tails and copulas. Topics in dependence modelling in economics and finance | 2019-07-03 | Paper |
Income inequality and price elasticity of market demand: the case of crossing Lorenz curves
Economic Theory | 2018-06-14 | Paper |
Copulas and long memory
Probability Surveys | 2018-01-12 | Paper |
| Inequalities and extremal problems in probability and statistics. Selected topics | 2016-11-17 | Paper |
Bounds for path-dependent options
Annals of Finance | 2016-01-07 | Paper |
Heavy-tailed distributions and robustness in economics and finance
Lecture Notes in Statistics | 2015-06-18 | Paper |
On the robustness of location estimators in models of firm growth under heavy-tailedness
Journal of Econometrics | 2014-06-04 | Paper |
scientific article; zbMATH DE number 6193514 (Why is no real title available?)
(available as arXiv preprint) | 2013-07-31 | Paper |
Efficiency of linear estimators under heavy-tailedness: convolutions of alpha-symmetric distri\-butions
Econometric Theory | 2012-05-14 | Paper |
Optimal Bundling Strategies Under Heavy-Tailed Valuations
Management Science | 2012-02-27 | Paper |
Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks
Annals of Finance | 2011-08-25 | Paper |
Rank -1/2: a simple way to improve the OLS estimation of tail exponents
Journal of Business and Economic Statistics | 2011-04-13 | Paper |
t-Statistic Based Correlation and Heterogeneity Robust Inference
Journal of Business and Economic Statistics | 2010-12-30 | Paper |
| On extremal problems and best constants in moment inequalities | 2010-08-12 | Paper |
Portfolio diversification and value at risk under thick-tailedness†
Quantitative Finance | 2009-11-16 | Paper |
COPULA-BASED CHARACTERIZATIONS FOR HIGHER ORDER MARKOV PROCESSES
Econometric Theory | 2009-09-30 | Paper |
REGRESSION ASYMPTOTICS USING MARTINGALE CONVERGENCE METHODS
Econometric Theory | 2009-06-11 | Paper |
Portfolio diversification under local and moderate deviations from power laws
Insurance Mathematics & Economics | 2009-01-28 | Paper |
Heavy-tailedness and threshold sex determination
Statistics & Probability Letters | 2008-11-14 | Paper |
Optimal constants in the Rosenthal inequality for random variables with zero odd moments
Statistics & Probability Letters | 2008-03-12 | Paper |
Thou Shalt not Diversify: Why ‘Two Of Every Sort’?
Journal of Applied Probability | 2008-02-22 | Paper |
Market demand elasticity and income inequality
Economic Theory | 2007-09-06 | Paper |
Bounds on moments of symmetric statistics
Studia Scientiarum Mathematicarum Hungarica | 2005-04-28 | Paper |
Option bounds
Journal of Applied Probability | 2004-10-25 | Paper |
On extremal distributions and sharp \(L_p\)-bounds for sums of multilinear forms
The Annals of Probability | 2004-03-20 | Paper |
A characterization of joint distribution of two-valued random variables and its applications
Journal of Multivariate Analysis | 2003-03-16 | Paper |
On sharp Burkholder-Rosenthal-type inequalities for infinite-degree \(U\)-statistics
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2003-03-11 | Paper |
On sharp Burkholder-Rosenthal-type inequalities for infinite-degree \(U\)-statistics
Annales de l'Institut Henri Poincaré. Probabilités et Statistiques | 2003-03-11 | Paper |
The best constant in the Rosenthal inequality for nonnegative random variables
Statistics & Probability Letters | 2002-09-05 | Paper |
The Exact Constant in the Rosenthal Inequality for Random Variables with Mean Zero
Theory of Probability & Its Applications | 2002-04-25 | Paper |
Exact estimates for moments of random bilinear forms
Journal of Theoretical Probability | 2001-07-12 | Paper |
Analogues of Khintchine, Marcinkiewicz–Zygmund and Rosenthal Inequalities for Symmetric Statistics
Scandinavian Journal of Statistics | 2000-05-24 | Paper |
О точной константе в неравенстве Розенталя
Teoriya Veroyatnostei i ee Primeneniya | 1999-01-21 | Paper |
