Notice: Unexpected clearActionName after getActionName already called in /var/www/html/w/includes/context/RequestContext.php on line 333
Svetlozar T. Rachev - MaRDI portal

Svetlozar T. Rachev

From MaRDI portal
(Redirected from Person:665814)
Person:578716

Available identifiers

zbMath Open rachev.svetlozar-tWikidataQ21062234 ScholiaQ21062234MaRDI QIDQ578716

List of research outcomes





PublicationDate of PublicationType
Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models2024-06-04Paper
Computational aspects of portfolio risk estimation in volatile markets: a survey2023-03-13Paper
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data2023-03-13Paper
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis2022-05-16Paper
Multiple subordinated modeling of asset returns: Implications for option pricing2022-03-04Paper
PRICING DERIVATIVES IN HERMITE MARKETS2019-11-08Paper
Probability metrics with applications in finance2019-09-13Paper
A Three-Factor Model for Mortality Modeling2019-05-28Paper
Dependence of stable random variables2018-11-16Paper
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET2018-01-11Paper
Tempered stable Ornstein– Uhlenbeck processes: A practical view2017-03-03Paper
Smooth monotone covariance for elliptical distributions and applications in finance2015-04-16Paper
$\nu$-Generalized Hyperbolic Distributions2015-02-09Paper
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics2013-08-07Paper
The Methods of Distances in the Theory of Probability and Statistics2012-09-12Paper
MULTIVARIATE HEAVY-TAILED MODELS FOR VALUE-AT-RISK ESTIMATION2012-08-30Paper
On a Class of Distributions Stable Under Random Summation2012-07-08Paper
METRIZATION OF STOCHASTIC DOMINANCE RULES2012-05-07Paper
A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates2012-04-18Paper
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration2012-03-06Paper
COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”2011-08-16Paper
Calibrating affine stochastic mortality models using term assurance premiums2011-08-01Paper
https://portal.mardi4nfdi.de/entity/Q30055192011-06-08Paper
https://portal.mardi4nfdi.de/entity/Q30036792011-05-30Paper
https://portal.mardi4nfdi.de/entity/Q53927222011-04-13Paper
https://portal.mardi4nfdi.de/entity/Q30839352011-03-14Paper
Approximation of aggregate and extremal losses within the very heavy tails framework2010-12-20Paper
Multi-tail generalized elliptical distributions for asset returns2010-10-15Paper
Stochastic models for risk estimation in volatile markets: a survey2010-09-20Paper
https://portal.mardi4nfdi.de/entity/Q35834182010-08-27Paper
https://portal.mardi4nfdi.de/entity/Q35834192010-08-27Paper
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market2010-07-02Paper
https://portal.mardi4nfdi.de/entity/Q35617082010-05-25Paper
https://portal.mardi4nfdi.de/entity/Q35617152010-05-25Paper
https://portal.mardi4nfdi.de/entity/Q35604182010-05-14Paper
Construction of probability metrics on classes of investors2009-12-21Paper
Orderings and Probability Functionals Consistent with Preferences2009-09-13Paper
https://portal.mardi4nfdi.de/entity/Q53246362009-08-03Paper
Introduction to special issue: Studies in mathematical and empirical finance2009-07-06Paper
Smoothly truncated stable distributions, GARCH-models, and option pricing2009-07-06Paper
https://portal.mardi4nfdi.de/entity/Q36332482009-06-18Paper
https://portal.mardi4nfdi.de/entity/Q36261352009-05-22Paper
https://portal.mardi4nfdi.de/entity/Q36204992009-04-14Paper
https://portal.mardi4nfdi.de/entity/Q36205082009-04-14Paper
https://portal.mardi4nfdi.de/entity/Q36152012009-03-17Paper
Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns2009-02-26Paper
Stable ETL Optimal Portfolios and Extreme Risk Management2009-02-26Paper
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research2009-02-26Paper
Subordinated market index models: A comparison2009-02-06Paper
Unconditional and conditional distributional models for the Nikkei index2009-02-06Paper
Calibrated FFT-based density approximations for \(\alpha\)-stable distributions2008-12-11Paper
The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach2008-10-24Paper
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY2008-08-26Paper
A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL2008-05-20Paper
https://portal.mardi4nfdi.de/entity/Q53864972008-05-14Paper
https://portal.mardi4nfdi.de/entity/Q54503202008-03-20Paper
https://portal.mardi4nfdi.de/entity/Q54459762008-03-06Paper
https://portal.mardi4nfdi.de/entity/Q54474312008-03-06Paper
Optimal Financial Portfolios2008-01-31Paper
Modelling catastrophe claims with left-truncated severity distributions2007-12-16Paper
Delta hedging strategies comparison2007-12-10Paper
Stable distributions in the Black–Litterman approach to asset allocation2007-10-22Paper
https://portal.mardi4nfdi.de/entity/Q34338752007-04-20Paper
https://portal.mardi4nfdi.de/entity/Q34176872007-01-30Paper
https://portal.mardi4nfdi.de/entity/Q34088852006-11-06Paper
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY2006-10-16Paper
https://portal.mardi4nfdi.de/entity/Q54861002006-09-06Paper
https://portal.mardi4nfdi.de/entity/Q54732622006-06-20Paper
https://portal.mardi4nfdi.de/entity/Q33740622006-03-09Paper
https://portal.mardi4nfdi.de/entity/Q33740672006-03-09Paper
https://portal.mardi4nfdi.de/entity/Q33715542006-02-21Paper
Detecting Asymmetries in Observed Linear Time Series and Unobserved Disturbances2006-01-27Paper
Computational Science - ICCS 20042005-12-23Paper
Erratum to ``Long strange segments in a long-range-dependent moving average2005-11-29Paper
Quantitative Stability in Stochastic Programming: The Method of Probability Metrics2005-11-11Paper
Value-at-risk and asset allocation with stable return distributions2005-10-11Paper
A GARCH option pricing model with \(\alpha\)-stable innovations2005-01-12Paper
https://portal.mardi4nfdi.de/entity/Q48322232005-01-04Paper
Long strange segments in a long-range-dependent moving average.2004-11-26Paper
https://portal.mardi4nfdi.de/entity/Q44063722004-02-20Paper
https://portal.mardi4nfdi.de/entity/Q44231652003-08-25Paper
Preface: Special issue on mathematical models in market and credit risk.2003-07-16Paper
Long strange segments of a stochastic process.2003-05-06Paper
Maximum likelihood estimators in regression models with infinite variance innovations2003-05-04Paper
Stationarity of stable power-GARCH processes.2003-02-17Paper
https://portal.mardi4nfdi.de/entity/Q43307762002-10-28Paper
Stable distributions and the term structure of interest rates2002-10-06Paper
A testable version of the Pareto-Stable CAPM2002-10-06Paper
Safety-first analysis and stable Paretian approach to portfolio choice theory2002-06-13Paper
Statistical inference in regression with heavy-tailed integrated variables2002-06-13Paper
The distribution of test statistics for outlier detection in heavy-tailed samples2002-06-13Paper
The GARCH-stable option pricing model2002-06-13Paper
Stable modeling of value at risk2002-06-13Paper
CED model for asset returns and fractal market hypothesis2002-05-05Paper
Option pricing for stable and infinitely divisible asset returns2002-05-05Paper
Option pricing for a logstable asset price model2002-05-05Paper
Test of association between multivariate stable vectors.2002-05-05Paper
Maximum likelihood estimation of stable Paretian models.2002-05-05Paper
Characterization of distributions symmetric with respect to a group of transformations and testing of corresponding statistical hypothesis2002-04-07Paper
A new representation for the characteristic function of strictly geo-stable vectors2002-02-17Paper
A steady-state model for the spread of HIV among drug users2001-10-07Paper
https://portal.mardi4nfdi.de/entity/Q49338192001-07-19Paper
The spread of AIDS among interactive transmission groups2001-07-18Paper
https://portal.mardi4nfdi.de/entity/Q45261862001-06-21Paper
https://portal.mardi4nfdi.de/entity/Q44889642001-06-11Paper
https://portal.mardi4nfdi.de/entity/Q27092792001-04-08Paper
https://portal.mardi4nfdi.de/entity/Q27024882001-03-12Paper
https://portal.mardi4nfdi.de/entity/Q27024892001-03-12Paper
https://portal.mardi4nfdi.de/entity/Q42696482001-03-09Paper
Pre-limit theorems and their applications2000-12-03Paper
https://portal.mardi4nfdi.de/entity/Q45178062000-11-19Paper
Mass transportation problems with capacity constraints2000-10-17Paper
Portfolio management with stable distributions2000-08-10Paper
Time series with unit roots and infinite-variance disturbances2000-07-03Paper
https://portal.mardi4nfdi.de/entity/Q49381792000-02-23Paper
https://portal.mardi4nfdi.de/entity/Q43475202000-02-14Paper
https://portal.mardi4nfdi.de/entity/Q42470991999-11-29Paper
Cointegrated processes with infinite variance innovations1999-11-23Paper
https://portal.mardi4nfdi.de/entity/Q43953801999-10-17Paper
A tail estimator for the index of the stable paretian distribution1998-11-09Paper
A Stochastic Model of Carcinogenesis and Tumor Size at Detection1998-08-09Paper
Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications1998-07-22Paper
https://portal.mardi4nfdi.de/entity/Q43897351998-05-24Paper
Computer Tomography and Quantum Mechanics1998-04-05Paper
Rate-of-convergence in the multivariate max-stable limit theorem1998-02-18Paper
Econometric modeling in the presence of heavy-tailed innovations: a survey of some recent advances1998-01-21Paper
https://portal.mardi4nfdi.de/entity/Q43655371998-01-14Paper
Conditionally exponential dependence model for asset returns1997-10-26Paper
Integral and asymptotic representations of geo-stable densities1997-07-20Paper
MULTIVARIATE STABLE FUTURES PRICES1997-05-28Paper
https://portal.mardi4nfdi.de/entity/Q48852001997-04-13Paper
Tail estimation of the stable index \(\alpha\)1997-02-09Paper
A distribution of tumor size at detection and its limiting form.1997-01-07Paper
https://portal.mardi4nfdi.de/entity/Q47140001996-12-03Paper
On a special case of the basic problem in diffraction tomography1996-12-02Paper
https://portal.mardi4nfdi.de/entity/Q48846221996-09-04Paper
Propagation of chaos and contraction of stochastic mappings1996-08-26Paper
Queueing models of potentially lethal damage repair in irradiated cells1996-08-22Paper
https://portal.mardi4nfdi.de/entity/Q48854861996-07-15Paper
https://portal.mardi4nfdi.de/entity/Q48855011996-07-15Paper
https://portal.mardi4nfdi.de/entity/Q48855081996-07-15Paper
https://portal.mardi4nfdi.de/entity/Q48444961996-07-01Paper
Stable GARCH models for financial time series1996-05-02Paper
Mass-transshipment problems and ideal metrics1996-03-25Paper
Rates of convergence in the operator-stable limit theorem1996-03-20Paper
An extension of the kantorovich-rubinstein mass-transshipment problem1996-03-12Paper
https://portal.mardi4nfdi.de/entity/Q48456001996-02-20Paper
Probability metrics and recursive algorithms1996-01-15Paper
https://portal.mardi4nfdi.de/entity/Q48602821996-01-14Paper
A bivariate limiting distribution of tumor latency time1995-11-15Paper
Limit laws for a stochastic process and random recursion arising in probabilistic modelling1995-05-04Paper
https://portal.mardi4nfdi.de/entity/Q43008991995-01-19Paper
Geometric stable distributions in Banach spaces1995-01-15Paper
https://portal.mardi4nfdi.de/entity/Q42869011995-01-03Paper
https://portal.mardi4nfdi.de/entity/Q42940871995-01-03Paper
https://portal.mardi4nfdi.de/entity/Q43150581994-12-07Paper
Rounding Proportions:Rules of Rounding1994-12-05Paper
Modeling asset returns with alternative stable distributions*1994-11-30Paper
https://portal.mardi4nfdi.de/entity/Q43061521994-10-13Paper
Solution of Some Transportation Problems with Relaxed or Additional Constraints1994-10-10Paper
The theory of geometric stable distributions and its use in modeling financial data1994-08-18Paper
\(U\)-statistics of random-size samples and limit theorems for systems of Markovian particles with non-Poisson initial distributions1994-08-11Paper
https://portal.mardi4nfdi.de/entity/Q42796481994-02-22Paper
https://portal.mardi4nfdi.de/entity/Q42730071993-12-20Paper
https://portal.mardi4nfdi.de/entity/Q52886981993-08-17Paper
A stochastic model of radiation carcinogenesis: Latent time distributions and their properties1993-06-29Paper
On the optimal control of cancer radiotherapy for non-homogeneous cell populations1993-06-29Paper
Maximum Submatrix Traces for Positive Definite Matrices1993-06-29Paper
https://portal.mardi4nfdi.de/entity/Q40401621993-06-05Paper
A new ideal metric with applications to multivariate stable limit theorems1993-02-18Paper
A probabilistic approach to optimal quality usage1993-02-11Paper
Moment problems and their applications to the stability of queueing models1993-02-11Paper
https://portal.mardi4nfdi.de/entity/Q40165681993-01-16Paper
https://portal.mardi4nfdi.de/entity/Q40149461992-10-27Paper
The stability of a characterization of the bivariate Marshall-Olkin distribution1992-09-27Paper
https://portal.mardi4nfdi.de/entity/Q39960331992-09-17Paper
https://portal.mardi4nfdi.de/entity/Q39970221992-09-17Paper
https://portal.mardi4nfdi.de/entity/Q39994951992-09-17Paper
Uniformities for the convergence in law and in probability1992-06-28Paper
https://portal.mardi4nfdi.de/entity/Q39898261992-06-28Paper
Max-geometric infinite divisibility and stability1992-06-26Paper
https://portal.mardi4nfdi.de/entity/Q39774811992-06-25Paper
https://portal.mardi4nfdi.de/entity/Q33623271992-01-01Paper
Rates of convergence of \(\alpha\)-stable random motions1991-01-01Paper
Approximate independence of distributions on spheres and their stability properties1991-01-01Paper
Mass transhipment problems and ideal metrics1991-01-01Paper
https://portal.mardi4nfdi.de/entity/Q52027911991-01-01Paper
Association of stable random variables1990-01-01Paper
A note on the stability of the estimation of the exponential distribution1990-01-01Paper
A counterexample to a.s. constructions1990-01-01Paper
A characterization of random variables with minimum \(L^ 2\)-distance1990-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32037581990-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32100101990-01-01Paper
On the rate of convergence of some functionals of a stochastic process1990-01-01Paper
A Transformation Property of Minimal Metrics1990-01-01Paper
Approximation of sums by compound Poisson distributions with respect to stop-loss distances1990-01-01Paper
https://portal.mardi4nfdi.de/entity/Q34712571990-01-01Paper
Smoothing metrics for measures on groups1989-01-01Paper
Stable distributions for asset returns1989-01-01Paper
Rates for the CLT via new ideal metrics1989-01-01Paper
The problem of stability in queueing theory1989-01-01Paper
Estimates of the rate of convergence for max-stable processes1989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32011371989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q33528891989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q33631201989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q34712711989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q34866231989-01-01Paper
https://portal.mardi4nfdi.de/entity/Q34969571989-01-01Paper
Maximum likelihood estimation of the bimodal failure rate for censored and tied observations1989-01-01Paper
Bounds for crude survival probabilities within competing risks framework and their statistical application1988-01-01Paper
Stability in the mean of the characterization of queueing models1988-01-01Paper
On the Statistical Inference from Survival Experiments with Two Types of Failure1988-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37778381988-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38168781988-01-01Paper
An ideal metric and the rate of convergence to a self-similar process1987-01-01Paper
The problem of stability in insurance mathematics1987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q30298921987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37949601987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37965071987-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37965551987-01-01Paper
Lévy-Prokhorov distance in a space of semicontinuous set functions1986-01-01Paper
Minimality of ideal probabilistic metrics1986-01-01Paper
Stability of some characterization properties of the exponential distribution1986-01-01Paper
Stability of the service process in a system of type M/M/11986-01-01Paper
Minimal metrics in a space of random vectors with fixed one-dimensional marginal distributions1986-01-01Paper
Ideal quadratic metrics1986-01-01Paper
A characterization of queueing models and its stability1986-01-01Paper
Stability of the characterization of the exponential law1986-01-01Paper
Metrics that are invariant relative to monotone transformations1986-01-01Paper
Uniformity in Weak and Vague Convergence1986-01-01Paper
Characterizations of inverse problems in queueing and their stability1986-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37595981986-01-01Paper
On a Class of Minimal Functionals on a Space of Probability Measures1985-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36926051985-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36943281985-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36960921985-01-01Paper
Maximum Likelihood Estimation of the Mortality Rate Function1985-01-01Paper
The Monge–Kantorovich Mass Transference Problem and Its Stochastic Applications1985-01-01Paper
Characterization problems in queueing and their stability1985-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37195491985-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37328151985-01-01Paper
https://portal.mardi4nfdi.de/entity/Q33130111984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36799761984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36832581984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36874761984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37132431984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37307091984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37795001984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32210851983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32211601983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q33470161983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36676761983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36702701983-01-01Paper
https://portal.mardi4nfdi.de/entity/Q30363591982-01-01Paper
https://portal.mardi4nfdi.de/entity/Q30402991982-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39576911982-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39637691982-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39653261982-01-01Paper
Hausdorff metric structure of the space of probability measures1981-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36943261981-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39279621981-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39497061980-01-01Paper
https://portal.mardi4nfdi.de/entity/Q32077831979-01-01Paper
https://portal.mardi4nfdi.de/entity/Q39468631978-01-01Paper

Research outcomes over time

This page was built for person: Svetlozar T. Rachev