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Rachev, Svetlozar


 SSRN Author Rank: 7,777 by Downloads
 

Stony Brook University


 Stony Brook, NY 11794
 United States
 email address

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. Rachev, Svetlozar's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
3,453
Total
Citations
24
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Chernobai, Anna
University of California, Santa Barbara
Menn, Christian
University of Karlsruhe - Institut für Statistik und Mathematische Wirtschaftstheorie
Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Rachev, Svetlozar
Stony Brook University
Posted:
11 Mar 05
541
(28,284)
7

2.   Incl. Electronic Paper
Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Rachev, Svetlozar
Stony Brook University
Posted:
19 May 06
324
(37,623)
 

3.  
Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik
d'Addona, Stefano
University of Rome 3
Rachev, Svetlozar
Stony Brook University
Posted:
22 Jan 07
379
(44,466)
1

4.  
The Term Structure of Credit Spreads and Credit Default Swaps - An Empirical Investigation | Show Abstract | Download |
Investment Management and Financial Innovations, Vol. 3, 2004
Accepted Paper Series
Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Laub, Matthias
Universität Karlsruhe - Inst. für Statistik und math. Wirtschaftstheorie
Rachev, Svetlozar
Stony Brook University
Posted:
07 Sep 08
Last Revised:
08 Apr 14
280
(63,542)
1

5.  
Computing VAR and AVaR in Infinitely Divisible Distributions | Show Abstract | Download |
Yale ICF Working Paper No. 09-07
Working Paper Series
Kim, Young Shin
University of Karlsruhe
Rachev, Svetlozar
Stony Brook University
Bianchi, Michele Leonardo
Bank of Italy
Fabozzi, Frank J.
EDHEC Business School
Posted:
08 May 09
238
(75,661)
1

6.  
Computational Issues in Stable Financial Modeling | Show Abstract | Download |
Applied Mathematics Reviews, Vol. 1, pp. 285-327, 2000
Accepted Paper Series
Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik
Rachev, Svetlozar
Stony Brook University
Posted:
01 Nov 04
233
(77,406)
 

7.  
Nooshi, Nima
Karlsruhe Institute of Technology
Kim, Young Shin
University of Karlsruhe
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
18 Mar 12
223
(81,052)
 

8.  
Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Rachev, Svetlozar
Stony Brook University
Posted:
28 Feb 05
221
(81,789)
 

9.  
Optimal Financial Portfolios | Show Abstract | Download |
Applied Mathematical Finance, Vol. 14, No. 5, 2007
Accepted Paper Series
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
22 Dec 10
190
(95,057)
3

10.  
Computing the Portfolio Conditional Value-at-Risk in the Alpha-Stable Case | Show Abstract | Download |
Probability and Mathematical Statistics, Vol. 26, No. 1, pp. 1-22, 2006
Accepted Paper Series
Stoyanov, Stoyan V.
EDHEC Business School
Samorodnitsky, Gennady
Cornell University
Rachev, Svetlozar
Stony Brook University
Ortobelli Lozza, Sergio
University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA)
Posted:
21 Dec 10
181
(99,405)
6

11.  
Subordinated Exchange Rate Models: Evidence for Heavy Tailed Distributions and Long-Range Dependence | Show Abstract | Download |
Mathematical and Computer Modelling, Vol. 34, No. 9-11, pp. 955-1001, 2001
Accepted Paper Series
Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik
Rachev, Svetlozar
Stony Brook University
Roll, Richard
California Institute of Technology
Posted:
15 Oct 04
161
(110,777)
1

12.  
Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik
d'Addona, Stefano
University of Rome 3
Rachev, Svetlozar
Stony Brook University
Posted:
17 May 10
Last Revised:
19 Dec 11
113
(148,093)
 

13.  
Computing VaR and AVaR of Skewed-T Distribution | Show Abstract | Download |
Journal of Applied Functional Analysis, 3, pp. 189-209, 2008
Accepted Paper Series
Dokov, Steftcho
affiliation not provided to SSRN
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
24 Dec 10
110
(151,001)
3

14.  
Stochastic Models for Risk Estimation in Volatile Markets: A Survey | Show Abstract | Download |
Annals of Operation Research, Vol. 176, No. 1, 2010
Accepted Paper Series
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Racheva-Iotova, Boryana
affiliation not provided to SSRN
Fabozzi, Frank J.
EDHEC Business School
Posted:
24 Dec 10
62
(215,319)
 

15.  
Modelling Catastrophe Claims with Left-Truncated Severity Distributions (Extended Version) | Show Abstract | Download |
Hugo Steinhaus Center for Stochastic Methods Research Report No. HSC/05/1
Working Paper Series
Chernobai, Anna
University of California, Santa Barbara
Burnecki, Krzysztof
Hugo Steinhaus Center
Rachev, Svetlozar
Stony Brook University
Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Weron, Rafal
Wroclaw University of Technology - Institute of Organization and Management
Posted:
04 Sep 08
57
(224,634)
 

16.  
Probability Metrics Applied to Problems in Portfolio Theory | Show Abstract | Download |
Journal of Statistical Theory and Practice, Vol. 2, No. 2, pp. 253-277, 2008
Accepted Paper Series
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
23 Dec 10
41
(259,196)
 

17.  
Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View | Show Abstract | Download |
Bank of Italy Temi di Discussione (Working Paper) No. 912
Working Paper Series
Bianchi, Michele Leonardo
Bank of Italy
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
21 Jun 13
40
(261,604)
 

18.  
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models | Show Abstract | Download |
Bank of Italy Temi di Discussione (Working Paper) No. 944
Working Paper Series
Bianchi, Michele Leonardo
Bank of Italy
Fabozzi, Frank J.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
25 Mar 14
24
(311,088)
 

19.  
Zhou, Xiaoping
Citizens Financial Group
Malioutov, Dmitry
IBM Research
Fabozzi, Frank J.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
11 May 14
16
(344,671)
 

20.  
Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns | Show Abstract | Download |
Journal of Applied Functional Analysis, Vol. 3, pp. 443-461, 2008
Accepted Paper Series
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
24 Dec 10
16
(344,671)
1

21.  
A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions | Show Abstract | Download |
European Financial Management, Vol. 15, Issue 2, pp. 340-361, March 2009
Accepted Paper Series
Sun, Wei
affiliation not provided to SSRN
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
27 Apr 09
2
(406,096)
 

22.  
Multi-Tail Generalized Elliptical Distributions for Asset Returns | Show Abstract | Download |
Econometrics Journal, Vol. 12, Issue 2, pp. 272-291, July 2009
Accepted Paper Series
Kring, Sebastian
University of Karlsruhe
Rachev, Svetlozar
Stony Brook University
Höchstötter, Markus
affiliation not provided to SSRN
Fabozzi, Frank J.
EDHEC Business School
Bianchi, Michele Leonardo
Bank of Italy
Posted:
08 Oct 09
1
(414,852)
 

23.  
Dilution of Sector Exposures: When Does Unintended Indexing Happen? | Show Abstract |
Journal of Investment Management (JOIM), Third Quarter 2014
Accepted Paper Series
Stein, Michael
University of Duisburg-Essen
Rachev, Svetlozar
Stony Brook University
Posted:
16 Nov 14
 

24.  
Bayesian Inference for Hedge Funds with Stable Distribution of Returns | Show Abstract |
RETHINKING RISK MEASURING AND REPORTING, Vol. 2, Klaus Bocker, ed., Risk Books, 2010
Accepted Paper Series
Güner, Biliana
Rachev, Svetlozar
Stony Brook University
Edelman, Daniel
Alternative Investment Solutions
Fabozzi, Frank J.
EDHEC Business School
Posted:
02 Jun 11
 

25.  
Fat-Tailed Models for Risk Estimation | Show Abstract |
Journal of Portfolio Management, Vol. 37, No. 2, 2011
Accepted Paper Series
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Racheva-Iotova, Boryana
affiliation not provided to SSRN
Fabozzi, Frank J.
EDHEC Business School
Posted:
26 Feb 11
 

26.  
Desirable Properties of an Ideal Risk Measure in Portfolio Theory | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 11, No. 1, pp. 19-54 , 2008
Accepted Paper Series
Rachev, Svetlozar
Stony Brook University
Ortobelli Lozza, Sergio
University of Bergamo - Mathematics, Statistics, Computer Science and Applications (MSIA)
Stoyanov, Stoyan
affiliation not provided to SSRN
Fabozzi, Frank J.
EDHEC Business School
Posted:
25 Apr 10
 

27.  
Barrier Option Pricing by Branching Processes | Show Abstract |
International Journal of Theoretical and Applied Finance, Vol. 12, No. 7, pp. 1055-1073, 2009
Accepted Paper Series
Mitov, Georgi K.
Bulgarian Academy of Science
Rachev, Svetlozar
Stony Brook University
Kim, Young Shin
University of Karlsruhe
Fabozzi, Frank J.
EDHEC Business School
Posted:
21 Apr 10
 

28.  
Quantifying Risk in the Electricity Business: A RAROC-based Approach | Show Abstract |
Energy Economics, Vol. 29, No. 5, 2007
Accepted Paper Series
Rachev, Svetlozar
Stony Brook University
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Schindlmayr, Gero
affiliation not provided to SSRN
Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Posted:
24 Oct 07
 

29.  
Trück, Stefan
Macquarie University
Rachev, Svetlozar
Stony Brook University
Posted:
10 May 06
 


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