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Rachev, Svetlozar


 SSRN Author Rank: 7,941 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
3,556
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
548
(29,513)
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
325
(38,839)
 

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
384
(46,294)
1

4.  
The Term Structure of Credit Spreads and Credit Default Swaps - An Empirical Investigation | Show Abstract | Download This Paper |
Investment Management and Financial Innovations, Vol. 3, 2004
Number of Pages in PDF File: 36
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
282
(66,540)
1

5.  
Computing VAR and AVaR in Infinitely Divisible Distributions | Show Abstract | Download This Paper |
Yale ICF Working Paper No. 09-07
Number of Pages in PDF File: 37
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
243
(78,095)
1

6.  
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
241
(78,801)
 

7.  
Computational Issues in Stable Financial Modeling | Show Abstract | Download This Paper |
Applied Mathematics Reviews, Vol. 1, pp. 285-327, 2000
Number of Pages in PDF File: 39
Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik
Rachev, Svetlozar
Stony Brook University
Posted:
01 Nov 04
235
(80,888)
 

8.  
Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Rachev, Svetlozar
Stony Brook University
Posted:
28 Feb 05
226
(84,351)
 

9.  
Optimal Financial Portfolios | Show Abstract | Download This Paper |
Applied Mathematical Finance, Vol. 14, No. 5, 2007
Number of Pages in PDF File: 36
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
22 Dec 10
202
(94,427)
3

10.  
Computing the Portfolio Conditional Value-at-Risk in the Alpha-Stable Case | Show Abstract | Download This Paper |
Probability and Mathematical Statistics, Vol. 26, No. 1, pp. 1-22, 2006
Number of Pages in PDF File: 25
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
199
(95,836)
6

11.  
Subordinated Exchange Rate Models: Evidence for Heavy Tailed Distributions and Long-Range Dependence | Show Abstract | Download This Paper |
Mathematical and Computer Modelling, Vol. 34, No. 9-11, pp. 955-1001, 2001
Number of Pages in PDF File: 70
Marinelli, Carlo
University of Bonn - Institut fuer Angewandte Mathematik
Rachev, Svetlozar
Stony Brook University
Roll, Richard
California Institute of Technology
Posted:
15 Oct 04
162
(115,925)
1

12.  
Computing VaR and AVaR of Skewed-T Distribution | Show Abstract | Download This Paper |
Journal of Applied Functional Analysis, 3, pp. 189-209, 2008
Number of Pages in PDF File: 19
Dokov, Steftcho
affiliation not provided to SSRN
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
24 Dec 10
117
(151,504)
3

13.  
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
(155,491)
 

14.  
Stochastic Models for Risk Estimation in Volatile Markets: A Survey | Show Abstract | Download This Paper |
Annals of Operation Research, Vol. 176, No. 1, 2010
Number of Pages in PDF File: 22
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
(226,122)
 

15.  
Modelling Catastrophe Claims with Left-Truncated Severity Distributions (Extended Version) | Show Abstract | Download This Paper |
Hugo Steinhaus Center for Stochastic Methods Research Report No. HSC/05/1
Number of Pages in PDF File: 31
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
58
(233,909)
 

16.  
Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View | Show Abstract | Download This Paper |
Bank of Italy Temi di Discussione (Working Paper) No. 912
Number of Pages in PDF File: 52
Bianchi, Michele Leonardo
Bank of Italy
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
21 Jun 13
44
(264,651)
 

17.  
Probability Metrics Applied to Problems in Portfolio Theory | Show Abstract | Download This Paper |
Journal of Statistical Theory and Practice, Vol. 2, No. 2, pp. 253-277, 2008
Number of Pages in PDF File: 40
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
23 Dec 10
42
(269,659)
 

18.  
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models | Show Abstract | Download This Paper |
Bank of Italy Temi di Discussione (Working Paper) No. 944
Number of Pages in PDF File: 54
Bianchi, Michele Leonardo
Bank of Italy
Fabozzi, Frank J.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
25 Mar 14
30
(304,096)
 

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
23
(330,815)
 

20.  
Asymptotic Distribution of the Sample Average Value-at-Risk in the Case of Heavy-Tailed Returns | Show Abstract | Download This Paper |
Journal of Applied Functional Analysis, Vol. 3, pp. 443-461, 2008
Number of Pages in PDF File: 18
Stoyanov, Stoyan V.
EDHEC Business School
Rachev, Svetlozar
Stony Brook University
Posted:
24 Dec 10
17
(356,914)
1

21.  
A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions | Show Abstract | Add to Cart |
European Financial Management, Vol. 15, Issue 2, pp. 340-361, March 2009
Number of Pages in PDF File: 22
Sun, Wei
affiliation not provided to SSRN
Rachev, Svetlozar
Stony Brook University
Fabozzi, Frank J.
EDHEC Business School
Posted:
27 Apr 09
2
(424,342)
 

22.  
Multi-Tail Generalized Elliptical Distributions for Asset Returns | Show Abstract | Add to Cart |
Econometrics Journal, Vol. 12, Issue 2, pp. 272-291, July 2009
Number of Pages in PDF File: 20
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
(433,232)
 

23.  
Dilution of Sector Exposures: When Does Unintended Indexing Happen? | Show Abstract |
Journal of Investment Management (JOIM), Third Quarter 2014
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
Rachev, Svetlozar
Stony Brook University
Edelman, Daniel
Independent
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
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
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
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.  
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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