Murad S. Taqqu

Boston University - Department of Mathematics and Statistics

Professor

111 Cummington St.

Boston, MA 02215

United States

SCHOLARLY PAPERS

9

DOWNLOADS
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SSRN RANKINGS

Top 38,224

in Total Papers Downloads

907

CITATIONS
Rank 28,900

SSRN RANKINGS

Top 28,900

in Total Papers Citations

8

Scholarly Papers (9)

1.

Empirical Evidence on Spatial Contagion Between Financial Markets

Finance Letters, Vol. 3, No. 1, pp. 77-86, 2005
Number of pages: 10 Posted: 04 May 2005
Brendan Bradley and Murad S. Taqqu
Acadian Asset Management Inc., USA and Boston University - Department of Mathematics and Statistics
Downloads 350 (65,464)
Citation 4

Abstract:

Contagion, local correlation, correlation breakdown, crisis period

2.

How to Estimate Spatial Contagion between Financial Markets

Finance Letters, Vol. 3, No. 1, pp. 64-76, 2005
Number of pages: 13 Posted: 04 May 2005
Brendan Bradley and Murad S. Taqqu
Acadian Asset Management Inc., USA and Boston University - Department of Mathematics and Statistics
Downloads 266 (90,812)
Citation 1

Abstract:

Contagion, local correlation, correlation breakdown, crisis period

3.

Framework for Analyzing Spatial Contagion between Financial Markets

Finance Letters, Vol. 2, No. 6, pp. 8-15, 2004
Number of pages: 8 Posted: 15 Apr 2005
Brendan Bradley and Murad S. Taqqu
Acadian Asset Management Inc., USA and Boston University - Department of Mathematics and Statistics
Downloads 207 (113,194)
Citation 2

Abstract:

Contagion, local correlation, correlation breakdown, crisis period

4.

Asymptotic Self-Similarity and Wavelet Estimation for Long-Range Dependent Fractional Autoregressive Integrated Moving Average Time Series with Stable Innovations

Journal of Time Series Analysis, Vol. 26, No. 2, pp. 211-249, March 2005
Number of pages: 39 Posted: 18 Feb 2005
Stilian Stoev and Murad S. Taqqu
Boston University - Department of Mathematics and Statistics and Boston University - Department of Mathematics and Statistics
Downloads 13 (485,895)
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Abstract:

5.

Deconvolution of Fractional Brownian Motion

Journal of Time Series Analysis, Vol. 23, pp. 487-501, 2002
Number of pages: 15 Posted: 07 May 2003
Vladas Pipiras and Murad S. Taqqu
University of North Carolina (UNC) at Chapel Hill - Department of Statistics and Boston University - Department of Mathematics and Statistics
Downloads 10 (501,297)
Citation 1
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Abstract:

6.

Impact of the Sampling Rate on the Estimation of the Parameters of Fractional Brownian Motion

Journal of Time Series Analysis, Vol. 27, No. 3, pp. 367-380, May 2006
Number of pages: 14 Posted: 08 May 2006
Zhengyuan Zhu and Murad S. Taqqu
University of North Carolina (UNC) at Chapel Hill - Department of Statistics and Boston University - Department of Mathematics and Statistics
Downloads 7 (515,888)
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Abstract:

7.

Multivariate Limit Theorems in the Context of Long‐Range Dependence

Journal of Time Series Analysis, Vol. 34, Issue 6, pp. 717-743, 2013
Number of pages: 27 Posted: 16 Nov 2013
Shuyang Bai and Murad S. Taqqu
Boston University and Boston University - Department of Mathematics and Statistics
Downloads 0 (565,950)
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Abstract:

Long‐range dependence, Gaussian process, central limit theorems, non‐central limit theorems, asymptotic independence, multiple Wiener–Itô integrals

8.

Bachelier And His Times: A Conversation With Bernard Bru

Finance and Stochastics, Vol. 5 Issue 1
Posted: 16 Sep 2001
Murad S. Taqqu
Boston University - Department of Mathematics and Statistics

Abstract:

9.

Stock Market Prices and Long-Range Dependence

Finance and Stochastics, Vol. 3, Iss. 1, 1999
Posted: 11 Dec 1998
Walter Willinger, Murad S. Taqqu and Vadim Teverovsky
AT&T - Research Department, Boston University - Department of Mathematics and Statistics and Boston University - Department of Mathematics and Statistics

Abstract: