Murad S. Taqqu

Boston University - Department of Mathematics and Statistics

Professor

111 Cummington St.

Boston, MA 02215

United States

SCHOLARLY PAPERS

11

DOWNLOADS

983

SSRN CITATIONS
Rank 39,192

SSRN RANKINGS

Top 39,192

in Total Papers Citations

1

CROSSREF CITATIONS

18

Scholarly Papers (11)

1.

Empirical Evidence on Spatial Contagion between Financial Markets

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 390 (104,602)

Abstract:

Loading...

Contagion, local correlation, correlation breakdown, crisis period

2.

How to Estimate Spatial Contagion between Financial Markets

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 308 (135,326)

Abstract:

Loading...

Contagion, local correlation, correlation breakdown, crisis period

3.

Framework for Analyzing Spatial Contagion between Financial Markets

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 251 (166,772)

Abstract:

Loading...

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

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 (740,652)

Abstract:

Loading...

5.

Deconvolution of Fractional Brownian Motion

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 (767,077)
Citation 1

Abstract:

Loading...

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 (794,608)

Abstract:

Loading...

7.

Robust Regression on Stationary Time Series: A Self‐Normalized Resampling Approach

Journal of Time Series Analysis, Vol. 39, Issue 3, pp. 417-432, 2018
Number of pages: 16 Posted: 16 Apr 2018
Fumiya Akashi, Shuyang Bai and Murad S. Taqqu
Waseda University, Boston University and Boston University - Department of Mathematics and Statistics
Downloads 3 (832,739)

Abstract:

Loading...

Time series regression, M‐estimation, self‐normalization, subsampling, long‐range dependence, heavy tails

8.

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 1 (857,957)

Abstract:

Loading...

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

9.

A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter

Journal of Time Series Analysis, Vol. 40, Issue 4, pp. 411-424, 2019
Number of pages: 14 Posted: 29 May 2020
Murad S. Taqqu
Boston University - Department of Mathematics and Statistics
Downloads 0 (875,962)

Abstract:

Loading...

Change‐point tests, long memory parameter, self‐normalization, time series

10.

Bachelier and His Times: A Conversation with Bernard Bru

Posted: 16 Sep 2001
Murad S. Taqqu
Boston University - Department of Mathematics and Statistics

Abstract:

Loading...

11.

Stock Market Prices and Long-Range Dependence

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:

Loading...