Stilian Stoev

Boston University - Department of Mathematics and Statistics

Boston, MA 02215

United States

SCHOLARLY PAPERS

3

DOWNLOADS

167

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (3)

1.

Intensity Based Estimation of Extreme Loss Event Probability and Value-at-Risk

Applied Stochastic Models in Business and Industry, Forthcoming
Number of pages: 28 Posted: 25 Mar 2008 Last Revised: 06 Apr 2015
Kam Hamidieh, Stilian Stoev and George Michailidis
University of Pennsylvania, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 118 (265,398)

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Point Processes, Clustering, Autoregressive Conditional Duration, Extreme Risk, Generalized Pareto Distribution

2.

On the Estimation of the Extremal Index Based on Scaling and Resampling

Journal of Computational and Graphical Statistics, Vol. 18, No. 3, pp. 731-755, 2009
Number of pages: 38 Posted: 14 Apr 2010
Kam Hamidieh, Stilian Stoev and George Michailidis
University of Pennsylvania, Boston University - Department of Mathematics and Statistics and University of Michigan at Ann Arbor
Downloads 36 (492,975)

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Extremal Index, Clustering, Asymptotic normality, Bootstrap, Heavy tails, Permutation

3.

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 (630,973)
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