Cikkek nyilvánosan hozzáférhető megbízással - Svetlozar RachevTovábbi információ
Sehol sem hozzáférhető: 2
Calibrated FFT-based density approximations for α-stable distributions
C Menn, ST Rachev
Computational statistics & data analysis 50 (8), 1891-1904, 2006
Megbízások: German Research Foundation
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
W Sun, S Rachev, FJ Fabozzi, PS Kalev
Empirical economics 36 (1), 201-229, 2009
Megbízások: German Research Foundation
Valahol hozzáférhető: 65
Desirable properties of an ideal risk measure in portfolio theory
S Rachev, S Ortobelli, S Stoyanov, FJ Fabozzi, A Biglova
International Journal of Theoretical and Applied Finance 11 (01), 19-54, 2008
Megbízások: German Research Foundation
Momentum strategies based on reward–risk stock selection criteria
S Rachev, T Jašić, S Stoyanov, FJ Fabozzi
Journal of Banking & Finance 31 (8), 2325-2346, 2007
Megbízások: German Research Foundation
Optimal financial portfolios
SV Stoyanov, ST Rachev, FJ Fabozzi
Applied Mathematical Finance 14 (5), 401-436, 2007
Megbízások: German Research Foundation
Time series analysis for financial market meltdowns
YS Kim, ST Rachev, ML Bianchi, I Mitov, FJ Fabozzi
Journal of Banking & Finance 35 (8), 1879-1891, 2011
Megbízások: German Research Foundation
Tempered stable and tempered infinitely divisible GARCH models
YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi
Journal of Banking & Finance 34 (9), 2096-2109, 2010
Megbízások: German Research Foundation
The modified tempered stable distribution, GARCH-models and option pricing
YS Kim, ST Rachev, DM Chung, ML Bianchi
Probability and Mathematical statistics 29 (1), 91-117, 2009
Megbízások: German Research Foundation
MCMC-based estimation of Markov Switching ARMA–GARCH models
JS Henneke, ST Rachev, FJ Fabozzi, M Nikolov
Applied Economics 43 (3), 259-271, 2011
Megbízások: German Research Foundation
Applying robust methods to operational risk modeling
A Chernobai, S Rachev
Journal of Operational Risk 1 (1), 27-41, 2006
Megbízások: German Research Foundation
Stable distributions in the Black–Litterman approach to asset allocation
R Giacometti, M Bertocchi, ST Rachev, FJ Fabozzi
Quantitative Finance 7 (4), 423-433, 2007
Megbízások: German Research Foundation
Computing VaR and AVaR in infinitely divisible distributions
YS Kim, S Rachev, ML Bianchi, FJ Fabozzi
Yale ICF Working Paper, 2009
Megbízások: German Research Foundation
Fat-tailed models for risk estimation
SV Stoyanov, ST Rachev, B Racheva-Iotova, FJ Fabozzi
KIT Working Paper Series in Economics, 2011
Megbízások: German Research Foundation
A comparison of some univariate models for value-at-risk and expected shortfall
C Marinelli, S d'Addona, ST Rachev
International Journal of Theoretical and Applied Finance 10 (06), 1043-1075, 2007
Megbízások: German Research Foundation
Balancing energy strategies in electricity portfolio management
C Möller, ST Rachev, FJ Fabozzi
Energy Economics 33 (1), 2-11, 2011
Megbízások: German Research Foundation
Quantifying risk in the electricity business: A RAROC-based approach
M Prokopczuk, ST Rachev, G Schindlmayr, S Trück
Energy Economics 29 (5), 1033-1049, 2007
Megbízások: German Research Foundation
Computing the portfolio conditional value-at-risk in the alpha-stable case
SV Stoyanov, G Samorodnitsky, S Rachev, S Ortobelli Lozza
Probability and Mathematical Statistics 26 (1), 1-22, 2006
Megbízások: German Research Foundation
Multivariate skewed Student's t copula in the analysis of nonlinear and asymmetric dependence in the German equity market
W Sun, S Rachev, SV Stoyanov, FJ Fabozzi
Studies in Nonlinear Dynamics & Econometrics 12 (2), 2008
Megbízások: German Research Foundation
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
R Giacometti, M Bertocchi, ST Rachev, FJ Fabozzi
Insurance: Mathematics and Economics 50 (1), 85-93, 2012
Megbízások: German Research Foundation
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
SV Stoyanov, ST Rachev, FJ Fabozzi
Annals of Operations Research 205 (1), 169-187, 2013
Megbízások: German Research Foundation
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