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Svetlozar T. Rachev · Study
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Author
Svetlozar T. Rachev
48 works
· latest 2014
· 5 institutions
cluster: provisional
ORCID 0000-0002-0869-4399
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Citations
4,681
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Most cited in this library
Stable Paretian Models in Finance
2000 · 718 citations
Mass Transportation Problems
1998 · 556 citations
Modeling asset returns with alternative stable distributions
1993 · 290 citations
Different Approaches to Risk Estimation in Portfolio Theory
2004 · 253 citations
Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing
2005 · 240 citations
Works
48 shown
The Basics of Financial Econometrics
Wiley eBooks
·
2014
·
4 authors
·
book
190
citations
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Annals of Operations Research
·
2012
·
5 authors
65
citations
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Annals of Operations Research
·
2012
·
3 authors
45
citations
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
Insurance Mathematics and Economics
·
2011
·
4 authors
53
citations
A Probability Metrics Approach to Financial Risk Measures
Wiley eBooks
·
2011
·
3 authors
·
book
77
citations
Choice under Uncertainty
·
2011
·
3 authors
·
other
1
citations
Stochastic Dominance Revisited
·
2011
·
3 authors
·
other
0
citations
Fat-Tailed Models for Risk Estimation
The Journal of Portfolio Management
·
2011
·
4 authors
·
Open access
60
citations
Tempered Infinitely Divisible Distributions and Processes
Theory of Probability and Its Applications
·
2011
·
4 authors
60
citations
Probability and Statistics for Finance
Wiley eBooks
·
2010
·
2 authors
·
book
41
citations
Tempered stable distributions and processes in finance: numerical analysis
Springer eBooks
·
2010
·
4 authors
·
chapter
46
citations
MCMC-based estimation of Markov Switching ARMA–GARCH models
Applied Economics
·
2009
·
4 authors
69
citations
Computing VAR and AVaR in Infinitely Divisible Distributions
SSRN Electronic Journal
·
2009
·
4 authors
·
preprint
·
Open access
68
citations
Pricing Tranches of a CDO and a CDS Index: Recent Advances and Future Research
Contributions to economics
·
2008
·
3 authors
·
chapter
29
citations
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
Studies in Nonlinear Dynamics and Econometrics
·
2008
·
3 authors
49
citations
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
Empirical Economics
·
2008
·
3 authors
49
citations
Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization: The Ideal Risk, Uncertainty, and Performance Measures
·
2008
·
3 authors
·
book
150
citations
Lecture 6: Risk and uncertainty
·
2008
·
1 author
0
citations
Technical Appendix Lecture 6: Risk and uncertainty
·
2008
·
1 author
0
citations
Optimal Financial Portfolios
Applied Mathematical Finance
·
2007
·
3 authors
·
Open access
109
citations
A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
International Journal of Theoretical and Applied Finance
·
2007
·
3 authors
·
Open access
41
citations
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns
Journal of Economics and Business
·
2007
·
2 authors
47
citations
Momentum strategies based on reward–risk stock selection criteria
Journal of Banking & Finance
·
2007
·
4 authors
115
citations
Quantifying risk in the electricity business: A RAROC-based approach
Energy Economics
·
2006
·
4 authors
47
citations
Computing the portfolio Conditional Value-at-Risk in the Alfa-stable case
SSRN Electronic Journal
·
2006
·
4 authors
·
preprint
·
Open access
45
citations
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
International Journal of Theoretical and Applied Finance
·
2005
·
5 authors
74
citations
An Empirical Examination of Daily Stock Return Distributions for U.S. Stocks
Springer eBooks
·
2005
·
4 authors
·
chapter
34
citations
Fat-Tailed and Skewed Asset Return Distributions : Implications for Risk Management, Portfolio Selection, and Option Pricing
·
2005
·
3 authors
·
book
240
citations
Different Approaches to Risk Estimation in Portfolio Theory
The Journal of Portfolio Management
·
2004
·
4 authors
253
citations
Handbook of Computational and Numerical Methods in Finance
Birkhäuser Boston eBooks
·
2004
·
1 author
·
book
64
citations
Phi-alpha optimal portfolios and extreme risk management
Wilmott
·
2003
·
3 authors
101
citations
Portfolio Choice Theory with Non-Gaussian Distributed Returns
Elsevier eBooks
·
2003
·
4 authors
·
chapter
43
citations
Stable Modeling of Market and Credit Value at Risk
Elsevier eBooks
·
2003
·
3 authors
·
chapter
36
citations
Quantitative Stability in Stochastic Programming: The Method of Probability Metrics
Mathematics of Operations Research
·
2002
·
2 authors
·
Open access
129
citations
Stationarity of stable power-GARCH processes
Journal of Econometrics
·
2002
·
3 authors
83
citations
Stable modeling of value at risk
Mathematical and Computer Modelling
·
2001
·
3 authors
·
Open access
68
citations
Stable Paretian Models in Finance
·
2000
·
2 authors
718
citations
Option pricing for a logstable asset price model
Mathematical and Computer Modelling
·
1999
·
3 authors
·
Open access
69
citations
Mass Transportation Problems: Vol. I: Theory
Journal of the American Statistical Association
·
1999
·
3 authors
·
other
78
citations
Mass Transportation Problems
Springer eBooks
·
1998
·
2 authors
·
book
556
citations
Subordinated Market Index Models: A Comparison
Asia-Pacific Financial Markets
·
1997
·
3 authors
67
citations
Stable GARCH models for financial time series
Applied Mathematics Letters
·
1995
·
3 authors
·
Open access
70
citations
MULTIVARIATE STABLE FUTURES PRICES
Mathematical Finance
·
1995
·
2 authors
66
citations
Models for Option Prices
Theory of Probability and Its Applications
·
1995
·
2 authors
36
citations
Modeling asset returns with alternative stable distributions
Econometric Reviews
·
1993
·
2 authors
290
citations
Approximation of sums by compound Poisson distributions with respect to stop-loss distances
Advances in Applied Probability
·
1990
·
2 authors
47
citations
Mathematical Methods for Construction of Queueing Models
Springer eBooks
·
1990
·
2 authors
·
book
74
citations
The problem of stability in queueing theory
Queueing Systems
·
1989
·
1 author
29
citations