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Vladimir Grigor'evich Spokoiny · Study

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Vladimir Grigor'evich Spokoiny

5 works· latest 2009· 1 institutionscluster: provisionalORCID 0000-0002-2040-3427

h-index5

i105

Citations318

Works here5

06

09

Most cited in this library

MULTISCALE LOCAL CHANGE POINT DETECTION WITH APPLICATIONS TO VALUE-AT-RISK2009 · 105 citations
Inhomogeneous Dependence Modeling with Time-Varying Copulae2009 · 97 citations
Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models2009 · 45 citations
Portfolio value at risk based on independent component analysis2006 · 41 citations
GHICA — Risk analysis with GH distributions and independent components2009 · 30 citations

Works

5 shown

GHICA — Risk analysis with GH distributions and independent components

Journal of Empirical Finance·2009·3 authors

30citations

Adaptive pointwise estimation in time-inhomogeneous conditional heteroscedasticity models

Econometrics Journal·2009·3 authors·Open access

45citations

Inhomogeneous Dependence Modeling with Time-Varying Copulae

Journal of Business and Economic Statistics·2009·3 authors

97citations

MULTISCALE LOCAL CHANGE POINT DETECTION WITH APPLICATIONS TO VALUE-AT-RISK

·2009·1 author·preprint

105citations

Portfolio value at risk based on independent component analysis

Journal of Computational and Applied Mathematics·2006·3 authors·Open access

41citations