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Chris C. Heyde

16 works· latest 2013· 3 institutionscluster: provisional

h-index16

i1016

Citations1,158

Works here16

Most cited in this library

External Risk Measures and Basel Accords2013 · 166 citations
Itô′s formula with respect to fractional Brownian motion and its application1996 · 146 citations
Student processes2005 · 107 citations
On the controversy over tailweight of distributions2004 · 93 citations
Statisticians of the Centuries2001 · 91 citations

Works

16 shown

External Risk Measures and Basel Accords

Mathematics of Operations Research·2013·3 authors·Open access

166citations

Finite-time ruin probability with an exponential Lévy process investment return and heavy-tailed claims

Advances in Applied Probability·2009·2 authors·Open access

51citations

What Is a Good External Risk Measure: Bridging the Gaps between Robustness, Subadditivity, and Insurance Risk Measures

·2007·3 authors

56citations

On estimation in conditional heteroskedastic time series models under non-normal distributions

Statistical Papers·2006·2 authors

31citations

On changes of measure in stochastic volatility models

International Journal of Stochastic Analysis·2006·2 authors·Open access

51citations

Student processes

Advances in Applied Probability·2005·2 authors·Open access

On the martingale property of stochastic exponentials

Journal of Applied Probability·2004·2 authors

61citations

On the controversy over tailweight of distributions

Operations Research Letters·2004·2 authors

93citations

Dynamic models of long-memory processes driven by Lévy noise

Journal of Applied Probability·2002·3 authors

63citations

Statisticians of the Centuries

Population·2002·6 authors

20citations

Statisticians of the Centuries

Springer eBooks·2001·5 authors·book

91citations

A risky asset model with strong dependence through fractal activity time

Journal of Applied Probability·1999·1 author

85citations

Itô′s formula with respect to fractional Brownian motion and its application

International Journal of Stochastic Analysis·1996·2 authors·Open access

146citations

Smoothed periodogram asymptotics and estimation for processes and fields with possible long-range dependence

Stochastic Processes and their Applications·1993·1 author·Open access

83citations

On the Growth of the Maximum Queue Length in a Stable Queue

Operations Research·1971·1 author

20citations

Proceedings of the Symposium on Congestion Theory.

Journal of the Royal Statistical Society Series A (General)·1967·3 authors

34citations