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G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance
0 references·16 citing·49 second hop
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  • 2002Regular variation of GARCH processes359 cited
  • 2003Arbitrage in fractional Brownian motion models332 cited
  • 1999A critical look at Lo's modified R/S statistic196 cited
  • 2005Evidence for self-organized criticality in electric power system blackouts147 cited
  • 2002Analysis, Design, and Control of Queueing Systems128 cited
  • 2008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY115 cited
  • 1997Robustness of whittle-type estimators for time series with long-range dependence113 cited
  • 2013Quantification of Long-Range Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement Techniques107 cited
  • 2005Approximating the Distribution of Pareto Sums99 cited
  • 2009Emergence of long memory in stock volatility from a modified Mike-Farmer model90 cited
  • 2005Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes84 cited
  • 2002Stationarity of stable power-GARCH processes83 cited
  • 2011Modeling stock prices by multifractional Brownian motion: an improved estimation of the pointwise regularity80 cited
  • 2015Robust Queueing Theory77 cited

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2005
LASS: a tool for the local analysis of self-similarity
72 cited
  • 2007Proper Conditioning for Coherent VaR in Portfolio Management70 cited