Svetlozar T. Rachev

Finance · 1985–2015

A researcher in the Science corpus: 36 papers; trusts 52 researchers and is trusted by 55 researchers here, as inferred from the citation graph.

Subfields

• Finance — 98 citations into it; #2,605 of 10,518 by trust here, #1,586 by citations
• Economics and Econometrics — 65 citations into it; #6,504 of 23,481 by trust here, #5,618 by citations
• Management Science and Operations Research — 40 citations into it; #9,435 of 11,946 by trust here, #3,247 by citations
• Statistics and Probability — 18 citations into it
• Economics & Operations Research — 13 citations into it
• Electrical and Electronic Engineering — 12 citations into it; #6,730 of 16,539 by trust here, #11,641 by citations
• Demography — 10 citations into it
• Time-Series & Forecasting — 8 citations into it

Whom Svetlozar T. Rachev trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. J. Rosínski
2. Wim Schoutens
3. Peter P. Carr
4. Eugene F. Fama
5. Stefan Mittnik
6. R. Tyrrell Rockafellar
7. Robert F. Engle
8. Young Shin Kim
9. Tim Bollerslev
10. Stanislav Uryasev

Who trusts Svetlozar T. Rachev overall

1. Aleksey Min
2. Wei Sun
3. Bharath K. Sriperumbudur
4. Robert J. McCann
5. Robert E. Gaunt
6. Feng-Yu Wang
7. John P. Nolan
8. Remco C. Veltkamp
9. Dean Fantazzini
10. Lingfang Hu

Papers from Svetlozar T. Rachev's perspective

Ordered by how strongly the researchers Svetlozar T. Rachev trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. The Pricing of Options and Corporate Liabilities
3. Tempering stable processes
4. Financial Modelling with Jump Processes
5. Financial Modelling with Jump Processes
6. The Fine Structure of Asset Retums : An Empirical Investigation '
7. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
8. Portfolio Selection
9. A Closed-Form GARCH Option Valuation Model
10. Monte Carlo Methods in Financial Engineering

Their papers

• Stable modeling of value at risk (2001) — 78 citations
• Tempered Infinitely Divisible Distributions and Processes (2011) — 61 citations
• Spot and Derivative Pricing in the EEX Power Market (2007) — 205 citations
• Stationarity of stable power-GARCH processes (2002) — 89 citations
• Different Approaches to Risk Estimation in Portfolio Theory (2004) — 258 citations
• Financial market models with Lévy processes and time-varying volatility. (2008) — 106 citations
• Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples (2015) — 57 citations
• Phi-alpha optimal portfolios and Extreme Risk Management (2003) — 119 citations
• Portfolio Choice Theory with Non-Gaussian Distributed Returns (2003) — 47 citations
• A comparison of some univariate models for Value-at-Risk and Expected Shortfall (2007) — 49 citations
• Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis (2007) — 234 citations
• A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence (2009) — 62 citations
• The basics of financial econometrics : tools, concepts, and asset management applications (2014) — 191 citations
• The Methods of Distances in the Theory of Probability and Statistics (2013) — 196 citations
• MCMC-based estimation of Markov Switching ARMA–GARCH models (2011) — 82 citations
• Introduction to Regression Analysis (2011) — 105 citations
• Fat-Tailed Models for Risk Estimation (2011) — 67 citations
• Introduction to Time Series Analysis (2011) — 106 citations
• Tempered stable and tempered infinitely divisible GARCH models (2010) — 103 citations
• Tempered stable distributions and processes in finance: numerical analysis (2010) — 54 citations