Murad S. Taqqu

Finance · 1995–2014

A researcher in the Science corpus: 29 papers; trusts 51 researchers and is trusted by 62 researchers here, as inferred from the citation graph.

Subfields

• Finance — 61 citations into it; #590 of 10,518 by trust here, #1,047 by citations
• Economics and Econometrics — 44 citations into it; #8,246 of 23,481 by trust here, #10,133 by citations
• Statistics and Probability — 24 citations into it; #2,654 of 12,932 by trust here, #3,411 by citations
• Mathematical Physics — 18 citations into it; #523 of 8,562 by trust here, #554 by citations
• Management Science and Operations Research — 16 citations into it; #2,614 of 11,946 by trust here, #5,548 by citations
• Artificial Intelligence — 11 citations into it; #31,807 of 35,345 by trust here, #27,551 by citations
• Computer Vision and Pattern Recognition — 11 citations into it; #11,830 of 21,575 by trust here, #15,162 by citations
• Applied Mathematics — 10 citations into it; #4,287 of 7,620 by trust here, #5,097 by citations

Whom Murad S. Taqqu trusts overall

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

1. Ciprian A. Tudor
2. Antoine Ayache
3. Ernst Eberlein
4. Ingrid Daubechies
5. M. Maejima
6. Ivan Nourdin
7. Yuhong Yang
8. Albert Cohen
9. Paul Embrechts
10. Jem N. Corcoran

Who trusts Murad S. Taqqu overall

1. T. Marquardt
2. Yaozhong Hu
3. David Nualart
4. Stilian A. Stoev
5. Zakhar Kabluchko
6. Günter Last
7. Antoine Ayache
8. Matthias Schulte
9. Giovanni Peccati
10. Ciprian A. Tudor

Papers from Murad S. Taqqu's perspective

Ordered by how strongly the researchers Murad S. Taqqu trusts endorse each paper. Same corpus, a different order for every researcher.

1. Statistics for long-memory processes
2. Ten Lectures on Wavelets
3. Generalized autoregressive conditional heteroskedasticity
4. Central limit theorems for multiple stochastic integrals and Malliavin calculus
5. The Pricing of Options and Corporate Liabilities
6. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
7. Convergence of Probability Measures
8. Analysis of the Rosenblatt process
9. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
10. Multivariate normal approximation using Stein's method and Malliavin calculus

Their papers

• Wavelets for the Analysis, Estimation, and Synthesis of Scaling Data (2002) — 440 citations
• Stein’s method and Normal approximation of Poisson functionals (2008) — 154 citations
• A wavelet whittle estimator of the memory parameter of a nonstationary Gaussian time series (2006) — 86 citations
• Properties and numerical evaluation of the Rosenblatt distribution (2013) — 98 citations
• Some facts about Charlier polynomials (2011) — 5 citations
• Financial Risk and Heavy Tails (2003) — 167 citations
• Regularization and integral representations of Hermite processes (2010) — 75 citations
• Non‐Parametric Change‐Point Tests for Long‐Range Dependent Data (2013) — 99 citations
• Numerical Computation of First-Passage Times of Increasing Lévy Processes (2009) — 47 citations
• On the Spectral Density of the Wavelet Coefficients of Long‐Memory Time Series with Application to the Log‐Regression Estimation of the Memory Parameter (2005) — 110 citations
• Estimators of Long-Memory: Fourier versus Wavelets (2008) — 99 citations
• Robust estimation of the scale and of the autocovariance function of Gaussian short‐ and long‐range dependent processes (2009) — 51 citations
• Stochastic properties of the linear multifractional stable motion (2004) — 62 citations
• Wiener Chaos: Moments, Cumulants and Diagrams: A Survey with Computer Implementation (2014) — 154 citations
• Generalized Hermite processes, discrete chaos and limit theorems (2013) — 49 citations
• Wiener chaos: moments, cumulants and diagrams (2011) — 282 citations
• Wavelet construction of Generalized Multifractional processes. (2007) — 56 citations
• How rich is the class of multifractional Brownian motions (2006) — 105 citations
• Extremal stochastic integrals: a parallel between max-stable processes and α-stable processes (2005) — 93 citations
• MULTIFRACTIONAL PROCESSES WITH RANDOM EXPONENT (2005) — 115 citations