Alexander Szimayer

Finance · 2003–2009

A researcher in the Science corpus: 5 papers; trusts 20 researchers and is trusted by 14 researchers here, as inferred from the citation graph.

Subfields

• Finance — 48 citations into it; #2,997 of 10,518 by trust here, #3,667 by citations
• Economics and Econometrics — 27 citations into it; #6,528 of 23,481 by trust here, #9,665 by citations
• Management Science and Operations Research — 11 citations into it
• Statistics and Probability — 10 citations into it
• Demography — 7 citations into it
• Mathematical Physics — 7 citations into it

Whom Alexander Szimayer trusts overall

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

1. Claudia Klüppelberg
2. Ole E. Barndorff-Nielsen
3. Tim Bollerslev
4. A. Lindner
5. Robert F. Engle
6. Ross Maller
7. Qiang Dai
8. Y. Wang
9. Valentina Corradi
10. Stephan Haug

Who trusts Alexander Szimayer overall

1. Claudia Czado
2. Peter J. Brockwell
3. Aleksey Min
4. Bing-Yue Liu
5. Riadh Aloui
6. Luiz Koodi Hotta
7. Gabriel Frahm

Papers from Alexander Szimayer's perspective

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

1. Generalized autoregressive conditional heteroskedasticity
2. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics
3. Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
4. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
5. Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models
6. Modelling by L´ evy Processes for Financial Econometrics
7. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
8. Dynamic models of long-memory processes driven by Lévy noise (Journal of Applied Probability)
9. Generalised Ornstein-Uhlenbeck Processes and the Convergence of Levy Integrals
10. Finite and infinite time ruin probabilities in a stochastic economic environment

Their papers

• Elliptical copulas: applicability and limitations (2003) — 174 citations
• Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications (2006) — 98 citations
• GARCH modelling in continuous time for irregularly spaced time series data (2008) — 69 citations
• Ornstein–Uhlenbeck Processes and Extensions (2009) — 110 citations
• A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS (2006) — 56 citations