Gennady Samorodnitsky

Finance · 1995–2016

A researcher in the Science corpus: 13 papers; trusts 21 researchers and is trusted by 11 researchers here, as inferred from the citation graph.

Subfields

• Finance — 35 citations into it; #2,190 of 10,518 by trust here, #3,009 by citations
• Management Science and Operations Research — 27 citations into it; #4,753 of 11,946 by trust here, #3,977 by citations
• Economics and Econometrics — 21 citations into it; #20,862 of 23,481 by trust here, #15,581 by citations
• Statistics and Probability — 11 citations into it; #4,236 of 12,932 by trust here, #9,233 by citations
• Demography — 9 citations into it
• Mathematical Physics — 8 citations into it; #2,803 of 8,562 by trust here, #4,785 by citations
• Artificial Intelligence — 6 citations into it
• Time-Series & Forecasting — 5 citations into it

Whom Gennady Samorodnitsky trusts overall

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

1. Thomas Mikosch
2. Paul Embrechts
3. Jan Beran
4. Bojan Basrak
5. Sidney I. Resnick
6. Jem N. Corcoran
7. Peter M. Robinson
8. Helyette Geman
9. Tim Bollerslev
10. Robert F. Engle

Who trusts Gennady Samorodnitsky overall

1. Zakhar Kabluchko
2. Thomas Mikosch
3. E. Roy
4. John Paul Roop
5. Richard A. Davis
6. Xavier Ros-Oton
7. Steven Kou
8. T. Marquardt
9. Yaozhong Hu
10. A. Jessen

Papers from Gennady Samorodnitsky's perspective

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

1. Generalized autoregressive conditional heteroskedasticity
2. Regular variation of GARCH processes
3. Time Series: Theory and Methods
4. An Introduction to Probability Theory and Its Applications
5. Modelling Extremal Events for Insurance and Finance
6. Extremal behavior of regularly varying stochastic processes
7. The sample autocorrelation function of non-linear time series
8. The supremum of a negative drift random walk with dependent heavy-tailed steps
9. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
10. Long Memory and Regime Switching

Their papers

• Multivariate extremes, aggregation and risk estimation (2001) — 74 citations
• The supremum of a negative drift random walk with dependent heavy-tailed steps (2000) — 138 citations
• Functional large deviations for multivariate regularly varying random walks (2005) — 109 citations
• Tail probabilities for infinite series of regularly varying random vectors (2007) — 61 citations
• Null flows, positive flows and the structure of stationary symmetric stable processes (2004) — 58 citations
• Ruin probability with claims modeled by a stationary ergodic stable process (2000) — 64 citations
• Stochastic Processes and Long Range Dependence (2016) — 162 citations
• Fat tails, VaR and subadditivity☆ (2013) — 129 citations
• Long Range Dependence (2007) — 362 citations
• Subadditivity Re–Examined: the Case for Value-at-Risk (2005) — 114 citations
• Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes (2004) — 92 citations
• Ruin theory revisited: stochastic models for operational risk (2002) — 62 citations
• Stable Non-Gaussian Random Processes : Stochastic Models with Infinite Variance (1995)