D. Straumann

Finance · 2002–2006

A researcher in the Science corpus: 4 papers; trusts 3 researchers and is trusted by 61 researchers here, as inferred from the citation graph.

Subfields

• Finance — 8 citations into it; #631 of 10,518 by trust here, #501 by citations
• Economics and Econometrics — 6 citations into it; #9,055 of 23,481 by trust here, #17,346 by citations

Whom D. Straumann trusts overall

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

1. Thomas Mikosch
2. Bojan Basrak
3. Richard A. Davis
4. Gennady Samorodnitsky

Who trusts D. Straumann overall

1. Olivier Wintenberger
2. Christian Francq
3. Paul Embrechts
4. Thomas Mikosch
5. Richard A. Davis
6. Jean-Michel Zakoian
7. Timo Teräsvirta
8. Alexandra Dias
9. Claudia Klüppelberg
10. Rustam Ibragimov

Papers from D. Straumann's perspective

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

1. Regular variation of GARCH processes
2. Modeling Dependence and Tails of Financial Time Series
3. An Introduction to Copulas
4. Generalized autoregressive conditional heteroskedasticity
5. The sample autocorrelation function of non-linear time series
6. Mixing: Properties and Examples
7. Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process
8. Time Series: Theory and Methods
9. Long Memory and Regime Switching
10. Probabilistic Properties of Stochastic Volatility Models

Their papers

• Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls (2002) — 2,019 citations
• Whittle estimation in a heavy-tailed GARCH(1,1) model (2002) — 51 citations
• Stable limits of martingale transforms with application to the estimation of garch parameters (2006) — 76 citations
• Estimation in Conditionally Herteroscedastic Time Series Models (2004) — 120 citations