V. Pisarenko

Economics and Econometrics · 2000–2006

A researcher in the Science corpus: 3 papers; trusts 2 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Economics and Econometrics — 8 citations into it

Whom V. Pisarenko trusts overall

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

1. Didier Sornette
2. Anders Johansen
3. Y. Kagan
4. William A. Brock

Who trusts V. Pisarenko overall

1. Dimitrije Marković
2. David E. A. Giles

Papers from V. Pisarenko's perspective

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

1. Generalized autoregressive conditional heteroskedasticity
2. Extreme Financial Risks: From Dependence to Risk Management
3. Large Stock Market Price Drawdowns Are Outliers
4. Portfolio Selection
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. The Behavior of Stock-Market Prices
8. Mathematical Statistics
9. Estimation of the upper cutoff parameter for the tapered Pareto distribution (Journal of Applied Probability)
10. A test for independence based on the correlation dimension

Their papers

• On the power of generalized extreme value (GEV) and generalized Pareto distribution (GPD) estimators for empirical distributions of stock returns (2006) — 48 citations
• Slider block friction model for landslides: Application to Vaiont and La Clapière landslides (2002) — 157 citations
• Characterization of the Frequency of Extreme Earthquake Events by the Generalized Pareto Distribution (2000) — 137 citations