Sidney I. Resnick

Finance · 1999–2013

A researcher in the Science corpus: 18 papers; trusts 32 researchers and is trusted by 61 researchers here, as inferred from the citation graph.

Subfields

• Finance — 59 citations into it; #439 of 10,518 by trust here, #876 by citations
• Economics and Econometrics — 32 citations into it; #8,278 of 23,481 by trust here, #18,597 by citations
• Management Science and Operations Research — 30 citations into it; #1,713 of 11,946 by trust here, #2,873 by citations
• Statistics and Probability — 24 citations into it; #722 of 12,932 by trust here, #907 by citations
• Mathematical Physics — 17 citations into it; #3,306 of 8,562 by trust here, #4,785 by citations
• Artificial Intelligence — 13 citations into it; #4,352 of 35,345 by trust here, #9,465 by citations
• Global and Planetary Change — 12 citations into it; #3,160 of 10,225 by trust here, #7,466 by citations
• Demography — 7 citations into it

Whom Sidney I. Resnick trusts overall

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

1. Laurens de Haan
2. Janet E. Heffernan
3. Bojan Basrak
4. Tim Bollerslev
5. Thomas Mikosch
6. John H. J. Einmahl
7. Ana Ferreira
8. Krishanu Maulik
9. Stuart Coles
10. Henrik Hult

Who trusts Sidney I. Resnick overall

1. Bikramjit Das
2. Jennifer L. Wadsworth
3. Emilie Chautru
4. Thomas Mikosch
5. Richard A. Davis
6. Janet E. Heffernan
7. A. C. Davison
8. Haijun Li
9. Jonathan A. Tawn
10. Henrik Hult

Papers from Sidney I. Resnick's perspective

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

1. Generalized autoregressive conditional heteroskedasticity
2. Extreme value theory : an introduction
3. Regularly varying functions
4. Modelling Extremal Events for Insurance and Finance
5. An Introduction to Probability Theory and Its Applications
6. Characterizations and Examples of Hidden Regular Variation
7. An Introduction to Statistical Modeling of Extreme Values
8. Hidden regular variation and the rank transform (Advances in Applied Probability)
9. A conditional approach for multivariate extreme values (with discussion)
10. On maximum likelihood estimation of the extreme value index

Their papers

• Characterizations and Examples of Hidden Regular Variation (2004) — 114 citations
• Hidden regular variation and the rank transform (2005) — 50 citations
• On the foundations of multivariate heavy-tail analysis (2004) — 72 citations
• How to make a Hill Plot (2000) — 267 citations
• Limit Laws for Random Vectors with an Extreme Component (2005) — 174 citations
• Hidden Regular Variation, Second Order Regular Variation and Asymptotic Independence (2002) — 196 citations
• The Extremal Dependence Measure and Asymptotic Independence (2004) — 63 citations
• Living on the Multidimensional Edge: Seeking Hidden Risks Using Regular Variation (2011) — 56 citations
• The Pareto Copula, Aggregation of Risks and the Emperor's Socks (2008) — 47 citations
• Detecting a conditional extreme value model (2009) — 47 citations
• Conditioning on an extreme component: Model consistency with regular variation on cones (2008) — 71 citations
• Is network traffic approximated by stable Levy motion or fractional Brownian motion (2002) — 316 citations
• Regularly Varying Measures on Metric Spaces: Hidden Regular Variation and Hidden Jumps (2013) — 119 citations
• Extremal dependence measure and extremogram: the regularly varying case (2012) — 51 citations
• A discussion on mean excess plots (2009) — 127 citations
• Heavy-Tail Phenomena: Probabilistic and Statistical Modeling (2006) — 1,263 citations
• Lévy processes : theory and applications (2001) — 395 citations
• A Probability Path (1999)