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Rachev, Svetlozar T.

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Author ID: rachev.svetlozar-t Recent zbMATH articles by "Rachev, Svetlozar T."
Published as: Rachev, S. T.; Rachev, Svetlozar T.; Rachev, Svetlozar; Rachev, S.; Rachev, Svetlozar (Zari) T.; Rachev, Svetlosar T.
Homepage: http://www.pstat.ucsb.edu/faculty%20pages/RACHEV.htm
External Links: MGP · Wikidata · ResearchGate · Math-Net.Ru · GND
Documents Indexed: 285 Publications since 1978, including 18 Books
Reviewing Activity: 39 Reviews
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Co-Authors

29 single-authored
39 Fabozzi, Frank J.
27 Mittnik, Stefan
22 Klebanov, Leo B.
22 Stoyanov, Stoyan V.
21 Rüschendorf, Ludger
19 Yakovlev, Andrej Yu.
13 Ortobelli, Sergio
11 Samorodnitsky, Gennady Pinkhosovich
9 Obretenov, Apostol
8 Kalashnikov, Vladimir Vyacheslavovich
7 Bianchi, Michele Leonardo
6 Anastassiou, George Angelos
6 Dimitrov, Boyan N.
6 Giacometti, Rosella
6 Ignatov, Zvetan G.
6 Kim, Young Shin S.
5 Biglova, Almira
5 Kim, Jeong-Ryeol
5 Kozubowski, Tomasz J.
4 Kadyrova, N. O.
4 Marinelli, Carlo
4 Menn, Christian
4 Paolella, Marc S.
4 Paulauskas, Vygantas Ionovič
4 Schwartz, Eduardo S.
3 Bertocchi, Marida
3 Gamrowski, Bertrand
3 Gani, Joseph Mark
3 Goot, R. E.
3 Haynatzka, Vera R.
3 Haynatzki, Gleb R.
3 Höchstötter, Markus
3 Khindanova, Irina N.
3 Maejima, Makoto
3 Trück, Stefan
3 Yukich, Joseph Elliott
2 Balinski, Michel Louis
2 Baxter, Laurence A.
2 Belovas, Igoris
2 Bol, Georg
2 D’Addona, Stefano
2 Doganoglu, Toker
2 Focardi, Sergio M.
2 Hurst, Simon R.
2 Kabašinskas, Audrius
2 Kakosyan, Ashot V.
2 Khanin, L. G.
2 Kring, Sebastian
2 Lee, Mei-Ling Ting
2 Melamed, Joseph A.
2 Myasnikova, Ekaterina M.
2 Olkin, Ingram
2 Platen, Eckhard
2 Römisch, Werner
2 Russo, Vincenzo
2 Sakalauskas, Leonidas L.
2 Schief, Andreas
2 Shalit, Haim
2 Shortt, Rae Michael
2 Tokat, Yesim
2 Tsodikov, Alexander D.
2 Volkovich, Vladimir E.
2 Vyndev, D.
2 Weron, Aleksander
2 Weron, Rafał
1 Atakhanova, Zauresh
1 Beirlant, Jan
1 Bronshteĭn, Efim Mikhaĭlovich
1 Burnecki, Krzysztof
1 Caviezel, Valeria
1 Cheng, Benny N.
1 Chenyao, D.
1 Chernobai, Anna
1 Chernobal, A.
1 Chobanov, Georgi S.
1 Chung, Dong Myung
1 Cuesta-Albertos, Juan Antonio
1 De Giovanni, Domenico
1 de Haan, Laurens
1 Dokov, Steftcho P.
1 Donchev, Doncho S.
1 Dostoglou, Stamatis
1 Epstein, Raisa
1 Götzenberger, G.
1 Han, Seonkoo
1 Hanin, Leonid G.
1 Hauksson, Höskuldur Ari
1 Heathcote, Christopher R.
1 Hernández, Jorge E.
1 Heyde, Christopher Charles
1 Hu, Yuan
1 Huber, Isabella
1 Jašić, Teo
1 Kalev, Petko S.
1 Karandikar, Rajeeva Laxman
1 Kelbert, Mark Ya.
1 Khalil, Zohel
1 Kim, Yong Shin
1 Kim, Young Shim
1 Kurz-Kim, Jeong-Ryeol
...and 41 more Co-Authors
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Serials

17 Mathematical and Computer Modelling
11 Journal of Soviet Mathematics
9 Probability and Mathematical Statistics
9 International Journal of Theoretical and Applied Finance
8 Teoriya Veroyatnosteĭ i eë Primeneniya
8 Journal of Computational Analysis and Applications
7 Advances in Applied Probability
7 The Mathematical Scientist
7 Applied Mathematics Letters
6 Theory of Probability and its Applications
6 The Annals of Probability
5 Journal of Applied Probability
5 Statistics & Probability Letters
5 Serdica
5 Journal of Applied Functional Analysis
4 Journal of Theoretical Probability
4 Mathematical Methods of Operations Research
3 Mathematical Biosciences
3 Journal of Computational and Applied Mathematics
3 Journal of Multivariate Analysis
3 Numerical Functional Analysis and Optimization
3 Soviet Mathematics. Doklady
3 Insurance Mathematics & Economics
3 Statistics & Decisions
3 Communications in Statistics. Stochastic Models
3 Annals of Operations Research
3 European Journal of Operational Research
3 Quantitative Finance
2 Computers & Mathematics with Applications
2 Biometrical Journal
2 Economics Letters
2 The Annals of Applied Probability
2 Stochastic Processes and their Applications
2 Applied Mathematical Finance
2 Studies in Nonlinear Dynamics and Econometrics
2 Asia-Pacific Financial Markets
2 Contributions to Economics
1 Journal of Mathematical Analysis and Applications
1 Dissertationes Mathematicae
1 Journal of Econometrics
1 Management Science
1 Mathematics of Operations Research
1 Publications de l’Institut de Statistique de l’Université de Paris
1 SIAM Journal on Control and Optimization
1 Statistica Neerlandica
1 PLISKA. Studia Mathematica Bulgarica
1 Acta Applicandae Mathematicae
1 Statistics
1 Probability Theory and Related Fields
1 Econometric Reviews
1 Journal of Economic Dynamics & Control
1 SIAM Journal on Matrix Analysis and Applications
1 Queueing Systems
1 Siberian Advances in Mathematics
1 Computational Statistics
1 Doklady Bolgarskoĭ Akademii Nauk
1 Communications in Statistics. Simulation and Computation
1 Communications in Statistics. Theory and Methods
1 Proceedings of the National Academy of Sciences of the United States of America
1 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
1 Computational Statistics and Data Analysis
1 Systems Analysis, Modelling Simulation
1 Statistical Papers
1 Serdica Mathematical Journal
1 Mathematical Finance
1 The Econometrics Journal
1 Informatica (Vilnius)
1 Sibirskiĭ Zhurnal Industrial’noĭ Matematiki
1 Econometric Theory
1 AStA. Allgemeines Statistisches Archiv
1 North American Actuarial Journal
1 Review of Derivatives Research
1 Journal of Concrete and Applicable Mathematics
1 Lecture Notes in Statistics
1 Monografii Matematice (Timişoara)
1 Zapiski Nauchnykh Seminarov Leningradskogo Otdeleniya Matematicheskogo Instituta Imeni V. A. Steklova
1 Journal of Statistical Theory and Practice
1 Annals of Finance
1 Springer Series in Statistics
1 Wiley Series in Probability and Mathematical Statistics

Publications by Year

Citations contained in zbMATH Open

209 Publications have been cited 2,076 times in 1,446 Documents Cited by Year
Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications. Zbl 0990.60500
Rachev, S. T.; Rüschendorf, Ludger
202
1998
Probability metrics and the stability of stochastic models. Zbl 0744.60004
Rachev, Svetlozar T.
169
1991
Stable Paretian models in finance. Zbl 0972.91060
Rachev, Svetlozar; Mittnik, Stefan
153
2000
Modeling asset returns with alternative stable distributions. (With comments and reply). Zbl 0801.62096
Mittnik, Stefan; Rachev, Svetlozar T.
82
1993
The Monge-Kantorovich mass transference problem and its stochastic applications. Zbl 0581.60010
Rachev, S. T.
71
1985
Mass transshipment problems and ideal metrics. Zbl 0725.60002
Rachev, S. T.
61
1991
A characterization of random variables with minimum \(L^ 2\)-distance. Zbl 0688.62034
Rüschendorf, L.; Rachev, S. T.
51
1990
Probability metrics and recursive algorithms. Zbl 0829.60094
Rachev, S. T.; Rüschendorf, L.
44
1995
Quantitative stability in stochastic programming: the method of probability metrics. Zbl 1082.90080
Rachev, Svetlozar T.; Römisch, Werner
37
2002
Approximation of sums by compound Poisson distributions with respect to stop-loss distances. Zbl 0729.62101
Rachev, S. T.; Rüschendorf, L.
27
1990
Multivariate stable futures prices. Zbl 0862.62089
Cheng, B. N.; Rachev, S. T.
26
1995
The theory of geometric stable distributions and its use in modeling financial data. Zbl 0803.90008
Kozubowski, Tomasz J.; Rachev, Svetlozar T.
25
1994
Maximum likelihood estimation of stable Paretian models. Zbl 1098.62520
Mittnik, S.; Rachev, S. T.; Doganoglu, T.; Chenyao, D.
25
1999
Mathematical methods for construction of queueing models. Transl. from the Russian by L. Cannon. Zbl 0709.60096
Kalashnikov, V. V.; Rachev, S. T.
24
1990
Approximate independence of distributions on spheres and their stability properties. Zbl 0732.62014
Rachev, S. T.; Rüschendorf, L.
24
1991
Univariate geometric stable laws. Zbl 1055.60503
Kozubowski, T. J.; Rachev, S. T.
22
1999
Testing multivariate symmetry. Zbl 0863.62059
Heathcote, C. R.; Rachev, S. T.; Cheng, B.
22
1995
The methods of distances in the theory of probability and statistics. Zbl 1280.60005
Rachev, Svetlozar T.; Klebanov, Lev B.; Stoyanov, Stoyan V.; Fabozzi, Frank J.
22
2013
Option pricing for a logstable asset price model. Zbl 0990.91022
Hurst, S. R.; Platen, E.; Rachev, S. T.
21
1999
Optimal financial portfolios. Zbl 1151.91542
Stoyanov, S. V.; Rachev, S. T.; Fabozzi, F. J.
20
2007
Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557
Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira
19
2008
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Zbl 1260.91228
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico
19
2012
Subordinated market index models: A comparison. Zbl 1153.91788
Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T.
18
1997
A stochastic model of radiation carcinogenesis: Latent time distributions and their properties. Zbl 0777.92008
Klebanov, Lev B.; Rachev, Svetlozar T.; Yakovlev, Andrej Yu.
18
1993
Limit laws for a stochastic process and random recursion arising in probabilistic modelling. Zbl 0819.60024
Rachev, Svetlozar T.; Samorodnitsky, Gennady
17
1995
Stable distributions for asset returns. Zbl 0709.62708
Mittnik, Stefan; Rachev, Svetlozar T.
17
1989
Test for association of random variables in the domain of attraction of multivariate stable law. Zbl 0807.62047
Rachev, Svetlozar T.; Xin, Huang
16
1993
Monge-Kantorovich problem on mass transition and its applications in stochastics. Zbl 0565.60010
Rachev, S. T.
15
1984
Financial models with Lévy processes and volatility clustering. Zbl 1217.91003
Rachev, Svetlozar T.; Kim, Young Shim; Bianchi, Michele Leonardo; Fabozzi, Frank J.
15
2011
Stable Paretian modeling in finance: Some empirical and theoretical aspects. Zbl 0926.91023
Mittnik, Stefan; Rachev, Svetlozar T.; Paolella, Marc S.
14
1998
Stable GARCH models for financial time series. Zbl 0836.90037
Panorska, A. K.; Mittnik, S.; Rachev, S. T.
14
1995
Tempered infinitely divisible distributions and processes. Zbl 1215.60013
Bianchi, M. L.; Rachev, S. T.; Kim, Y. S.; Fabozzi, F. J.
14
2011
The problem of stability in queueing theory. Zbl 0676.60090
Rachev, S. T.
14
1989
Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
13
1998
Computing VaR and AVaR in infinitely divisible distributions. Zbl 1222.60018
Kim, Young Shin S.; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J.
13
2010
An ideal metric and the rate of convergence to a self-similar process. Zbl 0624.60010
Maejima, Makoto; Rachev, Svetlozar T.
13
1987
The modified tempered stable distribution, GARCH models and option pricing. Zbl 1166.60013
Kim, Yong Shin; Rachev, Svetlozar T.; Chung, Dong Myung; Bianchi, Michele Leonardo
13
2009
Cointegrated processes with infinite variance innovations. Zbl 0941.62092
Paulauskas, Vygantas; Rachev, Svetlozar T.
12
1998
Stationarity of stable power-GARCH processes. Zbl 1043.62074
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
12
2002
Tail estimation of the stable index \(\alpha\). Zbl 0855.62015
Mittnik, S.; Rachev, S. T.
12
1996
Duality theorems for Kantorovich-Rubinstein and Wasserstein functionals. Zbl 0716.60005
Rachev, S. T.; Shortt, R. M.
12
1990
Calibrating affine stochastic mortality models using term assurance premiums. Zbl 1218.91093
Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; Rachev, Svetlozar; Fabozzi, Frank J.
12
2011
Asymptotic distribution of unibiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals. Zbl 1131.62013
Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, Jeong-Ryeol; Stoyanov, Stoyan V.
11
2007
Stable distributions in the Black-Litterman approach to asset allocation. Zbl 1190.91136
Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J.
11
2007
Option pricing for stable and infinitely divisible asset returns. Zbl 0990.91023
Mittnik, S.; Rachev, S. T.
11
1999
Mass transportation problems in probability theory. Zbl 0860.60083
Cuesta-Albertos, J. A.; Matrán, C.; Rachev, S. T.; Rüschendorf, L.
11
1996
Stochastic models for risk estimation in volatile markets: a survey. Zbl 1233.91332
Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Rachev, Svetlozar T.; Fabozzi, Frank J.
11
2010
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Zbl 1269.91082
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J.
11
2013
Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case. Zbl 1255.91395
Stoyanov, Stoyan; Samorodnitsky, Gennady; Rachev, Svetlozar T.; Ortobelli, Sergio
10
2006
Rounding proportions: Methods of rounding. Zbl 0935.65046
Balinski, Michel L.; Rachev, Svetlozar T.
10
1997
Alternative multivariate stable distributions and their applications to financial modeling. Zbl 0725.90006
Mittnik, Stefan; Rachev, Svetlozar T.
10
1991
Sums of a random number of random variables and their approximations with \(\nu\)-accompanying infinitely divisible laws. Zbl 0939.60003
Klebanov, L.; Rachev, S. T.
10
1996
The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach. Zbl 1178.91181
Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo S.
9
2003
Solution of some transportation problems with relaxed or additional constraints. Zbl 0797.60019
Rachev, S. T.; Rüschendorf, L.
9
1994
Rates of convergence in multivariate extreme value theory. Zbl 0735.60053
Omey, E.; Rachev, S. T.
9
1991
The proper use of risk measures in portfolio theory. Zbl 1117.91035
Ortobelli, Sergio; Rachev, Svetlozar T.; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira
8
2005
Financial econometrics. From basics to advanced modeling techniques. Zbl 1154.62079
Rachev, Svetlozar; Mittnik, Stefan; Fabozzi, Frank J.; Focardi, Sergio M.; Jašić, Teo
8
2007
Portfolio management with stable distributions. Zbl 1016.91060
Rachev, Svetlozar; Han, Seonkoo
8
2000
A stochastic model of carcinogenesis and tumor size at detection. Zbl 0892.60021
Hanin, L. G.; Rachev, S. T.; Tsodikov, A. D.; Yakovlev, A. Yu.
8
1997
Mathematical methods for the construction of stochastic queueing models. (Matematicheskie metody postroeniya stokhasticheskikh modelej obsluzhivaniya.) Zbl 0714.60083
Kalashnikov, V. V.; Rachev, S. T.
8
1988
Maximum submatrix traces for positive definite matrices. Zbl 0772.15009
Olkin, I.; Rachev, S. T.
8
1993
Max-geometric infinite divisibility and stability. Zbl 0736.60015
Rachev, S. T.; Resnick, S.
8
1991
A GARCH option pricing model with \(\alpha\)-stable innovations. Zbl 1067.90120
Menn, Christian; Rachev, Svetlozar T.
8
2005
Laplace-Weibull mixtures for modeling price changes. Zbl 0785.90024
Rachev, S. T.; SenGupta, A.
7
1993
On the optimal control of cancer radiotherapy for non-homogeneous cell populations. Zbl 0767.60011
Hanin, L. G.; Rachev, S. T.; Yakovlev, A. Yu.
7
1993
A testable version of the Pareto-Stable CAPM. Zbl 1014.91047
Gamrowski, B.; Rachev, S. T.
7
1999
Integral and asymptotic representations of geo-stable densities. Zbl 0867.60005
Klebanov, L. B.; Melamed, J. A.; Mittnik, S.; Rachev, S. T.
7
1996
Rates for the CLT via new ideal metrics. Zbl 0675.60018
Rachev, S. T.; Yukich, J. E.
7
1989
Smoothly truncated stable distributions, GARCH-models, and option pricing. Zbl 1166.91022
Menn, Christian; Rachev, Svetlozar T.
7
2009
Models for option prices. Zbl 0833.90020
Rachev, S. T.; Rüschendorf, L.
6
1994
Statistical inference in regression with heavy-tailed integrated variables. Zbl 1003.62070
Mittnik, S.; Paulauskas, V.; Rachev, S. T.
6
2001
Long strange segments in a long-range-dependent moving average. Zbl 1053.60036
Rachev, Svetlozar T.; Samorodnitsky, Gennady
6
2001
Maximum likelihood estimators in regression models with infinite variance innovations. Zbl 1180.62124
Paulauskas, Vygantas; Rachev, Svetlozar T.
6
2003
Association of stable random variables. Zbl 0716.60017
Lee, Mei-Ling Ting; Rachev, Svetlozar T.; Samorodnitsky, Gennady
6
1990
Orderings and risk probability functionals in portfolio theory. Zbl 1158.60322
Ortobelli, Sergio; Rachev, Svetlozar; Shalit, Haim; Fabozzi, Frank J.
6
2008
Barrier option pricing by branching processes. Zbl 1196.91058
Mitov, Georgi K.; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J.
6
2009
Orderings and probability functionals consistent with preferences. Zbl 1169.91375
Ortobelli, Sergio; Rachev, Svetlozar T.; Shalit, Haim; Fabozzi, Frank J.
6
2009
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. Zbl 1233.91333
Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, Petko S.
6
2008
A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates. Zbl 1235.91089
Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J.
6
2012
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
6
2012
Ill-posed problems in probability and stability of random sums. Zbl 1147.60001
Klebanov, Lev B.; Kozubowski, Tomasz J.; Rachev, Svetlozar T.
5
2006
Calibrated FFT-based density approximations for \(\alpha\)-stable distributions. Zbl 1445.60018
Menn, Christian; Rachev, Svetlozar T.
5
2006
Geometric stable distributions and Laplace-Weibull mixtures. Zbl 0762.60012
Rachev, S. T.; SenGupta, A.
5
1992
On a class of minimal functionals on the space of probability measures. Zbl 0531.60008
Rachev, S. T.
5
1984
Minimal metrics in the random variables space. Zbl 0494.60012
Rachev, S. T.
5
1982
Stable Paretian models in econometrics. I. Zbl 0956.91065
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
5
1999
Geometric stable distributions in Banach spaces. Zbl 0804.60014
Rachev, Svetlozar T.; Samorodnitsky, Gennady
5
1994
Uniformities for the convergence in law and in probability. Zbl 0756.60003
Rachev, S. T.; Rüschendorf, L.; Schief, A.
5
1992
Safety-first analysis and stable Paretian approach to portfolio choice theory. Zbl 1018.91026
Ortobelli, L. S.; Rachev, S. T.
5
2001
Stable modeling of value at risk. Zbl 1008.91063
Khindanova, I.; Rachev, S.; Schwartz, E.
5
2001
A generalized binomial model and option pricing formulae for subordinated stock-price processes. Zbl 0849.90013
Karandikar, Rajeeva L.; Rachev, Svetlozar T.
5
1995
A distribution of tumor size at detection and its limiting form. Zbl 0853.62089
Yakovlev, A. Y.; Hanin, L. G.; Rachev, S. T.; Tsodikov, A. D.
5
1996
Characterization problems in queueing and their stability. Zbl 0582.60084
Kalashnikov, V. V.; Rachev, S. T.
5
1985
Long strange segments of a stochastic process. Zbl 1052.60025
Mansfield, Peter; Rachev, Svetlozar T.; Samorodnitsky, Gennady
5
2001
Econometric modeling in the presence of heavy-tailed innovations: A survey of some recent advances. Zbl 0888.90034
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
5
1997
A tail estimator for the index of the stable Paretian distribution. Zbl 0908.62018
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
5
1998
Time series with unit roots and infinite-variance disturbances. Zbl 0939.62093
Rachev, S. T.; Mittnik, S.; Kim, J.-R.
5
1998
Multivariate geometric stable laws. Zbl 0964.62039
Kozubowski, T. J.; Rachev, S. T.
5
1999
Mass transportation problems with capacity constraints. Zbl 0946.60009
Rachev, S. T.; Olkin, I.
5
1999
Computing VaR and AVaR of skewed-T distribution. Zbl 1158.91394
Dokov, Steftcho; Stoyanov, Stoyan V.; Rachev, Svetlozar T.
5
2008
Tempered stable Ornstein-Uhlenbeck processes: a practical view. Zbl 1366.60078
Bianchi, Michele Leonardo; Rachev, Svetlozar T.; Fabozzi, Frank J.
4
2017
Multi-purpose binomial model: fitting all moments to the underlying geometric Brownian motion. Zbl 1400.91654
Kim, Y. S.; Stoyanov, S.; Rachev, S.; Fabozzi, F.
1
2016
Smooth monotone covariance for elliptical distributions and applications in finance. Zbl 1402.62263
Zhou, Xiaoping; Malioutov, Dmitry; Fabozzi, Frank J.; Rachev, Svetlozar T.
1
2014
The methods of distances in the theory of probability and statistics. Zbl 1280.60005
Rachev, Svetlozar T.; Klebanov, Lev B.; Stoyanov, Stoyan V.; Fabozzi, Frank J.
22
2013
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics. Zbl 1269.91082
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J.
11
2013
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. Zbl 1260.91228
Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico
19
2012
A comparison of the Lee-Carter model and AR-ARCH model for forecasting mortality rates. Zbl 1235.91089
Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J.
6
2012
Option pricing and hedging under a stochastic volatility Lévy process model. Zbl 1242.91190
Kim, Young Shin; Fabozzi, Frank J.; Lin, Zuodong; Rachev, Svetlozar T.
6
2012
Metrization of stochastic dominance rules. Zbl 1282.91162
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J.
4
2012
On a class of distributions stable under random summation. Zbl 1245.60022
Klebanov, L. B.; Kakosyan, A. V.; Rachev, S. T.; Temnov, G.
1
2012
Financial models with Lévy processes and volatility clustering. Zbl 1217.91003
Rachev, Svetlozar T.; Kim, Young Shim; Bianchi, Michele Leonardo; Fabozzi, Frank J.
15
2011
Tempered infinitely divisible distributions and processes. Zbl 1215.60013
Bianchi, M. L.; Rachev, S. T.; Kim, Y. S.; Fabozzi, F. J.
14
2011
Calibrating affine stochastic mortality models using term assurance premiums. Zbl 1218.91093
Russo, Vincenzo; Giacometti, Rosella; Ortobelli, Sergio; Rachev, Svetlozar; Fabozzi, Frank J.
12
2011
Comment on “Weak convergence to a matrix stochastic integral with stable processes”. Zbl 1274.62935
Paulauskas, Vygantas; Rachev, Svetlozar T.; Fabozzi, Frank J.
2
2011
Computing VaR and AVaR in infinitely divisible distributions. Zbl 1222.60018
Kim, Young Shin S.; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J.
13
2010
Stochastic models for risk estimation in volatile markets: a survey. Zbl 1233.91332
Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Rachev, Svetlozar T.; Fabozzi, Frank J.
11
2010
Probability and statistics for finance. Zbl 1229.91002
Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J.; Focardi, Sergio M.
3
2010
Stable mixture model with dependent states for financial return series exhibiting short histories and periods of strong passivity. Zbl 1192.91193
Kabašinskas, Audrius; Rachev, Svetlozar T.; Sakalauskas, Leonidas; Sun, Wei; Belovas, Igoris
1
2010
Portfolio selection based on a simulated copula. Zbl 1197.91180
Ortobelli, Sergio; Biglova, Almira; Rachev, Svetlozar (Zari) T.; Stoyanov, Stoyan
1
2010
A note on the impact of nonlinear reward and risk measures. Zbl 1197.91175
Biglova, Almira; Ortobelli, Sergio; Rachev, Svetlozar (Zari) T.; Stoyanov, Stoyan
1
2010
The modified tempered stable distribution, GARCH models and option pricing. Zbl 1166.60013
Kim, Yong Shin; Rachev, Svetlozar T.; Chung, Dong Myung; Bianchi, Michele Leonardo
13
2009
Smoothly truncated stable distributions, GARCH-models, and option pricing. Zbl 1166.91022
Menn, Christian; Rachev, Svetlozar T.
7
2009
Barrier option pricing by branching processes. Zbl 1196.91058
Mitov, Georgi K.; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J.
6
2009
Orderings and probability functionals consistent with preferences. Zbl 1169.91375
Ortobelli, Sergio; Rachev, Svetlozar T.; Shalit, Haim; Fabozzi, Frank J.
6
2009
Multi-tail generalized elliptical distributions for asset returns. Zbl 1231.91488
Kring, Sebastian; Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J.; Bianchi, Michele Leonardo
5
2009
Estimation of \(\alpha\)-stable sub-Gaussian distributions for asset returns. Zbl 1154.91601
Kring, Sebastian; Rachev, Svetlozar T.; Höchstötter, Markus; Fabozzi, Frank J.
4
2009
Pricing tranches of a CDO and a CDS index: Recent advances and future research. Zbl 1154.91517
Wang, Dezhong; Rachev, Svetlozar T.; Fabozzi, Frank J.
4
2009
Alpha-stable paradigm in financial markets. Zbl 1165.91454
Kabašinskas, Audrius; Rachev, Svetlozar T.; Sakalauskas, Leonidas; Sun, Wei; Belovas, Igoris
3
2009
A new tempered stable distribution and its application to finance. Zbl 1154.91507
Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J.
3
2009
Stable ETL optimal portfolios and extreme risk management. Zbl 1154.91471
Rachev, Svetlozar T.; Martin, R. Douglas; Racheva, Borjana; Stoyanov, Stoyan
3
2009
Construction of probability metrics on classes of investors. Zbl 1178.91046
Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J.
2
2009
Desirable properties of an ideal risk measure in portfolio theory. Zbl 1153.91557
Rachev, Svetlozar; Ortobelli, Sergio; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira
19
2008
Orderings and risk probability functionals in portfolio theory. Zbl 1158.60322
Ortobelli, Sergio; Rachev, Svetlozar; Shalit, Haim; Fabozzi, Frank J.
6
2008
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration. Zbl 1233.91333
Sun, Wei; Rachev, Svetlozar; Fabozzi, Frank J.; Kalev, Petko S.
6
2008
Computing VaR and AVaR of skewed-T distribution. Zbl 1158.91394
Dokov, Steftcho; Stoyanov, Stoyan V.; Rachev, Svetlozar T.
5
2008
Delta hedging strategies comparison. Zbl 1142.91514
De Giovanni, Domenico; Ortobelli, Sergio; Rachev, Svetlozar
4
2008
Multivariate skewed Student’s \(t\) copula in the analysis of nonlinear and asymmetric dependence in the German equity market. Zbl 1193.91183
Sun, Wei; Rachev, Svetlozar; Stoyanov, Stoyan V.; Fabozzi, Frank J.
4
2008
Asymptotic distribution of the sample average value-at-risk. Zbl 1132.62088
Stoyanov, Stoyan V.; Rachev, Svetlozar T.
1
2008
Asymptotic distribution of the sample average value-at-risk in the case of heavy-tailed returns. Zbl 1158.91389
Stoyanov, Stoyan V.; Rachev, Svetlozar T.
1
2008
Optimal financial portfolios. Zbl 1151.91542
Stoyanov, S. V.; Rachev, S. T.; Fabozzi, F. J.
20
2007
Asymptotic distribution of unibiased linear estimators in the presence of heavy-tailed stochastic regressors and residuals. Zbl 1131.62013
Samorodnitsky, Gennady; Rachev, Svetlozar T.; Kurz-Kim, Jeong-Ryeol; Stoyanov, Stoyan V.
11
2007
Stable distributions in the Black-Litterman approach to asset allocation. Zbl 1190.91136
Giacometti, Rosella; Bertocchi, Marida; Rachev, Svetlozar T.; Fabozzi, Frank J.
11
2007
Financial econometrics. From basics to advanced modeling techniques. Zbl 1154.62079
Rachev, Svetlozar; Mittnik, Stefan; Fabozzi, Frank J.; Focardi, Sergio M.; Jašić, Teo
8
2007
A comparison of some univariate models for value-at-risk and expected shortfall. Zbl 1141.91535
Marinelli, Carlo; D’Addona, Stefano; Rachev, Svetlozar T.
1
2007
Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case. Zbl 1255.91395
Stoyanov, Stoyan; Samorodnitsky, Gennady; Rachev, Svetlozar T.; Ortobelli, Sergio
10
2006
Ill-posed problems in probability and stability of random sums. Zbl 1147.60001
Klebanov, Lev B.; Kozubowski, Tomasz J.; Rachev, Svetlozar T.
5
2006
Calibrated FFT-based density approximations for \(\alpha\)-stable distributions. Zbl 1445.60018
Menn, Christian; Rachev, Svetlozar T.
5
2006
Modelling catastrophe claims with left-truncated severity distributions. Zbl 1164.62411
Chernobai, Anna; Burnecki, Krzysztof; Rachev, Svetlozar; Trück, Stefan; Weron, Rafał
4
2006
Risk attribution and portfolio performance measurement. An overview. Zbl 1169.91395
Zhang, Yongli; Rachev, Svetlozar T.
2
2006
The proper use of risk measures in portfolio theory. Zbl 1117.91035
Ortobelli, Sergio; Rachev, Svetlozar T.; Stoyanov, Stoyan; Fabozzi, Frank J.; Biglova, Almira
8
2005
A GARCH option pricing model with \(\alpha\)-stable innovations. Zbl 1067.90120
Menn, Christian; Rachev, Svetlozar T.
8
2005
Optimal portfolio selection and risk management: a comparison between the stable Paretian approach and the Gaussian one. Zbl 1138.91466
Ortobelli, Sergio; Rachev, Svetlozar; Huber, Isabella; Biglova, Almira
1
2004
Handbook of computational and numerical methods in finance. Zbl 1068.91001
Rachev, Svetlozar T.
1
2004
The problem of optimal asset allocation with stable distributed returns. Zbl 1106.91034
Rachev, Svetlozar; Ortobelli, Sergio; Schwartz, Eduardo
1
2004
The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach. Zbl 1178.91181
Tokat, Yesim; Rachev, Svetlozar T.; Schwartz, Eduardo S.
9
2003
Maximum likelihood estimators in regression models with infinite variance innovations. Zbl 1180.62124
Paulauskas, Vygantas; Rachev, Svetlozar T.
6
2003
Quantitative stability in stochastic programming: the method of probability metrics. Zbl 1082.90080
Rachev, Svetlozar T.; Römisch, Werner
37
2002
Stationarity of stable power-GARCH processes. Zbl 1043.62074
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
12
2002
Value-at-risk and asset allocation with stable return distributions. Zbl 1177.62123
Mittnik, Stefan; Rachev, Svetlozar; Schwartz, Eduardo
3
2002
Optimal policies for investment with time-varying return distributions. Zbl 1118.91320
Donchev, Doncho S.; Rachev, Svetlosar T.; Steigerwald, Douglas G.
1
2002
Statistical inference in regression with heavy-tailed integrated variables. Zbl 1003.62070
Mittnik, S.; Paulauskas, V.; Rachev, S. T.
6
2001
Long strange segments in a long-range-dependent moving average. Zbl 1053.60036
Rachev, Svetlozar T.; Samorodnitsky, Gennady
6
2001
Safety-first analysis and stable Paretian approach to portfolio choice theory. Zbl 1018.91026
Ortobelli, L. S.; Rachev, S. T.
5
2001
Stable modeling of value at risk. Zbl 1008.91063
Khindanova, I.; Rachev, S.; Schwartz, E.
5
2001
Long strange segments of a stochastic process. Zbl 1052.60025
Mansfield, Peter; Rachev, Svetlozar T.; Samorodnitsky, Gennady
5
2001
Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence. Zbl 1006.60011
Marinelli, C.; Rachev, S. T.; Roll, R.
2
2001
Characterization of distributions symmetric with respect to a group of transformations and testing of corresponding statistical hypothesis. Zbl 0982.62054
Klebanov, L. B.; Kozubowski, T. J.; Rachev, S. T.; Volkovich, V. E.
2
2001
Special issue: Stable non-Gaussian models in finance and econometrics. Zbl 0991.00020
Mittnik, Stefan; Rachev, Svetlozar
1
2001
Stable Paretian models in finance. Zbl 0972.91060
Rachev, Svetlozar; Mittnik, Stefan
153
2000
Portfolio management with stable distributions. Zbl 1016.91060
Rachev, Svetlozar; Han, Seonkoo
8
2000
A new representation for the characteristic function of strictly geo-stable vectors. Zbl 0979.60008
Klebanov, Lev B.; Mittnik, Stefan; Rachev, Svetlozar T.; Volkovich, Vladimir E.
2
2000
Value at risk: Recent advances. Zbl 0978.91050
Khindanova, Irina N.; Rachev, Svetlozar T.
1
2000
The spread of AIDS among interactive transmission groups. Zbl 0971.92027
Haynatzka, V. R.; Gani, J.; Rachev, S. T.
1
2000
Local prelimit theorems and their applications to finance. Zbl 0958.60024
Klebanov, L. B.; Rachev, S. T.; Safarian, M.
1
2000
Maximum likelihood estimation of stable Paretian models. Zbl 1098.62520
Mittnik, S.; Rachev, S. T.; Doganoglu, T.; Chenyao, D.
25
1999
Univariate geometric stable laws. Zbl 1055.60503
Kozubowski, T. J.; Rachev, S. T.
22
1999
Option pricing for a logstable asset price model. Zbl 0990.91022
Hurst, S. R.; Platen, E.; Rachev, S. T.
21
1999
Option pricing for stable and infinitely divisible asset returns. Zbl 0990.91023
Mittnik, S.; Rachev, S. T.
11
1999
A testable version of the Pareto-Stable CAPM. Zbl 1014.91047
Gamrowski, B.; Rachev, S. T.
7
1999
Stable Paretian models in econometrics. I. Zbl 0956.91065
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
5
1999
Multivariate geometric stable laws. Zbl 0964.62039
Kozubowski, T. J.; Rachev, S. T.
5
1999
Mass transportation problems with capacity constraints. Zbl 0946.60009
Rachev, S. T.; Olkin, I.
5
1999
Test of association between multivariate stable vectors. Zbl 1098.62534
Mittnik, S.; Rachev, S. T.; Rüschendorf, L.
3
1999
Pre-limit theorems and their applications. Zbl 0949.60036
Klebanov, L. B.; Rachev, S. T.; Szekely, G. J.
3
1999
Stable distributions and the term structure of interest rates. Zbl 1051.60018
Dostoglou, S. A.; Rachev, S. T.
2
1999
Stable Paretian models in econometrics. II. Zbl 0962.91065
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
2
1999
Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications. Zbl 0990.60500
Rachev, S. T.; Rüschendorf, Ludger
202
1998
Stable Paretian modeling in finance: Some empirical and theoretical aspects. Zbl 0926.91023
Mittnik, Stefan; Rachev, Svetlozar T.; Paolella, Marc S.
14
1998
Unconditional and conditional distributional models for the Nikkei index. Zbl 1153.91721
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
13
1998
Cointegrated processes with infinite variance innovations. Zbl 0941.62092
Paulauskas, Vygantas; Rachev, Svetlozar T.
12
1998
A tail estimator for the index of the stable Paretian distribution. Zbl 0908.62018
Mittnik, Stefan; Paolella, Marc S.; Rachev, Svetlozar T.
5
1998
Time series with unit roots and infinite-variance disturbances. Zbl 0939.62093
Rachev, S. T.; Mittnik, S.; Kim, J.-R.
5
1998
Solving moment problems with application to stochastics. Zbl 1151.44300
Anastassiou, G. A.; Rachev, S. T.
1
1998
Subordinated market index models: A comparison. Zbl 1153.91788
Hurst, Simon R.; Platen, Eckhard; Rachev, Svetlozar T.
18
1997
Rounding proportions: Methods of rounding. Zbl 0935.65046
Balinski, Michel L.; Rachev, Svetlozar T.
10
1997
A stochastic model of carcinogenesis and tumor size at detection. Zbl 0892.60021
Hanin, L. G.; Rachev, S. T.; Tsodikov, A. D.; Yakovlev, A. Yu.
8
1997
Econometric modeling in the presence of heavy-tailed innovations: A survey of some recent advances. Zbl 0888.90034
Rachev, Svetlozar T.; Kim, Jeong-Ryeol; Mittnik, Stefan
5
1997
Conditionally exponential dependence model for asset returns. Zbl 0894.90024
Rachev, S. T.; Weron, A.; Weron, K.
2
1997
Limiting distribution of the collision resolution interval. Zbl 0947.60022
Feldman, P.; Rachev, S. T.; Rüschendorf, L.
1
1997
Tail estimation of the stable index \(\alpha\). Zbl 0855.62015
Mittnik, S.; Rachev, S. T.
12
1996
...and 109 more Documents
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Cited by 1,952 Authors

85 Rachev, Svetlozar T.
26 Rüschendorf, Ludger
24 Fabozzi, Frank J.
18 Kozubowski, Tomasz J.
18 Yakovlev, Andrej Yu.
17 Mittnik, Stefan
13 Aissani, Djamil
11 McCann, Robert J.
11 Neininger, Ralph
11 Panorska, Anna K.
11 Römisch, Werner
10 Grabchak, Michael
10 Mahmoud, Hosam M.
10 Meintanis, Simos G.
10 Ortobelli, Sergio
10 Samorodnitsky, Gennady Pinkhosovich
9 Gordienko, Evgueni I.
9 Klebanov, Leo B.
9 Stoyanov, Stoyan V.
8 Chen, Zhiping
8 Cuesta-Albertos, Juan Antonio
8 Paolella, Marc S.
8 Puccetti, Giovanni
8 Tian, Zheng
7 Čekanavičius, Vydas
7 Meerschaert, Mark Marvin
7 Paulauskas, Vygantas Ionovič
7 Pflug, Georg Ch.
7 Prochno, Joscha
7 Schmid, Wolfgang
6 Anastassiou, George Angelos
6 Bassetti, Federico
6 Broutin, Nicolas
6 del Barrio, Eustasio
6 Goldstein, Larry
6 Hanin, Leonid G.
6 Heinich, Henri
6 Kolesnikov, Alexander V.
6 Korolev, Viktor Yur’evich
6 Matrán, Carlos
6 Ortobelli Lozza, Sergio
6 Tichý, Tomáš
6 Tsionas, Efthymios G.
6 Xia, Aihua
5 Abbas, Karim
5 Balakrishnan, Narayanaswamy
5 Berckmoes, Ben
5 Bianchi, Michele Leonardo
5 Blake, David
5 Boucher, Kenneth M.
5 Denuit, Michel M.
5 Gao, Zhenlong
5 Giacometti, Rosella
5 Golomozyĭ, V. V.
5 Heyde, Christopher Charles
5 Jourdain, Benjamin
5 Kalashnikov, Vladimir Vyacheslavovich
5 Liu, Yongchao
5 Nadarajah, Saralees
5 Peng, Liang
5 Pichler, Alois
5 Qin, Ruibing
5 Regazzini, Eugenio
5 Richter, Wolf-Dieter
5 Seneta, Eugene
5 Sulzbach, Henning
5 Tsodikov, Alexander D.
5 Wyłomańska, Agnieszka
5 Xu, Huifu
4 Balinski, Michel Louis
4 Beiglböck, Mathias
4 Bodnar, Taras
4 Brenier, Yann
4 Calzolari, Giorgio
4 Carlier, Guillaume
4 Chafaï, Djalil
4 Chan, Ngai Hang
4 Chen, Zhanshou
4 De Pascale, Luigi
4 Durante, Fabrizio
4 Fasen, Vicky
4 Guo, Shaoyan
4 Han, Youpan
4 Ibragimov, Rustam
4 Ignatieva, Katja
4 Janson, Svante
4 Jin, Hao
4 Kreinovich, Vladik Yakovlevich
4 Ladelli, Lucia
4 Lasota, Andrzej
4 Linton, Oliver Bruce
4 Liu, Shuangzhe
4 Lombardi, Marco J.
4 MacMinn, Richard D.
4 Mikami, Toshio
4 Molchanov, Ilya S.
4 Otto, Felix
4 Pukelsheim, Friedrich
4 Reiss, Rolf-Dieter
4 Roitershtein, Alexander
...and 1,852 more Authors
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Cited in 325 Serials

66 Statistics & Probability Letters
42 Journal of Multivariate Analysis
42 Mathematical and Computer Modelling
36 Journal of Econometrics
34 Annals of Operations Research
34 Stochastic Processes and their Applications
30 European Journal of Operational Research
28 Journal of Applied Probability
28 The Annals of Applied Probability
25 Quantitative Finance
24 Journal of Mathematical Analysis and Applications
24 The Annals of Probability
24 Journal of Computational and Applied Mathematics
24 Computational Statistics and Data Analysis
22 Insurance Mathematics & Economics
20 Journal of Statistical Planning and Inference
18 Probability Theory and Related Fields
18 Journal of Theoretical Probability
16 Journal of Functional Analysis
16 Journal of Soviet Mathematics
16 International Journal of Theoretical and Applied Finance
15 Lithuanian Mathematical Journal
15 Communications in Statistics. Theory and Methods
14 Statistical Papers
13 Mathematical Biosciences
13 Annals of the Institute of Statistical Mathematics
13 Journal of Mathematical Sciences (New York)
13 Bernoulli
12 Journal of Statistical Physics
12 Queueing Systems
12 Mathematical Programming. Series A. Series B
11 Kybernetika
11 Applied Mathematics Letters
11 Mathematical Methods of Operations Research
10 Advances in Applied Probability
10 Econometric Theory
9 Journal of Statistical Computation and Simulation
9 Methodology and Computing in Applied Probability
8 Metrika
8 Operations Research Letters
8 Calculus of Variations and Partial Differential Equations
8 Stochastic Models
8 North American Actuarial Journal
8 Computational Management Science
7 Computers & Mathematics with Applications
7 Comptes Rendus. Mathématique. Académie des Sciences, Paris
7 Electronic Journal of Statistics
6 Chaos, Solitons and Fractals
6 Mathematics and Computers in Simulation
6 Numerical Functional Analysis and Optimization
6 Journal of Time Series Analysis
6 Acta Applicandae Mathematicae
6 Journal of Economic Dynamics & Control
6 Communications in Statistics. Simulation and Computation
6 Test
6 Discrete and Continuous Dynamical Systems
6 Journal of Statistical Theory and Practice
5 Journal of Differential Equations
5 Stochastic Analysis and Applications
5 Statistics
5 Computational Statistics
5 Journal de Mathématiques Pures et Appliquées. Neuvième Série
5 SIAM Journal on Optimization
5 Computational Optimization and Applications
5 Theory of Probability and Mathematical Statistics
5 Electronic Journal of Probability
5 Journal of Applied Statistics
5 Scandinavian Actuarial Journal
5 Optimization Letters
5 Statistics and Computing
5 Annals of Finance
4 Journal of Mathematical Physics
4 Applied Mathematics and Computation
4 Automatica
4 Journal of Optimization Theory and Applications
4 Proceedings of the American Mathematical Society
4 Transactions of the American Mathematical Society
4 Mathematical Social Sciences
4 Optimization
4 Econometric Reviews
4 The Journal of Geometric Analysis
4 Potential Analysis
4 Finance and Stochastics
4 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
4 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
4 ASTIN Bulletin
4 Asia-Pacific Financial Markets
4 Review of Derivatives Research
4 Journal of the Korean Statistical Society
4 AStA. Advances in Statistical Analysis
4 Journal of Probability and Statistics
4 Dependence Modeling
3 Archive for Rational Mechanics and Analysis
3 Discrete Applied Mathematics
3 Mathematical Notes
3 Physica A
3 Scandinavian Journal of Statistics
3 Theory of Probability and its Applications
3 Advances in Mathematics
3 The Annals of Statistics
...and 225 more Serials
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Cited in 50 Fields

725 Probability theory and stochastic processes (60-XX)
554 Statistics (62-XX)
339 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
190 Operations research, mathematical programming (90-XX)
108 Numerical analysis (65-XX)
104 Calculus of variations and optimal control; optimization (49-XX)
69 Partial differential equations (35-XX)
65 Computer science (68-XX)
54 Biology and other natural sciences (92-XX)
47 Measure and integration (28-XX)
36 Statistical mechanics, structure of matter (82-XX)
36 Systems theory; control (93-XX)
31 Functional analysis (46-XX)
25 Combinatorics (05-XX)
24 Dynamical systems and ergodic theory (37-XX)
18 Operator theory (47-XX)
18 Global analysis, analysis on manifolds (58-XX)
17 Convex and discrete geometry (52-XX)
15 Real functions (26-XX)
14 Fluid mechanics (76-XX)
12 Differential geometry (53-XX)
11 Information and communication theory, circuits (94-XX)
8 Special functions (33-XX)
8 Ordinary differential equations (34-XX)
8 Integral equations (45-XX)
7 General topology (54-XX)
6 General and overarching topics; collections (00-XX)
6 Approximations and expansions (41-XX)
6 Quantum theory (81-XX)
5 Number theory (11-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
5 Mechanics of deformable solids (74-XX)
4 History and biography (01-XX)
4 Integral transforms, operational calculus (44-XX)
4 Mechanics of particles and systems (70-XX)
4 Classical thermodynamics, heat transfer (80-XX)
3 Difference and functional equations (39-XX)
3 Geometry (51-XX)
2 Linear and multilinear algebra; matrix theory (15-XX)
2 Group theory and generalizations (20-XX)
2 Potential theory (31-XX)
2 Optics, electromagnetic theory (78-XX)
1 Order, lattices, ordered algebraic structures (06-XX)
1 Algebraic geometry (14-XX)
1 Category theory; homological algebra (18-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Abstract harmonic analysis (43-XX)
1 Relativity and gravitational theory (83-XX)
1 Astronomy and astrophysics (85-XX)
1 Geophysics (86-XX)

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