Rachev S.T.

S.T. Rachev

Information about the author S.T. Rachev will soon be added to the site.
Found 13 papers in total
Quantitative stability in stochastic programming: The method of probability metrics
Quantitative stability in stochastic programming: The method of probability metrics
2002
Quantitative stability of optimal values and solution sets to stochastic programming...
Statistical inference in regression with heavy-tailed integrated variables
Statistical inference in regression with heavy-tailed integrated variables
2001
We consider the problem of statistical inference in a bivariate time series regression...
The distribution of test statistics for outlier detection in heavy-tailed samples
The distribution of test statistics for outlier detection in heavy-tailed samples
2001
We investigate the asymptotic behavior of outliers test samples statistics drawn from...
Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
2001
We investigate the main properties of high-frequency exchange rate data in the setting...
Safety-first analysis and stable Paretian approach to portfolio choice theory
Safety-first analysis and stable Paretian approach to portfolio choice theory
2001
In this paper, we present some characterizations of efficient sets using the...
The GARCH-stable option pricing model
The GARCH-stable option pricing model
2001
An option pricing model is developed based on a generalized autoregressive conditonal...
Stable modeling of value at risk
Stable modeling of value at risk
2001
The value-at-risk (VAR) measurements are widely applied to estimate exposure to market...
Mass transportation problems with capacity constraints
Mass transportation problems with capacity constraints
1999
We exhibit solutions of Monge–Kantorovich mass transportation problems with...
On a special case of the basic problem in diffraction tomagraphy
On a special case of the basic problem in diffraction tomagraphy
1996
The basic problem in diffraction tomography is the problem of reconstructing the index...
Probability metrics and recursive algorithms
Probability metrics and recursive algorithms
1995
It is shown by means of several examples that probability metrics are a useful tool to...
Solution of some transportation problems with relaxed or additional constraints
Solution of some transportation problems with relaxed or additional constraints
1994
The authors consider some modifications of the usual transportation problem by...
Laplace-Weibull mixtures for modeling price changes
Laplace-Weibull mixtures for modeling price changes
1993
B. Mandelbrot and E. Fama in the sixties, and W. Ziemba in the seventies, suggested...
Max-geometric infinite divisibility and stability
Max-geometric infinite divisibility and stability
1991
The authors consider a stability property for R d -valued random vectors appropriate...
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