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Financial Risk and Volatility Modeling

62 works

  1. The role of sudden variance shifts in predicting volatility in bioenergy crop markets under structural breaks

    Akram Shavkatovich Hasanov, Aktam U. Burkhanov, Bunyod Usmonov +2

    ArticleMarket Dynamics and VolatilityEnergy202433 citations
    ABI

  2. Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension

    Akram Shavkatovich Hasanov, Robert C. Brooks, Sirojiddin Abrorov +1

    ArticleMonetary Policy and Economic ImpactJournal of Applied Econometrics202411 citations
    ABI

  3. Some algebraic properties of Archimedean copula functions and their applications in the statistical estimation of the survival function

    Abdushukurov Akhmedovich

    ArticleFinancial Risk and Volatility ModelingNew Trends in Mathematical Science20163 citations
    ABI

  4. Comparing effective temperatures in standard, Tsallis, and q-dual statistics from transverse momentum spectra of identified light charged hadrons produced in gold–gold collisions at RHIC energies

    Tingting Duan, Pei-Pin Yang, Peng-Cheng Zhang +3

    ArticleHigh-Energy Particle Collisions ResearchThe European Physical Journal Plus20243 citations
    ABI

  5. Bootstrap for the sample mean and for<i>U</i>-statistics of mixing and near-epoch dependent processes

    Olimjon Sh. Sharipov, Martin Wendler

    ArticleFinancial Risk and Volatility ModelingJournal of nonparametric statistics20123 citations
    ABI

  6. Stochastic Volatility Models with Endogenous Breaks in Volatility Forecasting

    Akram Shavkatovich Hasanov, Sаlоkhiddin Аvаzkhоdjаеv

    ChapterFinancial Risk and Volatility ModelingContributions to economics20223 citations
    ABI

  7. Random Sums of Independent Indicators and Generalized Reduced Processes

    I. Rahimov

    ArticleStochastic processes and statistical mechanicsStochastic Analysis and Applications20032 citations
    ABI

  8. On Transient Phenomena in Branching Random Processes with Discrete Time

    Sh. K. Formanov, Sh. Yu. Jurayev

    ArticleStochastic processes and statistical mechanicsLobachevskii Journal of Mathematics20212 citations
    ABI

  9. Nonextensive Statistics in High Energy Collisions

    Lucas Q. Rocha, Eugenio Megías, Luis A. Trevisan +3

    ArticleStatistical Mechanics and EntropyPhysics20222 citations
    ABI

  10. The relationship between the risk of the asset and its expected rate of return: a case of stock exchange market of five European countries

    Khurshid Khudoykulov, Rustam Allado`stov, Ulugbek Khalikov

    ArticleFinancial Markets and Investment StrategiesInternational Journal of Modelling and Simulation20162 citations
    ABI

  11. Marcinkiewicz–Zygmund strong laws for -statistics of weakly dependent observations

    Herold Dehling, Olimjon Sh. Sharipov

    ArticleProbability and Risk ModelsStatistics & Probability Letters20091 citations
    ABI

  12. Central limit theorem and invariance principle for associated random fields

    Abdurakhman Mukhamedov

    ArticleProbability and Risk ModelsAIP conference proceedings20211 citations
    ABI

  13. Asymptotic Properties of Likelihood Ratio Statistics in Competing Risks Model Under Interval Random Censoring

    A. A. Abdushukurov, N. S. Nurmukhamedova

    ArticleStatistical Distribution Estimation and ApplicationsLobachevskii Journal of Mathematics20211 citations
    ABI

  14. Investigating the impact of geopolitical risks on the commodity futures

    Sokratis Mitsas, Petros Golitsis, Khurshid Khudoykulov

    ArticleMarket Dynamics and VolatilityCogent Economics & Finance20221 citations
    ABI

  15. <scp>Russia‐Ukraine</scp> war and <scp>G7</scp> debt markets: Evidence from public sentiment towards economic sanctions during the conflict

    Zunaidah Sulong, Mohammad Abdullah, Emmanuel Joel Aikins Abakah +2

    ArticleMarket Dynamics and VolatilityInternational Journal of Finance & Economics20231 citations
    ABI

  16. On the multiplicity distributions predicted by the uncorrelated-jet model

    K. Zalewski

    ArticleFinancial Risk and Volatility ModelingLettere al nuovo cimento della societa italiana di fisica/Lettere al nuovo cimento19720 citations
    ABI

  17. On the ratio of independent stable random variables

    S. M. Shcolnick

    ChapterFuzzy Systems and OptimizationLecture notes in mathematics19850 citations
    ABI

  18. Asymptotic properties of symmetric stable distributions with small index

    A. V. Nagaev, S.M. Shkol'nik

    ArticleStochastic processes and financial applicationsJournal of Mathematical Sciences19950 citations
    ABI

  19. A Characterization of Joint Distribution of Two-Valued Random Variables and Its Applications

    Sh. Sharakhmetov, Rustam Ibragimov

    ArticleProbability and Risk ModelsJournal of Multivariate Analysis20020 citations
    ABI

  20. Poisson limits for U-statistics

    André Dabrowski, Herold Dehling, Thomas Mikosch +1

    ArticleFinancial Risk and Volatility ModelingStochastic Processes and their Applications20020 citations
    ABI

  21. Random sums of random vectors and multitype families ofproductive individuals

    I. Rahimov, Hassen A. Muttlak

    ArticleStochastic processes and statistical mechanicsInternational Journal of Mathematics and Mathematical Sciences20040 citations
    ABI

  22. &lt;title&gt;Anomalous signal detection and estimation on the stochastic noise background&lt;/title&gt;

    Shakir Kasimovich Formanov, Anatoliy N. Startsev, Olimshan Sh. Sharipov +1

    ArticleStochastic processes and financial applicationsProceedings of SPIE, the International Society for Optical Engineering/Proceedings of SPIE20060 citations
    ABI

  23. Modeling and Forecasting the Yield Curve Under Model Uncertainty

    Francesco Donati, Paola Donati

    ArticleMonetary Policy and Economic ImpactSSRN Electronic Journal20080 citations
    ABI

  24. Bootstrap for the Sample Mean and for U-Statistics of Mixing and Near Epoch Dependent Processes

    Olimjon Sh. Sharipov, Martin Wendler

    PreprintFinancial Risk and Volatility ModelingarXiv (Cornell University)20090 citations
    ABI

  25. Normal limits, nonnormal limits, and the bootstrap for quantiles of dependent data

    Olimjon Sh. Sharipov, Martin Wendler

    ArticleStatistical Methods and InferenceStatistics & Probability Letters20120 citations
    ABI