Svetlozar Rachev

University of California, Santa Barbara, Santa Barbara, CA, United States 
Finance, Statistics
"Svetlozar Rachev"
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Russo V, Giacometti R, Rachev S, et al. (2015) A Three-Factor Model for Mortality Modeling North American Actuarial Journal. 19: 129-141
Shao BP, Rachev ST, Mu Y. (2015) Applied mean-ETL optimization in using earnings forecasts International Journal of Forecasting. 31: 561-567
Carchano O, Kim YS, Sun EW, et al. (2015) A quasi-maximum likelihood estimation strategy for value-at-risk forecasting: Application to equity index futures markets Handbook of Financial Econometrics and Statistics. 1325-1340
Chernobai A, Rachev ST, Fabozzi FJ. (2015) Composite goodness-of-fit tests for left-truncated loss samples Handbook of Financial Econometrics and Statistics. 575-596
Zhou X, Malioutov D, Fabozzi FJ, et al. (2014) Smooth monotone covariance for elliptical distributions and applications in finance Quantitative Finance. 14: 1555-1571
Beck A, Aaron Kim YS, Rachev S, et al. (2013) Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data Studies in Nonlinear Dynamics and Econometrics. 17: 167-177
Fabozzi FJ, Stoyanov SV, Rachev ST. (2013) Computational aspects of portfolio risk estimation in volatile markets: A survey Studies in Nonlinear Dynamics and Econometrics. 17: 103-120
Guerard JB, Rachev ST, Shao BP. (2013) Efficient global portfolios: Big data and investment universes Ibm Journal of Research and Development. 57
Klingler S, Kim YS, Rachev ST, et al. (2013) Option pricing with time-changed Lévy processes Applied Financial Economics. 23: 1231-1238
Stoyanov SV, Rachev ST, Fabozzi FJ. (2013) CVaR sensitivity with respect to tail thickness Journal of Banking and Finance. 37: 977-988
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