Economics, Econometrics and Finance · Social Sciences
53h-index15.0kcitations284works0.72yr avg
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Research Topics
Financial Risk and Volatility Modeling(106), Stochastic processes and statistical mechanics(73), Probability and Risk Models(73), Stochastic processes and financial applications(61), Bayesian Methods and Mixture Models(50)
Publications284 total
arXiv (Cornell University)·2025Open Access
Statistics Surveys·2024· 4 citedOpen Access
2024
Canadian Journal of Statistics·2023· 3 citedOpen Access
Bernoulli·2022· 6 cited
Extremes·2021· 1 citedOpen Access
arXiv (Cornell University)·2021Open Access
arXiv (Cornell University)·2021Open Access
Carolina Digital Repository (University of North Carolina at Chapel Hill)·2021Open Access
arXiv (Cornell University)·2021Open Access
Insurance Mathematics and Economics·2020· 3 citedOpen Access
Stochastic Processes and their Applications·2020· 5 cited
Stochastic Processes and their Applications·2019· 2 citedOpen Access
arXiv (Cornell University)·2019· 10 citedOpen Access
Stochastic Processes and their Applications·2018· 1 citedOpen Access
Extremes·2018· 2 citedOpen Access
arXiv (Cornell University)·2017Open Access
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Frequent Co-authors
Laurens de Haan(7), Richard A. Davis(6), Gennady Samorodnitsky(3), Holger Rootzén(3), Peter J. Brockwell(3), Cătălin Stărică(3), Thomas Mikosch(2), Casper G. de Vries(2), David Heath(2), J. Gani(2), Krishanu Maulik(2), Rocco Ballerini(2), A. D. Barbour(1), Paul Embrechts(1), Ole E. Barndorff–Nielsen(1), Alwin Stegeman(1), B. M. Brown(1), Holger Drees(1), Joanne Wendelberger(1), J. Michael Harrison(1)