Murad S. Taqqu

Boston University — United States

Economics, Econometrics and Finance · Social Sciences

71h-index34.0kcitations428works1.02yr avg
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Research Topics

Financial Risk and Volatility Modeling(163), Complex Systems and Time Series Analysis(144), Stochastic processes and financial applications(142), Stochastic processes and statistical mechanics(56), Mathematical Dynamics and Fractals(36)

Publications428 total

Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing
Finance and Stochastics·2025· 1 cited
Parameter Estimation of Standard AR(1) and MA(1) Models Driven by a Non-I.I.D. Noise
2023
INTERMITTENCY AND MULTISCALING IN LIMIT THEOREMS
Fractals·2022· 5 citedOpen Access
Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
Probability Surveys·2022· 1 citedOpen Access
Bounds for the covariance of functions of infinite variance stable random variables with applications to central limit theorems and wavelet-based estimation
UNC Libraries·2021Open Access
Identification of periodic and cyclic fractional stable motions
UNC Libraries·2021Open Access
LASS: a tool for the local analysis of self-similarity
Carolina Digital Repository (University of North Carolina at Chapel Hill)·2021Open Access
Visualization and inference based on wavelet coefficients, SiZer and SiNos
Carolina Digital Repository (University of North Carolina at Chapel Hill)·2021Open Access
Intermittency and multiscaling in limit theorems
arXiv (Cornell University)·2021Open Access
Growth and intermittency of supOU processes
arXiv (Cornell University)·2021Open Access
A Survey on Limit Theorems for Toeplitz Type Quadratic Functionals of Stationary Processes and Applications
arXiv (Cornell University)·2021Open Access
A Survey on Limit Theorems for Toeplitz Type Quadratic Functionals of\n Stationary Processes and Applications
arXiv (Cornell University)·2021Open Access
Path Properties of a Generalized Fractional Brownian Motion
Journal of Theoretical Probability·2021Open Access
Intermittency and infinite variance: the case of integrated supOU processes
Electronic Journal of Probability·2021· 1 citedOpen Access
Semimartingale properties of a generalized fractional Brownian motion and its mixtures with applications in asset pricing
arXiv (Cornell University)·2020Open Access
Semimartingale properties of a generalized fractional Brownian motion and its mixtures with applications in finance
eScholarship (California Digital Library)·2020· 5 citedOpen Access
Extensions of Rosenblatt's results on the asymptotic behavior of the prediction error for deterministic stationary sequences
Journal of Time Series Analysis·2020Open Access
Extensions of Rosenblatt's results on the asymptotic behavior of prediction error variance for deterministic stationary sequences
2020
Extensions of Rosenblatt's results on the asymptotic behavior of the\n prediction error for deterministic stationary sequences
arXiv (Cornell University)·2020Open Access
Limit theorems for long-memory flows on Wiener chaos
Bernoulli·2020· 10 citedOpen Access
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Frequent Co-authors

Walter Willinger(16), Daniel V. Wilson(8), Vadim Teverovsky(7), W.E. Leland(5), Robert P. Sherman(5), Vladas Pipiras(3), Alberto Montanari(3), Gennady Samorodnitsky(2), Robert Fox(2), Raisa E. Feldman(2), Mark Crovella(2), Ernst Eberlein(2), R. Rosso(2), Giovanni Peccati(2), Piotr Kokoszka(2), Thomas Mikosch(1), Jan Beran(1), Paul Doukhan(1), Georges Oppenheim(1), Russell V. Lenth(1)