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On the trace approximations of products of Toeplitz matrices

Ginovyan, Mamikon S.; Sahakyan, Artur A. - In: Statistics & Probability Letters 83 (2013) 3, pp. 753-760

The paper establishes error orders for integral limit approximations to the traces of products of Toeplitz matrices generated by integrable real symmetric functions defined on the unit circle. These approximations and the corresponding error bounds are of importance in the statistical analysis...

Persistent link: https://www.econbiz.de/10010616875

Bachelier and his times : a conversation with Bernard Bru

Taqqu, Murad S. - In: Finance and stochastics 5 (2001) 1, pp. 3-32

Persistent link: https://www.econbiz.de/10001553037

Robust Regression on Stationary Time Series : A Self-Normalized Resampling Approach

Akashi, Fumiya; Bai, Shuyang; Taqqu, Murad S. - In: Journal of Time Series Analysis 39 (2018) 3, pp. 417-432

Persistent link: https://www.econbiz.de/10012094927

A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter

Taqqu, Murad S.; Zhang, Ting - In: Journal of Time Series Analysis 40 (2019) 4, pp. 411-424

Persistent link: https://www.econbiz.de/10012094968

Testing diffusion processes for non-stationarity

Hamrick, Jeff; Taqqu, Murad S. - In: Mathematical methods of operations research 69 (2009) 3, pp. 509-551

Persistent link: https://www.econbiz.de/10003858276

The asymptotic codifference and covariation of log-fractional stable noise

Levy, Joshua B.; Taqqu, Murad S. - In: Journal of econometrics 181 (2014) 1, pp. 34-43

Persistent link: https://www.econbiz.de/10010473427

An extreme value theory approach to the allocation of multiple assets

Bradley, Brendan O.; Taqqu, Murad S. - In: International journal of theoretical and applied finance 7 (2004) 8, pp. 1031-1068

Persistent link: https://www.econbiz.de/10002476570

Financial risk and heavy tails

Bradley, Brendan O.; Taqqu, Murad S. - In: Handbook of heavy tailed distributions in finance, (pp. 35-103). 2003

Persistent link: https://www.econbiz.de/10001882016

Option pricing in arch-type models

Kallsen, Jan - In: Mathematical finance : an international journal of … 8 (1998) 1, pp. 13-26

Persistent link: https://www.econbiz.de/10001240800

Stock market prices and long-range dependence

Willinger, Walter; Taqqu, Murad S.; Teverovsky, Vadim - In: Finance and stochastics 3 (1999) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10001367393