57 citations
- Capital UniversityUS2 papers
- Barbican CentreGB1 paper
- Columbia UniversityUS1 paper
- Georgia Institute of TechnologyUS1 paper
- Government of MaharashtraIN1 paper
- IBM Research - Thomas J. Watson Research CenterUS1 paper
- IBM Research - ZurichCH1 paper
- IBM (United States)US1 paper
- London School of Economics and Political ScienceGB1 paper
- Princeton UniversityUS1 paper
- Simon Fraser UniversityCA1 paper
- Southwestern University of Finance and EconomicsCN1 paper
Showing 2012Show all
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math.PR2012
Asymptotic Results for Random Polynomials on the Unit Circle
Gabriel H. Tucci, Philip A. Whiting
In this paper we study the asymptotic behavior of the maximum magnitude of a complex random polynomial with i.i.d. uniformly distributed random roots on the unit circle. More speci…
math.ST2012★ 11 cited
Unit roots in moving averages beyond first order
Richard A. Davis, Li Song
The asymptotic theory of various estimators based on Gaussian likelihood has been developed for the unit root and near unit root cases of a first-order moving average model. Previo…
q-fin.RM2012
Set-valued average value at risk and its computation
Andreas H. Hamel, Birgit Rudloff, Mihaela Yankova
New versions of the set-valued average value at risk for multivariate risks are introduced by generalizing the well-known certainty equivalent representation to the set-valued case…