| Financial models with Lévy processes and volatility clustering ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi John Wiley & Sons, 2011 | 236 | 2011 |
| Financial market models with Lévy processes and time-varying volatility YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi Journal of Banking & Finance 32 (7), 1363-1378, 2008 | 149 | 2008 |
| Time series analysis for financial market meltdowns YS Kim, ST Rachev, ML Bianchi, I Mitov, FJ Fabozzi Journal of Banking & Finance 35 (8), 1879-1891, 2011 | 131 | 2011 |
| Tempered stable and tempered infinitely divisible GARCH models YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi Journal of Banking & Finance 34 (9), 2096-2109, 2010 | 121 | 2010 |
| The modified tempered stable distribution, GARCH-models and option pricing YS Kim, ST Rachev, DM Chung, ML Bianchi Probability and Mathematical statistics 29 (1), 91-117, 2009 | 115 | 2009 |
| Computing VaR and AVaR in infinitely divisible distributions YS Kim, S Rachev, ML Bianchi, FJ Fabozzi Probability and Mathematical Statistics 30 (2), 223-245, 2010 | 97 | 2010 |
| Tempered infinitely divisible distributions and processes M Bianchi, ST Rachev, YS Kim, FJ Fabozzi Теория вероятностей и ее применения 55 (1), 59-86, 2010 | 78 | 2010 |
| Tempered stable distributions and processes in finance: numerical analysis ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi Mathematical and statistical methods for actuarial sciences and finance, 33-42, 2010 | 61 | 2010 |
| A new tempered stable distribution and its application to finance YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi Risk Assessment: Decisions in Banking and Finance, 77-109, 2009 | 58 | 2009 |
| Multi‐tail generalized elliptical distributions for asset returns S Kring, ST Rachev, M Höchstötter, FJ Fabozzi, ML Bianchi The Econometrics Journal 12 (2), 272-291, 2009 | 29 | 2009 |
| The performance of the Italian housing market and its effects on the financial system Banca d'Italia, 2009 | 27* | 2009 |
| Tempered stable Ornstein–Uhlenbeck processes: A practical view ML Bianchi, ST Rachev, FJ Fabozzi Communications in Statistics-Simulation and Computation 46 (1), 423-445, 2017 | 25 | 2017 |
| Handbook of heavy-tailed distributions in asset management and risk management ML Bianchi, SV Stoyanov, GL Tassinari, FJ Fabozzi, SM Focardi World Scientific, 2019 | 22 | 2019 |
| Riding with the four horsemen and the multivariate normal tempered stable model ML BIANCHI, GL TASSINARI, FJ FABOZZI International Journal of Theoretical and Applied Finance 19 (4), 2016 | 22 | 2016 |
| A modified tempered stable distribution with volatility clustering YS Kim, ST Rachev, DM Chung, ML Bianchi New Developments in Financial Modelling 344, 344-365, 2008 | 21 | 2008 |
| Non-Gaussian models for CoVaR estimation ML Bianchi, G De Luca, G Rivieccio International Journal of Forecasting 39 (1), 391-404, 2023 | 20 | 2023 |
| Forward-looking portfolio selection with multivariate non-Gaussian models ML Bianchi, GL Tassinari Quantitative Finance 20 (10), 1645-1661, 2020 | 19* | 2020 |
| Investigating the performance of non-Gaussian stochastic intensity models in the calibration of credit default swap spreads ML Bianchi, FJ Fabozzi Computational Economics 46, 243-273, 2015 | 19* | 2015 |
| Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform GL Tassinari, ML Bianchi International Journal of Theoretical and Applied Finance 17 (4), 2014 | 18 | 2014 |
| Measuring CoVaR: An Empirical Comparison ML Bianchi, AM Sorrentino Computational Economics 55, 511-528, 2020 | 14 | 2020 |
Svetlozar RachevProfessor of Applied MathematicsVerified email at ttu.edu
