| Financial models with Lévy processes and volatility clustering ST Rachev, YS Kim, ML Bianchi, FJ Fabozzi John Wiley & Sons, 2011 | 177 | 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 | 122 | 2008 |
| 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 | 102 | 2010 |
| 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 | 101 | 2011 |
| 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 | 95 | 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 | 87 | 2010 |
| Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model YS Kim, R Giacometti, ST Rachev, FJ Fabozzi, D Mignacca Annals of operations research 201 (1), 325-343, 2012 | 70 | 2012 |
| Tempered infinitely divisible distributions and processes ML Bianchi, ST Rachev, YS Kim, FJ Fabozzi Theory of Probability & Its Applications 55 (1), 2-26, 2011 | 65 | 2011 |
| A new tempered stable distribution and its application to finance YS Kim, ST Rachev, ML Bianchi, FJ Fabozzi Risk Assessment, 77-109, 2009 | 48 | 2009 |
| 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 | 46 | 2010 |
| Foster–Hart optimal portfolios A Anand, T Li, T Kurosaki, YS Kim Journal of Banking & Finance 68, 117-130, 2016 | 32 | 2016 |
| Approximation of skewed and leptokurtic return distributions M Scherer, ST Rachev, YS Kim, FJ Fabozzi Applied Financial Economics 22 (16), 1305-1316, 2012 | 30 | 2012 |
| Barrier option pricing by branching processes GK Mitov, ST Rachev, YS Kim, FJ Fabozzi International Journal of Theoretical and Applied Finance 12 (07), 1055-1073, 2009 | 26 | 2009 |
| The relative entropy in CGMY processes and its applications to finance YS Kim, JH Lee Mathematical Methods of Operations Research 66 (2), 327-338, 2007 | 25 | 2007 |
| Quanto option pricing in the presence of fat tails and asymmetric dependence YS Kim, J Lee, S Mittnik, J Park Journal of Econometrics 187 (2), 512-520, 2015 | 22 | 2015 |
| Reward-risk momentum strategies using classical tempered stable distribution J Choi, YS Kim, I Mitov Journal of Banking & Finance 58, 194-213, 2015 | 20 | 2015 |
| 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 | 19 | 2008 |
| Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion YS Kim, S Stoyanov, S Rachev, F Fabozzi Economics Letters 145, 225-229, 2016 | 17 | 2016 |
| Option pricing under stochastic volatility and tempered stable Lévy jumps TS Zaevski, YS Kim, FJ Fabozzi International Review of Financial Analysis 31, 101-108, 2014 | 16 | 2014 |
| Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data A Beck, YSA Kim, S Rachev, M Feindt, F Fabozzi Studies in Nonlinear Dynamics and Econometrics 17 (2), 167-177, 2013 | 14 | 2013 |
Svetlozar RachevProfessor of Applied MathematicsVerified email at ttu.edu
