Ivan Mitov
Ivan Mitov
Dr.
Verified email at factset.com
Title
Cited by
Cited by
Year
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
922011
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
SM Focardi, FJ Fabozzi, IK Mitov
Journal of Banking & Finance 65, 134-155, 2016
202016
Reward-risk momentum strategies using classical tempered stable distribution
J Choi, YS Kim, I Mitov
Journal of Banking & Finance 58, 194-213, 2015
152015
Limit theorems for extremal processes generated by a point process with correlated time and space components
E Pancheva, IK Mitov, KV Mitov
Statistics & probability letters 79 (3), 390-395, 2009
112009
Approximation of aggregate and extremal losses within the very heavy tails framework
IK Mitov, ST Rachev, FJ Fabozzi
Quantitative Finance 10 (10), 1153-1162, 2010
32010
Sum and extremal processes over explosion area
E Pancheva, I Mitov, Z Volkovich
COMPTES RENDUS-ACADEMIE BULGARE DES SCIENCES 59 (12), 1219, 2006
32006
Approximation of the Risk Process-a Survey
E Pancheva, I Mitov
Mathematica Balkanica 25 (3), 307-316, 2011
22011
Relationship between extremal and sum processes generated by the same point process
E Pancheva, I Mitov, Z Volkovich
Serdica Mathematical Journal 35 (2), 169p-194p, 2009
22009
Skewed sub-Gaussian multivariate distribution
T Geninski, I Mitov, Z Rachev
18th European Young Statisticians Meeting, 59, 0
Multivariate Processes with Heavy Tails and Applications in Finance
T Geninski, I Mitov
XVI-th International Summer Conference on Probability and Statistics (ISCPS …, 0
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Articles 1–10