Details about Bakhodir Ergashev

Access statistics for papers by Bakhodir Ergashev.

Last updated 2008-10-08. Update your information in the RePEc Author Service.

Short-id: per72

Working Papers

2004

1. Sequential Detection of US Business Cycle Turning Points: Performances of Shiryayev-Roberts, CUSUM and EWMA Procedures
   Econometrics, University Library of Munich, Germany

2003

2. On a CAPM monitoring based on the EWMA process control
   Computing in Economics and Finance 2003, Society for Computational Economics

2002

3. A note on a generalized Black-Scholes formula
   Finance, University Library of Munich, Germany
4. On valuing corporate debt with the volatility of corporate assets evolving according to an Ornstein-Uhlenbeck process
   Finance, University Library of Munich, Germany

Journal Articles

2016

1. Estimation of Truncated Data Samples in Operational Risk Modeling
   Journal of Risk & Insurance, 2016, 83, (3), 613-640 View citations (5)

2015

2. Integrating Stress Scenarios into Risk Quantification Models
   Journal of Financial Services Research, 2015, 47, (1), 57-79 View citations (8)

2012

3. A Theoretical Framework for Incorporating Scenarios into Operational Risk Modeling
   Journal of Financial Services Research, 2012, 41, (3), 145-161 View citations (7)

2009

4. Analysis of Multifactor Affine Yield Curve Models
   Journal of the American Statistical Association, 2009, 104, (488), 1324-1337 View citations (44)