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Boris Buchmann - Researcher Profile
Boris Buchmann
ANU Finance
Associate Professor
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Publications Title Journal Name Year ABDC Ranking
Changing Structures at Electricity Markets: Modelling spot prices using time-varying stable CARMA models Journal of Economics and Statistics 2021 B
Necessity of weak subordination for some strongly subordinated Lévy processes Journal of Applied Probability 2021 A
Self-decomposability of weak variance generalised gamma convolutions Stochastic Processes and their Applications 2020 A
Weak subordination of multivariate Lévy processes and variance generalised gamma convolutions Bernoulli 2019 A
Functional laws for trimmed Lévy processes Journal of Applied Probability 2017 A
Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing Stochastic Processes and their Applications 2017 A
Distributional representations and dominance of a Lévy process over its maximal jump processes Bernoulli 2016 A
Unified asymptotic theory for nearly unstable AR(p) processes Stochastic Processes and their Applications 2013 A
Limit experiments of GARCH Bernoulli 2012 A
The small-time Chung-Wichura law for Lévy processes with non-vanishing Brownian component Probability Theory and Related Fields 2011 A*
Integrated functionals of normal and fractional processes Annals of Applied Probability 2009 A
Weighted empirical processes in the nonparametric inference for Lévy processes Mathematical Methods of Statistics 2009 B
An almost sure functional limit theorem at zero for a class of Lévy processes normed by the square root function, and applications Probability Theory and Related Fields 2008 A*
A continuous time approximation of an evolutionary stock market model International Journal of Theoretical and Applied Finance 2007 B
Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence Annals of Statistics 2007 A*
Fractional integral equations and state space transforms Bernoulli 2006 A
Maxima of stochastic processes driven by fractional Brownian motion Advances in Applied Probability 2005 A
Decompounding: An estimation problem for Poisson random sums Annals of Statistics 2003 A*