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Vladimir Panov

Personal Details

First Name:Vladimir
Middle Name:
Last Name:Panov
Suffix:
RePEc Short-ID:ppa992
[This author has chosen not to make the email address public]
http://www.hse.ru/en/org/persons/93419930

Affiliation

International Laboratory of Stochastic Analysis
National Research University Higher School of Economics (HSE)

Moscow, Russia
http://lsa.hse.ru/
RePEc:edi:sahseru (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Ekaterina Morozova & Vladimir Panov, 2022. "Modelling the Bitcoin prices and the media attention to Bitcoin via the jump-type processes," Papers 2210.13824, arXiv.org.
  2. Panov, Vladimir, 2010. "Non-gaussian component analysis: New ideas, new proofs, new applications," SFB 649 Discussion Papers 2010-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  3. Panov, Vladimir, 2010. "Non-gaussian component analysis: New ideas, new proofs, new applications," SFB 649 Discussion Papers 2010-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  4. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  5. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

Articles

  1. Ekaterina Morozova & Vladimir Panov, 2021. "Extreme Value Analysis for Mixture Models with Heavy-Tailed Impurity," Mathematics, MDPI, vol. 9(18), pages 1-24, September.
  2. Panov, Vladimir, 2019. "Some properties of the one-dimensional subordinated stable model," Statistics & Probability Letters, Elsevier, vol. 146(C), pages 80-84.
  3. Denis Belomestny & Tatiana Orlova & Vladimir Panov, 2019. "Statistical inference for moving‐average Lévy‐driven processes: Fourier‐based approach," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 73(1), pages 100-117, February.
  4. Vladimir Panov & Evgenii Samarin, 2019. "Multivariate asset‐pricing model based on subordinated stable processes," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(4), pages 1060-1076, July.
  5. Vladimir Panov, 2017. "Series Representations for Multivariate Time-Changed Lévy Models," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 97-119, March.
  6. Panov, Vladimir, 2017. "Limit theorems for sums of random variables with mixture distribution," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 379-386.
  7. Belomestny, Denis & Panov, Vladimir, 2013. "Abelian theorems for stochastic volatility models with application to the estimation of jump activity," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 15-44.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Panov, Vladimir, 2010. "Non-gaussian component analysis: New ideas, new proofs, new applications," SFB 649 Discussion Papers 2010-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

  2. Panov, Vladimir, 2010. "Estimation of the signal subspace without estimation of the inverse covariance matrix," SFB 649 Discussion Papers 2010-050, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

    Cited by:

Articles

  1. Ekaterina Morozova & Vladimir Panov, 2021. "Extreme Value Analysis for Mixture Models with Heavy-Tailed Impurity," Mathematics, MDPI, vol. 9(18), pages 1-24, September.

    Cited by:

    1. Lanpeng Ji & Xiaofan Peng, 2023. "On the maxima of suprema of dependent Gaussian models," Queueing Systems: Theory and Applications, Springer, vol. 105(1), pages 99-128, October.

  2. Vladimir Panov & Evgenii Samarin, 2019. "Multivariate asset‐pricing model based on subordinated stable processes," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 35(4), pages 1060-1076, July.

    Cited by:

    1. Matteo Gardini & Edoardo Santilli, 2025. "A Heath–Jarrow–Morton framework for energy markets: review and applications for practitioners," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 48(1), pages 603-642, June.
    2. Matteo Gardini & Piergiacomo Sabino & Emanuela Sasso, 2021. "Correlating Lévy processes with self-decomposability: applications to energy markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 44(2), pages 1253-1280, December.

  3. Panov, Vladimir, 2017. "Limit theorems for sums of random variables with mixture distribution," Statistics & Probability Letters, Elsevier, vol. 129(C), pages 379-386.

    Cited by:

    1. Ekaterina Morozova & Vladimir Panov, 2021. "Extreme Value Analysis for Mixture Models with Heavy-Tailed Impurity," Mathematics, MDPI, vol. 9(18), pages 1-24, September.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (3) 2010-05-22 2010-10-23 2022-11-28
  2. NEP-MST: Market Microstructure (1) 2022-11-28
  3. NEP-PAY: Payment Systems and Financial Technology (1) 2022-11-28

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