Henryk Gzyl : Citation Profile


Are you Henryk Gzyl?

Instituto de Estudios Superiores de Administración (IESA)

2

H index

1

i10 index

32

Citations

RESEARCH PRODUCTION:

39

Articles

8

Papers

RESEARCH ACTIVITY:

   41 years (1981 - 2022). See details.
   Cites by year: 0
   Journals where Henryk Gzyl has often published
   Relations with other researchers
   Recent citing documents: 3.    Total self citations: 11 (25.58 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgz3
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Henryk Gzyl.

Is cited by:

Kumar, Dilip (6)

Ahmed, Walid (2)

Arismendi Zambrano, Juan (2)

Fiszeder, Piotr (1)

Reade, J (1)

Rubaszek, Michał (1)

Clements, Michael (1)

Grossi, Luigi (1)

Li, Feng (1)

Hendry, David (1)

Loisel, Stéphane (1)

Cites to:

Diebold, Francis (12)

Rudebusch, Glenn (7)

Laeven, Roger (5)

Piazzesi, Monika (4)

Acerbi, Carlo (4)

Mayoral, Silvia (4)

Shephard, Neil (3)

Bollerslev, Tim (3)

Rossi, Peter (3)

Allen, Franklin (3)

Hyndman, Rob (2)

Main data


Where Henryk Gzyl has published?


Journals with more than one article published# docs
Statistics & Probability Letters7
Insurance: Mathematics and Economics6
Physica A: Statistical Mechanics and its Applications6
Communications in Statistics - Theory and Methods4
Applied Stochastic Models in Business and Industry2
JRFM2
Applied Mathematical Finance2
Journal of Probability and Statistics2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5

Recent works citing Henryk Gzyl (2024 and 2023)


YearTitle of citing document
2023Bidding strategy of integrated energy system considering decision maker’s subjective risk aversion. (2023). Yu, Feng ; Liu, Chuanquan ; Zhou, Qihui. In: Applied Energy. RePEc:eee:appene:v:341:y:2023:i:c:s0306261923004932.

Full description at Econpapers || Download paper

2023Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management. (2023). Yousaf, Imran ; Makram, Beljid ; Al-Nassar, Nassar S. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000756.

Full description at Econpapers || Download paper

2023A single-loop time-variant reliability evaluation via a decoupling strategy and probability distribution reconstruction. (2023). Beer, Michael ; Xu, Jun ; Zhang, Yang. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:232:y:2023:i:c:s0951832022006469.

Full description at Econpapers || Download paper

Works by Henryk Gzyl:


YearTitleTypeCited
2009Stochastic Volatility Models Including Open, Close, High and Low Prices In: Papers.
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paper17
2012Stochastic volatility models including open, close, high and low prices.(2012) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 17
article
2014Two maxentropic approaches to determine the probability density of compound risk losses In: Papers.
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paper1
2015Two maxentropic approaches to determine the probability density of compound risk losses.(2015) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 1
article
2022Which portfolio is better? A discussion of several possible comparison criteria In: Papers.
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2020How dark is the dark side of diversification? In: Papers.
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2006Towards a Bayesian framework for option pricing In: Papers.
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2015Entropy and density approximation from Laplace transforms In: Applied Mathematics and Computation.
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article2
2017Discontinuous payoff option pricing by Mellin transform: A probabilistic approach In: Finance Research Letters.
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article2
2008Determination of risk pricing measures from market prices of risk In: Insurance: Mathematics and Economics.
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article2
2007Determination of Risk Pricing Measures from Market Prices of Risk.(2007) In: Faculty Working Papers.
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This paper has nother version. Agregated cites: 2
paper
2010A method for determining risk aversion functions from uncertain market prices of risk In: Insurance: Mathematics and Economics.
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2013Determination of the probability of ultimate ruin by maximum entropy applied to fractional moments In: Insurance: Mathematics and Economics.
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article3
2015Maxentropic approach to decompound aggregate risk losses In: Insurance: Mathematics and Economics.
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2016Loss data analysis: Analysis of the sample dependence in density reconstruction by maxentropic methods In: Insurance: Mathematics and Economics.
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2015Numerical determination of hitting time distributions from their Laplace transforms: One dimensional diffusions In: Physica A: Statistical Mechanics and its Applications.
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2015A spectral measure estimation problem in rheology In: Physica A: Statistical Mechanics and its Applications.
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2015Application of the method of maximum entropy in the mean to classification problems In: Physica A: Statistical Mechanics and its Applications.
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2016Determination of zero-coupon and spot rates from treasury data by maximum entropy methods In: Physica A: Statistical Mechanics and its Applications.
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article1
2018Calibration of short rate term structure models from bid–ask coupon bond prices In: Physica A: Statistical Mechanics and its Applications.
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2019A model-free, non-parametric method for density determination, with application to asset returns In: Physica A: Statistical Mechanics and its Applications.
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1981Remarks on the equation dXt = a(Xt)dBt In: Stochastic Processes and their Applications.
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1990Diffusions on some submanifolds of euclidean spaces In: Statistics & Probability Letters.
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2016Recovering a distribution from its translated fractional moments In: Statistics & Probability Letters.
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2019Hitting spheres with Brownian motion revisited In: Statistics & Probability Letters.
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2021Harmonic oscillators, waves and Gaussian processes In: Statistics & Probability Letters.
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2021Forced harmonic oscillators, waves on a forced string and changes of measure In: Statistics & Probability Letters.
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1987Characterization of vector valued, gaussian, stationary, markov processes In: Statistics & Probability Letters.
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2008Inverse problems for random walks on trees: Network tomography In: Statistics & Probability Letters.
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2021Diversification Can Control Probability of Default or Risk, but Not Both In: JRFM.
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2022The Effects of Securitization for Managing Banking Risk Using Alternative Tranching Schemes In: JRFM.
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2009Recovering Decay Rates from Noisy Measurements with Maximum Entropy in the Mean In: Journal of Probability and Statistics.
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2016Sample Dependence in the Maximum Entropy Solution to the Generalized Moment Problem In: Journal of Probability and Statistics.
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2020Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean In: Computational Economics.
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2006On a relationship between distorted and spectral risk measures In: MPRA Paper.
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paper1
2006On a relationship between distorted and spectral risk measures.(2006) In: Faculty Working Papers.
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This paper has nother version. Agregated cites: 1
paper
2002Probabilistic Approach to an Image Reconstruction Problem In: Methodology and Computing in Applied Probability.
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article1
2012Determination of the Probability Distribution Measures from Market Option Prices Using the Method of Maximum Entropy in the Mean In: Applied Mathematical Finance.
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2000Maxentropic construction of risk neutral measures: discrete market models In: Applied Mathematical Finance.
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2014Fractional Moments and Maximum Entropy: Geometric Meaning In: Communications in Statistics - Theory and Methods.
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2019Maximum entropy in the mean methods in propensity score matching for interval and noisy data In: Communications in Statistics - Theory and Methods.
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2021Construction of contingency tables by maximum entropy in the mean In: Communications in Statistics - Theory and Methods.
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2022Prediction in Riemannian metrics derived from divergence functions In: Communications in Statistics - Theory and Methods.
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2021Extracting pricing densities for weather derivatives using the maximum entropy method In: Journal of the Operational Research Society.
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2008Bayesian parameter inference for models of the Black and Scholes type In: Applied Stochastic Models in Business and Industry.
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2009Assessment and propagation of input uncertainty in tree?based option pricing models In: Applied Stochastic Models in Business and Industry.
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