Concepedia

Milan Borkovec

MB

Statistics

Publications

8

Citations

272

H-Index

8

Active since

1998

Affiliations

MACOM (United States)(Current)

Milan Borkovec is an author at MACOM (United States) specializing in economics, stochastic processes, and finance.

Publications per year

1998–2013

8

Publications

8

The Tail of the Stationary Distribution of an Autoregressive Process with Arch(1) Errors

Milan Borkovec, Claudia Klüppelberg · The Annals of Applied Probability · 2001 · 97 citations · Full text

, , +11

Extremal behavior of the autoregressive process with ARCH(1) errors

Milan Borkovec · Stochastic Processes and their Applications · 2000 · 36 citations · Full text

, , +7

Extremal Behavior of Diffusion Models in Finance

Milan Borkovec, Claudia Klüppelberg · Extremes · 1998 · 36 citations · Full text

, , +14

Liquidity and Price Discovery in Exchange-Traded Funds: <i>One of Several Possible Lessons from the Flash Crash</i>

Milan Borkovec, Ian Domowitz, Vitaly Serbin et al. · The Journal of Index Investing · 2010 · 32 citations

, , +17

Portfolio Optimization and the Cost of Trading

Milan Borkovec, Ian Domowitz, Brian Kiernan et al. · The Journal of Investing · 2010 · 30 citations

, , +17

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