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Mathematics

D-Index
64
Citations
51145
World Ranking
400
National Ranking
212

Research.com Recognitions

  • 2002 - Fellow of the American Statistical Association (ASA)

Overview

Richard A. Davis is affiliated with Columbia University in the United States and has contributed extensively to the fields of Economics, Econometrics, Finance, and Mathematics. Their research spans areas such as Financial Risk and Volatility Modeling, Complex Systems and Time Series Analysis, Monetary Policy and Economic Impact, Statistical Methods and Inference, Market Dynamics and Volatility, Advanced Statistical Methods and Models, and Statistical Mechanics and Entropy.

The scientist has published multiple papers in notable venues. Recent publications include:

  • Heavy-tailed distributions, correlations, kurtosis and Taylor's Law of fluctuation scaling (2020), Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences
  • Time series estimation of the dynamic effects of disaster-type shocks (2022), Journal of Econometrics
  • Goodness-of-fit testing for time series models via distance covariance (2020), Journal of Econometrics
  • COVID-19 cases and deaths in the United States follow Taylor's law for heavy-tailed distributions with infinite variance (2022), Proceedings of the National Academy of Sciences
  • Modeling of time series using random forests: Theoretical developments (2020), Electronic Journal of Statistics

Frequent coauthors in their research include:

  • Gennady Samorodnitsky
  • Joel E. Cohen
  • Serena Ng
  • Mikkel Slot Nielsen
  • Phyllis Wan

Richard A. Davis has published multiple works in the following venues:

  • Journal of Econometrics
  • Journal of Time Series Analysis
  • arXiv (Cornell University)
  • Proceedings of the Royal Society A Mathematical Physical and Engineering Sciences
  • Proceedings of the National Academy of Sciences

Their main fields of study focus on:

  • Economics, Econometrics and Finance
  • Mathematics

Subfields of work include:

  • Finance
  • Economics and Econometrics
  • Statistics and Probability
  • General Economics, Econometrics and Finance
  • Modeling and Simulation

Recognized as a Fellow of the American Statistical Association (ASA) since 2002, Richard A. Davis's research continues to engage with advanced quantitative methods for analyzing financial risk and volatility as well as statistical modeling of dynamic systems.

Best Publications

  • Time Series: Theory and Methods

    Peter J Brockwell;Richard A Davis

  • Introduction to time series and forecasting

    Peter J. Brockwell;Richard A. Davis

  • Remarks on Some Nonparametric Estimates of a Density Function

    Richard A. Davis;Keh-Shin Lii;Dimitris N. Politis

  • Extremes and Related Properties of Random Sequences and Processes.

    Richard A. Davis;M. R. Leadbetter;Georg Lindgren;Holger Rootzen

  • Time Series: Theory and Methods (2nd ed.).

    Rong Chen;Peter J. Brockwell;Richard A. Davis

  • Time Series: Theory and Methods (2Nd Edn)

    P. M. North;Peter J. Brockwell;Richard A. Davis

  • Structural Break Estimation for Nonstationary Time Series Models

    Richard A Davis;Thomas C. M Lee;Gabriel A Rodriguez-Yam

  • Regular variation of GARCH processes

    Bojan Basrak;Richard A. Davis;Thomas Mikosch

  • Limit Theory for Moving Averages of Random Variables with Regularly Varying Tail Probabilities

    Richard Davis;Sidney Resnick

  • Limit Theory for the Sample Covariance and Correlation Functions of Moving Averages

    Richard Davis;Sidney Resnick

  • Handbook of Financial Time Series

    Torben G Andersen;Richard A Davis;Jens-Peter Kreiss;Thomas Mikosch

  • Observation-driven models for Poisson counts

    Richard A. Davis;William T. M. Dunsmuir;Sarah B. Streett

  • M-estimation for autoregressions with infinite variance

    Richard A. Davis;Keith Knight;Jian Liu

  • Tail estimates motivated by extreme-value theory

    Richard Davis;Sidney Resnick

  • Point Process and Partial Sum Convergence for Weakly Dependent Random Variables with Infinite Variance

    Richard A. Davis;Tailen Hsing

  • The extremogram: a correlogram for extreme events

    Richard A. Davis;Thomas Valentin Mikosch

  • The sample autocorrelations of heavy-tailed processes with applications to ARCH

    Richard A. Davis;Thomas Mikosch

  • Model selection for geostatistical models.

    Jennifer A. Hoeting;Richard A. Davis;Andrew A. Merton;Sandra E. Thompson

  • Sparse Vector Autoregressive Modeling

    Richard A. Davis;Pengfei Zang;Tian Zheng

  • A characterization of multivariate regular variation

    Bojan Basrak;Richard A. Davis;Thomas Mikosch

  • On Some Global Measures of the Deviations of Density Function Estimates

    Richard A. Davis;Keh-Shin Lii;Dimitris N. Politis

Frequent Co-Authors

Dimitris N. Politis
Dimitris N. Politis University of California, San Diego
Peter J. Brockwell
Peter J. Brockwell Colorado State University
Thomas Mikosch
Thomas Mikosch University of Copenhagen
Sidney I. Resnick
Sidney I. Resnick Cornell University
Brian C. Lovell
Brian C. Lovell University of Queensland
Claudia Klüppelberg
Claudia Klüppelberg Technical University of Munich
Gennady Samorodnitsky
Gennady Samorodnitsky Cornell University
Johan Segers
Johan Segers Université Catholique de Louvain
Philip H. W. Leong
Philip H. W. Leong University of Sydney
Murray Rosenblatt
Murray Rosenblatt University of California, San Diego

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