| Informative frequency band selection in the presence of non-Gaussian noise – a novel approach based on the conditional variance statistic with application to bearing fault … J Hebda-Sobkowicz, R Zimroz, M Pitera, A Wyłomańska Mechanical Systems and Signal Processing 145, 106971, 2020 | 87 | 2020 |
| A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective TR Bielecki, I Cialenco, M Pitera Probability, Uncertainty and Quantitative Risk 2 (3), 50, 2017 | 44 | 2017 |
| On spatial contagion and multivariate GARCH models P Jaworski, M Pitera Applied Stochastic Models in Business and Industry 30 (3), 2014 | 40 | 2014 |
| Unbiased estimation of risk M Pitera, T Schmidt Journal of Banking and Finance 91, 133-145, 2016 | 37 | 2016 |
| The 20-60-20 Rule P Jaworski, M Pitera Discrete & Continuous Dynamical Systems - Series B 21 (4), 2016 | 34 | 2016 |
| New fat-tail normality test based on conditional second moments with applications to finance D Jelito, M Pitera Statistical Papers 62 (5), 2083-2108, 2021 | 33 | 2021 |
| A unified approach to time consistency of dynamic risk measures and dynamic performance measures in discrete time TR Bielecki, I Cialenco, M Pitera Mathematics of Operations Research 43 (1), 203-221, 2017 | 28* | 2017 |
| Goodness-of-fit test for α-stable distribution based on the quantile conditional variance statistics M Pitera, A Chechkin, A Wyłomańska Statistical Methods & Applications, 1-38, 2021 | 24 | 2021 |
| Long run risk sensitive portfolio with general factors M Pitera, Ł Stettner Mathematical Methods of Operations Research 83 (2), 2016 | 23 | 2016 |
| Backtesting Expected Shortfall: a simple recipe? F Moldenhauer, M Pitera Journal of Risk 22, 17-42, 2018 | 22 | 2018 |
| Risk sensitive optimal stopping D Jelito, M Pitera, Ł Stettner Stochastic Processes and their Applications 136, 125-144, 2021 | 18 | 2021 |
| Discrete‐time risk sensitive portfolio optimization with proportional transaction costs M Pitera, Ł Stettner Mathematical Finance 33 (4), 1287-1313, 2023 | 14 | 2023 |
| Long-run risk-sensitive impulse control D Jelito, M Pitera, Ł Stettner SIAM Journal on Control and Optimization 58 (4), 2446-2468, 2020 | 13 | 2020 |
| Dynamic limit growth indices in discrete time TR Bielecki, I Cialenco, M Pitera Stochastic Models 31 (3), 494-523, 2015 | 10 | 2015 |
| Estimating and backtesting risk under heavy tails M Pitera, T Schmidt Insurance: Mathematics and Economics 104, 1-14, 2022 | 9 | 2022 |
| Long-Run Risk Sensitive Dyadic Impulse Control M Pitera, Ł Stettner Applied Mathematics & Optimization 84, 19-47, 2021 | 9 | 2021 |
| A note on conditional variance and characterization of probability distributions P Jaworski, M Pitera Statistics & Probability Letters 163, 108800, 2020 | 9 | 2020 |
| The least squares method for option pricing revisited M Klimek, M Pitera Applicationes Mathematicae 45, 5-29, 2018 | 9* | 2018 |
| Goodness-of-fit test for stochastic processes using even empirical moments statistic K Maraj-Zygmąt, G Sikora, M Pitera, A Wyłomańska Chaos: An Interdisciplinary Journal of Nonlinear Science 33 (1), 2023 | 8 | 2023 |
| Estimation of stability index for symmetric alpha-stable distribution using quantile conditional variance ratios K Pączek, D Jelito, M Pitera, A Wyłomańska arXiv preprint arXiv:2212.13502, 2022 | 8* | 2022 |
Agnieszka WylomanskaAssociate Professor, Faculty of Pure and Applied Mathematics, Wroclaw Tech.Verified email at pwr.wroc.pl
