Nonparametric Adaptive Value-at-Risk Quantification Based on the Multiscale Energy Distribution of Asset Returns. - George Tzagkarakis; Frantz Maurer; Thomas Dionysopoulos (EUSIPCO, 2020)

An energy-based measure for long-run horizon risk quantification. - George Tzagkarakis; Frantz Maurer (Ann. Oper. Res., 2020)

Taming impulsive high-frequency data using optimal sampling periods. - George Tzagkarakis; Frantz Maurer; John P. Nolan (Ann. Oper. Res., 2024)