19
H index
36
i10 index
1388
Citations
Groupe EDHEC (École de Hautes Études Commerciales du Nord) (43% share) | 19 H index 36 i10 index 1388 Citations RESEARCH PRODUCTION: 172 Articles 33 Papers 2 Books 12 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Frank J. Fabozzi. | Is cited by: | Cites to: |
Year | Title of citing document | |
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2020 | Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Hau, Nguyen Huu ; Tuong, Hoa Anh ; Tinh, Tran Trung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:1:p:28-69. Full description at Econpapers || Download paper | |
2020 | A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk?. (2020). Shiller, Robert J ; Fabozzi, Frank J ; Tunaru, Radu S. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:34:y:2020:i:4:p:121-45. Full description at Econpapers || Download paper | |
2020 | Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Tuong, Hoa Anh ; Tinh, Tran Trung ; Hau, Nguyen Huu. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:1:p:28-69. Full description at Econpapers || Download paper | |
2020 | Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003. Full description at Econpapers || Download paper | |
2020 | Meta-learning approaches for recovery rate prediction. (2020). Vrins, Frédéric ; Roccazzella, Francesco ; Gambetti, Paolo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020007. Full description at Econpapers || Download paper | |
2020 | Diversity and Sparsity: A New Perspective on Index Tracking. (2018). Hospedales, Timothy M ; Zheng, YU ; Yang, Yongxin. In: Papers. RePEc:arx:papers:1809.01989. Full description at Econpapers || Download paper | |
2020 | Portfolio optimization while controlling Value at Risk, when returns are heavy tailed. (2019). Mukherjee, Diganta ; Biswas, Subhojit. In: Papers. RePEc:arx:papers:1908.03907. Full description at Econpapers || Download paper | |
2020 | Mixed Levy Subordinated Market Model and Implied Probability Weighting Function. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Hu, Yuan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1910.05902. Full description at Econpapers || Download paper | |
2020 | Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection. (2019). Upadhye, Neelesh S ; Sen, Rituparna ; Sikaria, Shubhangi. In: Papers. RePEc:arx:papers:1911.07526. Full description at Econpapers || Download paper | |
2020 | Option Pricing in an Investment Risk-Return Setting. (2020). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.00737. Full description at Econpapers || Download paper | |
2020 | Choosing the Right Return Distribution and the Excess Volatility Puzzle. (2020). Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.08865. Full description at Econpapers || Download paper | |
2021 | Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. (2020). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.04675. Full description at Econpapers || Download paper | |
2020 | Gamma Related Ornstein-Uhlenbeck Processes and their Simulation. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2003.08810. Full description at Econpapers || Download paper | |
2020 | Robust Arbitrage Conditions for Financial Markets. (2020). Zhang, Shuzhong ; Singh, Derek. In: Papers. RePEc:arx:papers:2004.09432. Full description at Econpapers || Download paper | |
2020 | Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674. Full description at Econpapers || Download paper | |
2021 | Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554. Full description at Econpapers || Download paper | |
2020 | Rational Finance Approach to Behavioral Option Pricing. (2020). Fabozzi, Frank J ; Shirvani, Abootaleb ; Dai, Jiexin. In: Papers. RePEc:arx:papers:2005.05310. Full description at Econpapers || Download paper | |
2020 | Multivariate non-Gaussian models for financial applications. (2020). Tassinari, Gian Luca ; Hitaj, Asmerilda ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2005.06390. Full description at Econpapers || Download paper | |
2020 | A New Look to Three-Factor Fama-French Regression Model using Sample Innovations. (2020). Jafari, Aliakbar ; Shaabani, Javad. In: Papers. RePEc:arx:papers:2006.02467. Full description at Econpapers || Download paper | |
2020 | Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669. Full description at Econpapers || Download paper | |
2020 | Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk. (2020). Kim, Young Shin. In: Papers. RePEc:arx:papers:2007.13972. Full description at Econpapers || Download paper | |
2020 | Optimal Investment, Heterogeneous Consumption and Best Time for Retirement. (2020). Zheng, Harry ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2008.00392. Full description at Econpapers || Download paper | |
2020 | Mean-variance portfolio selection with tracking error penalization. (2020). Pham, Huyen ; Loeper, Gregoire ; Lefebvre, William. In: Papers. RePEc:arx:papers:2009.08214. Full description at Econpapers || Download paper | |
2020 | CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764. Full description at Econpapers || Download paper | |
2020 | Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation. (2020). Kim, Young Shin ; Peng, Cheng. In: Papers. RePEc:arx:papers:2009.11367. Full description at Econpapers || Download paper | |
2020 | Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2020). Kim, Youngshin ; Kurosaki, Tetsuo. In: Papers. RePEc:arx:papers:2010.08900. Full description at Econpapers || Download paper | |
2020 | Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. (2020). Georgantas, A. In: Papers. RePEc:arx:papers:2010.13397. Full description at Econpapers || Download paper | |
2020 | The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. (2020). Poorvasei, Hossein ; Arian, Hamidreza ; Zamani, Shiva ; Sharifi, Azin. In: Papers. RePEc:arx:papers:2011.06693. Full description at Econpapers || Download paper | |
2020 | Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994. Full description at Econpapers || Download paper | |
2020 | Option Pricing Incorporating Factor Dynamics in Complete Markets. (2020). Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2011.08343. Full description at Econpapers || Download paper | |
2020 | Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147. Full description at Econpapers || Download paper | |
2021 | Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing. (2021). Kim, Young Shin. In: Papers. RePEc:arx:papers:2101.11001. Full description at Econpapers || Download paper | |
2020 | Winners and Losers from Sovereign Debt Inflows: Evidence from the Stock Market. (2020). Williams, Tomas ; Pandolfi, Lorenzo ; Broner, Fernando ; Martin, Alberto. In: Working Papers. RePEc:bge:wpaper:1152. Full description at Econpapers || Download paper | |
2020 | Modelling fuel injector spray characteristics in jet engines by using vine copulas. (2020). Holz, Simon ; Coblenz, Maximilian ; Koch, Rainer ; Grothe, Oliver ; Bauer, Hansjorg. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:4:p:863-886. Full description at Econpapers || Download paper | |
2020 | The Pricing of Bank Bonds, Sovereign Credit Risk and ECBs Asset Purchase Programmes. (2020). Ribeiro, Ricardo ; Pinto, João ; Branco, Ricardo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:012020. Full description at Econpapers || Download paper | |
2020 | Multivariate Stochastic Dominance: A Parametric Approach. (2020). Lozza, Sergio Ortobelli ; Kouaissah, Noureddine. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00368. Full description at Econpapers || Download paper | |
2020 | Conventional Mutual Funds Out Perform Islamic Mutual Funds in the Context of Pakistan. A Myth or Reality. (2020). Hussain, Arif ; Farooq, Naveed ; Ishaque, Amir ; Shah, Raza Ullah ; Saleem, Kashif ; Rehman, Alam ; Han, Jiabin ; Zeeshan, Muhammad. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-18. Full description at Econpapers || Download paper | |
2020 | Passive Balancing Through Intraday Trading: Whether Interactions Between Short-term Trading and Balancing Stabilize Germany’s Electricity System. (2020). Koch, Christopher ; Maskos, Philipp. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-14. Full description at Econpapers || Download paper | |
2020 | A decision model based on expected utility, entropy and variance. (2020). Brito, Irene. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:379:y:2020:i:c:s009630032030254x. Full description at Econpapers || Download paper | |
2020 | Effect of market design on strategic bidding behavior: Model-based analysis of European electricity balancing markets. (2020). de Vries, Laurens ; Lago, Jesus ; Poplavskaya, Ksenia. In: Applied Energy. RePEc:eee:appene:v:270:y:2020:i:c:s0306261920306425. Full description at Econpapers || Download paper | |
2020 | Do words reveal the latent truth? Identifying communication patterns of corporate losers. (2020). Mukherjee, Shubhadeep ; Deb, Soumya Guha ; Kumar, Rahul. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:26:y:2020:i:c:s221463501930228x. Full description at Econpapers || Download paper | |
2020 | Does mood affect institutional herding?. (2020). Ozturkkal, Belma ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:26:y:2020:i:c:s2214635019303119. Full description at Econpapers || Download paper | |
2020 | Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605. Full description at Econpapers || Download paper | |
2020 | A new LSTM based reversal point prediction method using upward/downward reversal point feature sets. (2020). Lu, Pengyu ; Pak, Kyongsok ; Ryu, Unsok ; Kim, Chungsong. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:132:y:2020:i:c:s0960077919305168. Full description at Econpapers || Download paper | |
2020 | Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model. (2020). Deng, Guohe. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920308043. Full description at Econpapers || Download paper | |
2020 | A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance. (2020). Pinto, João ; Marques, Manuel O. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300249. Full description at Econpapers || Download paper | |
2020 | Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns. (2020). Vo, Xuan Vinh ; Bouri, Elie ; Alqahtani, Abdullah. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:239-249. Full description at Econpapers || Download paper | |
2020 | Exploring the mismatch between credit ratings and loss-given-default: A credit risk approach. (2020). Shi, Baofeng ; Li, Weiping ; Chi, Guotai. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:420-428. Full description at Econpapers || Download paper | |
2020 | Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157. Full description at Econpapers || Download paper | |
2021 | Does retail investor attention improve stock liquidity? A dynamic perspective. (2021). Yao, Shouyu ; Fang, Zhenming ; Wang, Chunfeng ; Chiao, Chaoshin ; Cheng, Feiyang. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:170-183. Full description at Econpapers || Download paper | |
2020 | Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Wohar, Mark E ; Adewuyi, Adeolu O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305497. Full description at Econpapers || Download paper | |
2020 | Comparative empirical study of binomial call-option pricing methods using S&P 500 index data. (2020). Herbon, Avi ; Shvimer, Yossi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302268. Full description at Econpapers || Download paper | |
2020 | The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559. Full description at Econpapers || Download paper | |
2020 | Risk decomposition, estimation error, and naïve diversification. (2020). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302165. Full description at Econpapers || Download paper | |
2020 | Time-varying lead–lag structure between investor sentiment and stock market. (2020). Li, Hong-Yu ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303973. Full description at Econpapers || Download paper | |
2020 | News will tell: Forecasting foreign exchange rates based on news story events in the economy calendar. (2020). Peters, Wiebke ; Lessmann, Stefan ; Semiromi, Hamed Naderi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300784. Full description at Econpapers || Download paper | |
2020 | Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Cortes, Lina M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980. Full description at Econpapers || Download paper | |
2020 | On the different impacts of fixed versus floating bid-ask spreads on an automated intraday stock trading. (2020). Heywood, Malcolm ; Loginov, Alexander. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301443. Full description at Econpapers || Download paper | |
2020 | Nearest comoment estimation with unobserved factors. (2020). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:381-397. Full description at Econpapers || Download paper | |
2020 | Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models. (2020). Morettin, Pedro A ; Sampaio, Jhames M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:15:y:2020:i:c:p:67-83. Full description at Econpapers || Download paper | |
2020 | Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925. Full description at Econpapers || Download paper | |
2020 | VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782. Full description at Econpapers || Download paper | |
2020 | Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs. (2020). Puerto, Justo ; Ponce, Diego ; Leal, Marina. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:712-727. Full description at Econpapers || Download paper | |
2020 | Simple explicit formula for near-optimal stochastic lifestyling. (2020). Černý, Aleš ; Melicherik, Igor . In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:769-778. Full description at Econpapers || Download paper | |
2020 | Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties. (2020). Pflug, Georg C ; Maier, Sebastian ; Polak, John W. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:133-147. Full description at Econpapers || Download paper | |
2020 | Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set. (2020). Sun, Jie ; Ling, Aifan ; Wang, Meihua. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:81-95. Full description at Econpapers || Download paper | |
2020 | Using favorite data to analyze asymmetric competition: Machine learning models. (2020). Shang, Jennifer ; Jiang, Yuanchun ; Qian, Yang ; Liu, Yezheng. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:600-615. Full description at Econpapers || Download paper | |
2021 | Horses for courses: Mean-variance for asset allocation and 1/N for stock selection. (2021). Sutcliffe, Charles ; Ye, Xiaoxia ; Platanakis, Emmanouil. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:302-317. Full description at Econpapers || Download paper | |
2021 | Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067. Full description at Econpapers || Download paper | |
2021 | The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. (2021). Forsyth, Peter A ; Dang, Duy-Minh ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:774-792. Full description at Econpapers || Download paper | |
2020 | Testing factor models in Indonesia. (2020). Valentini, Aljoa ; Foye, James. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119301669. Full description at Econpapers || Download paper | |
2020 | Is there an illiquidity premium in frontier markets?. (2020). Umar, Zaghum ; Zaremba, Adam ; Stereczak, Szymon. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302481. Full description at Econpapers || Download paper | |
2020 | Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:164-180. Full description at Econpapers || Download paper | |
2020 | Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355. Full description at Econpapers || Download paper | |
2020 | A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368. Full description at Econpapers || Download paper | |
2020 | On the stability of portfolio selection models. (2020). Tardella, Fabio ; Ricci, Jacopo Maria ; Mottura, Carlo Domenico ; Mango, Fabiomassimo ; Cesarone, Francesco. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:210-234. Full description at Econpapers || Download paper | |
2020 | U.S. equity and commodity futures markets: Hedging or financialization?. (2020). Sousa, Ricardo ; Sensoy, Ahmet ; Nguyen, Duc Khuong ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304578. Full description at Econpapers || Download paper | |
2020 | Best-case scenario robust portfolio for energy stock market. (2020). Quan, LI ; Yang, Min ; Wang, Lihua ; Pan, Lin ; Xian, Liang ; Liu, Dinghao ; Chen, Chen. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220317722. Full description at Econpapers || Download paper | |
2020 | Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective. (2020). Li, Jianping ; Yao, Yanzhen ; Wang, Jun ; Sun, Xiaolei. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304599. Full description at Econpapers || Download paper | |
2020 | Meta-analysis in finance research: Opportunities, challenges, and contemporary applications. (2020). Hang, Markus ; Geyer-Klingeberg, Jerome ; Rathgeber, Andreas. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s105752192030168x. Full description at Econpapers || Download paper | |
2020 | What determines the issue price of lease asset-backed securities in China?. (2020). Wang, Rui ; Yang, Liuyong ; Luo, Xingguo ; Chen, Zhenyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302271. Full description at Econpapers || Download paper | |
2020 | Research on Chinas financial systemic risk contagion under jump and heavy-tailed risk. (2020). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhang, Wei ; Xiong, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302283. Full description at Econpapers || Download paper | |
2020 | The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country. (2020). Gözgör, Giray ; Marco, Chi Keung ; Semeyutin, Artur ; Li, Haiping. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319301424. Full description at Econpapers || Download paper | |
2020 | Optimal liquidation of financial derivatives. (2020). Chen, Jingnan. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319300662. Full description at Econpapers || Download paper | |
2020 | Mean-variance model and investors’ diversification attitude: A theoretical revisit. (2020). Koumou, Gilles Boevi. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318306160. Full description at Econpapers || Download paper | |
2020 | Solving the index tracking problem based on a convex reformulation for cointegration. (2020). Caldeira, Joo Frois ; Filomena, Tiago Pascoal ; de Oliveira, Alan Delgado ; Sant, Leonardo Riegel. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318306196. Full description at Econpapers || Download paper | |
2020 | Assessing the contribution of China’s financial sectors to systemic risk. (2020). Vioto, Davide ; Morelli, David. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300760. Full description at Econpapers || Download paper | |
2020 | Does low synchronicity mean more or less informative prices? Evidence from an emerging market. (2020). Zhang, Luxiu ; Peng, Hongfeng ; Liu, Desheng. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920301200. Full description at Econpapers || Download paper | |
2020 | Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694. Full description at Econpapers || Download paper | |
2021 | Forecasting recovery rates on non-performing loans with machine learning. (2021). Vrins, Frédéric ; Gambetti, Paolo ; Brigo, Damiano ; Bellotti, Anthony. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:428-444. Full description at Econpapers || Download paper | |
2020 | Sparse portfolio selection via the sorted â„“1-Norm. (2020). Paterlini, Sandra ; Bogdan, Magorzata ; Lee, Sangkyun ; Kremer, Philipp J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302614. Full description at Econpapers || Download paper | |
2020 | Pension fund equity performance: Patience, activity or both?. (2020). Luivjanska, Katarina ; van Lelyveld, Iman ; Gonzalez, Tanja Artiga. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300790. Full description at Econpapers || Download paper | |
2020 | The correlation structure of anomaly strategies. (2020). Lu, Helen ; Geertsema, Paul. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301965. Full description at Econpapers || Download paper | |
2020 | The determinants of bank loan recovery rates in good times and bad – New evidence. (2020). Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S ; Wang, Hong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:177:y:2020:i:c:p:875-897. Full description at Econpapers || Download paper | |
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2009 | BARRIER OPTION PRICING BY BRANCHING PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
2012 | METRIZATION OF STOCHASTIC DOMINANCE RULES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
2013 | FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
2013 | PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 2 |
2016 | RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 7 |
2015 | Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] | article | 0 |
2019 | Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management In: World Scientific Books. [Full Text][Citation analysis] | book | 1 |
2019 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | Random Variables In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | Stochastic Processes with Jumps In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | The Generalized Hyperbolic Distribution In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | The Class of Stable Distributions In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | Tempered Stable Distributions In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | Multivariate Time-Changed Brownian Motion In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | Extreme Value Theory In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | A Portfolio Selection Analysis with Non-Gaussian Models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | Implied Volatility Smile with Non-Gaussian Processes In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2019 | Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
2009 | A Discretionary Wealth Approach to Investment Policy In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Securitization: The Tool of Financial Transformation In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 8 |
2007 | Collateralized Debt Obligations and Credit Risk Transfer In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 3 |
2009 | Computing VAR and AVaR in Infinitely Divisible Distributions In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 4 |
2009 | Property Derivatives for Managing European Real-Estate Risk In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 0 |
2010 | Bayesian inference for hedge funds with stable distribution of returns In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 1 |
2011 | Tempered infinitely divisible distributions and processes In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 4 |
2011 | A profit model for spread trading with an application to energy futures In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 0 |
2011 | Fat-tailed models for risk estimation In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 12 |
2012 | Option pricing with regime switching tempered stable processes In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 0 |
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