Frank J. Fabozzi : Citation Profile

Are you Frank J. Fabozzi?

Groupe EDHEC (École de Hautes Études Commerciales du Nord) (43% share)
Groupe EDHEC (École de Hautes Études Commerciales du Nord) (43% share)
Groupe EDHEC (École de Hautes Études Commerciales du Nord) (14% share)

19

H index

36

i10 index

1388

Citations

RESEARCH PRODUCTION:

172

Articles

33

Papers

2

Books

12

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   48 years (1972 - 2020). See details.
   Cites by year: 28
   Journals where Frank J. Fabozzi has often published
   Relations with other researchers
   Recent citing documents: 171.    Total self citations: 49 (3.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa323
   Updated: 2021-02-20    RAS profile: 2019-08-06    
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Relations with other researchers

Works with:

Mittnik, Stefan (3)

Malladi, Rama (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Frank J. Fabozzi.

Is cited by:

Wong, Wing-Keung (20)

faff, robert (18)

Sun, Edward (16)

McAleer, Michael (13)

Vrins, Frédéric (12)

Climent Hernández, José (12)

Chang, Chia-Lin (9)

Brooks, Robert (8)

Harris, Richard (8)

Lejeune, Miguel (7)

Mavrotas, George (6)

Cites to:

Fama, Eugene (25)

Shiller, Robert (25)

French, Kenneth (23)

Engle, Robert (22)

Mandelbrot, Benoît (22)

Markowitz, Harry (17)

Scholes, Myron (16)

Bollerslev, Tim (16)

Campbell, John (16)

merton, robert (14)

Harvey, Campbell (14)

Main data

Where Frank J. Fabozzi has published?

Journals with more than one article published# docs
Quantitative Finance14
International Journal of Theoretical and Applied Finance (IJTAF)10
Journal of Banking & Finance10
European Journal of Operational Research9
Finance Research Letters8
Annals of Operations Research8
Applied Financial Economics7
Applied Economics7
Journal of Financial and Quantitative Analysis6
International Review of Financial Analysis5
Journal of Finance5
Economics Letters5
European Financial Management4
Studies in Nonlinear Dynamics & Econometrics4
Computational Economics4
Journal of Economic Dynamics and Control3
Insurance: Mathematics and Economics3
Applied Economics Letters3
Journal of International Money and Finance3
Applied Financial Economics Letters3
Review of Quantitative Finance and Accounting2
The American Economist2
Energy Economics2
Journal of Financial Research2
Annals of Economics and Finance2
National Tax Journal2
Journal of Empirical Finance2
The European Journal of Finance2
Journal of Asset Management2
Mathematical Methods of Operations Research2
Journal of Pension Economics and Finance2
Journal of Economics and Business2
Applied Mathematical Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org12
Working Paper Series in Economics / Karlsruhe Institute of Technology (KIT), Department of Economics and Management10
Yale School of Management Working Papers / Yale School of Management7
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2

Recent works citing Frank J. Fabozzi (2021 and 2020)

YearTitle of citing document
2020Review 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.

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2020A 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.

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2020Review 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.

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2020Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003.

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2020Meta-learning approaches for recovery rate prediction. (2020). Vrins, Frédéric ; Roccazzella, Francesco ; Gambetti, Paolo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020007.

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2020Diversity and Sparsity: A New Perspective on Index Tracking. (2018). Hospedales, Timothy M ; Zheng, YU ; Yang, Yongxin. In: Papers. RePEc:arx:papers:1809.01989.

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2020Portfolio optimization while controlling Value at Risk, when returns are heavy tailed. (2019). Mukherjee, Diganta ; Biswas, Subhojit. In: Papers. RePEc:arx:papers:1908.03907.

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2020Mixed 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.

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2020Bayesian Filtering for Multi-period Mean-Variance Portfolio Selection. (2019). Upadhye, Neelesh S ; Sen, Rituparna ; Sikaria, Shubhangi. In: Papers. RePEc:arx:papers:1911.07526.

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2020Option Pricing in an Investment Risk-Return Setting. (2020). Stoyanov, Stoyan V ; Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.00737.

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2020Choosing the Right Return Distribution and the Excess Volatility Puzzle. (2020). Fabozzi, Frank J ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2001.08865.

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2021Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps. (2020). Vasiljevi, Nikola ; Mathys, Ludovic ; Farkas, Walter. In: Papers. RePEc:arx:papers:2002.04675.

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2020Gamma Related Ornstein-Uhlenbeck Processes and their Simulation. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2003.08810.

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2020Robust Arbitrage Conditions for Financial Markets. (2020). Zhang, Shuzhong ; Singh, Derek. In: Papers. RePEc:arx:papers:2004.09432.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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2021Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554.

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2020Rational Finance Approach to Behavioral Option Pricing. (2020). Fabozzi, Frank J ; Shirvani, Abootaleb ; Dai, Jiexin. In: Papers. RePEc:arx:papers:2005.05310.

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2020Multivariate non-Gaussian models for financial applications. (2020). Tassinari, Gian Luca ; Hitaj, Asmerilda ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2005.06390.

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2020A New Look to Three-Factor Fama-French Regression Model using Sample Innovations. (2020). Jafari, Aliakbar ; Shaabani, Javad. In: Papers. RePEc:arx:papers:2006.02467.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669.

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2020Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk. (2020). Kim, Young Shin. In: Papers. RePEc:arx:papers:2007.13972.

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2020Optimal Investment, Heterogeneous Consumption and Best Time for Retirement. (2020). Zheng, Harry ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2008.00392.

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2020Mean-variance portfolio selection with tracking error penalization. (2020). Pham, Huyen ; Loeper, Gregoire ; Lefebvre, William. In: Papers. RePEc:arx:papers:2009.08214.

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2020CoVaR 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.

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2020Portfolio 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.

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2020Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2020). Kim, Youngshin ; Kurosaki, Tetsuo. In: Papers. RePEc:arx:papers:2010.08900.

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2020Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. (2020). Georgantas, A. In: Papers. RePEc:arx:papers:2010.13397.

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2020The 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.

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2020Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994.

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2020Option 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.

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2020Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes. (2020). Sabino, Piergiacomo ; Petroni, Nicola Cufaro. In: Papers. RePEc:arx:papers:2011.09147.

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2021Sample 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.

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2020Winners 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.

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2020Modelling 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.

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2020The 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.

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2020Multivariate Stochastic Dominance: A Parametric Approach. (2020). Lozza, Sergio Ortobelli ; Kouaissah, Noureddine. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00368.

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2020Conventional 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.

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2020Passive 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.

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2020A 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.

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2020Effect 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.

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2020Do 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.

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2020Does 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.

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2020Should 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.

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2020A 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.

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2020Pricing 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.

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2020A 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.

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2020Predictability 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.

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2020Exploring 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.

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2020Does 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.

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2021Does 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.

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2020Empirical 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.

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2020Comparative 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.

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2020The 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.

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2020Risk 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.

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2020Time-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.

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2020News 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.

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2020Retrieving 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.

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2020On 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.

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2020Nearest 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.

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2020Stable 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.

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2020Pricing 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.

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2020VIX 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.

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2020Portfolio 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.

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2020Simple 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.

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2020Valuing 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.

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2020Robust 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.

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2020Using 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.

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2021Horses 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.

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2021Quantitative 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.

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2021The 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.

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2020Testing factor models in Indonesia. (2020). Valentini, Aljoa ; Foye, James. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119301669.

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2020Is 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.

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2020Does 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.

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2020Investigating 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.

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2020A 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.

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2020On 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.

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2020U.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.

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2020Best-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.

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2020Spillovers 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.

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2020Meta-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.

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2020What 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.

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2020Research 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.

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2020The 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.

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2020Optimal liquidation of financial derivatives. (2020). Chen, Jingnan. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319300662.

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2020Mean-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.

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2020Solving 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.

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2020Assessing 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.

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2020Does 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.

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2020Forecasting 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.

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2021Forecasting 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.

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2020Sparse 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.

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2020Pension 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.

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2020The 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.

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2020The 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.

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2020Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

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2020Heterogeneity in households’ expectations of housing prices – evidence from micro data. (2020). Österholm, Pär ; Hjalmarsson, Erik ; Osterholm, Par. In: Journal of Housing Economics. RePEc:eee:jhouse:v:50:y:2020:i:c:s105113772030067x.

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2020Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?. (2020). Lakshina, Valeriya. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930091x.

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2020Hedging the exchange rate risk for international portfolios. (2020). Liu, Yong Jun ; Zhang, Weiguo ; Yu, Xing ; Wang, Chao. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:173:y:2020:i:c:p:85-104.

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2020Dissecting anomalies in Islamic stocks: Integrated or segmented pricing?. (2020). Czapkiewicz, Anna ; Maydybura, Alina ; Karathanasopoulos, Andreas ; Zaremba, Adam ; Bagheri, Noushin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x17305899.

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2020A generalized European option pricing model with risk management. (2020). Tan, Jie ; Feng, Chengxiao ; Chen, Shuang ; Jiang, Zhenyu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:545:y:2020:i:c:s0378437119321132.

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2020Topological recognition of critical transitions in time series of cryptocurrencies. (2020). Shmalo, Yonah ; Roldan, Pablo ; Katz, Yuri ; Goldsmith, Daniel ; Gidea, Marian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:548:y:2020:i:c:s0378437119321363.

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More than 100 citations found, this list is not complete...

Frank J. Fabozzi has edited the books:

YearTitleTypeCited

Works by Frank J. Fabozzi:

YearTitleTypeCited
2019A New Set of Financial Instruments In: Papers.
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2016Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion In: Papers.
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2016Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion.(2016) In: Economics Letters.
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2016Financial market with no riskless (safe) asset In: Papers.
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2017FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2016Pricing Derivatives in Hermite Markets In: Papers.
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2017Pricing derivatives in Hermite markets.(2017) In: Papers.
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2020Option Pricing with Greed and Fear Factor: The Rational Finance Approach In: Papers.
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2017Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing In: Papers.
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2020Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach In: Papers.
[Full Text][Citation analysis]		paper1
2017Option pricing for Informed Traders In: Papers.
[Full Text][Citation analysis]		paper0
2017Enhancing Binomial and Trinomial Equity Option Pricing Models In: Papers.
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2019Enhancing binomial and trinomial equity option pricing models.(2019) In: Finance Research Letters.
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2017Another Look at the Ho-Lee Bond Option Pricing Model In: Papers.
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2019Multiple Subordinated Modeling of Asset Returns In: Papers.
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2013Tempered stable Ornstein-Uhlenbeck processes: a practical view In: Temi di discussione (Economic working papers).
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2014Calibrating the Italian smile with time-varying volatility and heavy-tailed models In: Temi di discussione (Economic working papers).
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2018Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models.(2018) In: Computational Economics.
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1972Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence. In: Bulletin of Economic Research.
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2009A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions In: European Financial Management.
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2010Property Derivatives for Managing European Real†Estate Risk In: European Financial Management.
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2012Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities In: European Financial Management.
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2012A Pricing Framework for Real Estate Derivatives In: European Financial Management.
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1988The Over-the-Counter Market and New York Stock Exchange Trading Halts. In: The Financial Review.
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1977Stability Tests for Alphas and Betas over Bull and Bear Market Conditions. In: Journal of Finance.
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1979Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination. In: Journal of Finance.
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1983 Valuation of Safe Harbor Tax Benefit Transfer Leases. In: Journal of Finance.
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1993 The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation. In: Journal of Finance.
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1994 Holiday Trading in Futures Markets. In: Journal of Finance.
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1989OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH In: Journal of Financial Research.
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1985WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS In: Journal of Financial Research.
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2019The Timeline Estimation of Bubbles: The Case of Real Estate In: Real Estate Economics.
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2008Multivariate Skewed Students t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market In: Studies in Nonlinear Dynamics & Econometrics.
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2010Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model In: Studies in Nonlinear Dynamics & Econometrics.
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2013Computational aspects of portfolio risk estimation in volatile markets: a survey In: Studies in Nonlinear Dynamics & Econometrics.
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2013Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data In: Studies in Nonlinear Dynamics & Econometrics.
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2004Modeling Volatility for the Chinese Equity Markets In: Annals of Economics and Finance.
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2007Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange In: Annals of Economics and Finance.
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1978Beta as a Random Coefficient In: Journal of Financial and Quantitative Analysis.
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1979The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model In: Journal of Financial and Quantitative Analysis.
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1980Generalized Functional Form for Mutual Fund Returns In: Journal of Financial and Quantitative Analysis.
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1981Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time In: Journal of Financial and Quantitative Analysis.
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1986State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article8
2008An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article22
2015Measuring and explaining pension system risk In: Journal of Pension Economics and Finance.
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2005Market experience with modeling for defined-benefit pension funds: evidence from four countries In: Journal of Pension Economics and Finance.
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2009Multi-tail generalized elliptical distributions for asset returns In: Econometrics Journal.
[Full Text][Citation analysis]		article4
2008Portfolio selection with uncertain exit time: A robust CVaR approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article16
2014Extracting market information from equity options with exponential Lévy processes In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2018Local volatility and the recovery rate of credit default swaps In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article0
1996International corporate finance : Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp In: The North American Journal of Economics and Finance.
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2009Construction of probability metrics on classes of investors In: Economics Letters.
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2011Is food consumption a good proxy for nondurable consumption? In: Economics Letters.
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2014Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments In: Economics Letters.
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2017Predictability dynamics of emerging sovereign CDS markets In: Economics Letters.
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2007An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve In: European Journal of Operational Research.
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2010Portfolio selection under distributional uncertainty: A relative robust CVaR approach In: European Journal of Operational Research.
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201460 Years of portfolio optimization: Practical challenges and current trends In: European Journal of Operational Research.
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2014Robust portfolios that do not tilt factor exposure In: European Journal of Operational Research.
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2016An improved method for pricing and hedging long dated American options In: European Journal of Operational Research.
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2017Fuzzy decision fusion approach for loss-given-default modeling In: European Journal of Operational Research.
[Full Text][Citation analysis]		article8
2017An improved least squares Monte Carlo valuation method based on heteroscedasticity In: European Journal of Operational Research.
[Full Text][Citation analysis]		article3
2018Improving corporate bond recovery rate prediction using multi-factor support vector regressions In: European Journal of Operational Research.
[Full Text][Citation analysis]		article6
1979Mathematical programming models to determine civil service salaries In: European Journal of Operational Research.
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2013Size, value, and momentum in emerging market stock returns In: Emerging Markets Review.
[Full Text][Citation analysis]		article54
2009Pricing of credit default index swap tranches with one-factor heavy-tailed copula models In: Journal of Empirical Finance.
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2010Risk management and dynamic portfolio selection with stable Paretian distributions In: Journal of Empirical Finance.
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2009CAViaR-based forecast for oil price risk In: Energy Economics.
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2011Balancing energy strategies in electricity portfolio management In: Energy Economics.
[Full Text][Citation analysis]		article28
2013The role of jump dynamics in the risk–return relationship In: International Review of Financial Analysis.
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2014Option pricing under stochastic volatility and tempered stable Lévy jumps In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article12
2015Focusing on the worst state for robust investing In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article2
2016Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques In: International Review of Financial Analysis.
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2016Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction In: International Review of Financial Analysis.
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2013Composition of robust equity portfolios In: Finance Research Letters.
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2016Portfolio selection with conservative short-selling In: Finance Research Letters.
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2017Exploring rating shopping for european triple a senior structured finance securities In: Finance Research Letters.
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2018Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies In: Finance Research Letters.
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2019Does the corporate bond market overvalue bonds of sin companies? In: Finance Research Letters.
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2006The value, size, and momentum spread during distressed economic periods In: Finance Research Letters.
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2007Exploring the components of credit risk in credit default swaps In: Finance Research Letters.
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2011Calibrating affine stochastic mortality models using term assurance premiums In: Insurance: Mathematics and Economics.
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2012A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates In: Insurance: Mathematics and Economics.
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2017Intensity-based framework for surrender modeling in life insurance In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article1
2009Svetlozar, T. Rachev, John S.J. Hsu, B.S. Bagasheva and F.J. Fabozzi , Bayesian Methods in Finance, John Wiley and Sons, USA (2008) ISBN 978-0-471-92083-0 (hardcover), $95, 329 pages. In: International Journal of Forecasting.
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2007Momentum strategies based on reward-risk stock selection criteria In: Journal of Banking & Finance.
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2008Relative deviation metrics and the problem of strategy replication In: Journal of Banking & Finance.
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2008Financial market models with Lévy processes and time-varying volatility In: Journal of Banking & Finance.
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2010Tempered stable and tempered infinitely divisible GARCH models In: Journal of Banking & Finance.
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2011Tempered stable and tempered infinitely divisible GARCH models.(2011) In: Working Paper Series in Economics.
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2011Time series analysis for financial market meltdowns In: Journal of Banking & Finance.
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2010Time series analysis for financial market meltdowns.(2010) In: Working Paper Series in Economics.
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2013CVaR sensitivity with respect to tail thickness In: Journal of Banking & Finance.
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2011CVaR sensitivity with respect to tail thickness.(2011) In: Working Paper Series in Economics.
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2014Deciphering robust portfolios In: Journal of Banking & Finance.
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2016A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance In: Journal of Banking & Finance.
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2016On stability of operational risk estimates by LDA: From causes to approaches In: Journal of Banking & Finance.
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2018Macroeconomic variable selection for creditor recovery rates In: Journal of Banking & Finance.
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1980Stability of mutual fund systematic risk statistics In: Journal of Business Research.
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1982A note on the association between systematic risk and common stock and bond rating classifications In: Journal of Economics and Business.
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2007Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns In: Journal of Economics and Business.
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2011Analysis of the intraday effects of economic releases on the currency market In: Journal of International Money and Finance.
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2010Analysis of the intraday effects of economic releases on the currency market.(2010) In: Working Paper Series in Economics.
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2016Factor decomposition of the Eurozone sovereign CDS spreads In: Journal of International Money and Finance.
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2019Effectiveness of developed and emerging market FX options in active currency risk management In: Journal of International Money and Finance.
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2017Explosive rents: The real estate market dynamics in exuberance In: The Quarterly Review of Economics and Finance.
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2015The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads In: IMES Discussion Paper Series.
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1976Mathematical Programming in American Companies: A Sample Survey In: Interfaces.
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2008OR PRACTICE---Assisting Defined-Benefit Pension Plans In: Operations Research.
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2008Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration In: Annals of Finance.
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2015Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads In: Computational Economics.
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2019Quantile-Based Inference for Tempered Stable Distributions In: Computational Economics.
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2019Quanto Option Pricing with Lévy Models In: Computational Economics.
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2011Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering In: Financial Markets and Portfolio Management.
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2012Option pricing and hedging under a stochastic volatility Lévy process model In: Review of Derivatives Research.
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2000Equity Manager Selection and Performance. In: Review of Quantitative Finance and Accounting.
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2012Portfolio revision under mean-variance and mean-CVaR with transaction costs In: Review of Quantitative Finance and Accounting.
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2007How do conflicting theories about financial markets coexist? In: Journal of Post Keynesian Economics.
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2006How do Conflicting Theories about Financial Markets Coexist?.(2006) In: Yale School of Management Working Papers.
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2013Technical Review Panel for the Pension Insurance Modeling System (PIMS) In: Working Papers.
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2015Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition In: MIT Press Books.
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1991Effective Capital Gains Tax Rates: A Reply In: National Tax Journal.
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2017Effects of Spot Market Short-Sale Constraints on Index Futures Trading In: Review of Finance.
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2016Equity style allocation: A nonparametric approach In: Journal of Asset Management.
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2017Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence In: Journal of Asset Management.
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2011Liability Index Fund: The Liability Beta Portfolio In: Journal of Financial Transformation.
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1977A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit In: The American Economist.
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2010The Reasonable Effectiveness of Mathematics in Economics In: The American Economist.
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2010Robust portfolios: contributions from operations research and finance In: Annals of Operations Research.
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2010Stochastic models for risk estimation in volatile markets: a survey In: Annals of Operations Research.
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2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model In: Annals of Operations Research.
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2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.(2012) In: Working Paper Series in Economics.
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2013What do robust equity portfolio models really do? In: Annals of Operations Research.
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2013Sensitivity of portfolio VaR and CVaR to portfolio return characteristics In: Annals of Operations Research.
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2018Recent advancements in robust optimization for investment management In: Annals of Operations Research.
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2018Robust equity portfolio performance In: Annals of Operations Research.
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2019Market implied volatilities for defaultable bonds In: Annals of Operations Research.
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2009A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence In: Empirical Economics.
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2014Recent Developments in Robust Portfolios with a Worst-Case Approach In: Journal of Optimization Theory and Applications.
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2009Introduction to special issue: studies in mathematical and empirical finance In: Mathematical Methods of Operations Research.
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2009Black swans and white eagles: on mathematics and finance In: Mathematical Methods of Operations Research.
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2014Discussion of ‘on simulation and properties of the stable law’ by Devroye and James In: Statistical Methods & Applications.
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2012Approximation of Stable and Geometric Stable Distribution In: Journal of Statistical and Econometric Methods.
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2009An empirical analysis of the CDX index and its tranches In: Applied Economics Letters.
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2013The new issues puzzle: evidence from non-US firms In: Applied Economics Letters.
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2017Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios In: Applied Economics Letters.
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2006Chinese equity market and the efficient frontier In: Applied Financial Economics Letters.
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2007Refunding efficiency: a generalized approach In: Applied Financial Economics Letters.
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2008Optimal mortgage refinancing: application of bond valuation tools to household risk management In: Applied Financial Economics Letters.
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2006An empirical examination of the return distribution characteristics of agency mortgage pass-through securities In: Applied Financial Economics.
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2006Macroeconomic news effects on conditional volatilities in the bond and stock markets In: Applied Financial Economics.
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2009Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions In: Applied Financial Economics.
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2011Savings selectivity bias, subjective expectations and stock market participation In: Applied Financial Economics.
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2012Approximation of skewed and leptokurtic return distributions In: Applied Financial Economics.
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2013Option pricing with time-changed L�vy processes In: Applied Financial Economics.
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2013Market overreaction and underreaction: tests of the directional and magnitude effects In: Applied Financial Economics.
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2007Optimal Financial Portfolios In: Applied Mathematical Finance.
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2009Orderings and Probability Functionals Consistent with Preferences In: Applied Mathematical Finance.
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2011Household search choice: theory and evidence In: Applied Economics.
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2011MCMC-based estimation of Markov Switching ARMA-GARCH models In: Applied Economics.
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2013Optimal corporate strategy under uncertainty In: Applied Economics.
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2017A flexible approach to estimate the equity premium In: Applied Economics.
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2017Skillful hiding: evaluating hedge fund managers’ performance based on what they hide In: Applied Economics.
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2018An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey In: Applied Economics.
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2018Diversification versus optimality: is there really a diversification puzzle? In: Applied Economics.
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2007Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers Characteristics on Incentives Satisfaction and Size of Returns In: The European Journal of Finance.
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2015The information content of three credit ratings: the case of European residential mortgage-backed securities In: The European Journal of Finance.
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2010Approximation of aggregate and extremal losses within the very heavy tails framework In: Quantitative Finance.
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2010A risk-based evaluation of the free-trader option In: Quantitative Finance.
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2012A new method for generating approximation algorithms for financial mathematics applications In: Quantitative Finance.
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2014Bayesian estimation of truncated data with applications to operational risk measurement In: Quantitative Finance.
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2014Smooth monotone covariance for elliptical distributions and applications in finance In: Quantitative Finance.
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2015Multiperiod conditional valuation of barrier options with incomplete information In: Quantitative Finance.
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2016Elliptical tempered stable distribution In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2017Penalizing variances for higher dependency on factors In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2004A methodology for index tracking based on time-series clustering In: Quantitative Finance.
[Full Text][Citation analysis]		article13
2006On risk management problems related to a coherence property In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2007Trends in quantitative equity management: survey results In: Quantitative Finance.
[Full Text][Citation analysis]		article6
2007Stable distributions in the Black-Litterman approach to asset allocation In: Quantitative Finance.
[Full Text][Citation analysis]		article16
2008On the challenges in quantitative equity management In: Quantitative Finance.
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2009Estimating risk-neutral density with parametric models in interest rate markets In: Quantitative Finance.
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2015A Three-Factor Model for Mortality Modeling In: North American Actuarial Journal.
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2017How fat are the tails of equity market indices? In: International Journal of Finance & Economics.
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2019Sentiment indices and their forecasting ability In: Journal of Forecasting.
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2004AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article9
2005THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF).
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2007ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF).
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2009BARRIER OPTION PRICING BY BRANCHING PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012METRIZATION OF STOCHASTIC DOMINANCE RULES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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2015Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty In: Journal of Financial Engineering (JFE).
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2019Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management In: World Scientific Books.
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2019Introduction In: World Scientific Book Chapters.
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2019Random Variables In: World Scientific Book Chapters.
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2019Stochastic Processes with Jumps In: World Scientific Book Chapters.
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2019The Generalized Hyperbolic Distribution In: World Scientific Book Chapters.
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2019The Class of Stable Distributions In: World Scientific Book Chapters.
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2019Tempered Stable Distributions In: World Scientific Book Chapters.
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2019Multivariate Time-Changed Brownian Motion In: World Scientific Book Chapters.
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2019Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method In: World Scientific Book Chapters.
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2019Extreme Value Theory In: World Scientific Book Chapters.
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2019A Portfolio Selection Analysis with Non-Gaussian Models In: World Scientific Book Chapters.
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2019Implied Volatility Smile with Non-Gaussian Processes In: World Scientific Book Chapters.
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2019Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions In: World Scientific Book Chapters.
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2009A Discretionary Wealth Approach to Investment Policy In: Yale School of Management Working Papers.
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2009Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings In: Yale School of Management Working Papers.
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2007Securitization: The Tool of Financial Transformation In: Yale School of Management Working Papers.
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2007Collateralized Debt Obligations and Credit Risk Transfer In: Yale School of Management Working Papers.
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2009Computing VAR and AVaR in Infinitely Divisible Distributions In: Yale School of Management Working Papers.
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2009Property Derivatives for Managing European Real-Estate Risk In: Yale School of Management Working Papers.
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2010Bayesian inference for hedge funds with stable distribution of returns In: Working Paper Series in Economics.
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2011Tempered infinitely divisible distributions and processes In: Working Paper Series in Economics.
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2011A profit model for spread trading with an application to energy futures In: Working Paper Series in Economics.
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2011Fat-tailed models for risk estimation In: Working Paper Series in Economics.
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2012Option pricing with regime switching tempered stable processes In: Working Paper Series in Economics.
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