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)

16

H index

27

i10 index

1031

Citations

RESEARCH PRODUCTION:

173

Articles

33

Papers

2

Books

12

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   47 years (1972 - 2019). See details.
   Cites by year: 21
   Journals where Frank J. Fabozzi has often published
   Relations with other researchers
   Recent citing documents: 171.    Total self citations: 48 (4.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa323
   Updated: 2019-09-14    RAS profile: 2019-08-06    
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Relations with other researchers


Works with:

Vink, Dennis (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:

faff, robert (15)

Wong, Wing-Keung (13)

Sun, Edward (12)

McAleer, Michael (12)

Chang, Chia-Lin (8)

Harris, Richard (8)

Brooks, Robert (8)

Lejeune, Miguel (7)

Mavrotas, George (6)

Zenios, Stavros (5)

Pätäri, Eero (5)

Cites to:

Fama, Eugene (27)

French, Kenneth (25)

Shiller, Robert (25)

Engle, Robert (23)

Mandelbrot, Benoît (23)

Markowitz, Harry (17)

merton, robert (16)

Bollerslev, Tim (16)

Campbell, John (16)

Scholes, Myron (15)

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
Annals of Operations Research8
Finance Research Letters8
Applied Economics7
Applied Financial Economics7
Journal of Financial and Quantitative Analysis6
International Review of Financial Analysis5
Economics Letters5
Journal of Finance5
Studies in Nonlinear Dynamics & Econometrics4
European Financial Management4
Computational Economics4
Insurance: Mathematics and Economics3
Journal of International Money and Finance3
Applied Financial Economics Letters3
Journal of Economic Dynamics and Control3
Applied Economics Letters3
The American Economist2
Journal of Empirical Finance2
Review of Quantitative Finance and Accounting2
Journal of Financial Research2
Energy Economics2
Journal of Pension Economics and Finance2
Mathematical Methods of Operations Research2
The European Journal of Finance2
Annals of Economics and Finance2
Applied Mathematical Finance2
Journal of Asset Management2
National Tax Journal2
Journal of Economics and Business2

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 Business Engineering10
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 (2019 and 2018)


YearTitle of citing document
2018A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2018). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33.

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2018On the role of probability weighting on WTP for crop insurance with and without yield skewness. (2018). Piet, Laurent ; Bougherara, Douadia. In: Working Papers. RePEc:ags:inrasl:279351.

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2018Pricing sovereign contingent convertible debt. (2018). Consiglio, Andrea ; Zenios, Stavros ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1804.01475.

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2018The determinants of bank loan recovery rates in good times and bad - new evidence. (2018). Wang, Hong ; Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S. In: Papers. RePEc:arx:papers:1804.07022.

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2018Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. (2018). Bianchi, Michele Leonardo ; Tassinari, Gian Luca. In: Papers. RePEc:arx:papers:1805.05584.

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2019Forecasting market states. (2018). Procacci, Pier Francesco ; Aste, Tomaso. In: Papers. RePEc:arx:papers:1807.05836.

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2018Betas, Benchmarks and Beating the Market. (2018). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1807.09919.

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

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2018Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382.

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2019Using Column Generation to Solve Extensions to the Markowitz Model. (2018). Roebers, Lorenz M ; Vera, Juan C ; Selvi, Aras. In: Papers. RePEc:arx:papers:1812.00093.

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2019Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market. (2019). Scalas, Enrico ; Kaizoji, Taisei ; Eom, Cheoljun. In: Papers. RePEc:arx:papers:1904.02567.

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

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2019Is being `Robust beneficial?: A perspective from the Indian market. (2019). Girach, Mohammed Bilal ; Chakrabarty, Siddhartha P ; Oberoi, Shashank. In: Papers. RePEc:arx:papers:1908.05002.

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2019Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation. (2019). Hu, Yuan ; Fabozzi, Frank J ; Rache, Svetlozar T. In: Papers. RePEc:arx:papers:1908.05419.

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2018Real estates information and volatility links with stock, bond and money markets. (2018). Mi, Lin ; Hodgson, Allan. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:465-491.

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2019THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113.

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2018A High-Moment Trapezoidal Fuzzy Random Portfolio Model with Background Risk. (2018). Xiong, Deng ; Yanli, Liu. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:6:y:2018:i:1:p:1-28:n:1.

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2018Agrega valor el modelo Black-Litterman en portafolios del Mercado Integrado Latinoamericano (MILA)?. (2018). Agudelo, Diego ; Luna-Ramirez, Susana. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016958.

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2018Pension fund equity performance: Patience, activity or both?. (2018). Lelyveld, Iman ; Artiga Gonzalez, Tanja ; Lucivjanska, Katarina ; van Lelyveld, Iman. In: DNB Working Papers. RePEc:dnb:dnbwpp:606.

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2019Security design and credit rating risk in the CLO market. (2019). van Breemen, Vivian ; Nawas, Mike ; Vink, Dennis . In: DNB Working Papers. RePEc:dnb:dnbwpp:643.

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2019Is tail risk the missing link between institutions and risk?. (2019). Ni, Wan ; Basu, Devraj ; Groslambert, Bertrand . In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00266.

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2019Reducing risk through crop diversification: An application of portfolio theory to diversified horticultural systems. (2019). Paut, Raphael ; Tchamitchian, Marc ; Sabatier, Rodolphe. In: Agricultural Systems. RePEc:eee:agisys:v:168:y:2019:i:c:p:123-130.

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2018Commonality in liquidity: Evidence from India’s National Stock Exchange. (2018). Kumar, Gaurav ; Misra, Arun Kumar . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:1-15.

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2018Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Chowdhury, Biplob ; Dungey, Mardi ; JEYASREEDHARAN, NAGARATNAM . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2018Determinants of holiday effects in mainland Chinese and Hong-Kong markets. (2018). Casalin, Fabrizio. In: China Economic Review. RePEc:eee:chieco:v:49:y:2018:i:c:p:45-67.

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2018The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205.

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2018Dieselgate and its expected consequences on the European auto ABS market. (2018). Hachenberg, Britta ; Schiereck, Dirk ; Kiesel, Florian. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:180-182.

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2019Does twitter predict Bitcoin?. (2019). Shen, Dehua ; Wang, Pengfei ; Urquhart, Andrew. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:118-122.

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2019Redenomination-risk spillovers in the Eurozone. (2019). Borri, Nicola. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:173-178.

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2018Risk tomography. (2018). Lee, Jinwook ; Prekopa, Andras. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:149-168.

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2018Comparing large-sample maximum Sharpe ratios and incremental variable testing. (2018). Hanke, Michael ; Penev, Spiridon. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:571-579.

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2018Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Pätäri, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville ; Patari, Eero. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

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2018Loss functions for Loss Given Default model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:348-360.

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2018Investment decisions and sensitivity analysis: NPV-consistency of rates of return. (2018). Magni, Carlo Alberto ; Marchioni, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:361-372.

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2018Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances. (2018). Zenios, Stavros ; Lotfi, Somayyeh. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:2:p:556-576.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2018Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation. (2018). Betz, Jennifer ; Rosch, Daniel ; Kellner, Ralf . In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:3:p:1113-1144.

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2019A partial adjustment valuation approach with stochastic and dynamic speeds of partial adjustment to measuring and evaluating the business value of information technology. (2019). Lin, Winston T ; Hung, Tingshu ; Chen, Yueh H. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:2:p:766-779.

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2019Black–Litterman model for continuous distributions. (2019). Palczewski, Andrzej. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:708-720.

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2019The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2019). Penev, Spiridon ; Wu, Wei ; Shevchenko, Pavel V. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:772-784.

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2019A bi-level programming approach for global investment strategies with financial intermediation. (2019). Benita, Francisco ; Nasini, Stefano ; Lopez-Ramos, Francisco . In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:375-390.

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2019Communication and personal selection of pension saver’s financial risk. (2019). Nielsen, Jens Perch ; Kyriakou, Ioannis ; Hiabu, Munir ; Gerrard, Russell . In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:3:p:1102-1111.

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2018Size, value, profitability, and investment: Evidence from emerging markets. (2018). Leite, Andre Luis ; da Silva, Aldo Ferreira ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus. In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:45-59.

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2018Financial connectedness of BRICS and global sovereign bond markets. (2018). Ahmad, Wasim ; Daly, Kevin J ; Mishra, Anil V. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:1-16.

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2018A comprehensive test of the Fama-French five-factor model in emerging markets. (2018). Foye, James. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:199-222.

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2019The cross-section of returns in frontier equity markets: Integrated or segmented pricing?. (2019). Maydybura, Alina ; Zaremba, Adam. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:219-238.

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2019The cross-section of emerging market stock returns. (2019). Lauterbach, Jochim G ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:265-286.

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2018The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence. (2018). Leonida, Leone ; Mallick, Sushanta K ; Benbouzid, Nadia. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:226-240.

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2018Sentiment-based momentum strategy. (2018). Suh, Sangwon ; Kim, Byungoh. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:52-68.

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2019Securitization, bank behaviour and financial stability: A systematic review of the recent empirical literature. (2019). Deku, Solomon ; Zhou, Yifan ; Kara, Alper. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:245-254.

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2018A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112.

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2018On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study. (2018). Fernandes, Betina ; Vallado, Davi ; Street, Alexandre. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:201-207.

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2019The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies. (2019). Sensoy, Ahmet. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:68-73.

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2018CMBS market efficiency: The crisis and the recovery. (2018). Jarrow, Robert ; Christopoulos, Andreas D. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:159-186.

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2018Forest-based carbon sequestration, and the role of forward, futures, and carbon-lending markets: A comparative institutions approach. (2018). Coleman, Andrew. In: Journal of Forest Economics. RePEc:eee:foreco:v:33:y:2018:i:c:p:95-104.

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2018Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173.

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2019Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?. (2019). Cifuentes, Arturo ; Vallado, Davi ; Pagnoncelli, Bernardo ; Gutierrez, Tomas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:134-144.

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2018Do multiple credit ratings affect syndicated loan spreads?. (2018). Gallo, Raffaele ; Drago, Danilo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:1-16.

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2018What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200.

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2018On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting. (2018). Goutte, Stéphane ; DHAOUI, Abderrazak ; Abid, Ilyes ; Guesmi, Khaled. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:233-254.

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2019The impact of the U.S. employment report on exchange rates. (2019). Ederington, Louis ; Yang, Lisa ; Guan, Wei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:257-267.

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2019Does it pay to pay performance fees? Empirical evidence from Dutch pension funds. (2019). Broeders, Dirk ; Rijsbergen, David R ; van Oord, Arco . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:299-312.

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2018Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach. (2018). Shahzad, Syed Jawad Hussain ; Raza, Syed ; Hussain, Syed Jawad ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:57:y:2018:i:c:p:10-29.

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2019Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm. (2019). el Aziz, Mohamed Abd ; Alameer, Zakaria ; Jianhua, Zhang ; Ye, Haiwang ; Ewees, Ahmed A ; Elaziz, Mohamed Abd. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:250-260.

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2018The price momentum of stock in distribution. (2018). Liu, Haijun ; Wang, Longfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:492:y:2018:i:c:p:2336-2344.

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2018Hidden Markov model analysis of extreme behaviors of foreign exchange rates. (2018). Liu, Wei-Han. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1007-1019.

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2018Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence. (2018). Balaban, Ercan ; Karidis, Socrates ; Ozgen, Tolga. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:905-915.

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2018Distributional characteristics of interday stock returns and their asymmetric conditional volatility: Firm-level evidence. (2018). Balaban, Ercan ; Girgin, Mehmet Sencer ; Ozgen, Tolga. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:280-288.

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2019Double correlation model for operational risk: Evidence from Chinese commercial banks. (2019). Xu, Chi ; Wang, Nuan ; Ji, Jingru ; Zheng, Chunling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:327-339.

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2018Extreme co-movements and dependencies among major international exchange rates: A copula approach. (2018). Tiwari, Aviral ; Albulescu, Claudiu ; Goyeau, Daniel ; Aubin, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:56-69.

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2018Identifying barriers to large-scale integration of variable renewable electricity into the electricity market: A literature review of market design. (2018). Hu, Jing ; van den Broek, Machteld ; Worrell, Ernst ; Crijns-Graus, Wina ; Harmsen, Robert. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p2:p:2181-2195.

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2018Planning in a changing environment: Applications of portfolio optimisation to deal with risk in the electricity sector. (2018). Odeh, Rodrigo Perez ; Flores, Yarela ; Watts, David. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:82:y:2018:i:p3:p:3808-3823.

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2018Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis. (2018). Lin, Fu-Lai ; Chen, Yu-Fen ; Marsh, Terry ; Yang, Sheng-Yung. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:285-294.

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2018Information leakage, site visits, and crash risk: Evidence from China. (2018). Lu, Xian-Wei ; Su, Zhong-qin ; Fung, Hung-Gay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:487-507.

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2019Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate. (2019). Yang, Lu ; Zeng, Yu-Feng ; Chen, Wang ; Hu, Shichao ; Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:137-149.

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2018The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:1-15.

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2018Is there momentum in factor premia? Evidence from international equity markets. (2018). Zaremba, Adam ; Shemer, Jacob. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:120-130.

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2019Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets. (2019). Chiang, Thomas C. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104260.

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2018Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105878.

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2018Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:112499.

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2019Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models. (2019). Ghasemi, Foroogh ; Tamoaitien, Jolanta ; Yousefi, Vahidreza ; Tabasi, Hamed. In: Administrative Sciences. RePEc:gam:jadmsc:v:9:y:2019:i:2:p:40-:d:234128.

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2019Permutation Entropy and Information Recovery in Nonlinear Dynamic Economic Time Series. (2019). HENRY, MIGUEL ; Judge, George. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:10-:d:213039.

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2019Expectations for Statistical Arbitrage in Energy Futures Markets. (2019). Nakajima, Tadahiro . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:14-:d:197788.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2019The Determinants of Market-Implied Recovery Rates. (2019). Franois, Pascal. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:57-:d:232426.

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2018Why Are Warrant Markets Sustained in Taiwan but Not in China?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi ; Tsai, Feng-Tse. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3748-:d:176380.

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2019A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Gherghina, Ştefan ; PANAIT, Iulian ; Armeanu, Daniel Tefan ; Badea, Leonardo . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534.

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2018On the role of probability weighting on WTP for crop insurance with and without yield skewness. (2018). Piet, Laurent ; Bougherara, Douadia. In: Working Papers. RePEc:hal:wpaper:hal-01911611.

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2019Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?. (2019). Lakshina, Valeria V. In: HSE Working papers. RePEc:hig:wpaper:75/fe/2019.

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2018Presence of Contrarian Profits in the Jordan Stock Market. (2018). Elhaj, Malik R ; Chowdhury, Shah . In: International Business Research. RePEc:ibn:ibrjnl:v:11:y:2018:i:10:p:79-85.

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2018“Incorporating creditors seniority into contingent claim models:Application to peripheral euro area countries”. (2018). Sosvilla-Rivero, Simon ; Singh, Manish K ; Gomez-Puig, Marta. In: IREA Working Papers. RePEc:ira:wpaper:201803.

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2019Interdependence of Securitized Real Estate in Frontier Markets. (2019). Al-Abduljader, Sulaiman T. In: International Real Estate Review. RePEc:ire:issued:v:22:n:01:2019:p:83-108.

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2019Interdependence of Securitized Real Estate in Frontier Markets. (2019). Al-Abduljader, Sulaiman T. In: International Real Estate Review. RePEc:ire:issued:v:22:n:01:2019:p:85-110.

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2019Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market. (2019). Polaski, Zachary ; Guerra, Manuel. In: Working Papers REM. RePEc:ise:remwps:wp0742019.

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2018Systemic risk in Europe: deciphering leading measures, common patterns and real effects. (2018). Stolbov, Mikhail ; Shchepeleva, Maria. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0310-3.

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2018Applying Time Series Decomposition to Construct Index-Tracking Portfolio. (2018). Nakayama, Jun ; Yokouchi, Daisuke . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:4:d:10.1007_s10690-018-9252-7.

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2018Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. (2018). Andreoli, Alessandro ; Pacelli, Graziella ; Ballestra, Luca Vincenzo. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x.

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2018A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection. (2018). Vallado, Davi Michel ; Street, Alexandre ; Veiga, Alvaro. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9656-x.

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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
2016A 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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2016Financial market with no riskless (safe) asset In: Papers.
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2016Pricing Derivatives in Hermite Markets In: Papers.
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2017Option Pricing with Greed and Fear Factor: The Rational Finance Approach In: Papers.
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2017Pricing derivatives in Hermite markets In: Papers.
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2017Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing In: Papers.
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2017Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach In: Papers.
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paper0
2017Option pricing for Informed Traders In: Papers.
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2017Enhancing Binomial and Trinomial Equity Option Pricing Models In: Papers.
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paper0
2017Another Look at the Ho-Lee Bond Option Pricing Model In: Papers.
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paper0
2019Multiple Subordinated Modeling of Asset Returns In: Papers.
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paper0
2013Tempered stable Ornstein-Uhlenbeck processes: a practical view In: Temi di discussione (Economic working papers).
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paper0
2014Calibrating the Italian smile with time-varying volatility and heavy-tailed models In: Temi di discussione (Economic working papers).
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paper1
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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article4
2012A Pricing Framework for Real Estate Derivatives In: European Financial Management.
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article4
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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article23
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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article46
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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article1
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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2011COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” In: Econometric Theory.
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1978Beta as a Random Coefficient In: Journal of Financial and Quantitative Analysis.
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article93
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.
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2008An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors In: Journal of Financial and Quantitative Analysis.
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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.
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2008Portfolio selection with uncertain exit time: A robust CVaR approach In: Journal of Economic Dynamics and Control.
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article9
2014Extracting market information from equity options with exponential Lévy processes In: Journal of Economic Dynamics and Control.
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article2
2018Local volatility and the recovery rate of credit default swaps In: Journal of Economic Dynamics and Control.
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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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article0
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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2016Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion 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.
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2017An improved least squares Monte Carlo valuation method based on heteroscedasticity In: European Journal of Operational Research.
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2018Improving corporate bond recovery rate prediction using multi-factor support vector regressions In: European Journal of Operational Research.
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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.
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article31
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.
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article24
2013The role of jump dynamics in the risk–return relationship In: International Review of Financial Analysis.
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article3
2014Option pricing under stochastic volatility and tempered stable Lévy jumps In: International Review of Financial Analysis.
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article7
2015Focusing on the worst state for robust investing In: International Review of Financial Analysis.
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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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2019Enhancing binomial and trinomial equity option pricing models 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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2018Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models 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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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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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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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 Lévy 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.
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2017Penalizing variances for higher dependency on factors In: Quantitative Finance.
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2004A methodology for index tracking based on time-series clustering In: Quantitative Finance.
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2006On risk management problems related to a coherence property In: Quantitative Finance.
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2007Trends in quantitative equity management: survey results In: Quantitative Finance.
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2007Stable distributions in the Black-Litterman approach to asset allocation In: Quantitative Finance.
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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).
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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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2017FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET 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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2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model In: Working Paper Series in Economics.
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