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)

25

H index

60

i10 index

2144

Citations

RESEARCH PRODUCTION:

172

Articles

26

Papers

2

Books

12

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   48 years (1972 - 2020). See details.
   Cites by year: 44
   Journals where Frank J. Fabozzi has often published
   Relations with other researchers
   Recent citing documents: 124.    Total self citations: 55 (2.5 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfa323
   Updated: 2024-01-16    RAS profile: 2019-08-06    
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Relations with other researchers


Works with:

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

Is cited by:

Wong, Wing-Keung (33)

Sun, Edward (23)

Vrins, Frédéric (20)

faff, robert (18)

Mittnik, Stefan (15)

Chang, Chia-Lin (12)

Douady, Raphael (12)

Zaremba, Adam (9)

Paterlini, Sandra (9)

Sensoy, Ahmet (9)

Harris, Richard (8)

Cites to:

Engle, Robert (27)

Fama, Eugene (26)

French, Kenneth (26)

Shiller, Robert (21)

Bollerslev, Tim (20)

Scholes, Myron (16)

merton, robert (16)

Harvey, Campbell (14)

Campbell, John (14)

Zhou, Guofu (14)

Bekaert, Geert (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 Economics7
Journal of Financial and Quantitative Analysis6
Economics Letters5
Journal of Finance5
International Review of Financial Analysis5
Studies in Nonlinear Dynamics & Econometrics4
Computational Economics4
European Financial Management4
Insurance: Mathematics and Economics3
Journal of Economic Dynamics and Control3
Journal of International Money and Finance3
Applied Economics Letters3
Journal of Pension Economics and Finance2
The European Journal of Finance2
Applied Mathematical Finance2
Mathematical Methods of Operations Research2
Review of Quantitative Finance and Accounting2
Annals of Economics and Finance2
The American Economist2
Energy Economics2
National Tax Journal2
Journal of Financial Research2
Journal of Asset Management2
Journal of Empirical Finance2
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 Management10
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2

Recent works citing Frank J. Fabozzi (2024 and 2023)


YearTitle of citing document
2023.

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2023Portfolio 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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2023Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683.

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2023Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2023Integrating multiple sources of ordinal information in portfolio optimization. (2022). Pferschy, Ulrich ; Mestel, Roland ; Hafner, Stephan ; Ccela, Eranda. In: Papers. RePEc:arx:papers:2211.00420.

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2023Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility. (2023). Yamakami, Tomohisa ; Shiraya, Kenichiro. In: Papers. RePEc:arx:papers:2301.10044.

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2023Physical Momentum in the Indian Stock Market. (2023). Das, Tulasi Narendra ; Devulapally, Naresh Kumar. In: Papers. RePEc:arx:papers:2302.13245.

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2023The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654.

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2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

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2023Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209.

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2023Mean-variance hybrid portfolio optimization with quantile-based risk measure. (2023). Zhou, KE ; Gao, Jianjun ; Lin, YU ; Wu, Weiping. In: Papers. RePEc:arx:papers:2303.15830.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2023Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356.

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2023On random number generators and practical market efficiency. (2023). Moews, Ben. In: Papers. RePEc:arx:papers:2305.17419.

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2023A systematic literature review on solution approaches for the index tracking problem in the last decade. (2023). de Almeida, Adiel Teixeira ; Soares, Julio Cezar. In: Papers. RePEc:arx:papers:2306.01660.

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2023Bacheliers Market Model for ESG Asset Pricing. (2023). Yegon, Peter ; Omotade, Blessing ; Nyarko, Nancy Asare ; Rachev, Svetlozar. In: Papers. RePEc:arx:papers:2306.04158.

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2023Exploring Dynamic Asset Pricing within Bachelier Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: Papers. RePEc:arx:papers:2307.04059.

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2023The Financial Market of Environmental Indices. (2023). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thisari K. In: Papers. RePEc:arx:papers:2308.15661.

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2023On statistical arbitrage under a conditional factor model of equity returns. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2309.02205.

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2023ESG-coherent risk measures for sustainable investing. (2023). Lindquist, Brent W ; Rachev, Svetlozar T ; Dentcheva, Darinka ; Giacometti, Rosella ; Torri, Gabriele. In: Papers. RePEc:arx:papers:2309.05866.

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2023Doubly Robust Mean-CVaR Portfolio. (2023). Kuroki, Seiichi ; Abe, Masaya ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2309.11693.

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2023Utility-based acceptability indices. (2023). , Mikl'Os ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2310.02014.

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2023Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Wunderlich, Ralf ; Auer, Benjamin R ; Lamert, Kerstin. In: Papers. RePEc:arx:papers:2311.15635.

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2023A General Framework for Portfolio Construction Based on Generative Models of Asset Returns. (2023). Chen, Kan ; Cheng, Tuoyuan. In: Papers. RePEc:arx:papers:2312.03294.

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2024.

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2023Environmental, Social and Governance investing: Does rating matter?. (2023). Quaranta, Anna Grazia ; Pampurini, Francesca ; Pacelli, Vincenzo. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:1:p:30-41.

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2023Nature of comovements in US state and MSA housing prices. (2023). Banerjee, Piyali ; Lee, Junsoo ; Lu, Yan ; Tidwell, Alan. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:4:p:959-989.

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2023Value Stocks versus Growth Stocks: An Examination of Bursa Malaysia. (2023). Rohuma, Hani. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-04-17.

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2023High-dimensional sparse portfolio selection with nonnegative constraint. (2023). Yang, HU ; Xia, Siwei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:443:y:2023:i:c:s0096300322008347.

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2023Optimized operation of distributed energy resources: The opportunities of value stacking for Power-to-Gas aggregated with PV. (2023). Lorenzoni, Arturo ; Bignucolo, Fabio ; Coppo, Massimiliano ; Agostini, Marco ; Schwidtal, Jan Marc. In: Applied Energy. RePEc:eee:appene:v:334:y:2023:i:c:s0306261923000107.

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2023Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models. (2023). Li, Muyi ; Wang, Xuqin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:184:y:2023:i:c:s0167947323000555.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462.

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2023The Attribution Matrix and the joint use of Finite Change Sensitivity Index and Residual Income for value-based performance measurement. (2023). Magni, Carlo Alberto ; Marchioni, Andrea ; Baschieri, Davide. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:2:p:872-892.

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2023The profitability of online loans: A competing risks analysis on default and prepayment. (2023). Yao, Xiao ; Bellotti, Anthony ; Li, Aimin. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:2:p:968-985.

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2023Cardinality-constrained distributionally robust portfolio optimization. (2023). Nakata, Kazuhide ; Takano, Yuichi ; Kobayashi, Ken. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1173-1182.

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2023Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314.

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2023Robust regression under the general framework of bounded loss functions. (2023). Tang, Long ; Tian, Yingjie ; Fu, Saiji. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:3:p:1325-1339.

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2023The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?. (2023). Vigne, Samuel A ; Naeem, Muhammad Abubakr ; Lucey, Brian M ; Karim, Sitara. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000383.

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2023A machine learning approach for comparing the largest firm effect. (2023). Fabozzi, Frank J ; Kang, Taehyeon ; Han, Jiwoon ; Ho, Jang. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001121.

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2023Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. (2023). Vo, Xuan Vinh ; Zeitun, Rami ; Katsiampa, Paraskevi ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838.

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2023Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

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2023Uncertainty in the Black–Litterman model: Empirical estimation of the equilibrium. (2023). Hock, Thorsten ; Fuhrer, Adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:251-275.

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2023Higher-order moments and co-moments contribution to spillover analysis and portfolio risk management. (2023). Bouri, Elie ; Nekhili, Ramzi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000944.

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2023Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298.

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2023Information flows and the law of one price. (2023). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004161.

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2023Investor climate sentiment and financial markets. (2023). Santi, Caterina. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000066.

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2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618.

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2023Semi-strong efficient market of Bitcoin and Twitter: An analysis of semantic vector spaces of extracted keywords and light gradient boosting machine models. (2023). Gacesa, Marko ; Wang, Fang. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002089.

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2023Pre-holiday limit order cancellation of individual and institutional investors. (2023). Zhao, Jing ; Kuo, Wei-Yu. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006948.

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2023Loss given default or default status: Which is better to determine farmers’ credit ratings?. (2023). Hua, Yiting ; Shi, Baofeng ; Chai, Nana. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232300048x.

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2023Which factors explain African stock returns?. (2023). Sy, Oumar ; Ndiaye, Bara ; Mbengue, Mohamed Lamine. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001782.

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2023A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2023Relocating investments by Tunisian insurance and pension funds towards alternative assets opportunities. (2023). Ghouli-Oueslati, Jihene ; Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:3:p:609-629.

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2023Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191.

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2023Dynamic portfolio selection with linear control policies for coherent risk minimization. (2023). Gotoh, Jun-Ya ; Takano, Yuichi. In: Operations Research Perspectives. RePEc:eee:oprepe:v:10:y:2023:i:c:s2214716022000331.

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2023Predicting loss given default of unsecured consumer loans with time-varying survival scores. (2023). Bellotti, Anthony ; Li, Zhiyong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x2300015x.

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2023Deep reinforcement trading with predictable returns. (2023). Tantari, Daniele ; Brini, Alessio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123004569.

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2023A pairs trading strategy based on mixed copulas. (2023). Caldeira, Joo F ; Ziegelmann, Flavio A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:16-34.

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2023Robust reward-risk performance measures with weakly second-order stochastic dominance constraints. (2023). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:53-62.

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2023Spillovers in the joint system of conditional higher-order moments: US evidence from green energy, brown energy, and technology stocks. (2023). Bouri, Elie. In: Renewable Energy. RePEc:eee:renene:v:210:y:2023:i:c:p:507-523.

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2023Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets. (2023). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192300003x.

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2023COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089.

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2023Machine learning for US cross-industry return predictability under information uncertainty. (2023). Khlifi, Foued ; ben Lahouel, Bechir ; ben Zaied, Younes ; Awijen, Haithem. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000193.

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2023Does reinforcement learning outperform deep learning and traditional portfolio optimization models in frontier and developed financial markets?. (2023). van Nguyen, Phuc ; Ngo, Vu Minh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000624.

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2023On the short-term persistence of mutual fund performance in Europe. (2023). Vidal-Garcia, Javier ; Saeed, Asif ; Hammouda, Amira. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000892.

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2023Fractal dimensions of the Rosenblatt process. (2023). Kerchev, George ; Daw, Lara. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:544-571.

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2023Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications. (2023). Oh, Dong Hwan ; Kim, Baeho ; Byun, Kiwoong. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-55.

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2023Study of the Momentum Effect in the Price Dynamics of Highly Liquid Shares on the Russian Securities Market. (2023). Leshchev, Sergei I ; Nazarova, Varvara V. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:230104:p:58-73.

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2023Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles. (2023). Chen, Jau-er ; Chuang, Hui-Ching. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:6-:d:1068330.

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2023Optimized Dispatch of Regional Integrated Energy System Considering Wind Power Consumption in Low-Temperature Environment. (2023). Qi, Hao ; Li, Zhenxing ; Huang, Jingguang. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:23:p:7791-:d:1288390.

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2023Modeling Risk for CVaR-Based Decisions in Risk Aggregation. (2023). Asimit, Alexandru V ; Zinchenko, Yuriy. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:5:p:266-:d:1143048.

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2023Commercial Retirement FOFs in China: Investment and Persistence Performance Analysis. (2023). Shen, LI ; Guo, Yundan. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:18:p:13442-:d:1235321.

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2023The Size Effect and the Value Effect in the American Stock Market. (2023). Xiao, Bing. In: Post-Print. RePEc:hal:journl:hal-04194510.

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2023The bond agio premium. (2023). Güntner, Jochen ; Karner, Benjamin ; Gntner, Jochen. In: Economics working papers. RePEc:jku:econwp:2023-13.

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2023Stock returns seasonality in emerging asian markets. (2023). Jha, Mithilesh Kumar ; Aggarwal, Khushboo. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:1:d:10.1007_s10690-022-09370-y.

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2023Best-Case Scenario Robust Portfolio: Evidence from China Stock Market. (2023). Xian, Liang ; Wang, Lihua ; Tian, Jingsong ; Li, Jinjun ; Zhao, Guiyu ; Chen, Chen. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:2:d:10.1007_s10690-022-09375-7.

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2023Effect of Index Concentration on Index Volatility and Performance. (2023). Sharma, Anil Kumar ; Pandey, Amit. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:3:d:10.1007_s10690-022-09389-1.

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2023A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization. (2023). Cifuentes, Arturo ; Rahimian, Hamed ; Ramirez, Domingo ; Pagnoncelli, Bernardo K. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:1:d:10.1007_s10614-022-10274-2.

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2023When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?. (2023). Duc, Toan Luu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-021-10230-6.

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2023Black-Litterman model with copula-based views in mean-CVaR portfolio optimization framework with weight constraints. (2023). Pivnitskaya, Nataliya ; Munir, Qaiser ; Evgeniia, Mikova ; Teplova, Tamara. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09435-y.

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2023How much do Investors Rely on Credit Ratings: Empirical evidence from the U.S. and E.U. CLO primary market. (2023). Vink, Dennis ; Gengos, Austin ; Nawas, Mike ; Breemen, Vivian M ; Fabozzi, Frank. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:2:d:10.1007_s10693-021-00372-x.

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2023Trade-time clustering. (2023). Sun, Wei ; Jain, Pankaj K ; Black, Jeffrey R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:3:d:10.1007_s11156-023-01125-8.

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2023What if beta is not stable? Applying the Kalman filter to risk estimates of top US companies over the long time horizon. (2023). Dbski, Wiesaw ; Szczepocki, Piotr ; Feder-Sempach, Ewa. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:54:y:2023:i:1:p:25-44.

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2023Does the Adaptive Market Hypothesis Exist in Equity Market? Evidence from Pakistan Stock Exchange. (2023). Siddique, Maryam. In: OSF Preprints. RePEc:osf:osfxxx:9b5dx.

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2023Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market. (2023). Badhani, K N ; Ali, Asgar. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:1:d:10.1057_s41260-022-00290-0.

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2023Large portfolio optimisation approaches. (2023). Önder, A. Özlem ; Ulasan, Esra. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00322-3.

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2023The impact of capitalist profit-seeking behavior by online food delivery platforms on food safety risks and government regulation strategies. (2023). Wu, Linhai ; Dai, Xiaoting. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-01618-w.

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2023Unraveling the relationship between betas and ESG scores through the Random Forests methodology. (2023). del Carmen, Maria ; Martin-Cervantes, Pedro Antonio. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:3:d:10.1057_s41283-023-00121-5.

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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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paper1
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.
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paper1
2017Option pricing for Informed Traders In: Papers.
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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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paper6
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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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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1989OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH 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.
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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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article25
2014Extracting market information from equity options with exponential Lévy processes In: Journal of Economic Dynamics and Control.
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article6
2018Local volatility and the recovery rate of credit default swaps In: Journal of Economic Dynamics and Control.
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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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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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article19
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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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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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.
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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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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.
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article4
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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2017Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence In: Journal of Asset Management.
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2010The Reasonable Effectiveness of Mathematics in Economics In: The American Economist.
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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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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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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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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 ?-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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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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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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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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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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