Frank J. Fabozzi : Citation Profile


Are you Frank J. Fabozzi?

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

19

H index

36

i10 index

1419

Citations

RESEARCH PRODUCTION:

172

Articles

33

Papers

2

Books

12

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   48 years (1972 - 2020). See details.
   Cites by year: 29
   Journals where Frank J. Fabozzi has often published
   Relations with other researchers
   Recent citing documents: 186.    Total self citations: 49 (3.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa323
   Updated: 2021-03-27    RAS profile: 2019-08-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Mittnik, Stefan (3)

Malladi, Rama (2)

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

Is cited by:

Wong, Wing-Keung (20)

faff, robert (18)

Sun, Edward (16)

McAleer, Michael (13)

Climent Hernández, José (12)

Vrins, Frédéric (12)

Chang, Chia-Lin (9)

Brooks, Robert (8)

Harris, Richard (8)

Lejeune, Miguel (7)

Rodríguez Caballero, Carlos (6)

Cites to:

Shiller, Robert (25)

Fama, Eugene (25)

French, Kenneth (23)

Mandelbrot, Benoît (22)

Engle, Robert (22)

Markowitz, Harry (17)

Campbell, John (16)

Scholes, Myron (16)

Bollerslev, Tim (16)

Harvey, Campbell (14)

merton, robert (14)

Main data


Where Frank J. Fabozzi has published?


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

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

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


YearTitle of citing document
2020Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Hau, Nguyen Huu ; Tuong, Hoa Anh ; Tinh, Tran Trung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:1:p:28-69.

Full description at Econpapers || Download paper

2020A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk?. (2020). Shiller, Robert J ; Fabozzi, Frank J ; Tunaru, Radu S. In: Journal of Economic Perspectives. RePEc:aea:jecper:v:34:y:2020:i:4:p:121-45.

Full description at Econpapers || Download paper

2020Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Tuong, Hoa Anh ; Tinh, Tran Trung ; Hau, Nguyen Huu. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:1:p:28-69.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Mixed Levy Subordinated Market Model and Implied Probability Weighting Function. (2019). Fabozzi, Frank J ; Rachev, Svetlozar T ; Hu, Yuan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1910.05902.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764.

Full description at Econpapers || Download paper

2020Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation. (2020). Kim, Young Shin ; Peng, Cheng. In: Papers. RePEc:arx:papers:2009.11367.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold. (2020). Poorvasei, Hossein ; Arian, Hamidreza ; Zamani, Shiva ; Sharifi, Azin. In: Papers. RePEc:arx:papers:2011.06693.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Option Pricing Incorporating Factor Dynamics in Complete Markets. (2020). Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan ; Rachev, Svetlozar T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:2011.08343.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2021Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing. (2021). Kim, Young Shin. In: Papers. RePEc:arx:papers:2101.11001.

Full description at Econpapers || Download paper

2020Winners and Losers from Sovereign Debt Inflows: Evidence from the Stock Market. (2020). Williams, Tomas ; Pandolfi, Lorenzo ; Broner, Fernando ; Martin, Alberto. In: Working Papers. RePEc:bge:wpaper:1152.

Full description at Econpapers || Download paper

2020Modelling fuel injector spray characteristics in jet engines by using vine copulas. (2020). Holz, Simon ; Coblenz, Maximilian ; Koch, Rainer ; Grothe, Oliver ; Bauer, Hansjorg. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:4:p:863-886.

Full description at Econpapers || Download paper

2020The Pricing of Bank Bonds, Sovereign Credit Risk and ECBs Asset Purchase Programmes. (2020). Ribeiro, Ricardo ; Pinto, João ; Branco, Ricardo. In: Working Papers de Economia (Economics Working Papers). RePEc:cap:wpaper:012020.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Conventional Mutual Funds Out Perform Islamic Mutual Funds in the Context of Pakistan. A Myth or Reality. (2020). Hussain, Arif ; Farooq, Naveed ; Ishaque, Amir ; Shah, Raza Ullah ; Saleem, Kashif ; Rehman, Alam ; Han, Jiabin ; Zeeshan, Muhammad. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-18.

Full description at Econpapers || Download paper

2020Passive Balancing Through Intraday Trading: Whether Interactions Between Short-term Trading and Balancing Stabilize Germany’s Electricity System. (2020). Koch, Christopher ; Maskos, Philipp. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-14.

Full description at Econpapers || Download paper

2021Volatilitiy of World Food Commodity Prices and Renewable Fuel Standard Policy. (2021). Singagerda, Faurani Santi ; Farida, Ida. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-60.

Full description at Econpapers || Download paper

2020A decision model based on expected utility, entropy and variance. (2020). Brito, Irene. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:379:y:2020:i:c:s009630032030254x.

Full description at Econpapers || Download paper

2020Effect of market design on strategic bidding behavior: Model-based analysis of European electricity balancing markets. (2020). de Vries, Laurens ; Lago, Jesus ; Poplavskaya, Ksenia. In: Applied Energy. RePEc:eee:appene:v:270:y:2020:i:c:s0306261920306425.

Full description at Econpapers || Download paper

2020Do words reveal the latent truth? Identifying communication patterns of corporate losers. (2020). Mukherjee, Shubhadeep ; Deb, Soumya Guha ; Kumar, Rahul. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:26:y:2020:i:c:s221463501930228x.

Full description at Econpapers || Download paper

2020Does mood affect institutional herding?. (2020). Ozturkkal, Belma ; Kallinterakis, Vasileios ; Gavriilidis, Konstantinos. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:26:y:2020:i:c:s2214635019303119.

Full description at Econpapers || Download paper

2020Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605.

Full description at Econpapers || Download paper

2020A new LSTM based reversal point prediction method using upward/downward reversal point feature sets. (2020). Lu, Pengyu ; Pak, Kyongsok ; Ryu, Unsok ; Kim, Chungsong. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:132:y:2020:i:c:s0960077919305168.

Full description at Econpapers || Download paper

2020Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model. (2020). Deng, Guohe. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:141:y:2020:i:c:s0960077920308043.

Full description at Econpapers || Download paper

2020A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance. (2020). Pinto, João ; Marques, Manuel O. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300249.

Full description at Econpapers || Download paper

2020Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns. (2020). Vo, Xuan Vinh ; Bouri, Elie ; Alqahtani, Abdullah. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:68:y:2020:i:c:p:239-249.

Full description at Econpapers || Download paper

2020Exploring the mismatch between credit ratings and loss-given-default: A credit risk approach. (2020). Shi, Baofeng ; Li, Weiping ; Chi, Guotai. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:420-428.

Full description at Econpapers || Download paper

2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

Full description at Econpapers || Download paper

2021Does retail investor attention improve stock liquidity? A dynamic perspective. (2021). Yao, Shouyu ; Fang, Zhenming ; Wang, Chunfeng ; Chiao, Chaoshin ; Cheng, Feiyang. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:170-183.

Full description at Econpapers || Download paper

2021Quantifying sovereign risk in the euro area. (2021). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Singh, Manish K. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:76-96.

Full description at Econpapers || Download paper

2020Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Wohar, Mark E ; Adewuyi, Adeolu O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305497.

Full description at Econpapers || Download paper

2020Comparative empirical study of binomial call-option pricing methods using S&P 500 index data. (2020). Herbon, Avi ; Shvimer, Yossi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302268.

Full description at Econpapers || Download paper

2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

Full description at Econpapers || Download paper

2020Risk decomposition, estimation error, and naïve diversification. (2020). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302165.

Full description at Econpapers || Download paper

2020Time-varying lead–lag structure between investor sentiment and stock market. (2020). Li, Hong-Yu ; Yao, Can-Zhong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303973.

Full description at Econpapers || Download paper

2020News will tell: Forecasting foreign exchange rates based on news story events in the economy calendar. (2020). Peters, Wiebke ; Lessmann, Stefan ; Semiromi, Hamed Naderi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300784.

Full description at Econpapers || Download paper

2020Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Cortes, Lina M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980.

Full description at Econpapers || Download paper

2020On the different impacts of fixed versus floating bid-ask spreads on an automated intraday stock trading. (2020). Heywood, Malcolm ; Loginov, Alexander. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301443.

Full description at Econpapers || Download paper

2020Nearest comoment estimation with unobserved factors. (2020). Boudt, Kris ; Verdonck, Tim ; Cornilly, Dries. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:381-397.

Full description at Econpapers || Download paper

2020Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models. (2020). Morettin, Pedro A ; Sampaio, Jhames M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:15:y:2020:i:c:p:67-83.

Full description at Econpapers || Download paper

2020Pricing and hedging in incomplete markets with model uncertainty. (2020). Pelsser, Antoon ; Balter, Anne G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:911-925.

Full description at Econpapers || Download paper

2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

Full description at Econpapers || Download paper

2020Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs. (2020). Puerto, Justo ; Ponce, Diego ; Leal, Marina. In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:712-727.

Full description at Econpapers || Download paper

2020Simple explicit formula for near-optimal stochastic lifestyling. (2020). Černý, Aleš ; Melicherik, Igor . In: European Journal of Operational Research. RePEc:eee:ejores:v:284:y:2020:i:2:p:769-778.

Full description at Econpapers || Download paper

2020Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties. (2020). Pflug, Georg C ; Maier, Sebastian ; Polak, John W. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:133-147.

Full description at Econpapers || Download paper

2020Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set. (2020). Sun, Jie ; Ling, Aifan ; Wang, Meihua. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:81-95.

Full description at Econpapers || Download paper

2020Using favorite data to analyze asymmetric competition: Machine learning models. (2020). Shang, Jennifer ; Jiang, Yuanchun ; Qian, Yang ; Liu, Yezheng. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:600-615.

Full description at Econpapers || Download paper

2021Horses for courses: Mean-variance for asset allocation and 1/N for stock selection. (2021). Sutcliffe, Charles ; Ye, Xiaoxia ; Platanakis, Emmanouil. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:302-317.

Full description at Econpapers || Download paper

2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

Full description at Econpapers || Download paper

2021The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. (2021). Forsyth, Peter A ; Dang, Duy-Minh ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:774-792.

Full description at Econpapers || Download paper

2021Second order of stochastic dominance efficiency vs mean variance efficiency. (2021). Truck, Stefan ; Lozza, Sergio Ortobelli ; Malavasi, Matteo. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:3:p:1192-1206.

Full description at Econpapers || Download paper

2021Extending the Fama and French model with a long term memory factor. (2021). POUCHKAREV, I ; Sanchez-Granero, M A ; Trinidad-Segovia, J E ; Lopez-Garcia, M N. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:421-426.

Full description at Econpapers || Download paper

2021Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation. (2021). Wu, Chen-Hui ; Tone, Kaoru ; Chang, Tsung-Sheng. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:766-781.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Is there an illiquidity premium in frontier markets?. (2020). Umar, Zaghum ; Zaremba, Adam ; Stereczak, Szymon. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014119302481.

Full description at Econpapers || Download paper

2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:164-180.

Full description at Econpapers || Download paper

2020Investigating tail-risk dependence in the cryptocurrency markets: A LASSO quantile regression approach. (2020). Yao, Kai ; Chevapatrakul, Thanaset ; Nguyen, Linh Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:333-355.

Full description at Econpapers || Download paper

2020A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.

Full description at Econpapers || Download paper

2020On the stability of portfolio selection models. (2020). Tardella, Fabio ; Ricci, Jacopo Maria ; Mottura, Carlo Domenico ; Mango, Fabiomassimo ; Cesarone, Francesco. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:210-234.

Full description at Econpapers || Download paper

2020U.S. equity and commodity futures markets: Hedging or financialization?. (2020). Sousa, Ricardo ; Sensoy, Ahmet ; Nguyen, Duc Khuong ; Uddin, Gazi Salah. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304578.

Full description at Econpapers || Download paper

2020Best-case scenario robust portfolio for energy stock market. (2020). Quan, LI ; Yang, Min ; Wang, Lihua ; Pan, Lin ; Xian, Liang ; Liu, Dinghao ; Chen, Chen. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220317722.

Full description at Econpapers || Download paper

2020Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective. (2020). Li, Jianping ; Yao, Yanzhen ; Wang, Jun ; Sun, Xiaolei. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304599.

Full description at Econpapers || Download paper

2020Meta-analysis in finance research: Opportunities, challenges, and contemporary applications. (2020). Hang, Markus ; Geyer-Klingeberg, Jerome ; Rathgeber, Andreas. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s105752192030168x.

Full description at Econpapers || Download paper

2020What determines the issue price of lease asset-backed securities in China?. (2020). Wang, Rui ; Yang, Liuyong ; Luo, Xingguo ; Chen, Zhenyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302271.

Full description at Econpapers || Download paper

2020Research on Chinas financial systemic risk contagion under jump and heavy-tailed risk. (2020). Liu, Xi-Hua ; Gong, Xiao-Li ; Zhang, Wei ; Xiong, Xiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302283.

Full description at Econpapers || Download paper

2020The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country. (2020). Gözgör, Giray ; Marco, Chi Keung ; Semeyutin, Artur ; Li, Haiping. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612319301424.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2020Mean-variance model and investors’ diversification attitude: A theoretical revisit. (2020). Koumou, Gilles Boevi. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318306160.

Full description at Econpapers || Download paper

2020Solving the index tracking problem based on a convex reformulation for cointegration. (2020). Caldeira, Joo Frois ; Filomena, Tiago Pascoal ; de Oliveira, Alan Delgado ; Sant, Leonardo Riegel. In: Finance Research Letters. RePEc:eee:finlet:v:37:y:2020:i:c:s1544612318306196.

Full description at Econpapers || Download paper

2020Assessing the contribution of China’s financial sectors to systemic risk. (2020). Vioto, Davide ; Morelli, David. In: Journal of Financial Stability. RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300760.

Full description at Econpapers || Download paper

2020Does low synchronicity mean more or less informative prices? Evidence from an emerging market. (2020). Zhang, Luxiu ; Peng, Hongfeng ; Liu, Desheng. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920301200.

Full description at Econpapers || Download paper

2021Google search and stock returns: A study on BIST 100 stocks. (2021). Bulut, Ali Eray ; Ekinci, Cumhur. In: Global Finance Journal. RePEc:eee:glofin:v:47:y:2021:i:c:s1044028319302017.

Full description at Econpapers || Download paper

2020Forecasting stock price volatility: New evidence from the GARCH-MIDAS model. (2020). Yang, Lin ; Liu, Jing ; Ma, Feng ; Wang, LU. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:684-694.

Full description at Econpapers || Download paper

2021Forecasting recovery rates on non-performing loans with machine learning. (2021). Vrins, Frédéric ; Gambetti, Paolo ; Brigo, Damiano ; Bellotti, Anthony. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:428-444.

Full description at Econpapers || Download paper

2020Sparse portfolio selection via the sorted â„“1-Norm. (2020). Paterlini, Sandra ; Bogdan, Magorzata ; Lee, Sangkyun ; Kremer, Philipp J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302614.

Full description at Econpapers || Download paper

2020Pension fund equity performance: Patience, activity or both?. (2020). Luivjanska, Katarina ; van Lelyveld, Iman ; Gonzalez, Tanja Artiga. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300790.

Full description at Econpapers || Download paper

2020The correlation structure of anomaly strategies. (2020). Lu, Helen ; Geertsema, Paul. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301965.

Full description at Econpapers || Download paper

2020The determinants of bank loan recovery rates in good times and bad – New evidence. (2020). Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S ; Wang, Hong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:177:y:2020:i:c:p:875-897.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.
[Full Text][Citation analysis]
paper0
2016Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion In: Papers.
[Full Text][Citation analysis]
paper5
2016Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion.(2016) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2016Financial market with no riskless (safe) asset In: Papers.
[Full Text][Citation analysis]
paper1
2017FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2016Pricing Derivatives in Hermite Markets In: Papers.
[Full Text][Citation analysis]
paper0
2017Pricing derivatives in Hermite markets.(2017) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2020Option Pricing with Greed and Fear Factor: The Rational Finance Approach In: Papers.
[Full Text][Citation analysis]
paper1
2017Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing In: Papers.
[Full Text][Citation analysis]
paper0
2020Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach In: Papers.
[Full Text][Citation analysis]
paper1
2017Option pricing for Informed Traders In: Papers.
[Full Text][Citation analysis]
paper0
2017Enhancing Binomial and Trinomial Equity Option Pricing Models In: Papers.
[Full Text][Citation analysis]
paper1
2019Enhancing binomial and trinomial equity option pricing models.(2019) In: Finance Research Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2017Another Look at the Ho-Lee Bond Option Pricing Model In: Papers.
[Full Text][Citation analysis]
paper0
2019Multiple Subordinated Modeling of Asset Returns In: Papers.
[Full Text][Citation analysis]
paper4
2013Tempered stable Ornstein-Uhlenbeck processes: a practical view In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]
paper0
2014Calibrating the Italian smile with time-varying volatility and heavy-tailed models In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]
paper2
2018Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models.(2018) In: Computational Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
article
1972Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence. In: Bulletin of Economic Research.
[Citation analysis]
article0
2009A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions In: European Financial Management.
[Full Text][Citation analysis]
article8
2010Property Derivatives for Managing European Real†Estate Risk In: European Financial Management.
[Full Text][Citation analysis]
article4
2012Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities In: European Financial Management.
[Full Text][Citation analysis]
article8
2012A Pricing Framework for Real Estate Derivatives In: European Financial Management.
[Full Text][Citation analysis]
article8
1988The Over-the-Counter Market and New York Stock Exchange Trading Halts. In: The Financial Review.
[Citation analysis]
article5
1977Stability Tests for Alphas and Betas over Bull and Bear Market Conditions. In: Journal of Finance.
[Full Text][Citation analysis]
article86
1979Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination. In: Journal of Finance.
[Full Text][Citation analysis]
article27
1983 Valuation of Safe Harbor Tax Benefit Transfer Leases. In: Journal of Finance.
[Full Text][Citation analysis]
article0
1993 The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation. In: Journal of Finance.
[Full Text][Citation analysis]
article58
1994 Holiday Trading in Futures Markets. In: Journal of Finance.
[Full Text][Citation analysis]
article20
1989OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH In: Journal of Financial Research.
[Full Text][Citation analysis]
article0
1985WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS In: Journal of Financial Research.
[Full Text][Citation analysis]
article1
2019The Timeline Estimation of Bubbles: The Case of Real Estate In: Real Estate Economics.
[Full Text][Citation analysis]
article5
2008Multivariate Skewed Students t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article14
2010Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article2
2013Computational aspects of portfolio risk estimation in volatile markets: a survey In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article0
2013Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]
article2
2004Modeling Volatility for the Chinese Equity Markets In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article9
2007Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange In: Annals of Economics and Finance.
[Full Text][Citation analysis]
article1
1978Beta as a Random Coefficient In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article107
1979The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article8
1980Generalized Functional Form for Mutual Fund Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article3
1981Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article4
1986State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article8
2008An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article22
2015Measuring and explaining pension system risk In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]
article0
2005Market experience with modeling for defined-benefit pension funds: evidence from four countries In: Journal of Pension Economics and Finance.
[Full Text][Citation analysis]
article2
2009Multi-tail generalized elliptical distributions for asset returns In: Econometrics Journal.
[Full Text][Citation analysis]
article4
2008Portfolio selection with uncertain exit time: A robust CVaR approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article16
2014Extracting market information from equity options with exponential Lévy processes In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article2
2018Local volatility and the recovery rate of credit default swaps In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article0
1996International corporate finance : Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]
article0
2009Construction of probability metrics on classes of investors In: Economics Letters.
[Full Text][Citation analysis]
article0
2011Is food consumption a good proxy for nondurable consumption? In: Economics Letters.
[Full Text][Citation analysis]
article0
2014Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments In: Economics Letters.
[Full Text][Citation analysis]
article8
2017Predictability dynamics of emerging sovereign CDS markets In: Economics Letters.
[Full Text][Citation analysis]
article5
2007An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve In: European Journal of Operational Research.
[Full Text][Citation analysis]
article2
2010Portfolio selection under distributional uncertainty: A relative robust CVaR approach In: European Journal of Operational Research.
[Full Text][Citation analysis]
article41
201460 Years of portfolio optimization: Practical challenges and current trends In: European Journal of Operational Research.
[Full Text][Citation analysis]
article68
2014Robust portfolios that do not tilt factor exposure In: European Journal of Operational Research.
[Full Text][Citation analysis]
article6
2016An improved method for pricing and hedging long dated American options In: European Journal of Operational Research.
[Full Text][Citation analysis]
article5
2017Fuzzy decision fusion approach for loss-given-default modeling In: European Journal of Operational Research.
[Full Text][Citation analysis]
article8
2017An improved least squares Monte Carlo valuation method based on heteroscedasticity In: European Journal of Operational Research.
[Full Text][Citation analysis]
article3
2018Improving corporate bond recovery rate prediction using multi-factor support vector regressions In: European Journal of Operational Research.
[Full Text][Citation analysis]
article6
1979Mathematical programming models to determine civil service salaries In: European Journal of Operational Research.
[Full Text][Citation analysis]
article0
2013Size, value, and momentum in emerging market stock returns In: Emerging Markets Review.
[Full Text][Citation analysis]
article57
2009Pricing of credit default index swap tranches with one-factor heavy-tailed copula models In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article6
2010Risk management and dynamic portfolio selection with stable Paretian distributions In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article5
2009CAViaR-based forecast for oil price risk In: Energy Economics.
[Full Text][Citation analysis]
article14
2011Balancing energy strategies in electricity portfolio management In: Energy Economics.
[Full Text][Citation analysis]
article28
2013The role of jump dynamics in the risk–return relationship In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article4
2014Option pricing under stochastic volatility and tempered stable Lévy jumps In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article12
2015Focusing on the worst state for robust investing In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article2
2016Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article0
2016Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction In: International Review of Financial Analysis.
[Full Text][Citation analysis]
article10
2013Composition of robust equity portfolios In: Finance Research Letters.
[Full Text][Citation analysis]
article8
2016Portfolio selection with conservative short-selling In: Finance Research Letters.
[Full Text][Citation analysis]
article4
2017Exploring rating shopping for european triple a senior structured finance securities In: Finance Research Letters.
[Full Text][Citation analysis]
article1
2018Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies In: Finance Research Letters.
[Full Text][Citation analysis]
article0
2019Does the corporate bond market overvalue bonds of sin companies? In: Finance Research Letters.
[Full Text][Citation analysis]
article0
2006The value, size, and momentum spread during distressed economic periods In: Finance Research Letters.
[Full Text][Citation analysis]
article8
2007Exploring the components of credit risk in credit default swaps In: Finance Research Letters.
[Full Text][Citation analysis]
article28
2011Calibrating affine stochastic mortality models using term assurance premiums In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article6
2012A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article4
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.
[Full Text][Citation analysis]
article1
2007Momentum strategies based on reward-risk stock selection criteria In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article34
2008Relative deviation metrics and the problem of strategy replication In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article4
2008Financial market models with Lévy processes and time-varying volatility In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article28
2010Tempered stable and tempered infinitely divisible GARCH models In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article24
2011Tempered stable and tempered infinitely divisible GARCH models.(2011) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2011Time series analysis for financial market meltdowns In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article24
2010Time series analysis for financial market meltdowns.(2010) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24
paper
2013CVaR sensitivity with respect to tail thickness In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article8
2011CVaR sensitivity with respect to tail thickness.(2011) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2014Deciphering robust portfolios In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article3
2016A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article7
2016On stability of operational risk estimates by LDA: From causes to approaches In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article3
2018Macroeconomic variable selection for creditor recovery rates In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article8
1980Stability of mutual fund systematic risk statistics In: Journal of Business Research.
[Full Text][Citation analysis]
article5
1982A note on the association between systematic risk and common stock and bond rating classifications In: Journal of Economics and Business.
[Full Text][Citation analysis]
article0
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.
[Full Text][Citation analysis]
article10
2011Analysis of the intraday effects of economic releases on the currency market In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article9
2010Analysis of the intraday effects of economic releases on the currency market.(2010) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2016Factor decomposition of the Eurozone sovereign CDS spreads In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article17
2019Effectiveness of developed and emerging market FX options in active currency risk management In: Journal of International Money and Finance.
[Full Text][Citation analysis]
article0
2017Explosive rents: The real estate market dynamics in exuberance In: The Quarterly Review of Economics and Finance.
[Full Text][Citation analysis]
article1
2015The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads In: IMES Discussion Paper Series.
[Full Text][Citation analysis]
paper1
1976Mathematical Programming in American Companies: A Sample Survey In: Interfaces.
[Full Text][Citation analysis]
article0
2008OR PRACTICE---Assisting Defined-Benefit Pension Plans In: Operations Research.
[Full Text][Citation analysis]
article7
2008Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration In: Annals of Finance.
[Full Text][Citation analysis]
article8
2015Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads In: Computational Economics.
[Full Text][Citation analysis]
article3
2019Quantile-Based Inference for Tempered Stable Distributions In: Computational Economics.
[Full Text][Citation analysis]
article0
2019Quanto Option Pricing with Lévy Models In: Computational Economics.
[Full Text][Citation analysis]
article1
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.
[Full Text][Citation analysis]
article0
2012Option pricing and hedging under a stochastic volatility Lévy process model In: Review of Derivatives Research.
[Full Text][Citation analysis]
article4
2000Equity Manager Selection and Performance. In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
article1
2012Portfolio revision under mean-variance and mean-CVaR with transaction costs In: Review of Quantitative Finance and Accounting.
[Full Text][Citation analysis]
article4
2007How do conflicting theories about financial markets coexist? In: Journal of Post Keynesian Economics.
[Full Text][Citation analysis]
article1
2006How do Conflicting Theories about Financial Markets Coexist?.(2006) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2013Technical Review Panel for the Pension Insurance Modeling System (PIMS) In: Working Papers.
[Full Text][Citation analysis]
paper0
2015Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition In: MIT Press Books.
[Citation analysis]
book2
1989Taxation of Capital Gains With Deferred Realization In: National Tax Journal.
[Full Text][Citation analysis]
article2
1991Effective Capital Gains Tax Rates: A Reply In: National Tax Journal.
[Full Text][Citation analysis]
article0
2017Effects of Spot Market Short-Sale Constraints on Index Futures Trading In: Review of Finance.
[Full Text][Citation analysis]
article1
2016Equity style allocation: A nonparametric approach In: Journal of Asset Management.
[Full Text][Citation analysis]
article0
2017Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence In: Journal of Asset Management.
[Full Text][Citation analysis]
article0
2011Liability Index Fund: The Liability Beta Portfolio In: Journal of Financial Transformation.
[Citation analysis]
article0
1977A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit In: The American Economist.
[Full Text][Citation analysis]
article0
2010The Reasonable Effectiveness of Mathematics in Economics In: The American Economist.
[Full Text][Citation analysis]
article0
2010Robust portfolios: contributions from operations research and finance In: Annals of Operations Research.
[Full Text][Citation analysis]
article48
2010Stochastic models for risk estimation in volatile markets: a survey In: Annals of Operations Research.
[Full Text][Citation analysis]
article8
2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model In: Annals of Operations Research.
[Full Text][Citation analysis]
article19
2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.(2012) In: Working Paper Series in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2013What do robust equity portfolio models really do? In: Annals of Operations Research.
[Full Text][Citation analysis]
article4
2013Sensitivity of portfolio VaR and CVaR to portfolio return characteristics In: Annals of Operations Research.
[Full Text][Citation analysis]
article13
2018Recent advancements in robust optimization for investment management In: Annals of Operations Research.
[Full Text][Citation analysis]
article2
2018Robust equity portfolio performance In: Annals of Operations Research.
[Full Text][Citation analysis]
article2
2019Market implied volatilities for defaultable bonds In: Annals of Operations Research.
[Full Text][Citation analysis]
article0
2009A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence In: Empirical Economics.
[Full Text][Citation analysis]
article28
2014Recent Developments in Robust Portfolios with a Worst-Case Approach In: Journal of Optimization Theory and Applications.
[Full Text][Citation analysis]
article14
2009Introduction to special issue: studies in mathematical and empirical finance In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]
article0
2009Black swans and white eagles: on mathematics and finance In: Mathematical Methods of Operations Research.
[Full Text][Citation analysis]
article0
2014Discussion of ‘on simulation and properties of the stable law’ by Devroye and James In: Statistical Methods & Applications.
[Full Text][Citation analysis]
article0
2012Approximation of Stable and Geometric Stable Distribution In: Journal of Statistical and Econometric Methods.
[Full Text][Citation analysis]
article1
2009An empirical analysis of the CDX index and its tranches In: Applied Economics Letters.
[Full Text][Citation analysis]
article2
2013The new issues puzzle: evidence from non-US firms In: Applied Economics Letters.
[Full Text][Citation analysis]
article0
2017Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios In: Applied Economics Letters.
[Full Text][Citation analysis]
article0
2006Chinese equity market and the efficient frontier In: Applied Financial Economics Letters.
[Full Text][Citation analysis]
article5
2007Refunding efficiency: a generalized approach In: Applied Financial Economics Letters.
[Full Text][Citation analysis]
article2
2008Optimal mortgage refinancing: application of bond valuation tools to household risk management In: Applied Financial Economics Letters.
[Full Text][Citation analysis]
article2
2006An empirical examination of the return distribution characteristics of agency mortgage pass-through securities In: Applied Financial Economics.
[Full Text][Citation analysis]
article1
2006Macroeconomic news effects on conditional volatilities in the bond and stock markets In: Applied Financial Economics.
[Full Text][Citation analysis]
article10
2009Price calibration and hedging of correlation dependent credit derivatives using a structural model with ?-stable distributions In: Applied Financial Economics.
[Full Text][Citation analysis]
article0
2011Savings selectivity bias, subjective expectations and stock market participation In: Applied Financial Economics.
[Full Text][Citation analysis]
article0
2012Approximation of skewed and leptokurtic return distributions In: Applied Financial Economics.
[Full Text][Citation analysis]
article5
2013Option pricing with time-changed L?vy processes In: Applied Financial Economics.
[Full Text][Citation analysis]
article5
2013Market overreaction and underreaction: tests of the directional and magnitude effects In: Applied Financial Economics.
[Full Text][Citation analysis]
article15
2007Optimal Financial Portfolios In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article19
2009Orderings and Probability Functionals Consistent with Preferences In: Applied Mathematical Finance.
[Full Text][Citation analysis]
article8
2011Household search choice: theory and evidence In: Applied Economics.
[Full Text][Citation analysis]
article1
2011MCMC-based estimation of Markov Switching ARMA-GARCH models In: Applied Economics.
[Full Text][Citation analysis]
article21
2013Optimal corporate strategy under uncertainty In: Applied Economics.
[Full Text][Citation analysis]
article0
2017A flexible approach to estimate the equity premium In: Applied Economics.
[Full Text][Citation analysis]
article0
2017Skillful hiding: evaluating hedge fund managers’ performance based on what they hide In: Applied Economics.
[Full Text][Citation analysis]
article0
2018An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey In: Applied Economics.
[Full Text][Citation analysis]
article1
2018Diversification versus optimality: is there really a diversification puzzle? In: Applied Economics.
[Full Text][Citation analysis]
article9
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.
[Full Text][Citation analysis]
article1
2015The information content of three credit ratings: the case of European residential mortgage-backed securities In: The European Journal of Finance.
[Full Text][Citation analysis]
article3
2010Approximation of aggregate and extremal losses within the very heavy tails framework In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2010A risk-based evaluation of the free-trader option In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2012A new method for generating approximation algorithms for financial mathematics applications In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2014Bayesian estimation of truncated data with applications to operational risk measurement In: Quantitative Finance.
[Full Text][Citation analysis]
article2
2014Smooth monotone covariance for elliptical distributions and applications in finance In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2015Multiperiod conditional valuation of barrier options with incomplete information In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2016Elliptical tempered stable distribution In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2017Penalizing variances for higher dependency on factors In: Quantitative Finance.
[Full Text][Citation analysis]
article0
2004A methodology for index tracking based on time-series clustering In: Quantitative Finance.
[Full Text][Citation analysis]
article14
2006On risk management problems related to a coherence property In: Quantitative Finance.
[Full Text][Citation analysis]
article3
2007Trends in quantitative equity management: survey results In: Quantitative Finance.
[Full Text][Citation analysis]
article8
2007Stable distributions in the Black-Litterman approach to asset allocation In: Quantitative Finance.
[Full Text][Citation analysis]
article17
2008On the challenges in quantitative equity management In: Quantitative Finance.
[Full Text][Citation analysis]
article4
2009Estimating risk-neutral density with parametric models in interest rate markets In: Quantitative Finance.
[Full Text][Citation analysis]
article7
2015A Three-Factor Model for Mortality Modeling In: North American Actuarial Journal.
[Full Text][Citation analysis]
article0
2017How fat are the tails of equity market indices? In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
article1
2019Sentiment indices and their forecasting ability In: Journal of Forecasting.
[Full Text][Citation analysis]
article2
2004AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article9
2005THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article14
2007ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article1
2008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article19
2009BARRIER OPTION PRICING BY BRANCHING PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article0
2012METRIZATION OF STOCHASTIC DOMINANCE RULES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article4
2013FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article0
2013PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article3
2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article7
2015Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty In: Journal of Financial Engineering (JFE).
[Full Text][Citation analysis]
article0
2019Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management In: World Scientific Books.
[Full Text][Citation analysis]
book1
2019Introduction In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Random Variables In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Stochastic Processes with Jumps In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019The Generalized Hyperbolic Distribution In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019The Class of Stable Distributions In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Tempered Stable Distributions In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Multivariate Time-Changed Brownian Motion In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Extreme Value Theory In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019A Portfolio Selection Analysis with Non-Gaussian Models In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Implied Volatility Smile with Non-Gaussian Processes In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2019Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
2009A Discretionary Wealth Approach to Investment Policy In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper0
2009Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper1
2007Securitization: The Tool of Financial Transformation In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper8
2007Collateralized Debt Obligations and Credit Risk Transfer In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper3
2009Computing VAR and AVaR in Infinitely Divisible Distributions In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper4
2009Property Derivatives for Managing European Real-Estate Risk In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
paper0
2010Bayesian inference for hedge funds with stable distribution of returns In: Working Paper Series in Economics.
[Full Text][Citation analysis]
paper1
2011Tempered infinitely divisible distributions and processes In: Working Paper Series in Economics.
[Full Text][Citation analysis]
paper5
2011A profit model for spread trading with an application to energy futures In: Working Paper Series in Economics.
[Full Text][Citation analysis]
paper0
2011Fat-tailed models for risk estimation In: Working Paper Series in Economics.
[Full Text][Citation analysis]
paper12
2012Option pricing with regime switching tempered stable processes In: Working Paper Series in Economics.
[Full Text][Citation analysis]
paper0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team