16
H index
27
i10 index
1031
Citations
Frank J. Fabozzi : Citation Profile
Groupe EDHEC (École de Hautes Études Commerciales du Nord) (43% share) | RESEARCH PRODUCTION: 173 Articles 33 Papers 2 Books 12 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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47 years (1972 - 2019). 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:
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Main data
Where Frank J. Fabozzi has published?
Recent works citing Frank J. Fabozzi (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2018 | A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2018). Rodríguez Caballero, Carlos ; RodrÃguez Caballero, Carlos ; RodrÃÂguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33. Full description at Econpapers || Download paper | |
| 2018 | On the role of probability weighting on WTP for crop insurance with and without yield skewness. (2018). Piet, Laurent ; Bougherara, Douadia. In: Working Papers. RePEc:ags:inrasl:279351. Full description at Econpapers || Download paper | |
| 2018 | Pricing sovereign contingent convertible debt. (2018). Consiglio, Andrea ; Zenios, Stavros ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1804.01475. Full description at Econpapers || Download paper | |
| 2018 | The determinants of bank loan recovery rates in good times and bad - new evidence. (2018). Wang, Hong ; Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S. In: Papers. RePEc:arx:papers:1804.07022. Full description at Econpapers || Download paper | |
| 2018 | Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. (2018). Bianchi, Michele Leonardo ; Tassinari, Gian Luca. In: Papers. RePEc:arx:papers:1805.05584. Full description at Econpapers || Download paper | |
| 2019 | Forecasting market states. (2018). Procacci, Pier Francesco ; Aste, Tomaso. In: Papers. RePEc:arx:papers:1807.05836. Full description at Econpapers || Download paper | |
| 2018 | Betas, Benchmarks and Beating the Market. (2018). Kakushadze, Zura ; Yu, Willie. In: Papers. RePEc:arx:papers:1807.09919. Full description at Econpapers || Download paper | |
| 2018 | Diversity and Sparsity: A New Perspective on Index Tracking. (2018). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1809.01989. Full description at Econpapers || Download paper | |
| 2018 | Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382. Full description at Econpapers || Download paper | |
| 2019 | Using Column Generation to Solve Extensions to the Markowitz Model. (2018). Roebers, Lorenz M ; Vera, Juan C ; Selvi, Aras. In: Papers. RePEc:arx:papers:1812.00093. Full description at Econpapers || Download paper | |
| 2019 | Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market. (2019). Scalas, Enrico ; Kaizoji, Taisei ; Eom, Cheoljun. In: Papers. RePEc:arx:papers:1904.02567. Full description at Econpapers || Download paper | |
| 2019 | Portfolio optimization while controlling Value at Risk, when returns are heavy tailed. (2019). Biswas, Subhojit ; Mukherjee, Diganta. In: Papers. RePEc:arx:papers:1908.03907. Full description at Econpapers || Download paper | |
| 2019 | Is being `Robust beneficial?: A perspective from the Indian market. (2019). Girach, Mohammed Bilal ; Chakrabarty, Siddhartha P ; Oberoi, Shashank. In: Papers. RePEc:arx:papers:1908.05002. Full description at Econpapers || Download paper | |
| 2019 | Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation. (2019). Hu, Yuan ; Fabozzi, Frank J ; Rache, Svetlozar T. In: Papers. RePEc:arx:papers:1908.05419. Full description at Econpapers || Download paper | |
| 2018 | Real estates information and volatility links with stock, bond and money markets. (2018). Mi, Lin ; Hodgson, Allan. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:465-491. Full description at Econpapers || Download paper | |
| 2019 | THE REACTIVE BETA MODEL. (2019). Grebenkov, Denis ; Aboura, Sofiane ; Valeyre, Sebastien. In: Journal of Financial Research. RePEc:bla:jfnres:v:42:y:2019:i:1:p:71-113. Full description at Econpapers || Download paper | |
| 2018 | A High-Moment Trapezoidal Fuzzy Random Portfolio Model with Background Risk. (2018). Xiong, Deng ; Yanli, Liu. In: Journal of Systems Science and Information. RePEc:bpj:jossai:v:6:y:2018:i:1:p:1-28:n:1. Full description at Econpapers || Download paper | |
| 2018 | Agrega valor el modelo Black-Litterman en portafolios del Mercado Integrado Latinoamericano (MILA)?. (2018). Agudelo, Diego ; Luna-Ramirez, Susana. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:016958. Full description at Econpapers || Download paper | |
| 2018 | Pension fund equity performance: Patience, activity or both?. (2018). Lelyveld, Iman ; Artiga Gonzalez, Tanja ; Lucivjanska, Katarina ; van Lelyveld, Iman. In: DNB Working Papers. RePEc:dnb:dnbwpp:606. Full description at Econpapers || Download paper | |
| 2019 | Security design and credit rating risk in the CLO market. (2019). van Breemen, Vivian ; Nawas, Mike ; Vink, Dennis . In: DNB Working Papers. RePEc:dnb:dnbwpp:643. Full description at Econpapers || Download paper | |
| 2019 | Is tail risk the missing link between institutions and risk?. (2019). Ni, Wan ; Basu, Devraj ; Groslambert, Bertrand . In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00266. Full description at Econpapers || Download paper | |
| 2019 | Reducing risk through crop diversification: An application of portfolio theory to diversified horticultural systems. (2019). Paut, Raphael ; Tchamitchian, Marc ; Sabatier, Rodolphe. In: Agricultural Systems. RePEc:eee:agisys:v:168:y:2019:i:c:p:123-130. Full description at Econpapers || Download paper | |
| 2018 | Commonality in liquidity: Evidence from India’s National Stock Exchange. (2018). Kumar, Gaurav ; Misra, Arun Kumar . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:1-15. Full description at Econpapers || Download paper | |
| 2018 | Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Chowdhury, Biplob ; Dungey, Mardi ; JEYASREEDHARAN, NAGARATNAM . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47. Full description at Econpapers || Download paper | |
| 2019 | Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23. Full description at Econpapers || Download paper | |
| 2018 | Determinants of holiday effects in mainland Chinese and Hong-Kong markets. (2018). Casalin, Fabrizio. In: China Economic Review. RePEc:eee:chieco:v:49:y:2018:i:c:p:45-67. Full description at Econpapers || Download paper | |
| 2018 | The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205. Full description at Econpapers || Download paper | |
| 2018 | Dieselgate and its expected consequences on the European auto ABS market. (2018). Hachenberg, Britta ; Schiereck, Dirk ; Kiesel, Florian. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:180-182. Full description at Econpapers || Download paper | |
| 2019 | Does twitter predict Bitcoin?. (2019). Shen, Dehua ; Wang, Pengfei ; Urquhart, Andrew. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:118-122. Full description at Econpapers || Download paper | |
| 2019 | Redenomination-risk spillovers in the Eurozone. (2019). Borri, Nicola. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:173-178. Full description at Econpapers || Download paper | |
| 2018 | Risk tomography. (2018). Lee, Jinwook ; Prekopa, Andras. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:149-168. Full description at Econpapers || Download paper | |
| 2018 | Comparing large-sample maximum Sharpe ratios and incremental variable testing. (2018). Hanke, Michael ; Penev, Spiridon. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:571-579. Full description at Econpapers || Download paper | |
| 2018 | Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Pätäri, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville ; Patari, Eero. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672. Full description at Econpapers || Download paper | |
| 2018 | Loss functions for Loss Given Default model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:348-360. Full description at Econpapers || Download paper | |
| 2018 | Investment decisions and sensitivity analysis: NPV-consistency of rates of return. (2018). Magni, Carlo Alberto ; Marchioni, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:361-372. Full description at Econpapers || Download paper | |
| 2018 | Robust VaR and CVaR optimization under joint ambiguity in distributions, means, and covariances. (2018). Zenios, Stavros ; Lotfi, Somayyeh. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:2:p:556-576. Full description at Econpapers || Download paper | |
| 2018 | Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696. Full description at Econpapers || Download paper | |
| 2018 | Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation. (2018). Betz, Jennifer ; Rosch, Daniel ; Kellner, Ralf . In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:3:p:1113-1144. Full description at Econpapers || Download paper | |
| 2019 | A partial adjustment valuation approach with stochastic and dynamic speeds of partial adjustment to measuring and evaluating the business value of information technology. (2019). Lin, Winston T ; Hung, Tingshu ; Chen, Yueh H. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:2:p:766-779. Full description at Econpapers || Download paper | |
| 2019 | Black–Litterman model for continuous distributions. (2019). Palczewski, Andrzej. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:708-720. Full description at Econpapers || Download paper | |
| 2019 | The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion. (2019). Penev, Spiridon ; Wu, Wei ; Shevchenko, Pavel V. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:772-784. Full description at Econpapers || Download paper | |
| 2019 | A bi-level programming approach for global investment strategies with financial intermediation. (2019). Benita, Francisco ; Nasini, Stefano ; Lopez-Ramos, Francisco . In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:375-390. Full description at Econpapers || Download paper | |
| 2019 | Communication and personal selection of pension saver’s financial risk. (2019). Nielsen, Jens Perch ; Kyriakou, Ioannis ; Hiabu, Munir ; Gerrard, Russell . In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:3:p:1102-1111. Full description at Econpapers || Download paper | |
| 2018 | Size, value, profitability, and investment: Evidence from emerging markets. (2018). Leite, Andre Luis ; da Silva, Aldo Ferreira ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus. In: Emerging Markets Review. RePEc:eee:ememar:v:36:y:2018:i:c:p:45-59. Full description at Econpapers || Download paper | |
| 2018 | Financial connectedness of BRICS and global sovereign bond markets. (2018). Ahmad, Wasim ; Daly, Kevin J ; Mishra, Anil V. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:1-16. Full description at Econpapers || Download paper | |
| 2018 | A comprehensive test of the Fama-French five-factor model in emerging markets. (2018). Foye, James. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:199-222. Full description at Econpapers || Download paper | |
| 2019 | The cross-section of returns in frontier equity markets: Integrated or segmented pricing?. (2019). Maydybura, Alina ; Zaremba, Adam. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:219-238. Full description at Econpapers || Download paper | |
| 2019 | The cross-section of emerging market stock returns. (2019). Lauterbach, Jochim G ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:265-286. Full description at Econpapers || Download paper | |
| 2018 | The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence. (2018). Leonida, Leone ; Mallick, Sushanta K ; Benbouzid, Nadia. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:226-240. Full description at Econpapers || Download paper | |
| 2018 | Sentiment-based momentum strategy. (2018). Suh, Sangwon ; Kim, Byungoh. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:52-68. Full description at Econpapers || Download paper | |
| 2019 | Securitization, bank behaviour and financial stability: A systematic review of the recent empirical literature. (2019). Deku, Solomon ; Zhou, Yifan ; Kara, Alper. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:245-254. Full description at Econpapers || Download paper | |
| 2018 | A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112. Full description at Econpapers || Download paper | |
| 2018 | On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study. (2018). Fernandes, Betina ; Vallado, Davi ; Street, Alexandre. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:201-207. Full description at Econpapers || Download paper | |
| 2019 | The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies. (2019). Sensoy, Ahmet. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:68-73. Full description at Econpapers || Download paper | |
| 2018 | CMBS market efficiency: The crisis and the recovery. (2018). Jarrow, Robert ; Christopoulos, Andreas D. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:159-186. Full description at Econpapers || Download paper | |
| 2018 | Forest-based carbon sequestration, and the role of forward, futures, and carbon-lending markets: A comparative institutions approach. (2018). Coleman, Andrew. In: Journal of Forest Economics. RePEc:eee:foreco:v:33:y:2018:i:c:p:95-104. Full description at Econpapers || Download paper | |
| 2018 | Longevity risk and capital markets: The 2015–16 update. (2018). Blake, David ; MacMinn, Richard ; Loisel, Stephane ; el Karoui, Nicole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:157-173. Full description at Econpapers || Download paper | |
| 2019 | Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?. (2019). Cifuentes, Arturo ; Vallado, Davi ; Pagnoncelli, Bernardo ; Gutierrez, Tomas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:134-144. Full description at Econpapers || Download paper | |
| 2018 | Do multiple credit ratings affect syndicated loan spreads?. (2018). Gallo, Raffaele ; Drago, Danilo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:1-16. Full description at Econpapers || Download paper | |
| 2018 | What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200. Full description at Econpapers || Download paper | |
| 2018 | On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting. (2018). Goutte, Stéphane ; DHAOUI, Abderrazak ; Abid, Ilyes ; Guesmi, Khaled. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:233-254. Full description at Econpapers || Download paper | |
| 2019 | The impact of the U.S. employment report on exchange rates. (2019). Ederington, Louis ; Yang, Lisa ; Guan, Wei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:257-267. Full description at Econpapers || Download paper | |
| 2019 | Does it pay to pay performance fees? Empirical evidence from Dutch pension funds. (2019). Broeders, Dirk ; Rijsbergen, David R ; van Oord, Arco . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:93:y:2019:i:c:p:299-312. Full description at Econpapers || Download paper | |
| 2018 | Do commodities effectively hedge real estate risk? A multi-scale asymmetric DCC approach. (2018). Shahzad, Syed Jawad Hussain ; Raza, Syed ; Hussain, Syed Jawad ; Ali, Sajid. In: Resources Policy. RePEc:eee:jrpoli:v:57:y:2018:i:c:p:10-29. Full description at Econpapers || Download paper | |
| 2019 | Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm. (2019). el Aziz, Mohamed Abd ; Alameer, Zakaria ; Jianhua, Zhang ; Ye, Haiwang ; Ewees, Ahmed A ; Elaziz, Mohamed Abd. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:250-260. Full description at Econpapers || Download paper | |
| 2018 | The price momentum of stock in distribution. (2018). Liu, Haijun ; Wang, Longfei. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:492:y:2018:i:c:p:2336-2344. Full description at Econpapers || Download paper | |
| 2018 | Hidden Markov model analysis of extreme behaviors of foreign exchange rates. (2018). Liu, Wei-Han. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:1007-1019. Full description at Econpapers || Download paper | |
| 2018 | Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence. (2018). Balaban, Ercan ; Karidis, Socrates ; Ozgen, Tolga. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:503:y:2018:i:c:p:905-915. Full description at Econpapers || Download paper | |
| 2018 | Distributional characteristics of interday stock returns and their asymmetric conditional volatility: Firm-level evidence. (2018). Balaban, Ercan ; Girgin, Mehmet Sencer ; Ozgen, Tolga. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:508:y:2018:i:c:p:280-288. Full description at Econpapers || Download paper | |
| 2019 | Double correlation model for operational risk: Evidence from Chinese commercial banks. (2019). Xu, Chi ; Wang, Nuan ; Ji, Jingru ; Zheng, Chunling. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:327-339. Full description at Econpapers || Download paper | |
| 2018 | Extreme co-movements and dependencies among major international exchange rates: A copula approach. (2018). Tiwari, Aviral ; Albulescu, Claudiu ; Goyeau, Daniel ; Aubin, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:56-69. Full description at Econpapers || Download paper | |
| 2018 | Identifying barriers to large-scale integration of variable renewable electricity into the electricity market: A literature review of market design. (2018). Hu, Jing ; van den Broek, Machteld ; Worrell, Ernst ; Crijns-Graus, Wina ; Harmsen, Robert. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p2:p:2181-2195. Full description at Econpapers || Download paper | |
| 2018 | Planning in a changing environment: Applications of portfolio optimisation to deal with risk in the electricity sector. (2018). Odeh, Rodrigo Perez ; Flores, Yarela ; Watts, David. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:82:y:2018:i:p3:p:3808-3823. Full description at Econpapers || Download paper | |
| 2018 | Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis. (2018). Lin, Fu-Lai ; Chen, Yu-Fen ; Marsh, Terry ; Yang, Sheng-Yung. In: International Review of Economics & Finance. RePEc:eee:reveco:v:55:y:2018:i:c:p:285-294. Full description at Econpapers || Download paper | |
| 2018 | Information leakage, site visits, and crash risk: Evidence from China. (2018). Lu, Xian-Wei ; Su, Zhong-qin ; Fung, Hung-Gay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:487-507. Full description at Econpapers || Download paper | |
| 2019 | Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate. (2019). Yang, Lu ; Zeng, Yu-Feng ; Chen, Wang ; Hu, Shichao ; Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:137-149. Full description at Econpapers || Download paper | |
| 2018 | The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:1-15. Full description at Econpapers || Download paper | |
| 2018 | Is there momentum in factor premia? Evidence from international equity markets. (2018). Zaremba, Adam ; Shemer, Jacob. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:120-130. Full description at Econpapers || Download paper | |
| 2019 | Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets. (2019). Chiang, Thomas C. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:264-278. Full description at Econpapers || Download paper | |
| 2018 | Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:104260. Full description at Econpapers || Download paper | |
| 2018 | Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:105878. Full description at Econpapers || Download paper | |
| 2018 | Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin ; Wong, W.-K., ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:112499. Full description at Econpapers || Download paper | |
| 2019 | Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models. (2019). Ghasemi, Foroogh ; Tamoaitien, Jolanta ; Yousefi, Vahidreza ; Tabasi, Hamed. In: Administrative Sciences. RePEc:gam:jadmsc:v:9:y:2019:i:2:p:40-:d:234128. Full description at Econpapers || Download paper | |
| 2019 | Permutation Entropy and Information Recovery in Nonlinear Dynamic Economic Time Series. (2019). HENRY, MIGUEL ; Judge, George. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:10-:d:213039. Full description at Econpapers || Download paper | |
| 2019 | Expectations for Statistical Arbitrage in Energy Futures Markets. (2019). Nakajima, Tadahiro . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:14-:d:197788. Full description at Econpapers || Download paper | |
| 2019 | Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804. Full description at Econpapers || Download paper | |
| 2019 | The Determinants of Market-Implied Recovery Rates. (2019). Franois, Pascal. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:2:p:57-:d:232426. Full description at Econpapers || Download paper | |
| 2018 | Why Are Warrant Markets Sustained in Taiwan but Not in China?. (2018). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi ; Tsai, Feng-Tse. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3748-:d:176380. Full description at Econpapers || Download paper | |
| 2019 | A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings. (2019). Gherghina, Ştefan ; PANAIT, Iulian ; Armeanu, Daniel Tefan ; Badea, Leonardo . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:5:p:1325-:d:210534. Full description at Econpapers || Download paper | |
| 2018 | On the role of probability weighting on WTP for crop insurance with and without yield skewness. (2018). Piet, Laurent ; Bougherara, Douadia. In: Working Papers. RePEc:hal:wpaper:hal-01911611. Full description at Econpapers || Download paper | |
| 2019 | Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?. (2019). Lakshina, Valeria V. In: HSE Working papers. RePEc:hig:wpaper:75/fe/2019. Full description at Econpapers || Download paper | |
| 2018 | Presence of Contrarian Profits in the Jordan Stock Market. (2018). Elhaj, Malik R ; Chowdhury, Shah . In: International Business Research. RePEc:ibn:ibrjnl:v:11:y:2018:i:10:p:79-85. Full description at Econpapers || Download paper | |
| 2018 | “Incorporating creditors seniority into contingent claim models:Application to peripheral euro area countries”. (2018). Sosvilla-Rivero, Simon ; Singh, Manish K ; Gomez-Puig, Marta. In: IREA Working Papers. RePEc:ira:wpaper:201803. Full description at Econpapers || Download paper | |
| 2019 | Interdependence of Securitized Real Estate in Frontier Markets. (2019). Al-Abduljader, Sulaiman T. In: International Real Estate Review. RePEc:ire:issued:v:22:n:01:2019:p:83-108. Full description at Econpapers || Download paper | |
| 2019 | Interdependence of Securitized Real Estate in Frontier Markets. (2019). Al-Abduljader, Sulaiman T. In: International Real Estate Review. RePEc:ire:issued:v:22:n:01:2019:p:85-110. Full description at Econpapers || Download paper | |
| 2019 | Market Timing with Option-Implied Distributions in an Exponentially Tempered Stable Lévy Market. (2019). Polaski, Zachary ; Guerra, Manuel. In: Working Papers REM. RePEc:ise:remwps:wp0742019. Full description at Econpapers || Download paper | |
| 2018 | Systemic risk in Europe: deciphering leading measures, common patterns and real effects. (2018). Stolbov, Mikhail ; Shchepeleva, Maria. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:1:d:10.1007_s10436-017-0310-3. Full description at Econpapers || Download paper | |
| 2018 | Applying Time Series Decomposition to Construct Index-Tracking Portfolio. (2018). Nakayama, Jun ; Yokouchi, Daisuke . In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:25:y:2018:i:4:d:10.1007_s10690-018-9252-7. Full description at Econpapers || Download paper | |
| 2018 | Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. (2018). Andreoli, Alessandro ; Pacelli, Graziella ; Ballestra, Luca Vincenzo. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x. Full description at Econpapers || Download paper | |
| 2018 | A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection. (2018). Vallado, Davi Michel ; Street, Alexandre ; Veiga, Alvaro. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:4:d:10.1007_s10614-017-9656-x. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Frank J. Fabozzi has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Frank J. Fabozzi:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2016 | A New Set of Financial Instruments In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Financial market with no riskless (safe) asset In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Pricing Derivatives in Hermite Markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Option Pricing with Greed and Fear Factor: The Rational Finance Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Pricing derivatives in Hermite markets In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Option pricing for Informed Traders In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Enhancing Binomial and Trinomial Equity Option Pricing Models In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Another Look at the Ho-Lee Bond Option Pricing Model In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Multiple Subordinated Modeling of Asset Returns In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Tempered stable Ornstein-Uhlenbeck processes: a practical view In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 0 |
| 2014 | Calibrating the Italian smile with time-varying volatility and heavy-tailed models In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 1 |
| 1972 | Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence. In: Bulletin of Economic Research. [Citation analysis] | article | 0 |
| 2009 | A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions In: European Financial Management. [Full Text][Citation analysis] | article | 6 |
| 2010 | Property Derivatives for Managing European Real†Estate Risk In: European Financial Management. [Full Text][Citation analysis] | article | 3 |
| 2012 | Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities In: European Financial Management. [Full Text][Citation analysis] | article | 4 |
| 2012 | A Pricing Framework for Real Estate Derivatives In: European Financial Management. [Full Text][Citation analysis] | article | 4 |
| 1988 | The Over-the-Counter Market and New York Stock Exchange Trading Halts. In: The Financial Review. [Citation analysis] | article | 3 |
| 1977 | Stability Tests for Alphas and Betas over Bull and Bear Market Conditions. In: Journal of Finance. [Full Text][Citation analysis] | article | 82 |
| 1979 | Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination. In: Journal of Finance. [Full Text][Citation analysis] | article | 23 |
| 1983 | Valuation of Safe Harbor Tax Benefit Transfer Leases. In: Journal of Finance. [Full Text][Citation analysis] | article | 0 |
| 1993 | The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation. In: Journal of Finance. [Full Text][Citation analysis] | article | 46 |
| 1994 | Holiday Trading in Futures Markets. In: Journal of Finance. [Full Text][Citation analysis] | article | 15 |
| 1989 | OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH In: Journal of Financial Research. [Full Text][Citation analysis] | article | 0 |
| 1985 | WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS In: Journal of Financial Research. [Full Text][Citation analysis] | article | 1 |
| 2019 | The Timeline Estimation of Bubbles: The Case of Real Estate In: Real Estate Economics. [Full Text][Citation analysis] | article | 0 |
| 2008 | Multivariate 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] | article | 10 |
| 2010 | Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2013 | Computational aspects of portfolio risk estimation in volatile markets: a survey In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2004 | Modeling Volatility for the Chinese Equity Markets In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 7 |
| 2007 | Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2011 | COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES” In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 1978 | Beta as a Random Coefficient In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 93 |
| 1979 | The 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] | article | 7 |
| 1980 | Generalized Functional Form for Mutual Fund Returns In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 3 |
| 1981 | Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 3 |
| 1986 | State 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] | article | 8 |
| 2008 | An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 22 |
| 2015 | Measuring and explaining pension system risk In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2005 | Market experience with modeling for defined-benefit pension funds: evidence from four countries In: Journal of Pension Economics and Finance. [Full Text][Citation analysis] | article | 2 |
| 2009 | Multi-tail generalized elliptical distributions for asset returns In: Econometrics Journal. [Full Text][Citation analysis] | article | 3 |
| 2008 | Portfolio selection with uncertain exit time: A robust CVaR approach In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 9 |
| 2014 | Extracting market information from equity options with exponential Lévy processes In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 2 |
| 2018 | Local volatility and the recovery rate of credit default swaps In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 1996 | International 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] | article | 0 |
| 2009 | Construction of probability metrics on classes of investors In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2011 | Is food consumption a good proxy for nondurable consumption? In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2014 | Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments In: Economics Letters. [Full Text][Citation analysis] | article | 7 |
| 2016 | Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2017 | Predictability dynamics of emerging sovereign CDS markets In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2007 | An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
| 2010 | Portfolio selection under distributional uncertainty: A relative robust CVaR approach In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 28 |
| 2014 | 60 Years of portfolio optimization: Practical challenges and current trends In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 39 |
| 2014 | Robust portfolios that do not tilt factor exposure In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
| 2016 | An improved method for pricing and hedging long dated American options In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 3 |
| 2017 | Fuzzy decision fusion approach for loss-given-default modeling In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
| 2017 | An improved least squares Monte Carlo valuation method based on heteroscedasticity In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
| 2018 | Improving corporate bond recovery rate prediction using multi-factor support vector regressions In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 2 |
| 1979 | Mathematical programming models to determine civil service salaries In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
| 2013 | Size, value, and momentum in emerging market stock returns In: Emerging Markets Review. [Full Text][Citation analysis] | article | 31 |
| 2009 | Pricing of credit default index swap tranches with one-factor heavy-tailed copula models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 4 |
| 2010 | Risk management and dynamic portfolio selection with stable Paretian distributions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 3 |
| 2009 | CAViaR-based forecast for oil price risk In: Energy Economics. [Full Text][Citation analysis] | article | 10 |
| 2011 | Balancing energy strategies in electricity portfolio management In: Energy Economics. [Full Text][Citation analysis] | article | 24 |
| 2013 | The role of jump dynamics in the risk–return relationship In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 3 |
| 2014 | Option pricing under stochastic volatility and tempered stable Lévy jumps In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 7 |
| 2015 | Focusing on the worst state for robust investing In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 2 |
| 2016 | Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 0 |
| 2016 | Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 2 |
| 2013 | Composition of robust equity portfolios In: Finance Research Letters. [Full Text][Citation analysis] | article | 5 |
| 2016 | Portfolio selection with conservative short-selling In: Finance Research Letters. [Full Text][Citation analysis] | article | 1 |
| 2017 | Exploring rating shopping for european triple a senior structured finance securities In: Finance Research Letters. [Full Text][Citation analysis] | article | 2 |
| 2018 | Using 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] | article | 0 |
| 2019 | Does the corporate bond market overvalue bonds of sin companies? In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2019 | Enhancing binomial and trinomial equity option pricing models In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2006 | The value, size, and momentum spread during distressed economic periods In: Finance Research Letters. [Full Text][Citation analysis] | article | 7 |
| 2007 | Exploring the components of credit risk in credit default swaps In: Finance Research Letters. [Full Text][Citation analysis] | article | 25 |
| 2011 | Calibrating affine stochastic mortality models using term assurance premiums In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 5 |
| 2012 | A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 3 |
| 2017 | Intensity-based framework for surrender modeling in life insurance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 1 |
| 2009 | Svetlozar, 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] | article | 0 |
| 2007 | Momentum strategies based on reward-risk stock selection criteria In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 30 |
| 2008 | Relative deviation metrics and the problem of strategy replication In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
| 2008 | Financial market models with Lévy processes and time-varying volatility In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 19 |
| 2010 | Tempered stable and tempered infinitely divisible GARCH models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 17 |
| 2011 | Tempered 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: 17 | paper | |
| 2011 | Time series analysis for financial market meltdowns In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
| 2010 | Time series analysis for financial market meltdowns.(2010) In: Working Paper Series in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2013 | CVaR sensitivity with respect to tail thickness In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 7 |
| 2011 | CVaR sensitivity with respect to tail thickness.(2011) In: Working Paper Series in Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2014 | Deciphering robust portfolios In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2016 | A 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] | article | 2 |
| 2016 | On stability of operational risk estimates by LDA: From causes to approaches In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2018 | Macroeconomic variable selection for creditor recovery rates In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 3 |
| 1980 | Stability of mutual fund systematic risk statistics In: Journal of Business Research. [Full Text][Citation analysis] | article | 5 |
| 1982 | A note on the association between systematic risk and common stock and bond rating classifications In: Journal of Economics and Business. [Full Text][Citation analysis] | article | 0 |
| 2007 | Fractals 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] | article | 6 |
| 2011 | Analysis of the intraday effects of economic releases on the currency market In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 9 |
| 2010 | Analysis 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 | |
| 2016 | Factor decomposition of the Eurozone sovereign CDS spreads In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 11 |
| 2019 | Effectiveness of developed and emerging market FX options in active currency risk management In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | Explosive rents: The real estate market dynamics in exuberance In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads In: IMES Discussion Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 1976 | Mathematical Programming in American Companies: A Sample Survey In: Interfaces. [Full Text][Citation analysis] | article | 0 |
| 2008 | OR PRACTICE---Assisting Defined-Benefit Pension Plans In: Operations Research. [Full Text][Citation analysis] | article | 4 |
| 2008 | Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration In: Annals of Finance. [Full Text][Citation analysis] | article | 7 |
| 2015 | Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
| 2018 | Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
| 2019 | Quantile-Based Inference for Tempered Stable Distributions In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Quanto Option Pricing with Lévy Models In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Svetlozar 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] | article | 0 |
| 2012 | Option pricing and hedging under a stochastic volatility Lévy process model In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 3 |
| 2000 | Equity Manager Selection and Performance. In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 0 |
| 2012 | Portfolio revision under mean-variance and mean-CVaR with transaction costs In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] | article | 3 |
| 2007 | How do conflicting theories about financial markets coexist? In: Journal of Post Keynesian Economics. [Full Text][Citation analysis] | article | 1 |
| 2006 | How 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 | |
| 2013 | Technical Review Panel for the Pension Insurance Modeling System (PIMS) In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition In: MIT Press Books. [Citation analysis] | book | 1 |
| 1989 | Taxation of Capital Gains With Deferred Realization In: National Tax Journal. [Full Text][Citation analysis] | article | 2 |
| 1991 | Effective Capital Gains Tax Rates: A Reply In: National Tax Journal. [Full Text][Citation analysis] | article | 0 |
| 2017 | Effects of Spot Market Short-Sale Constraints on Index Futures Trading In: Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Equity style allocation: A nonparametric approach In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
| 2017 | Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
| 2011 | Liability Index Fund: The Liability Beta Portfolio In: Journal of Financial Transformation. [Citation analysis] | article | 0 |
| 1977 | A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit In: The American Economist. [Full Text][Citation analysis] | article | 0 |
| 2010 | The Reasonable Effectiveness of Mathematics in Economics In: The American Economist. [Full Text][Citation analysis] | article | 0 |
| 2010 | Robust portfolios: contributions from operations research and finance In: Annals of Operations Research. [Full Text][Citation analysis] | article | 28 |
| 2010 | Stochastic models for risk estimation in volatile markets: a survey In: Annals of Operations Research. [Full Text][Citation analysis] | article | 8 |
| 2012 | Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model In: Annals of Operations Research. [Full Text][Citation analysis] | article | 8 |
| 2013 | What do robust equity portfolio models really do? In: Annals of Operations Research. [Full Text][Citation analysis] | article | 3 |
| 2013 | Sensitivity of portfolio VaR and CVaR to portfolio return characteristics In: Annals of Operations Research. [Full Text][Citation analysis] | article | 9 |
| 2018 | Recent advancements in robust optimization for investment management In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2018 | Robust equity portfolio performance In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2019 | Market implied volatilities for defaultable bonds In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2009 | A 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] | article | 22 |
| 2014 | Recent Developments in Robust Portfolios with a Worst-Case Approach In: Journal of Optimization Theory and Applications. [Full Text][Citation analysis] | article | 7 |
| 2009 | Introduction to special issue: studies in mathematical and empirical finance In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2009 | Black swans and white eagles: on mathematics and finance In: Mathematical Methods of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2014 | Discussion of ‘on simulation and properties of the stable law’ by Devroye and James In: Statistical Methods & Applications. [Full Text][Citation analysis] | article | 0 |
| 2012 | Approximation of Stable and Geometric Stable Distribution In: Journal of Statistical and Econometric Methods. [Full Text][Citation analysis] | article | 1 |
| 2009 | An empirical analysis of the CDX index and its tranches In: Applied Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2013 | The new issues puzzle: evidence from non-US firms In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2017 | Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2006 | Chinese equity market and the efficient frontier In: Applied Financial Economics Letters. [Full Text][Citation analysis] | article | 4 |
| 2007 | Refunding efficiency: a generalized approach In: Applied Financial Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2008 | Optimal mortgage refinancing: application of bond valuation tools to household risk management In: Applied Financial Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2006 | An empirical examination of the return distribution characteristics of agency mortgage pass-through securities In: Applied Financial Economics. [Full Text][Citation analysis] | article | 1 |
| 2006 | Macroeconomic news effects on conditional volatilities in the bond and stock markets In: Applied Financial Economics. [Full Text][Citation analysis] | article | 9 |
| 2009 | Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions In: Applied Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Savings selectivity bias, subjective expectations and stock market participation In: Applied Financial Economics. [Full Text][Citation analysis] | article | 0 |
| 2012 | Approximation of skewed and leptokurtic return distributions In: Applied Financial Economics. [Full Text][Citation analysis] | article | 5 |
| 2013 | Option pricing with time-changed Lévy processes In: Applied Financial Economics. [Full Text][Citation analysis] | article | 3 |
| 2013 | Market overreaction and underreaction: tests of the directional and magnitude effects In: Applied Financial Economics. [Full Text][Citation analysis] | article | 13 |
| 2007 | Optimal Financial Portfolios In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 16 |
| 2009 | Orderings and Probability Functionals Consistent with Preferences In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 6 |
| 2011 | Household search choice: theory and evidence In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
| 2011 | MCMC-based estimation of Markov Switching ARMA-GARCH models In: Applied Economics. [Full Text][Citation analysis] | article | 20 |
| 2013 | Optimal corporate strategy under uncertainty In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2017 | A flexible approach to estimate the equity premium In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2017 | Skillful hiding: evaluating hedge fund managers’ performance based on what they hide In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2018 | An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2018 | Diversification versus optimality: is there really a diversification puzzle? In: Applied Economics. [Full Text][Citation analysis] | article | 2 |
| 2007 | Discrete 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] | article | 1 |
| 2015 | The information content of three credit ratings: the case of European residential mortgage-backed securities In: The European Journal of Finance. [Full Text][Citation analysis] | article | 2 |
| 2010 | Approximation of aggregate and extremal losses within the very heavy tails framework In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2010 | A risk-based evaluation of the free-trader option In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2012 | A new method for generating approximation algorithms for financial mathematics applications In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2014 | Bayesian estimation of truncated data with applications to operational risk measurement In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2014 | Smooth monotone covariance for elliptical distributions and applications in finance In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2015 | Multiperiod conditional valuation of barrier options with incomplete information In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2016 | Elliptical tempered stable distribution In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2017 | Penalizing variances for higher dependency on factors In: Quantitative Finance. [Full Text][Citation analysis] | article | 0 |
| 2004 | A methodology for index tracking based on time-series clustering In: Quantitative Finance. [Full Text][Citation analysis] | article | 9 |
| 2006 | On risk management problems related to a coherence property In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
| 2007 | Trends in quantitative equity management: survey results In: Quantitative Finance. [Full Text][Citation analysis] | article | 3 |
| 2007 | Stable distributions in the Black-Litterman approach to asset allocation In: Quantitative Finance. [Full Text][Citation analysis] | article | 15 |
| 2008 | On the challenges in quantitative equity management In: Quantitative Finance. [Full Text][Citation analysis] | article | 1 |
| 2009 | Estimating risk-neutral density with parametric models in interest rate markets In: Quantitative Finance. [Full Text][Citation analysis] | article | 5 |
| 2015 | A Three-Factor Model for Mortality Modeling In: North American Actuarial Journal. [Full Text][Citation analysis] | article | 0 |
| 2017 | How fat are the tails of equity market indices? In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 1 |
| 2019 | Sentiment indices and their forecasting ability In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
| 2004 | AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 6 |
| 2005 | THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 13 |
| 2007 | ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
| 2008 | DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 14 |
| 2009 | BARRIER OPTION PRICING BY BRANCHING PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2012 | METRIZATION OF STOCHASTIC DOMINANCE RULES In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 4 |
| 2013 | FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2013 | PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 1 |
| 2016 | RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 2 |
| 2017 | FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 0 |
| 2015 | Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty In: Journal of Financial Engineering (JFE). [Full Text][Citation analysis] | article | 0 |
| 2019 | Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management In: World Scientific Books. [Full Text][Citation analysis] | book | 0 |
| 2019 | Introduction In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | Random Variables In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | Stochastic Processes with Jumps In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | The Generalized Hyperbolic Distribution In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | The Class of Stable Distributions In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | Tempered Stable Distributions In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | Multivariate Time-Changed Brownian Motion In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | Extreme Value Theory In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | A Portfolio Selection Analysis with Non-Gaussian Models In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | Implied Volatility Smile with Non-Gaussian Processes In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2019 | Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2009 | A Discretionary Wealth Approach to Investment Policy In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2007 | Securitization: The Tool of Financial Transformation In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2007 | Collateralized Debt Obligations and Credit Risk Transfer In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2009 | Computing VAR and AVaR in Infinitely Divisible Distributions In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Property Derivatives for Managing European Real-Estate Risk In: Yale School of Management Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Bayesian inference for hedge funds with stable distribution of returns In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Tempered infinitely divisible distributions and processes In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 4 |
| 2011 | A profit model for spread trading with an application to energy futures In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Fat-tailed models for risk estimation In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 8 |
| 2012 | Option pricing with regime switching tempered stable processes In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model In: Working Paper Series in Economics. [Full Text][Citation analysis] | paper | 13 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team