Fulvio Ortu : Citation Profile


Are you Fulvio Ortu?

Università Commerciale Luigi Bocconi

5

H index

3

i10 index

115

Citations

RESEARCH PRODUCTION:

15

Articles

4

Papers

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 5
   Journals where Fulvio Ortu has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 3 (2.54 %)

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   Permalink: http://citec.repec.org/por205
   Updated: 2019-12-07    RAS profile: 2017-06-12    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Fulvio Ortu.

Is cited by:

Platen, Eckhard (7)

Sandmann, Klaus (6)

Schlogl, Erik (6)

Costabile, Massimo (3)

Hallin, Marc (2)

Chen, An (2)

Barigozzi, Matteo (2)

Tebaldi, Claudio (2)

Soccorsi, Stefano (2)

Pelsser, Antoon (2)

Verona, Fabio (2)

Cites to:

Campbell, John (8)

LE VAN, CUONG (7)

Kreps, David (6)

Allouch, Nizar (6)

Cochrane, John (5)

Chen, Zhiwu (4)

Jouini, Elyès (4)

Hansen, Lars (4)

Abel, Andrew (3)

Cao, Charles (3)

Barro, Robert (3)

Main data


Where Fulvio Ortu has published?


Journals with more than one article published# docs
Journal of Mathematical Economics2
Insurance: Mathematics and Economics2
Applied Mathematical Finance2
Mathematical Finance2

Recent works citing Fulvio Ortu (2018 and 2017)


YearTitle of citing document
2017Modeling the Premium and Contract Properties of Family Takaful (Islamic Life Insurance) نمذجة قسط وخصائص عقد التكافل الأسري (التأمين الإسلامي على الح. (2017). Sanusi, Nur Azura ; Kusairi, Suhal ; Saputra, Jumadil. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:30:y:2017:i:2:no:12:p:135-157.

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2017Modeling the Premium and Contract Properties of Family Takaful (Islamic Life Insurance) نمذجة قسط وخصائص عقد التكافل الأسري (التأمين الإسلامي على الح. (2017). Sanusi, Nur Azura ; Kusairi, Suhal ; Saputra, Jumadil. In: Articles published in the Journal of King Abdulaziz University: Islamic Economics.. RePEc:abd:kauiea:v:30:y:2017:i:2:p:135-157.

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2017A note on the impact of management fees on the pricing of variable annuity guarantees. (2017). Fung, Man Chung ; Shevchenko, Pavel V ; Sun, Jin. In: Papers. RePEc:arx:papers:1705.03787.

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2017Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity. (2017). Platen, Eckhard ; Fergusson, Kevin. In: Papers. RePEc:arx:papers:1711.02808.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2019). Kocenda, Evzen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2019Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs. (2019). Zastawniak, Tomasz ; Brown, Martin. In: Papers. RePEc:arx:papers:1905.01859.

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2017INTERTEMPORAL SUBSTITUTION IN CONSUMPTION: A LITERATURE REVIEW. (2017). Thimme, Julian. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:226-257.

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2019Identifying horizon-based heterogeneity in the cross section of portfolio returns. (2019). Lundberg, Clark. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00123.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/283963.

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2017Measuring systemic risk of the US banking sector in time-frequency domain. (2017). Teply, Petr ; Kvapilikova, Ivana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:461-472.

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2019The scale of predictability. (2019). Bandi, F M ; Tebaldi, C ; Tamoni, A ; Perron, B. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:120-140.

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2018Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral χ2 random variable. (2018). Dias, Jose Carlos ; Vidal, Joo Pedro. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:559-570.

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

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2019Long horizon predictability: An asset allocation perspective. (2019). Poncet, Patrice ; Lioui, Abraham. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:961-975.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2019Consumption growth predictability and asset prices. (2019). Min, Byoung-Kyu ; Lee, Changjun ; Roh, Tai-Yong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:95-118.

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2019Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective. (2019). Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:995-1009.

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2019Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107.

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2018Financial market structures revealed by pricing rules: Efficient complete markets are prevalent. (2018). Faro, José ; Chateauneuf, Alain ; Araujo, Aloisio. In: Journal of Economic Theory. RePEc:eee:jetheo:v:173:y:2018:i:c:p:257-288.

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2017American option valuation under time changed tempered stable Lévy processes. (2017). Gong, Xiaoli ; Zhuang, Xintian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:57-68.

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2018The scale of predictability. (2018). Tebaldi, C ; Tamoni, Andrea ; Perron, B ; Bandi, F M. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85646.

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2018The Impact of Management Fees on the Pricing of Variable Annuity Guarantees. (2018). Sun, Jin ; Fung, Man Chung ; Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:103-:d:170856.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers. RePEc:lan:wpaper:257939806.

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2018Stochastic Impatience and the Separation of Time and Risk Preferences. (2018). Ortoleva, Pietro ; Gottlieb, Daniel ; Dillenberger, David. In: PIER Working Paper Archive. RePEc:pen:papers:18-020.

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2017Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702.

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2019Extreme inflation and time-varying consumption growth. (2019). Meinerding, Christoph ; Schlag, Christian ; Dergunov, Ilya . In: Discussion Papers. RePEc:zbw:bubdps:162019.

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Works by Fulvio Ortu:


YearTitleTypeCited
2000Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets In: Mathematical Finance.
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article0
1994CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT-SALE CONSTRAINTS IN THE FINITE-DIMENSIONAL CASE: SOME REMARKS In: Mathematical Finance.
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article1
2000Generalized Numeraire Portfolios In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper1
2016Implications of Return Predictability across Horizons for Asset Pricing Models In: CEPR Discussion Papers.
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paper2
2012A spectral estimation of tempered stable stochastic volatility models and option pricing In: Computational Statistics & Data Analysis.
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article5
2010A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing.(2010) In: Working Papers.
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paper
2006Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization In: Journal of Economic Dynamics and Control.
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article1
1996Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results In: European Journal of Operational Research.
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article7
1993Pricing equity-linked life insurance with endogenous minimum guarantees In: Insurance: Mathematics and Economics.
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article42
1993Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum In: Insurance: Mathematics and Economics.
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article25
1996Existence of Equivalent Martingale Measures in Finite Dimensional Securities Markets In: Journal of Economic Theory.
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article1
1997Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets In: Journal of Mathematical Economics.
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article1
2011Intertemporal asset pricing and the marginal utility of wealth In: Journal of Mathematical Economics.
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article0
2011Envelope theorems in Banach lattices In: Working Papers.
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2013Long-Run Risk and the Persistence of Consumption Shocks In: Review of Financial Studies.
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article24
2001Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads In: Decisions in Economics and Finance.
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article4
2007Dynamic versus one-period completeness in event-tree security markets In: Economic Theory.
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article0
1996Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on Modelli di struttura a termine dei tassi dinteresse is gratefully acknowledged. In: Applied Mathematical Finance.
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article1
1999Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates In: Applied Mathematical Finance.
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article0

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