Fabio Trojani : Citation Profile

Are you Fabio Trojani?

Université de Genève (70% share)
Swiss Finance Institute (30% share)

14

H index

17

i10 index

520

Citations

RESEARCH PRODUCTION:

28

Articles

24

Papers

RESEARCH ACTIVITY:

   16 years (2001 - 2017). See details.
   Cites by year: 32
   Journals where Fabio Trojani has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 16 (2.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ptr61
   Updated: 2021-04-17    RAS profile: 2017-08-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Camponovo, Lorenzo (4)

Scaillet, Olivier (4)

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

Is cited by:

ARISOY, Yakup (17)

Camponovo, Lorenzo (16)

Cizek, Pavel (15)

Otsu, Taisuke (13)

Audrino, Francesco (13)

Schneider, Martin (10)

Guidolin, Massimo (9)

Boyarchenko, Nina (9)

Faria, Gonçalo (8)

Correia-da-Silva, Joao (8)

Bidder, Rhys (7)

Cites to:

Campbell, John (12)

Epstein, Larry (11)

Hansen, Lars (8)

merton, robert (8)

vanini, paolo (7)

Andrews, Donald (7)

Vanini, Paolo (7)

Vanini, Paolo (7)

Peracchi, Franco (6)

Miao, Jianjun (6)

Schneider, Martin (5)

Main data

Where Fabio Trojani has published?

Journals with more than one article published# docs
Journal of Econometrics4
Journal of Economic Dynamics and Control4
Journal of Financial Econometrics4
Journal of the American Statistical Association3
Review of Financial Studies3
Journal of Finance2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute10
University of St. Gallen Department of Economics working paper series 2007 / Department of Economics, University of St. Gallen4
University of St. Gallen Department of Economics working paper series 2005 / Department of Economics, University of St. Gallen4

Recent works citing Fabio Trojani (2021 and 2020)

YearTitle of citing document
2020Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

Full description at Econpapers || Download paper

2020A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data. (2020). Scaillet, Olivier ; Moor, Alban ; la Vecchia, Davide. In: Papers. RePEc:arx:papers:2001.04867.

Full description at Econpapers || Download paper

2020Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096.

Full description at Econpapers || Download paper

2020Continuous time mean-variance-utility portfolio problem and its equilibrium strategy. (2020). Zhu, Song-Ping ; He, Xin-Jiang ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:2005.06782.

Full description at Econpapers || Download paper

2020Mean-variance-utility portfolio selection with time and state dependent risk aversion. (2020). He, Xin-Jiang ; Yang, Ben-Zhang ; Zhu, Song-Ping. In: Papers. RePEc:arx:papers:2007.06510.

Full description at Econpapers || Download paper

2020Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14.

Full description at Econpapers || Download paper

2020Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668.

Full description at Econpapers || Download paper

2020Low‐Risk Anomalies?. (2020). Zechner, Josef ; Wagner, Christian ; Schneider, Paul. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2673-2718.

Full description at Econpapers || Download paper

2020Dynamically consistent alpha‐maxmin expected utility. (2020). Riedel, Frank ; Lin, Qian ; Beissner, Patrick. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:3:p:1073-1102.

Full description at Econpapers || Download paper

2020Optimal consumption and portfolio decision with stochastic covariance in incomplete markets. (2020). Hu, Zhijun ; Wang, Hang. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:138:y:2020:i:c:s0960077920301776.

Full description at Econpapers || Download paper

2020On booms that never bust: Ambiguity in experimental asset markets with bubbles. (2020). Kujal, Praveen ; Corgnet, Brice ; Hernan-Gonzalez, Roberto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:110:y:2020:i:c:s0165188919301514.

Full description at Econpapers || Download paper

2020Dynamic asset allocation with relative wealth concerns in incomplete markets. (2020). Seifried, Frank Thomas ; Meyer-Wehmann, Andre ; Kraft, Holger. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300270.

Full description at Econpapers || Download paper

2020Short-run risk, business cycle, and the value premium. (2020). Leippold, Markus ; He, Yunhao. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301615.

Full description at Econpapers || Download paper

2020Disagreements with noisy signals and asset pricing. (2020). Cheng, Fengchao ; Ma, Chaoqun ; Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305424.

Full description at Econpapers || Download paper

2020Disagreement with procyclical beliefs and asset pricing. (2020). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302621.

Full description at Econpapers || Download paper

2020Ambiguity aversion for risk choice. (2020). Niu, Yingjie ; Wang, Yuli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301509.

Full description at Econpapers || Download paper

2020Variance risk: A bird’s eye view. (2020). Simen, Chardin Wese ; Hollstein, Fabian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:517-535.

Full description at Econpapers || Download paper

2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

Full description at Econpapers || Download paper

2020Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2020). Zakoian, Jean-Michel ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:356-380.

Full description at Econpapers || Download paper

2020Multivariate leverage effects and realized semicovariance GARCH models. (2020). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:411-430.

Full description at Econpapers || Download paper

2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

Full description at Econpapers || Download paper

2020Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124.

Full description at Econpapers || Download paper

2020Accurate and robust inference. (2020). Ronchetti, Elvezio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:74-88.

Full description at Econpapers || Download paper

2020Oil shocks and financial systemic stress: International evidence. (2020). Qin, Xiao. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302851.

Full description at Econpapers || Download paper

2021The economics of the financial market for volatility trading. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s1386418120300252.

Full description at Econpapers || Download paper

2020Macro disagreement and international options markets. (2020). Xiong, Xiong ; Theocharides, George ; Lu, Lei ; Li, Hong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300718.

Full description at Econpapers || Download paper

2020Contagion in a network of heterogeneous banks. (2020). Genay, Ramazan ; Xue, YI ; Tseng, Michael C ; Pang, Hao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302985.

Full description at Econpapers || Download paper

2020Moment risk premia and the cross-section of stock returns in the European stock market. (2020). Elyasiani, Elyas ; Muzzioli, Silvia ; Gambarelli, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s037842661930305x.

Full description at Econpapers || Download paper

2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

Full description at Econpapers || Download paper

2021What can cluster analysis offer in investing? - Measuring structural changes in the investment universe. (2021). Huo, Xiaoming ; Deng, Shijie ; Sim, Min Kyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:299-315.

Full description at Econpapers || Download paper

2020Governance by depositors, bank runs and ambiguity aversion. (2020). Guillemin, François. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919304878.

Full description at Econpapers || Download paper

2020What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294.

Full description at Econpapers || Download paper

2020COVID-19 Pandemic and Financial Contagion. (2020). Chevallier, Julien. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:12:p:309-:d:455854.

Full description at Econpapers || Download paper

2020Dividend Growth Predictability and the Price–Dividend Ratio. (2020). Trojani, Fabio ; Piatti, Ilaria . In: Management Science. RePEc:inm:ormnsc:v:66:y:2020:i:1:p:130-158.

Full description at Econpapers || Download paper

2020Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market. (2020). Wiwatanapataphee, Benchawan ; Wu, Yonghong ; Yang, YU. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00360-6.

Full description at Econpapers || Download paper

2020Asset prices in segmented and integrated markets. (2020). Wong, Kwok Chuen ; Guasoni, Paolo. In: Finance and Stochastics. RePEc:spr:finsto:v:24:y:2020:i:4:d:10.1007_s00780-020-00433-4.

Full description at Econpapers || Download paper

2020Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (2020). Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200004.

Full description at Econpapers || Download paper

2020Uncertainty and the volatility forecasting power of option‐implied volatility. (2020). Jeon, Byoung Hyun ; Kim, Jun Sik ; Seo, Sung Won. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1109-1126.

Full description at Econpapers || Download paper

2020Provisions for bank deposit withdrawals and portfolio selection. (2020). Perera, Ryle S. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786319500373.

Full description at Econpapers || Download paper

2020GMM weighting matrices incross-sectional asset pricing tests. (2020). Meinerding, Christoph ; Laurinaityte, Nora ; Thimme, Julian ; Schlag, Christian. In: Discussion Papers. RePEc:zbw:bubdps:622020.

Full description at Econpapers || Download paper

2020Unobserved performance of hedge funds. (2020). Weigert, Florian ; Ruenzi, Stefan ; Agarwal, Vikas. In: CFR Working Papers. RePEc:zbw:cfrwps:2007.

Full description at Econpapers || Download paper

2021Hedge funds and the positive idiosyncratic volatility effect. (2021). Weigert, Florian ; Bali, Turan G. In: CFR Working Papers. RePEc:zbw:cfrwps:2101.

Full description at Econpapers || Download paper

2020Accurate and robust inference. (2020). Ronchetti, Elvezio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:74-88.

Full description at Econpapers || Download paper

Works by Fabio Trojani:

YearTitleTypeCited
2016Predictability Hidden by Anomalous Observations In: Papers.
[Full Text][Citation analysis]		paper8
2005Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article14
2005Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2006Semiparametric Regression for the Applied Econometrician. Adonis Yatchew In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2010Infinitesimal Robustness for Diffusions In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article2
2008Infinitesimal Robustness for Diffusions.(2008) In: University of St. Gallen Department of Economics working paper series 2008.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2011A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article21
2011A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations.(2011) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		article
2005A general multivariate threshold GARCH model with dynamic conditional correlations.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2007A general multivariate threshold GARCH model with dynamic conditional correlations.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2002A Note on the Three–Portfolios Matching Problem In: European Financial Management.
[Full Text][Citation analysis]		article1
2010Correlation Risk and Optimal Portfolio Choice In: Journal of Finance.
[Full Text][Citation analysis]		article72
2014When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia In: Journal of Finance.
[Full Text][Citation analysis]		article41
2006Robust Subsampling In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper5
2012Robust subsampling.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2007Robust Value at Risk Prediction In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper10
2011Robust Value at Risk Prediction.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2007Robust Value at Risk Prediction.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2008Ambiguity Aversion and the Term Structure of Interest Rates In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper28
2009Ambiguity Aversion and the Term Structure of Interest Rates.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		article
2007Ambiguity Aversion and the Term Structure of Interest Rates.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2009Variance Covariance Orders and Median Preserving In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2009Robust Resampling Methods for Time Series In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper5
2011Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2012Dividend Growth Predictability and the Price-Dividend Ratio In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2015The Price of the Smile and Variance Risk Premia In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper9
2015Divergence and the Price of Uncertainty In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2016Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2017Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2002A note on robustness in Mertons model of intertemporal consumption and portfolio choice In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article24
2004A geometric approach to multiperiod mean variance optimization of assets and liabilities In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article41
2002A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities.(2002) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		paper
2006Equilibrium impact of value-at-risk regulation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article18
2008Asset prices with locally constrained-entropy recursive multiple-priors utility In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article19
2001Robust inference with GMM estimators In: Journal of Econometrics.
[Full Text][Citation analysis]		article41
2005Robust efficient method of moments In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2005Robust GMM tests for structural breaks In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
2003Robust GMM analysis of models for the short rate process In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article17
2014Economic Uncertainty, Disagreement, and Credit Markets In: Management Science.
[Full Text][Citation analysis]		article5
2006Estimating and predicting multivariate volatility thresholds in global stock markets In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article11
2004Robustness and Ambiguity Aversion in General Equilibrium In: Review of Finance.
[Full Text][Citation analysis]		article24
2004Robustness and Ambiguity Aversion in General Equilibrium.(2004) In: Review of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		article
2017Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2007Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5
2007Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2008Learning and Asset Prices Under Ambiguous Information In: Review of Financial Studies.
[Full Text][Citation analysis]		article48
2005Learning and Asset Prices under Ambiguous Information.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 48		paper
2014When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns In: Review of Financial Studies.
[Full Text][Citation analysis]		article21
2005Accurate Yield Curve Scenarios Generation using Functional Gradient Descent In: Computing in Economics and Finance 2005.
[Full Text][Citation analysis]		paper0
2002Equilibrium Asset Pricing with Time-Varying Pessimism In: Discussion Paper.
[Full Text][Citation analysis]		paper2
2005GENERAL ANALYTICAL SOLUTIONS FOR MERTONSS-TYPE CONSUMPTION-INVESTMENT PROBLEMS In: University of St. Gallen Department of Economics working paper series 2005.
[Full Text][Citation analysis]		paper0
2014Ambiguity and Reality In: Working Papers on Finance.
[Full Text][Citation analysis]		paper1

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