14
H index
20
i10 index
597
Citations
Université de Genève (70% share) | 14 H index 20 i10 index 597 Citations RESEARCH PRODUCTION: 28 Articles 24 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Fabio Trojani. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Economic Dynamics and Control | 4 |
Journal of Financial Econometrics | 4 |
Journal of Econometrics | 4 |
Review of Financial Studies | 3 |
Journal of the American Statistical Association | 3 |
Journal of Finance | 2 |
Year | Title of citing document |
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2020 | Common 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 |
2022 | A 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 |
2021 | Decomposition 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 |
2020 | Continuous 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 |
2020 | Mean-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 |
2021 | Feasible Implied Correlation Matrices from Factor Structures. (2021). Schadner, Wolfgang. In: Papers. RePEc:arx:papers:2107.00427. Full description at Econpapers || Download paper |
2021 | Correlation scenarios and correlation stress testing. (2021). Woebbeking, F ; Packham, N. In: Papers. RePEc:arx:papers:2107.06839. Full description at Econpapers || Download paper |
2021 | Robust Generalized Method of Moments: A Finite Sample Viewpoint. (2021). Syrgkanis, Vasilis ; Rohatgi, Dhruv. In: Papers. RePEc:arx:papers:2110.03070. Full description at Econpapers || Download paper |
2021 | Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031. Full description at Econpapers || Download paper |
2020 | Learning, 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 |
2020 | Predicting hedge fund performance when fund returns are skewed. (2020). Kumar, Alok ; Hutchinson, Mark C ; Heuson, Andrea J. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:4:p:877-896. Full description at Econpapers || Download paper |
2020 | Decomposing 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 |
2020 | Lowâ€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 |
2021 | The Economics of Hedge Fund Startups: Theory and Empirical Evidence. (2021). Zhang, Hong ; Farnsworth, Grant ; Cao, Charles. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1427-1469. Full description at Econpapers || Download paper |
2021 | Presidential Address: How Much “Rationality” Is There in Bond?Market Risk Premiums?. (2021). Singleton, Kenneth J. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:4:p:1611-1654. Full description at Econpapers || Download paper |
2020 | Dynamically consistent alphaâ€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 |
2022 | The Laplace transform of the integrated Volterra Wishart process. (2022). Jaber, Eduardo Abi. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:309-348. Full description at Econpapers || Download paper |
2021 | Wage Risk and Portfolio Choice: The Role of Correlated Returns. (2021). Longmuir, Maximilian ; Konig, Johannes. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1974. Full description at Econpapers || Download paper |
2020 | Optimal 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 |
2020 | On 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 |
2020 | Dynamic 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 |
2020 | Short-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 |
2021 | Robust consumption and portfolio choices with habit formation. (2021). Wang, Shibo ; Li, Tongtong ; Yang, Jinqiang. In: Economic Modelling. RePEc:eee:ecmode:v:98:y:2021:i:c:p:227-246. Full description at Econpapers || Download paper |
2020 | Disagreements 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 |
2020 | Disagreement 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 |
2020 | Ambiguity 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 |
2021 | Heterogeneous beliefs with herding behaviors and asset pricing in two goods world. (2021). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000632. Full description at Econpapers || Download paper |
2020 | Variance 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 |
2020 | Dynamics 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 |
2020 | Virtual 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 |
2020 | Multivariate 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 |
2020 | Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects. (2020). Luger, Richard ; Gungor, Sermin. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:750-770. Full description at Econpapers || Download paper |
2021 | Bootstrap 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 |
2022 | Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167. Full description at Econpapers || Download paper |
2020 | Variance 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 |
2020 | Accurate 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 |
2021 | Should regulators always be transparent? a bank run experiment. (2021). Kaplan, Todd R ; Fonseca, Miguel A ; Choo, Lawrence ; Chakravarty, Surajeet. In: European Economic Review. RePEc:eee:eecrev:v:136:y:2021:i:c:s0014292121001173. Full description at Econpapers || Download paper |
2022 | Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367. Full description at Econpapers || Download paper |
2020 | Oil 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 |
2021 | The 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 |
2021 | Ambiguity attitudes and the leverage cycle. (2021). Patella, Valeria ; Faia, Ester ; Bassanin, Marzio. In: Journal of International Economics. RePEc:eee:inecon:v:129:y:2021:i:c:s0022199621000131. Full description at Econpapers || Download paper |
2020 | Macro 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 |
2021 | Corporate social responsibility and the term structure of CDS spreads. (2021). Zhong, Zhaodong ; Wang, Xinjie ; Li, Yubin ; Gao, Feng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001232. Full description at Econpapers || Download paper |
2020 | Contagion 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 |
2020 | Moment 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 |
2021 | International 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 |
2021 | Ambiguity, asset illiquidity, and price variability. (2021). Zhou, Tong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:280-292. Full description at Econpapers || Download paper |
2021 | Asset pricing with heterogeneous agents and long-run risk. (2021). Schmedders, Karl ; Wilms, Ole ; Pohl, Walter . In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:3:p:941-964. Full description at Econpapers || Download paper |
2021 | Time-varying uncertainty and variance risk premium. (2021). Zhang, Jin E ; Ruan, Xinfeng. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:69:y:2021:i:c:s0164070421000471. Full description at Econpapers || Download paper |
2021 | Economic uncertainty and its spillover networks: Evidence from the Asia-Pacific countries. (2021). Chen, Hao ; Ding, Saijie ; Tang, Wenjin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000469. Full description at Econpapers || Download paper |
2021 | Commonality in disagreement. (2021). Lu, Lei ; Li, Shi ; Jacoby, Gady ; Gong, Qiang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x21000809. Full description at Econpapers || Download paper |
2021 | Interconnectedness, systemic risk, and the influencing factors: Some evidence from China’s financial institutions. (2021). Zhang, Tianyi ; Yang, Zhongyi ; Tong, MU ; Wu, Shan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437121000376. Full description at Econpapers || Download paper |
2021 | What 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 |
2020 | Governance 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 |
2021 | Ambiguity, Long-Run Risks, and Asset Prices. (2021). Wei, Bin. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:93476. Full description at Econpapers || Download paper |
2020 | What 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 |
2020 | Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306. Full description at Econpapers || Download paper |
2020 | COVID-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 |
2021 | . Full description at Econpapers || Download paper |
2021 | Dispersed Information and Asset Prices. (2021). Albagli, Elias ; Tsyvinski, Aleh ; Hellwig, Christian. In: Working Papers. RePEc:hal:wpaper:hal-03118639. Full description at Econpapers || Download paper |
2020 | Dividend 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 |
2021 | Covid-19 Pandemic and Financial Contagion. (2021). Chevallier, Julien. In: Working Papers. RePEc:ipg:wpaper:2021-001. Full description at Econpapers || Download paper |
2020 | Time-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 |
2020 | Conditional dependence in post-crisis markets: dispersion and correlation skew trades. (2020). Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:2:d:10.1007_s11156-019-00847-y. Full description at Econpapers || Download paper |
2020 | Insurer Optimal Asset Allocation in a Small and Closed Economy: The Case of Iran’s Social Security Organization. (2020). Esfandi, Elaheh ; Farhang-Moghaddam, Babak ; Moshrefi, Rassam ; Mousavi, Mirhossein. In: Journal of Money and Economy. RePEc:mbr:jmonec:v:15:y:2020:i:4:p:445-461. Full description at Econpapers || Download paper |
2021 | Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China. (2021). Bautista, Ramona Serrano ; Nez, Jos Antonio ; Mata, Leovardo Mata. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211009509. Full description at Econpapers || Download paper |
2022 | Local influence analysis for GMM estimation. (2022). Shi, Lei ; Gan, Wen ; Lu, Jun. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:1:d:10.1007_s10182-021-00398-5. Full description at Econpapers || Download paper |
2021 | Minimum Rényi entropy portfolios. (2021). Vrins, Frederic ; Lassance, Nathan. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03364-2. Full description at Econpapers || Download paper |
2020 | Asset 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 |
2021 | Live fast, die young: equilibrium and survival in large economies. (2021). Beddock, Arthur ; Jouini, Elyes. In: Economic Theory. RePEc:spr:joecth:v:71:y:2021:i:3:d:10.1007_s00199-020-01268-y. Full description at Econpapers || Download paper |
2021 | Optimal consumption and portfolio choice with ambiguous interest rates and volatility. (2021). Riedel, Frank ; Lin, Qian. In: Economic Theory. RePEc:spr:joecth:v:71:y:2021:i:3:d:10.1007_s00199-020-01306-9. Full description at Econpapers || Download paper |
2020 | Beta 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 |
2021 | Dispersed Information and Asset Prices. (2021). Hellwig, Christian ; Tsyvinski, Aleh ; Albagli, Elias. In: TSE Working Papers. RePEc:tse:wpaper:125088. Full description at Econpapers || Download paper |
2020 | Uncertainty and the volatility forecasting power of optionâ€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 |
2022 | One session options: Playing the announcement lottery?. (2022). Robertson, Cameron D ; Liu, Zhangxin ; Smales, Lee A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:2:p:192-211. Full description at Econpapers || Download paper |
2020 | Provisions 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 |
2020 | GMM 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 |
2020 | Unobserved 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 |
2021 | Hedge 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 |
2021 | Correlation scenarios and correlation stress testing. (2021). Woebbeking, Fabian ; Packham, Natalie. In: IRTG 1792 Discussion Papers. RePEc:zbw:irtgdp:2021012. Full description at Econpapers || Download paper |
2020 | Accurate 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 |
Year | Title | Type | Cited |
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2016 | Predictability Hidden by Anomalous Observations In: Papers. [Full Text][Citation analysis] | paper | 11 |
2005 | Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 14 |
2005 | Optimal 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 | |
2006 | Semiparametric Regression for the Applied Econometrician. Adonis Yatchew In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 0 |
2010 | Infinitesimal Robustness for Diffusions In: Journal of the American Statistical Association. [Full Text][Citation analysis] | article | 2 |
2008 | Infinitesimal 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 | |
2011 | A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 23 |
2011 | A 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: 23 | article | |
2005 | A 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: 23 | paper | |
2007 | A 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: 23 | paper | |
2002 | A Note on the Three–Portfolios Matching Problem In: European Financial Management. [Full Text][Citation analysis] | article | 1 |
2010 | Correlation Risk and Optimal Portfolio Choice In: Journal of Finance. [Full Text][Citation analysis] | article | 88 |
2014 | When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia In: Journal of Finance. [Full Text][Citation analysis] | article | 54 |
2006 | Robust Subsampling In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
2012 | Robust subsampling.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2007 | Robust Value at Risk Prediction In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 14 |
2011 | Robust Value at Risk Prediction.(2011) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | article | |
2007 | Robust 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: 14 | paper | |
2008 | Ambiguity Aversion and the Term Structure of Interest Rates In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 35 |
2009 | Ambiguity 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: 35 | article | |
2007 | Ambiguity 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: 35 | paper | |
2009 | Variance Covariance Orders and Median Preserving In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2009 | Robust Resampling Methods for Time Series In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
2011 | Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2012 | Dividend Growth Predictability and the Price-Dividend Ratio In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2015 | The Price of the Smile and Variance Risk Premia In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 9 |
2015 | Divergence and the Price of Uncertainty In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
2016 | Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2017 | Comment 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 | |
2002 | A note on robustness in Mertons model of intertemporal consumption and portfolio choice In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 25 |
2004 | A geometric approach to multiperiod mean variance optimization of assets and liabilities In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 47 |
2002 | A 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: 47 | paper | |
2006 | Equilibrium impact of value-at-risk regulation In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 18 |
2008 | Asset prices with locally constrained-entropy recursive multiple-priors utility In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 20 |
2001 | Robust inference with GMM estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 45 |
2005 | Robust efficient method of moments In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
2005 | Robust GMM tests for structural breaks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
2003 | Robust GMM analysis of models for the short rate process In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 18 |
2014 | Economic Uncertainty, Disagreement, and Credit Markets In: Management Science. [Full Text][Citation analysis] | article | 10 |
2006 | Estimating and predicting multivariate volatility thresholds in global stock markets In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 11 |
2004 | Robustness and Ambiguity Aversion in General Equilibrium In: Review of Finance. [Full Text][Citation analysis] | article | 25 |
2004 | Robustness and Ambiguity Aversion in General Equilibrium.(2004) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
2017 | Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
2007 | Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 6 |
2007 | Accurate 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: 6 | paper | |
2008 | Learning and Asset Prices Under Ambiguous Information In: Review of Financial Studies. [Full Text][Citation analysis] | article | 53 |
2005 | Learning 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: 53 | paper | |
2014 | When 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] | article | 26 |
2005 | Accurate Yield Curve Scenarios Generation using Functional Gradient Descent In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 1 |
2002 | Equilibrium Asset Pricing with Time-Varying Pessimism In: Discussion Paper. [Full Text][Citation analysis] | paper | 2 |
2005 | GENERAL ANALYTICAL SOLUTIONS FOR MERTONSS-TYPE CONSUMPTION-INVESTMENT PROBLEMS In: University of St. Gallen Department of Economics working paper series 2005. [Full Text][Citation analysis] | paper | 0 |
2014 | Ambiguity and Reality In: Working Papers on Finance. [Full Text][Citation analysis] | paper | 1 |
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