14
H index
17
i10 index
520
Citations
Université de Genève (70% share) | 14 H index 17 i10 index 520 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 Econometrics | 4 |
Journal of Economic Dynamics and Control | 4 |
Journal of Financial Econometrics | 4 |
Journal of the American Statistical Association | 3 |
Review of Financial Studies | 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 |
2020 | 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 |
2020 | 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 |
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 | 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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 |
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 | 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 |
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 | 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 |
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 |
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 | 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 |
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 |
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 |
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 |
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 | 8 |
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 | 21 |
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: 21 | 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: 21 | 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: 21 | 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 | 72 |
2014 | When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia In: Journal of Finance. [Full Text][Citation analysis] | article | 41 |
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 | 10 |
2011 | Robust Value at Risk Prediction.(2011) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | 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: 10 | paper | |
2008 | Ambiguity Aversion and the Term Structure of Interest Rates In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 28 |
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: 28 | 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: 28 | 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 | 24 |
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 | 41 |
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: 41 | 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 | 19 |
2001 | Robust inference with GMM estimators In: Journal of Econometrics. [Full Text][Citation analysis] | article | 41 |
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 | 9 |
2003 | Robust GMM analysis of models for the short rate process In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 17 |
2014 | Economic Uncertainty, Disagreement, and Credit Markets In: Management Science. [Full Text][Citation analysis] | article | 5 |
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 | 24 |
2004 | Robustness and Ambiguity Aversion in General Equilibrium.(2004) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | 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 | 5 |
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: 5 | paper | |
2008 | Learning and Asset Prices Under Ambiguous Information In: Review of Financial Studies. [Full Text][Citation analysis] | article | 48 |
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: 48 | 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 | 21 |
2005 | Accurate Yield Curve Scenarios Generation using Functional Gradient Descent In: Computing in Economics and Finance 2005. [Full Text][Citation analysis] | paper | 0 |
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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