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    
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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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

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

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

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Works by Fabio Trojani:


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

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