Fabio Trojani : Citation Profile


Are you Fabio Trojani?

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

14

H index

17

i10 index

461

Citations

RESEARCH PRODUCTION:

28

Articles

24

Papers

RESEARCH ACTIVITY:

   16 years (2001 - 2017). See details.
   Cites by year: 28
   Journals where Fabio Trojani has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 16 (3.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ptr61
   Updated: 2019-09-14    RAS profile: 2017-08-16    
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Relations with other researchers


Works with:

Scaillet, Olivier (4)

Camponovo, Lorenzo (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)

Boyarchenko, Nina (10)

Guidolin, Massimo (9)

Correia-da-Silva, Joao (8)

Faria, Gonçalo (8)

Miao, Jianjun (7)

Cites to:

Campbell, John (12)

Epstein, Larry (11)

Hansen, Lars (9)

merton, robert (8)

vanini, paolo (7)

Vanini, Paolo (7)

Vanini, Paolo (7)

Andrews, Donald (7)

Miao, Jianjun (6)

Peracchi, Franco (6)

Uppal, Raman (5)

Main data


Where Fabio Trojani has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control4
Journal of Econometrics4
Journal of Financial Econometrics4
Review of Financial Studies3
Journal of the American Statistical Association3
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 2005 / Department of Economics, University of St. Gallen4
University of St. Gallen Department of Economics working paper series 2007 / Department of Economics, University of St. Gallen4

Recent works citing Fabio Trojani (2018 and 2017)


YearTitle of citing document
2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

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2017The Aggregation Property and its Applications to Realised Higher Moments. (2017). Alexander, Carol ; Rauch, Johannes. In: Papers. RePEc:arx:papers:1709.08188.

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2018Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information. (2018). Masoudy, Farouq Abdulaziz. In: Papers. RePEc:arx:papers:1801.06966.

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2019A factor-model approach for correlation scenarios and correlation stress-testing. (2018). Packham, Natalie ; Woebbeking, Fabian. In: Papers. RePEc:arx:papers:1807.11381.

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2019Common 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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2018Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading. (2018). Imke, Redeker ; Ralf, Wunderlich. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:1-21:n:1.

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2017Uncertainty shocks, asset supply and pricing over the business cycle. (2017). Schneider, Martin ; Ilut, Cosmin ; Bianchi, Francesco. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11950.

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2018Expected Stock Returns and the Correlation Risk Premium. (2018). Vilkov, Grigory ; Schonleber, Lorenzo ; Buss, Adrian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12760.

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2017Modeling volatility of the French stock market. (2017). Mgadmi, Nidhal ; Bougatef, Khemaies . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00154.

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2017Learning and forecasts about option returns through the volatility risk premium. (2017). Bernales, Alejandro ; Valenzuela, Marcela ; Chen, Louisa. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:312-330.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

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2017Asset pricing and institutional investors with disagreements. (2017). Ma, Chaoqun ; Hu, Duni ; Cheng, Fengchao ; Wang, Hailong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:231-248.

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2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2018Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets. (2018). Zhang, Zhaoyong ; Shi, Yanlin ; Ho, Kin-Yip. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:168-186.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2017The risk premium that never was: A fair value explanation of the volatility spread. (2017). McGee, Richard J ; McGroarty, Frank. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:370-380.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2017Systemic risk and cross-sectional hedge fund returns. (2017). Hwang, In Chang ; Kim, Tong Suk ; In, Francis ; Xu, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:109-130.

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2017Does oil and gold price uncertainty matter for the stock market?. (2017). Bams, Dennis ; Lehnert, Thorsten ; Honarvar, Iman ; Blanchard, Gildas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:270-285.

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2017Time-consistent mean–variance asset–liability management with random coefficients. (2017). Wei, Jiaqin ; Wang, Tianxiao . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:77:y:2017:i:c:p:84-96.

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2018Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility. (2018). Li, Danping ; Zeng, Yan ; Shen, Yang. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:78:y:2018:i:c:p:72-86.

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2019A factor-model approach for correlation scenarios and correlation stress testing. (2019). Woebbeking, C F ; Packham, N. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:92-103.

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2019Robust consumption and portfolio policies when asset prices can jump. (2019). Ait-Sahalia, Yacine ; Matthys, Felix. In: Journal of Economic Theory. RePEc:eee:jetheo:v:179:y:2019:i:c:p:1-56.

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2017Explaining the negative returns to volatility claims: An equilibrium approach. (2017). Eraker, Bjorn ; Wu, Yue. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:1:p:72-98.

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2017Volatility of aggregate volatility and hedge fund returns. (2017). ARISOY, Yakup ; Naik, Narayan Y ; Agarwal, Vikas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:491-510.

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2017Tail risk in hedge funds: A unique view from portfolio holdings. (2017). Ruenzi, Stefan ; Weigert, Florian ; Agarwal, Vikas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:610-636.

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2017Confidence, bond risks, and equity returns. (2017). Zhao, Guihai. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:668-688.

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2018Alpha or beta in the eye of the beholder: What drives hedge fund flows?. (2018). Agarwal, Vikas ; Ren, Honglin ; Green, Clifton T. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:3:p:417-434.

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2019The leverage effect and the basket-index put spread. (2019). Bai, Jennie ; Yang, Fan ; Goldstein, Robert S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:186-205.

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2019Should Long-Term Investors Time Volatility?. (2019). Muir, Tyler ; Moreira, Alan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:507-527.

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2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618.

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2017Economic evaluation of asymmetric and price range information in gold and general financial markets. (2017). Wu, Chih-Chiang ; Chiu, Junmao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:53-68.

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2018Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets. (2018). Grandmont, Jean-Michel ; Lemaire, Isabelle ; Calvet, Laurent-Emmanuel . In: Research in Economics. RePEc:eee:reecon:v:72:y:2018:i:1:p:117-146.

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2019Asset pricing with time varying pessimism and rare disasters. (2019). Wu, Ji ; Liu, Hening ; Kong, Dongmin ; Zhang, Jian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:165-175.

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2019Its not that important: The negligible effect of oil market uncertainty. (2019). Wang, Yudong ; Liu, LI ; Feng, Jiabao ; Yin, Libo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:62-84.

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2017Long term optimal investment in matrix valued factor models. (2017). Xing, Hao ; Robertson, Scott. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69520.

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2017Investor Concentration, Flows, and Cash Holdings : Evidence from Hedge Funds. (2017). Kruttli, Mathias S ; Watugala, Sumudu W ; Monin, Phillip J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-121.

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2017A Likelihood-Based Comparison of Macro Asset Pricing Models. (2017). Winkler, Fabian ; Wasyk, Rebecca ; Chen, Andrew Y. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-24.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_01.

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2017A New Method For Dynamic Stock Clustering Based On Spectral Analysis. (2017). Li, Zhaoyuan ; Tian, Maozai . In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9589-9.

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2017Robust Bayesian exponentially tilted empirical likelihood method. (2017). Anderson, Heather ; Forbes, Catherine ; Liu, Zhichao. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-21.

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2017Investor Concentration, Flows, and Cash Holdings: Evidence from Hedge Funds. (2017). Kruttli, Mathias S ; Watugala, Sumudu W ; Monin, Phillip J. In: Working Papers. RePEc:ofr:wpaper:17-07.

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2018A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases. (2018). Yeap, Claudia ; Boris, S T ; Kwok, Simon S. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:3:p:425-460..

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2017Assessing hedge fund performance with institutional constraints: evidence from CTA funds. (2017). Bilson, John ; Baek, Seungho ; John , ; Molyboga, Marat. In: Journal of Asset Management. RePEc:pal:assmgt:v:18:y:2017:i:7:d:10.1057_s41260-017-0053-8.

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2018Investors’ Uncertainty and Stock Market Risk. (2018). Escobari, Diego ; Jafarinejad, Mohammad. In: MPRA Paper. RePEc:pra:mprapa:86975.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:19-01.

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2018Option implied ambiguity and its information content: Evidence from the subprime crisis. (2018). Driouchi, Tarik ; Trigeorgis, Lenos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2079-y.

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2018Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature. (2018). Zhang, Yuanyuan ; Guo, Sini ; Li, Xiang. In: Fuzzy Optimization and Decision Making. RePEc:spr:fuzodm:v:17:y:2018:i:2:d:10.1007_s10700-017-9266-z.

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2017Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks. (2017). Pan, Jian ; Xiao, Qingxian. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:85:y:2017:i:3:d:10.1007_s00186-017-0580-6.

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2018Essays on model uncertainty in financial models. (2018). Li, Jing. In: Other publications TiSEM. RePEc:tiu:tiutis:202cd910-7ef1-4db4-94ae-de174ab85dc2.

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2017Essays on robust asset pricing. (2017). Horvath, Ferenc. In: Other publications TiSEM. RePEc:tiu:tiutis:e54d7b33-1f27-4b0e-9f84-f96636a04c1e.

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2018Unobserved Performance of Hedge Funds. (2018). Agarwal, Vikas ; Weigert, Florian ; Ruenzi, Stefan. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:25.

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2018Have Hedge Funds Solved the Idiosyncratic Volatility Puzzle?. (2018). Bali, Turan G ; Weigert, Florian. In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:27.

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2019Correlation risk and international portfolio choice. (2019). Weisheit, Stefan ; Muck, Matthias ; Branger, Nicole. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:128-146.

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2017Alpha or beta in the eye of the beholder: What drives hedge fund flows?. (2017). Agarwal, Vikas ; Ren, Honglin ; Green, Clifton T. In: CFR Working Papers. RePEc:zbw:cfrwps:1508.

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Works by Fabio Trojani:


YearTitleTypeCited
2016Predictability Hidden by Anomalous Observations In: Papers.
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paper7
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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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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article19
2011A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations.(2011) In: Journal of Business & Economic Statistics.
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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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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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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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article63
2014When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia In: Journal of Finance.
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article27
2006Robust Subsampling In: Swiss Finance Institute Research Paper Series.
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paper3
2012Robust subsampling.(2012) In: Journal of Econometrics.
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article
2007Robust Value at Risk Prediction In: Swiss Finance Institute Research Paper Series.
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paper7
2011Robust Value at Risk Prediction.(2011) In: Journal of Financial Econometrics.
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2007Robust Value at Risk Prediction.(2007) In: University of St. Gallen Department of Economics working paper series 2007.
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2008Ambiguity Aversion and the Term Structure of Interest Rates In: Swiss Finance Institute Research Paper Series.
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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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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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paper4
2011Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much In: Swiss Finance Institute Research Paper Series.
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2012Dividend Growth Predictability and the Price-Dividend Ratio In: Swiss Finance Institute Research Paper Series.
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2015The Price of the Smile and Variance Risk Premia In: Swiss Finance Institute Research Paper Series.
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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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2017Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
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2002A note on robustness in Mertons model of intertemporal consumption and portfolio choice In: Journal of Economic Dynamics and Control.
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article23
2004A geometric approach to multiperiod mean variance optimization of assets and liabilities In: Journal of Economic Dynamics and Control.
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article38
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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article18
2001Robust inference with GMM estimators In: Journal of Econometrics.
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article40
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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article10
2003Robust GMM analysis of models for the short rate process In: Journal of Empirical Finance.
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article15
2014Economic Uncertainty, Disagreement, and Credit Markets In: Management Science.
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article2
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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2004Robustness and Ambiguity Aversion in General Equilibrium.(2004) In: Review of Finance.
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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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article4
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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2008Learning and Asset Prices Under Ambiguous Information In: Review of Financial Studies.
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article46
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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article15
2005Accurate Yield Curve Scenarios Generation using Functional Gradient Descent In: Computing in Economics and Finance 2005.
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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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2014Ambiguity and Reality In: Working Papers on Finance.
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