Frank J. Fabozzi : Citation Profile

Are you Frank J. Fabozzi?

Groupe EDHEC (École de Hautes Études Commerciales du Nord) (43% share)
Groupe EDHEC (École de Hautes Études Commerciales du Nord) (43% share)
Groupe EDHEC (École de Hautes Études Commerciales du Nord) (14% share)

24

H index

59

i10 index

2124

Citations

RESEARCH PRODUCTION:

172

Articles

26

Papers

2

Books

12

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   48 years (1972 - 2020). See details.
   Cites by year: 44
   Journals where Frank J. Fabozzi has often published
   Relations with other researchers
   Recent citing documents: 248.    Total self citations: 55 (2.52 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfa323
   Updated: 2023-11-04    RAS profile: 2019-08-06    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Frank J. Fabozzi.

Is cited by:

Wong, Wing-Keung (33)

Sun, Edward (23)

Vrins, Frédéric (19)

faff, robert (18)

Mittnik, Stefan (15)

Douady, Raphael (12)

Chang, Chia-Lin (12)

Sensoy, Ahmet (9)

Paterlini, Sandra (9)

Zaremba, Adam (9)

Harris, Richard (8)

Cites to:

Engle, Robert (27)

French, Kenneth (26)

Fama, Eugene (26)

Shiller, Robert (21)

Bollerslev, Tim (20)

Scholes, Myron (16)

merton, robert (16)

Markowitz, Harry (14)

Campbell, John (14)

Bekaert, Geert (14)

Harvey, Campbell (14)

Main data

Where Frank J. Fabozzi has published?

Journals with more than one article published# docs
Quantitative Finance14
Journal of Banking & Finance10
International Journal of Theoretical and Applied Finance (IJTAF)10
European Journal of Operational Research9
Finance Research Letters8
Annals of Operations Research8
Applied Economics7
Journal of Financial and Quantitative Analysis6
Journal of Finance5
International Review of Financial Analysis5
Economics Letters5
European Financial Management4
Studies in Nonlinear Dynamics & Econometrics4
Computational Economics4
Journal of Economic Dynamics and Control3
Applied Economics Letters3
Insurance: Mathematics and Economics3
Journal of International Money and Finance3
Mathematical Methods of Operations Research2
Journal of Economics and Business2
Journal of Financial Research2
National Tax Journal2
Journal of Pension Economics and Finance2
Annals of Economics and Finance2
The American Economist2
Journal of Empirical Finance2
Review of Quantitative Finance and Accounting2
Journal of Asset Management2
Applied Mathematical Finance2
Energy Economics2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org12
Working Paper Series in Economics / Karlsruhe Institute of Technology (KIT), Department of Economics and Management10
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area2

Recent works citing Frank J. Fabozzi (2023 and 2022)

YearTitle of citing document
2023.

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2022Optimal allocation of bank resources and risk reduction through portfolio decentralization. (2022). Baktiari, Hossein ; Keramati, Mohamamd Ali ; Fathi, Zadollah ; Minnoei, Mehrzad ; Mohammadi, Arezoo. In: International Journal of Economic Sciences. RePEc:aop:jijoes:v:11:y:2022:i:2:p:92-143.

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2022Mortgage Contracts and Selective Default. (2020). Robertson, Scott ; Kitapbayev, Yerkin. In: Papers. RePEc:arx:papers:2005.03554.

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2022Optimal Investment, Heterogeneous Consumption and Best Time for Retirement. (2020). Zheng, Harry ; Xu, Zuo Quan. In: Papers. RePEc:arx:papers:2008.00392.

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2023Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation. (2020). Kim, Young Shin ; Peng, Cheng. In: Papers. RePEc:arx:papers:2009.11367.

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2022Robust Portfolio Selection Problems: A Comprehensive Review. (2021). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza . In: Papers. RePEc:arx:papers:2103.13806.

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2023Deep Reinforcement Trading with Predictable Returns. (2021). Brini, Alessio ; Tantari, Daniele. In: Papers. RePEc:arx:papers:2104.14683.

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2022Diversified reward-risk parity in portfolio construction. (2021). Kim, Young Shin ; Choi, Jae Hyung. In: Papers. RePEc:arx:papers:2106.09055.

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2022Continuous-time Portfolio Optimization for Absolute Return Funds. (2021). Ieda, Masashi. In: Papers. RePEc:arx:papers:2108.09985.

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2023Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2022Discrete-time risk sensitive portfolio optimization with proportional transaction costs. (2022). Stettner, Lukasz ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2201.02828.

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2022Contract design in electricity markets with high penetration of renewables: A two-stage approach. (2022). Ruiz, Carlos ; Riccardi, Rossana ; Abate, Arega Getaneh. In: Papers. RePEc:arx:papers:2201.09927.

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2022Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis. (2022). Drago, Carlo ; Scozzari, Andrea. In: Papers. RePEc:arx:papers:2202.02197.

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2022Adaptive Robust Online Portfolio Selection. (2022). Wong, Hoi Ying ; Sit, Tony ; Tsang, Man Yiu. In: Papers. RePEc:arx:papers:2206.01064.

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2022ESG-Valued Portfolio Optimization and Dynamic Asset Pricing. (2022). Rachev, Svetlozar T ; Mittnik, Stefan ; Lindquist, Brent W ; Lauria, Davide. In: Papers. RePEc:arx:papers:2206.02854.

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2022Hellinger distance to normal distribution as market invariant. (2022). Bardakhchyan, Vardan G ; Mesropyan, Mesrop T. In: Papers. RePEc:arx:papers:2206.05705.

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2022Robust Knockoffs for Controlling False Discoveries With an Application to Bond Recovery Rates. (2022). Schienle, Melanie ; Nazemi, Abdolreza ; Gorgen, Konstantin. In: Papers. RePEc:arx:papers:2206.06026.

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2022Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time. (2022). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2208.01445.

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2022Stock Prices as Janardan Galton Watson Process. (2022). Saeb, Ali. In: Papers. RePEc:arx:papers:2208.08496.

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2022ESG-valued discrete option pricing in complete markets. (2022). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2209.06276.

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2023Integrating multiple sources of ordinal information in portfolio optimization. (2022). Pferschy, Ulrich ; Mestel, Roland ; Hafner, Stephan ; Ccela, Eranda. In: Papers. RePEc:arx:papers:2211.00420.

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2022Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization. (2022). Boyd, Stephen ; Schiele, Philipp ; Luxenberg, Eric. In: Papers. RePEc:arx:papers:2212.02570.

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2023Constructing Copulas Using Corrected Hermite Polynomial Expansion for Estimating Cross Foreign Exchange Volatility. (2023). Yamakami, Tomohisa ; Shiraya, Kenichiro. In: Papers. RePEc:arx:papers:2301.10044.

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2023Physical Momentum in the Indian Stock Market. (2023). Das, Tulasi Narendra ; Devulapally, Naresh Kumar. In: Papers. RePEc:arx:papers:2302.13245.

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2023The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654.

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2023Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models. (2023). Choi, Jae Hyung ; Kim, Hyangju. In: Papers. RePEc:arx:papers:2303.08760.

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2023Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209.

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2023Mean-variance hybrid portfolio optimization with quantile-based risk measure. (2023). Zhou, KE ; Gao, Jianjun ; Lin, YU ; Wu, Weiping. In: Papers. RePEc:arx:papers:2303.15830.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2023Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356.

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2023On random number generators and practical market efficiency. (2023). Moews, Ben. In: Papers. RePEc:arx:papers:2305.17419.

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2023A systematic literature review on solution approaches for the index tracking problem in the last decade. (2023). de Almeida, Adiel Teixeira ; Soares, Julio Cezar. In: Papers. RePEc:arx:papers:2306.01660.

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2023Bacheliers Market Model for ESG Asset Pricing. (2023). Yegon, Peter ; Omotade, Blessing ; Nyarko, Nancy Asare ; Rachev, Svetlozar. In: Papers. RePEc:arx:papers:2306.04158.

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2023Exploring Dynamic Asset Pricing within Bachelier Market Model. (2023). Yegon, Peter ; Rachev, Svetlozar ; Omotade, Blessing ; Gnawali, Jagdish ; Divelgama, Bhathiya ; Nyarko, Nancy Asare. In: Papers. RePEc:arx:papers:2307.04059.

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2023The Financial Market of Environmental Indices. (2023). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thisari K. In: Papers. RePEc:arx:papers:2308.15661.

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2023On statistical arbitrage under a conditional factor model of equity returns. (2023). Roberts, Stephen ; Zohren, Stefan ; Spears, Trent. In: Papers. RePEc:arx:papers:2309.02205.

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2023ESG-coherent risk measures for sustainable investing. (2023). Lindquist, Brent W ; Rachev, Svetlozar T ; Dentcheva, Darinka ; Giacometti, Rosella ; Torri, Gabriele. In: Papers. RePEc:arx:papers:2309.05866.

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2023Doubly Robust Mean-CVaR Portfolio. (2023). Kuroki, Seiichi ; Abe, Masaya ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2309.11693.

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2023Environmental, Social and Governance investing: Does rating matter?. (2023). Quaranta, Anna Grazia ; Pampurini, Francesca ; Pacelli, Vincenzo. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:1:p:30-41.

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2022Factor Momentum and the Momentum Factor. (2022). Linnainmaa, Juhani T ; Ehsani, Sina. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1877-1919.

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2023Nature of comovements in US state and MSA housing prices. (2023). Banerjee, Piyali ; Lee, Junsoo ; Lu, Yan ; Tidwell, Alan. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:4:p:959-989.

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2022Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada. (2022). Yoon, Seong-Min ; Kang, Sang Hoon ; Hernandez, Jose Arreola ; Arreolahernandez, Jose. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:1:p:1-33.

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2022Refinancing Inertia in the Irish Mortgage Market. (2022). Devine, Kenneth. In: Research Technical Papers. RePEc:cbi:wpaper:5/rt/22.

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2023Value Stocks versus Growth Stocks: An Examination of Bursa Malaysia. (2023). Rohuma, Hani. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-04-17.

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2022Farm-planning under risk: An application of decision analysis and portfolio theory for the assessment of crop diversification strategies in horticultural systems. (2022). Luedeling, Eike ; Borgemeister, Christian ; Whitney, Cory ; David-Hinestroza, Adriana ; Sierra-Monroy, Alexandra ; Burbano-Figueroa, Oscar. In: Agricultural Systems. RePEc:eee:agisys:v:199:y:2022:i:c:s0308521x22000452.

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2023High-dimensional sparse portfolio selection with nonnegative constraint. (2023). Yang, HU ; Xia, Siwei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:443:y:2023:i:c:s0096300322008347.

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2022Energy sector portfolio analysis with uncertainty. (2022). Baldwin, Samuel F ; Hughes, Caroline ; Newes, Emily ; Hunter, Chad ; Henrion, Max ; Milford, James. In: Applied Energy. RePEc:eee:appene:v:306:y:2022:i:pa:s030626192101237x.

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2023Optimized operation of distributed energy resources: The opportunities of value stacking for Power-to-Gas aggregated with PV. (2023). Lorenzoni, Arturo ; Bignucolo, Fabio ; Coppo, Massimiliano ; Agostini, Marco ; Schwidtal, Jan Marc. In: Applied Energy. RePEc:eee:appene:v:334:y:2023:i:c:s0306261923000107.

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2022UK Vice Chancellor compensation: Do they get what they deserve?. (2022). Zhang, Hanxiong ; Urquhart, Andrew ; Lucey, Brian. In: The British Accounting Review. RePEc:eee:bracre:v:54:y:2022:i:4:s0890838922000373.

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2022What drives individual investors in the bear market?. (2022). Guo, Jie ; Hu, Nan ; Liu, Yaodong ; Xu, Rong. In: The British Accounting Review. RePEc:eee:bracre:v:54:y:2022:i:6:s0890838922000427.

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2022Pricing discounted American capped options. (2022). Zaevski, Tsvetelin S. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:156:y:2022:i:c:s0960077922000443.

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2022Central moments, stochastic dominance, moment rule, and diversification with an application. (2022). Wong, Wing-Keung ; Guo, XU ; Chow, Sheung-Chi ; Chan, Raymond H. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:161:y:2022:i:c:s0960077922004611.

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2022A singular value decomposition based approach to handle ill-conditioning in optimization problems with applications to portfolio theory. (2022). Uberti, Pierpaolo ; Torrente, Maria-Laura ; Fassino, Claudia. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:165:y:2022:i:p1:s0960077922009250.

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2023Bootstrapping the transformed goodness-of-fit test on heavy-tailed GARCH models. (2023). Li, Muyi ; Wang, Xuqin. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:184:y:2023:i:c:s0167947323000555.

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2022The stock implied volatility and the implied dividend volatility. (2022). Tunaru, Radu ; Quaye, Enoch. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:134:y:2022:i:c:s0165188921002116.

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2022Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis. (2022). Fabozzi, Frank J ; Shirvani, Abootaleb ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000501.

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2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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2022Copula shrinkage and portfolio allocation in ultra-high dimensions. (2022). Anatolyev, Stanislav ; Pyrlik, Vladimir. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002123.

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2022Momentum and the Cross-section of Stock Volatility. (2022). Liu, Jiadong ; Kearney, Fearghal ; Fan, Minyou. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002287.

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2022Can monetary policy lean against housing bubbles?. (2022). GUPTA, RANGAN ; Caraiani, Petre ; André, Christophe ; Clin, Adrian Cantemir ; Andre, Christophe. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000475.

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2023Macroeconomic conditions, corporate default, and default clustering. (2023). Liu, Lanlan ; Luo, Dan ; Xing, Kai. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003169.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2022On the exercise of American quanto options. (2022). Sbuelz, Alessandro ; de Donno, Marzia ; Battauz, Anna. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000870.

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2022Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis. (2022). Kang, Sang Hoon ; Vo, Xuan Vinh ; Sensoy, Ahmet ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001152.

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2022The impact of policy, political and economic uncertainty on corporate capital investment in the emerging markets of Eastern Europe and Turkey. (2022). Azimli, Asil. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:2:s093936252200036x.

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2022A relative robust approach on expected returns with bounded CVaR for portfolio selection. (2022). Conde, E ; Benati, S. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:1:p:332-352.

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2022Portfolio optimization with behavioural preferences and investor memory. (2022). Mazibas, Murat. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:1:p:368-387.

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2022Sparse regression for large data sets with outliers. (2022). Wilms, Ines ; Croux, Christophe ; Bottmer, Lea. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:782-794.

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2022Copula-based Black–Litterman portfolio optimization. (2022). Stephan, Andreas ; Ostermark, Ralf ; Sahamkhadam, Maziar. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:3:p:1055-1070.

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2022Intertemporal defaulted bond recoveries prediction via machine learning. (2022). Fabozzi, Frank J ; Baumann, Friedrich ; Nazemi, Abdolreza. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:3:p:1162-1177.

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2022Generic improvements to least squares monte carlo methods with applications to optimal stopping problems. (2022). Zhu, Dan ; Wei, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:3:p:1132-1144.

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2022Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks. (2022). Mulvey, John M ; Uysal, Sinem A ; Li, Xiaoyue. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:3:p:1158-1176.

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2022Explainable models of credit losses. (2022). Bastos, João ; Matos, Sara M. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:1:p:386-394.

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2022Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it. (2022). Zhao, Yuan ; Lamb, John D ; Mynbayeva, Elmira. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:694-707.

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2022Keyword portfolio optimization in paid search advertising. (2022). Symitsi, Efthymia ; Markellos, Raphael N ; Mantrala, Murali K. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:767-778.

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2023Pandemic portfolio choice. (2023). Weiss, Farina ; Kraft, Holger. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:1:p:451-462.

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2023The Attribution Matrix and the joint use of Finite Change Sensitivity Index and Residual Income for value-based performance measurement. (2023). Magni, Carlo Alberto ; Marchioni, Andrea ; Baschieri, Davide. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:2:p:872-892.

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2023The profitability of online loans: A competing risks analysis on default and prepayment. (2023). Yao, Xiao ; Bellotti, Anthony ; Li, Aimin. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:2:p:968-985.

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2023Cardinality-constrained distributionally robust portfolio optimization. (2023). Nakata, Kazuhide ; Takano, Yuichi ; Kobayashi, Ken. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1173-1182.

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2022Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market. (2022). Rubesam, Alexandre. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pb:s1566014122000085.

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2023The dark side of Bitcoin: Do Emerging Asian Islamic markets help subdue the ethical risk?. (2023). Vigne, Samuel A ; Naeem, Muhammad Abubakr ; Lucey, Brian M ; Karim, Sitara. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122000383.

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2023A machine learning approach for comparing the largest firm effect. (2023). Fabozzi, Frank J ; Kang, Taehyeon ; Han, Jiwoon ; Ho, Jang. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001121.

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2023Conditional dependence structure and risk spillovers between Bitcoin and fiat currencies. (2023). Vo, Xuan Vinh ; Zeitun, Rami ; Katsiampa, Paraskevi ; Ur, Mobeen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000838.

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2023Machine learning and the cross-section of emerging market stock returns. (2023). Kalsbach, Tobias ; Hanauer, Matthias X. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000274.

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2022US risk premia under emerging markets constraints. (2022). Giovannetti, Bruno ; Chague, Fernando ; De-Losso, Rodrigo ; Bueno, Rodrigo ; Cavalcante-Filho, Elias. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:217-230.

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2022Religiosity and sovereign credit quality. (2022). Tu, Anthony H ; Wu, Wei-Shao ; Hsieh, Wen-Liang G. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:84-103.

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2023Uncertainty in the Black–Litterman model: Empirical estimation of the equilibrium. (2023). Hock, Thorsten ; Fuhrer, Adrian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:251-275.

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2022Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study. (2022). Wojcik, Edyta ; Janczura, Joanna. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001840.

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2023Higher-order moments and co-moments contribution to spillover analysis and portfolio risk management. (2023). Bouri, Elie ; Nekhili, Ramzi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000944.

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2022Properties of the Margrabe Best-of-two strategy to tactical asset allocation. (2022). Nguyen, Giang ; Hartmann, Stefan ; Boudt, Kris ; Ardia, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s105752191830190x.

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2022Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process. (2022). Simaan, Yusif ; Khashanah, Khaldoun. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000412.

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2023Information flows and the law of one price. (2023). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004161.

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2023Investor climate sentiment and financial markets. (2023). Santi, Caterina. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000066.

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2023From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures. (2023). Nedeltchev, Dragomir C ; Zaevski, Tsvetelin S. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001618.

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2022Information content and market liquidity in the fixed income market: Evidence from the swaption market. (2022). Hattori, Takahiro. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321001987.

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2022Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk. (2022). Kim, Young Shin ; Kurosaki, Tetsuo. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002245.

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2022Asset pricing models in emerging markets: Factorial approaches vs. information stochastic discount factor. (2022). Gonzalez-Sanchez, Mariano. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003949.

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2022Bank reputation and securitization quality: European evidence. (2022). Marques-Ibanez, David ; Kara, Alper ; Deku, Solomon Y. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004165.

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2022Do ethics outpace sins?. (2022). Lucey, Brian M ; Naeem, Muhammad Abubakr ; Karim, Sitara. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322002057.

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2023Pre-holiday limit order cancellation of individual and institutional investors. (2023). Zhao, Jing ; Kuo, Wei-Yu. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006948.

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More than 100 citations found, this list is not complete...

Frank J. Fabozzi has edited the books:

YearTitleTypeCited

Works by Frank J. Fabozzi:

YearTitleTypeCited
2019A New Set of Financial Instruments In: Papers.
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2016Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion In: Papers.
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2016Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion.(2016) In: Economics Letters.
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2016Financial market with no riskless (safe) asset In: Papers.
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2017FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET.(2017) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2016Pricing Derivatives in Hermite Markets In: Papers.
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2017Pricing derivatives in Hermite markets.(2017) In: Papers.
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2020Option Pricing with Greed and Fear Factor: The Rational Finance Approach In: Papers.
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2017Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing In: Papers.
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2020Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach In: Papers.
[Full Text][Citation analysis]		paper1
2017Option pricing for Informed Traders In: Papers.
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2017Enhancing Binomial and Trinomial Equity Option Pricing Models In: Papers.
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2019Enhancing binomial and trinomial equity option pricing models.(2019) In: Finance Research Letters.
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2017Another Look at the Ho-Lee Bond Option Pricing Model In: Papers.
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2019Multiple Subordinated Modeling of Asset Returns In: Papers.
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2013Tempered stable Ornstein-Uhlenbeck processes: a practical view In: Temi di discussione (Economic working papers).
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2014Calibrating the Italian smile with time-varying volatility and heavy-tailed models In: Temi di discussione (Economic working papers).
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2018Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models.(2018) In: Computational Economics.
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1972Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence. In: Bulletin of Economic Research.
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2009A New Approach for Using Lévy Processes for Determining High?Frequency Value?at?Risk Predictions In: European Financial Management.
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2010Property Derivatives for Managing European Real†Estate Risk In: European Financial Management.
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2012Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities In: European Financial Management.
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2012A Pricing Framework for Real Estate Derivatives In: European Financial Management.
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1988The Over-the-Counter Market and New York Stock Exchange Trading Halts. In: The Financial Review.
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1977Stability Tests for Alphas and Betas over Bull and Bear Market Conditions. In: Journal of Finance.
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1979Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination. In: Journal of Finance.
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1983 Valuation of Safe Harbor Tax Benefit Transfer Leases. In: Journal of Finance.
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1993 The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation. In: Journal of Finance.
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1994 Holiday Trading in Futures Markets. In: Journal of Finance.
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1989OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH In: Journal of Financial Research.
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1985WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS In: Journal of Financial Research.
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2019The Timeline Estimation of Bubbles: The Case of Real Estate In: Real Estate Economics.
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2008Multivariate Skewed Students t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market In: Studies in Nonlinear Dynamics & Econometrics.
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2010Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model In: Studies in Nonlinear Dynamics & Econometrics.
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2013Computational aspects of portfolio risk estimation in volatile markets: a survey In: Studies in Nonlinear Dynamics & Econometrics.
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2013Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data In: Studies in Nonlinear Dynamics & Econometrics.
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2004Modeling Volatility for the Chinese Equity Markets In: Annals of Economics and Finance.
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2007Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange In: Annals of Economics and Finance.
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1978Beta as a Random Coefficient In: Journal of Financial and Quantitative Analysis.
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1979The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model In: Journal of Financial and Quantitative Analysis.
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1980Generalized Functional Form for Mutual Fund Returns In: Journal of Financial and Quantitative Analysis.
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1981Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time In: Journal of Financial and Quantitative Analysis.
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1986State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments In: Journal of Financial and Quantitative Analysis.
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2008An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article26
2015Measuring and explaining pension system risk* In: Journal of Pension Economics and Finance.
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2005Market experience with modeling for defined-benefit pension funds: evidence from four countries In: Journal of Pension Economics and Finance.
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2009Multi-tail generalized elliptical distributions for asset returns In: Econometrics Journal.
[Full Text][Citation analysis]		article5
2008Portfolio selection with uncertain exit time: A robust CVaR approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article25
2014Extracting market information from equity options with exponential Lévy processes In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article6
2018Local volatility and the recovery rate of credit default swaps In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
1996International corporate finance : Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp In: The North American Journal of Economics and Finance.
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2009Construction of probability metrics on classes of investors In: Economics Letters.
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2011Is food consumption a good proxy for nondurable consumption? In: Economics Letters.
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2014Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments In: Economics Letters.
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2017Predictability dynamics of emerging sovereign CDS markets In: Economics Letters.
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2007An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve In: European Journal of Operational Research.
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2010Portfolio selection under distributional uncertainty: A relative robust CVaR approach In: European Journal of Operational Research.
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201460 Years of portfolio optimization: Practical challenges and current trends In: European Journal of Operational Research.
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2014Robust portfolios that do not tilt factor exposure In: European Journal of Operational Research.
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2016An improved method for pricing and hedging long dated American options In: European Journal of Operational Research.
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2017Fuzzy decision fusion approach for loss-given-default modeling In: European Journal of Operational Research.
[Full Text][Citation analysis]		article24
2017An improved least squares Monte Carlo valuation method based on heteroscedasticity In: European Journal of Operational Research.
[Full Text][Citation analysis]		article7
2018Improving corporate bond recovery rate prediction using multi-factor support vector regressions In: European Journal of Operational Research.
[Full Text][Citation analysis]		article18
1979Mathematical programming models to determine civil service salaries In: European Journal of Operational Research.
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2013Size, value, and momentum in emerging market stock returns In: Emerging Markets Review.
[Full Text][Citation analysis]		article96
2009Pricing of credit default index swap tranches with one-factor heavy-tailed copula models In: Journal of Empirical Finance.
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2010Risk management and dynamic portfolio selection with stable Paretian distributions In: Journal of Empirical Finance.
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2009CAViaR-based forecast for oil price risk In: Energy Economics.
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2011Balancing energy strategies in electricity portfolio management In: Energy Economics.
[Full Text][Citation analysis]		article33
2013The role of jump dynamics in the risk–return relationship In: International Review of Financial Analysis.
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2014Option pricing under stochastic volatility and tempered stable Lévy jumps In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article16
2015Focusing on the worst state for robust investing In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article6
2016Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques In: International Review of Financial Analysis.
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2016Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article22
2013Composition of robust equity portfolios In: Finance Research Letters.
[Full Text][Citation analysis]		article12
2016Portfolio selection with conservative short-selling In: Finance Research Letters.
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2017Exploring rating shopping for european triple a senior structured finance securities In: Finance Research Letters.
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2018Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies In: Finance Research Letters.
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2019Does the corporate bond market overvalue bonds of sin companies? In: Finance Research Letters.
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2006The value, size, and momentum spread during distressed economic periods In: Finance Research Letters.
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2007Exploring the components of credit risk in credit default swaps In: Finance Research Letters.
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2011Calibrating affine stochastic mortality models using term assurance premiums In: Insurance: Mathematics and Economics.
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2012A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates In: Insurance: Mathematics and Economics.
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2017Intensity-based framework for surrender modeling in life insurance In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article4
2009Svetlozar, T. Rachev, John S.J. Hsu, B.S. Bagasheva and F.J. Fabozzi , Bayesian Methods in Finance, John Wiley and Sons, USA (2008) ISBN 978-0-471-92083-0 (hardcover), $95, 329 pages. In: International Journal of Forecasting.
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2007Momentum strategies based on reward-risk stock selection criteria In: Journal of Banking & Finance.
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2008Relative deviation metrics and the problem of strategy replication In: Journal of Banking & Finance.
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2008Financial market models with Lévy processes and time-varying volatility In: Journal of Banking & Finance.
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2010Tempered stable and tempered infinitely divisible GARCH models In: Journal of Banking & Finance.
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2011Tempered stable and tempered infinitely divisible GARCH models.(2011) In: Working Paper Series in Economics.
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2011Time series analysis for financial market meltdowns In: Journal of Banking & Finance.
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2010Time series analysis for financial market meltdowns.(2010) In: Working Paper Series in Economics.
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2013CVaR sensitivity with respect to tail thickness In: Journal of Banking & Finance.
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2011CVaR sensitivity with respect to tail thickness.(2011) In: Working Paper Series in Economics.
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2014Deciphering robust portfolios In: Journal of Banking & Finance.
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2016A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance In: Journal of Banking & Finance.
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2016On stability of operational risk estimates by LDA: From causes to approaches In: Journal of Banking & Finance.
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2018Macroeconomic variable selection for creditor recovery rates In: Journal of Banking & Finance.
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1980Stability of mutual fund systematic risk statistics In: Journal of Business Research.
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1982A note on the association between systematic risk and common stock and bond rating classifications In: Journal of Economics and Business.
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2007Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns In: Journal of Economics and Business.
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2011Analysis of the intraday effects of economic releases on the currency market In: Journal of International Money and Finance.
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2010Analysis of the intraday effects of economic releases on the currency market.(2010) In: Working Paper Series in Economics.
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2016Factor decomposition of the Eurozone sovereign CDS spreads In: Journal of International Money and Finance.
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2019Effectiveness of developed and emerging market FX options in active currency risk management In: Journal of International Money and Finance.
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2017Explosive rents: The real estate market dynamics in exuberance In: The Quarterly Review of Economics and Finance.
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2015The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads In: IMES Discussion Paper Series.
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1976Mathematical Programming in American Companies: A Sample Survey In: Interfaces.
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2008OR PRACTICE---Assisting Defined-Benefit Pension Plans In: Operations Research.
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2008Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration In: Annals of Finance.
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2015Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads In: Computational Economics.
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2019Quantile-Based Inference for Tempered Stable Distributions In: Computational Economics.
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2019Quanto Option Pricing with Lévy Models In: Computational Economics.
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2011Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering In: Financial Markets and Portfolio Management.
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2012Option pricing and hedging under a stochastic volatility Lévy process model In: Review of Derivatives Research.
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2000Equity Manager Selection and Performance. In: Review of Quantitative Finance and Accounting.
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2012Portfolio revision under mean-variance and mean-CVaR with transaction costs In: Review of Quantitative Finance and Accounting.
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2007How do conflicting theories about financial markets coexist? In: Journal of Post Keynesian Economics.
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2013Technical Review Panel for the Pension Insurance Modeling System (PIMS) In: Working Papers.
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2015Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition In: MIT Press Books.
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2017Effects of Spot Market Short-Sale Constraints on Index Futures Trading In: Review of Finance.
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2016Equity style allocation: A nonparametric approach In: Journal of Asset Management.
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2017Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence In: Journal of Asset Management.
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2011Liability Index Fund: The Liability Beta Portfolio In: Journal of Financial Transformation.
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2010The Reasonable Effectiveness of Mathematics in Economics In: The American Economist.
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2010Robust portfolios: contributions from operations research and finance In: Annals of Operations Research.
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2010Stochastic models for risk estimation in volatile markets: a survey In: Annals of Operations Research.
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2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model In: Annals of Operations Research.
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2012Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model.(2012) In: Working Paper Series in Economics.
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2013What do robust equity portfolio models really do? In: Annals of Operations Research.
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2013Sensitivity of portfolio VaR and CVaR to portfolio return characteristics In: Annals of Operations Research.
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2018Recent advancements in robust optimization for investment management In: Annals of Operations Research.
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2018Robust equity portfolio performance In: Annals of Operations Research.
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2019Market implied volatilities for defaultable bonds In: Annals of Operations Research.
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2009A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence In: Empirical Economics.
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2014Recent Developments in Robust Portfolios with a Worst-Case Approach In: Journal of Optimization Theory and Applications.
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2009Introduction to special issue: studies in mathematical and empirical finance In: Mathematical Methods of Operations Research.
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2009Black swans and white eagles: on mathematics and finance In: Mathematical Methods of Operations Research.
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2014Discussion of ‘on simulation and properties of the stable law’ by Devroye and James In: Statistical Methods & Applications.
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2012Approximation of Stable and Geometric Stable Distribution In: Journal of Statistical and Econometric Methods.
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2009An empirical analysis of the CDX index and its tranches In: Applied Economics Letters.
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2013The new issues puzzle: evidence from non-US firms In: Applied Economics Letters.
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2017Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios In: Applied Economics Letters.
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2006Chinese equity market and the efficient frontier In: Applied Financial Economics Letters.
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2007Refunding efficiency: a generalized approach In: Applied Financial Economics Letters.
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2008Optimal mortgage refinancing: application of bond valuation tools to household risk management In: Applied Financial Economics Letters.
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2006An empirical examination of the return distribution characteristics of agency mortgage pass-through securities In: Applied Financial Economics.
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2006Macroeconomic news effects on conditional volatilities in the bond and stock markets In: Applied Financial Economics.
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2009Price calibration and hedging of correlation dependent credit derivatives using a structural model with ?-stable distributions In: Applied Financial Economics.
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2011Savings selectivity bias, subjective expectations and stock market participation In: Applied Financial Economics.
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2012Approximation of skewed and leptokurtic return distributions In: Applied Financial Economics.
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2013Option pricing with time-changed L?vy processes In: Applied Financial Economics.
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2013Market overreaction and underreaction: tests of the directional and magnitude effects In: Applied Financial Economics.
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2007Optimal Financial Portfolios In: Applied Mathematical Finance.
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2009Orderings and Probability Functionals Consistent with Preferences In: Applied Mathematical Finance.
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2011Household search choice: theory and evidence In: Applied Economics.
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2011MCMC-based estimation of Markov Switching ARMA-GARCH models In: Applied Economics.
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2013Optimal corporate strategy under uncertainty In: Applied Economics.
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2017A flexible approach to estimate the equity premium In: Applied Economics.
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2017Skillful hiding: evaluating hedge fund managers’ performance based on what they hide In: Applied Economics.
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2018An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey In: Applied Economics.
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2018Diversification versus optimality: is there really a diversification puzzle? In: Applied Economics.
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2007Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers Characteristics on Incentives Satisfaction and Size of Returns In: The European Journal of Finance.
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2015The information content of three credit ratings: the case of European residential mortgage-backed securities In: The European Journal of Finance.
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2010Approximation of aggregate and extremal losses within the very heavy tails framework In: Quantitative Finance.
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2010A risk-based evaluation of the free-trader option In: Quantitative Finance.
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2012A new method for generating approximation algorithms for financial mathematics applications In: Quantitative Finance.
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2014Bayesian estimation of truncated data with applications to operational risk measurement In: Quantitative Finance.
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2014Smooth monotone covariance for elliptical distributions and applications in finance In: Quantitative Finance.
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2015Multiperiod conditional valuation of barrier options with incomplete information In: Quantitative Finance.
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2016Elliptical tempered stable distribution In: Quantitative Finance.
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2004A methodology for index tracking based on time-series clustering In: Quantitative Finance.
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2006On risk management problems related to a coherence property In: Quantitative Finance.
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2007Trends in quantitative equity management: survey results In: Quantitative Finance.
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2007Stable distributions in the Black-Litterman approach to asset allocation In: Quantitative Finance.
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2008On the challenges in quantitative equity management In: Quantitative Finance.
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2009Estimating risk-neutral density with parametric models in interest rate markets In: Quantitative Finance.
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2015A Three-Factor Model for Mortality Modeling In: North American Actuarial Journal.
[Full Text][Citation analysis]		article2
2017How fat are the tails of equity market indices? In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article2
2019Sentiment indices and their forecasting ability In: Journal of Forecasting.
[Full Text][Citation analysis]		article2
2004AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article18
2005THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article16
2007ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1
2008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article25
2009BARRIER OPTION PRICING BY BRANCHING PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article1
2012METRIZATION OF STOCHASTIC DOMINANCE RULES In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article5
2013FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article0
2013PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article10
2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article11
2015Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty In: Journal of Financial Engineering (JFE).
[Full Text][Citation analysis]		article1
2019Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management In: World Scientific Books.
[Full Text][Citation analysis]		book9
2019Introduction In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019Random Variables In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019Stochastic Processes with Jumps In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019The Generalized Hyperbolic Distribution In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019The Class of Stable Distributions In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019Tempered Stable Distributions In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019Multivariate Time-Changed Brownian Motion In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019Extreme Value Theory In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019A Portfolio Selection Analysis with Non-Gaussian Models In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter1
2019Implied Volatility Smile with Non-Gaussian Processes In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2019Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2010Bayesian inference for hedge funds with stable distribution of returns In: Working Paper Series in Economics.
[Full Text][Citation analysis]		paper4
2011Tempered infinitely divisible distributions and processes In: Working Paper Series in Economics.
[Full Text][Citation analysis]		paper11
2011A profit model for spread trading with an application to energy futures In: Working Paper Series in Economics.
[Full Text][Citation analysis]		paper3
2011Fat-tailed models for risk estimation In: Working Paper Series in Economics.
[Full Text][Citation analysis]		paper21
2012Option pricing with regime switching tempered stable processes In: Working Paper Series in Economics.
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