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)

26

H index

62

i10 index

2204

Citations

RESEARCH PRODUCTION:

169

Articles

26

Papers

2

Books

12

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   48 years (1972 - 2020). See details.
   Cites by year: 45
   Journals where Frank J. Fabozzi has often published
   Relations with other researchers
   Recent citing documents: 179.    Total self citations: 55 (2.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfa323
   Updated: 2024-07-05    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 (35)

Sun, Edward (23)

Vrins, Frédéric (20)

faff, robert (18)

Mittnik, Stefan (15)

Chang, Chia-Lin (15)

Douady, Raphael (12)

Sensoy, Ahmet (9)

Zaremba, Adam (9)

Paterlini, Sandra (9)

Harris, Richard (8)

Cites to:

Engle, Robert (27)

Fama, Eugene (26)

French, Kenneth (26)

Shiller, Robert (21)

Bollerslev, Tim (20)

merton, robert (16)

Scholes, Myron (16)

Campbell, John (14)

Zhou, Guofu (14)

Markowitz, Harry (14)

Bekaert, Geert (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
Annals of Operations Research8
Finance Research Letters8
Applied Financial Economics7
Applied Economics7
Journal of Financial and Quantitative Analysis6
International Review of Financial Analysis5
Journal of Finance5
Economics Letters5
Studies in Nonlinear Dynamics & Econometrics4
Computational Economics4
European Financial Management4
Insurance: Mathematics and Economics3
Applied Economics Letters3
Journal of International Money and Finance3
Journal of Economic Dynamics and Control3
The European Journal of Finance2
Energy Economics2
Journal of Empirical Finance2
Journal of Financial Research2
Journal of Pension Economics and Finance2
The American Economist2
Journal of Economics and Business2
Mathematical Methods of Operations Research2
Journal of Asset Management2
Applied Mathematical Finance2
Annals of Economics and Finance2
Review of Quantitative Finance and Accounting2
National Tax Journal2

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 (2024 and 2023)


YearTitle of citing document
2023.

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2023Business cycle and realized losses in the consumer credit industry. (2023). Vrins, Frederic ; Roccazzella, Francesco ; Distaso, Walter. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023007.

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2024Calendar Effects on Returns, Volatility and Higher Moments: Evidence from Crypto Markets. (2024). Leccadito, Arturo ; Lawuobahsumo, Kokulo ; Algieri, Bernardina. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2024001.

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2024The role of CDS spreads in explaining bond recovery rates. (2024). Vrins, Frederic ; Gauthier, Genevieve ; Franois, Pascal ; Barbagli, Matteo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2024002.

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

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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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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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2024Robust 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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2024Unifying 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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2023Utility-based acceptability indices. (2023). , Mikl'Os ; Pitera, Marcin. In: Papers. RePEc:arx:papers:2310.02014.

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2023Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Papers. RePEc:arx:papers:2311.15635.

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2023A General Framework for Portfolio Construction Based on Generative Models of Asset Returns. (2023). Chen, Kan ; Cheng, Tuoyuan. In: Papers. RePEc:arx:papers:2312.03294.

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2024Randomized Control in Performance Analysis and Empirical Asset Pricing. (2024). Tsigaridas, Elias ; Fisikopoulos, Vissarion ; Chalkis, Apostolos ; Bachelard, Cyril. In: Papers. RePEc:arx:papers:2403.00009.

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2024Alternatives to classical option pricing. (2024). Rachev, Svetlozar T ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2403.17187.

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2024Detection of financial opportunities in micro-blogging data with a stacked classification system. (2024). Gonz, Francisco J ; Garc, Silvia ; de Arriba, Francisco. In: Papers. RePEc:arx:papers:2404.07224.

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2024Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus. (2024). Tahmasebi, Mahdieh ; Ahmadi, Ayub. In: Papers. RePEc:arx:papers:2405.00473.

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2024On variable annuities with surrender charges. (2024). Stabile, Gabriele ; Milazzo, Alessandro ; de Angelis, Tiziano. In: Papers. RePEc:arx:papers:2405.02115.

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2024Markowitz Meets Bellman: Knowledge-distilled Reinforcement Learning for Portfolio Management. (2024). Gu, Ming ; Hu, Gang. In: Papers. RePEc:arx:papers:2405.05449.

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2024.

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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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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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2024The impact of regulatory changes on rating behaviour. (2024). Marques-Ibanez, David ; Marques-Ibaez, David ; Downing, Gareth ; Kara, Alper ; Karimov, Nodirbek. In: Working Paper Series. RePEc:ecb:ecbwps:20242920.

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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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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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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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2023Stop-loss rules and momentum payoffs in cryptocurrencies. (2023). Butt, Hilal Anwar ; Sadaqat, Mohsin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000473.

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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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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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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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2023Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314.

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2023Robust regression under the general framework of bounded loss functions. (2023). Tang, Long ; Tian, Yingjie ; Fu, Saiji. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:3:p:1325-1339.

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2024Portfolio optimization through a network approach: Network assortative mixing and portfolio diversification. (2024). Scozzari, Andrea ; Ricca, Federica. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:700-717.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2024Reconciling business analytics with graphically initialized subspace clustering for optimal nonlinear pricing. (2024). Lin, Yi-Bing ; Miao, Wanyu ; Sun, Edward W. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1086-1107.

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2024Computing cardinality constrained portfolio selection efficient frontiers via closest correlation matrices. (2024). Wimmer, Maximilian ; Qi, Yue ; Steuer, Ralph E. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:628-636.

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2024Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility. (2024). Yamakami, Tomohisa ; Shiraya, Kenichiro. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1195-1214.

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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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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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2024Factor momentum in the Chinese stock market. (2024). Jiang, Fuwei ; Liao, Cunfei ; Ma, Tian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001251.

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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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2023Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298.

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2024A novel interval-based hybrid framework for crude oil price forecasting and trading. (2024). Wang, Shouyang ; Sun, Yuying ; Zheng, LI. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007648.

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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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2023Semi-strong efficient market of Bitcoin and Twitter: An analysis of semantic vector spaces of extracted keywords and light gradient boosting machine models. (2023). Gacesa, Marko ; Wang, Fang. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002089.

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2023Stock market anomalies: An extreme bounds analysis. (2023). Shamsuddin, Abul ; Kim, Jae H. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003575.

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2024VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Nakata, Keiichi ; Qiu, Zhiguo. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346.

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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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2023Loss given default or default status: Which is better to determine farmers’ credit ratings?. (2023). Hua, Yiting ; Shi, Baofeng ; Chai, Nana. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232300048x.

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2023Which factors explain African stock returns?. (2023). Sy, Oumar ; Ndiaye, Bara ; Mbengue, Mohamed Lamine. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001782.

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2023A comparative study of firm value models: Default risk of corporate bonds. (2023). Ik, Sung. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004099.

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2023Investor sentiment and futures market mispricing. (2023). Yang, Heejin ; Ryu, Doowon. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009315.

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2024Why do life insurers hold sin bonds? Evidence from investment delegation. (2024). Wang, Shuai ; Brisker, Eric. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323013375.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2024Smart systemic-risk scores. (2024). Benoit, Sylvain. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001699.

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2023Estimation of value at risk for copper. (2023). Papathanasiou, Spyros ; Konstantatos, Christoforos ; Gkillas, Konstantinos ; Wohar, Mark. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000417.

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2023Relocating investments by Tunisian insurance and pension funds towards alternative assets opportunities. (2023). Ghouli-Oueslati, Jihene ; Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:45:y:2023:i:3:p:609-629.

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2023Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191.

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2023Dynamic portfolio selection with linear control policies for coherent risk minimization. (2023). Gotoh, Jun-Ya ; Takano, Yuichi. In: Operations Research Perspectives. RePEc:eee:oprepe:v:10:y:2023:i:c:s2214716022000331.

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2023Predicting loss given default of unsecured consumer loans with time-varying survival scores. (2023). Bellotti, Anthony ; Li, Zhiyong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x2300015x.

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2023High-dimensional portfolio optimization based on tree-structured factor model. (2023). Zhu, Shushang ; Zhao, Huimin ; Zheng, Tiantian ; Ni, Xuanming. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001774.

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2023Deep reinforcement trading with predictable returns. (2023). Tantari, Daniele ; Brini, Alessio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:622:y:2023:i:c:s0378437123004569.

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2023A pairs trading strategy based on mixed copulas. (2023). Caldeira, Joo F ; Ziegelmann, Flavio A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:87:y:2023:i:c:p:16-34.

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2023Robust reward-risk performance measures with weakly second-order stochastic dominance constraints. (2023). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:53-62.

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2023Spillovers in the joint system of conditional higher-order moments: US evidence from green energy, brown energy, and technology stocks. (2023). Bouri, Elie. In: Renewable Energy. RePEc:eee:renene:v:210:y:2023:i:c:p:507-523.

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2024The value of solar forecasts and the cost of their errors: A review. (2024). Kumar, Dhivya Sampath ; Zhang, Wenjie ; Gandhi, Oktoviano ; Srinivasan, Dipti ; Reindl, Thomas ; Yang, Dazhi ; Yagli, Gokhan Mert ; Rodriguez-Gallegos, Carlos D. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:189:y:2024:i:pb:s1364032123007736.

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2023Time-varying fund manager skills of socially responsible investing (SRI) funds in developed and emerging markets. (2023). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192300003x.

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2023COVID-19 and stock returns: Evidence from the Markov switching dependence approach. (2023). Abedin, Mohammad Zoynul ; Sharif, Taimur ; Bouteska, Ahmed. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000089.

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2023Machine learning for US cross-industry return predictability under information uncertainty. (2023). Khlifi, Foued ; ben Lahouel, Bechir ; ben Zaied, Younes ; Awijen, Haithem. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531923000193.

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2023Does reinforcement learning outperform deep learning and traditional portfolio optimization models in frontier and developed financial markets?. (2023). van Nguyen, Phuc ; Ngo, Vu Minh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000624.

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2023On the short-term persistence of mutual fund performance in Europe. (2023). Vidal-Garcia, Javier ; Saeed, Asif ; Hammouda, Amira. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000892.

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2023Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic. (2023). Gemici, Eray ; Bouri, Elie ; Gok, Remzi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:66:y:2023:i:c:s0275531923001496.

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2023Fractal dimensions of the Rosenblatt process. (2023). Kerchev, George ; Daw, Lara. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:544-571.

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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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article
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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paper1
2017Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing In: Papers.
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paper0
2020Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach In: Papers.
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paper1
2017Option pricing for Informed Traders In: Papers.
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paper0
2017Enhancing Binomial and Trinomial Equity Option Pricing Models In: Papers.
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paper7
2019Enhancing binomial and trinomial equity option pricing models.(2019) In: Finance Research Letters.
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article
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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paper6
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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paper3
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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article41
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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article8
2008An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors In: Journal of Financial and Quantitative Analysis.
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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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article3
2009Multi-tail generalized elliptical distributions for asset returns In: Econometrics Journal.
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article5
2008Portfolio selection with uncertain exit time: A robust CVaR approach In: Journal of Economic Dynamics and Control.
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article25
2014Extracting market information from equity options with exponential Lévy processes In: Journal of Economic Dynamics and Control.
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article6
2018Local volatility and the recovery rate of credit default swaps In: Journal of Economic Dynamics and Control.
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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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article7
2017Fuzzy decision fusion approach for loss-given-default modeling In: European Journal of Operational Research.
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article27
2017An improved least squares Monte Carlo valuation method based on heteroscedasticity In: European Journal of Operational Research.
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article7
2018Improving corporate bond recovery rate prediction using multi-factor support vector regressions In: European Journal of Operational Research.
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article22
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.
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article101
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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article7
2009CAViaR-based forecast for oil price risk In: Energy Economics.
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2011Balancing energy strategies in electricity portfolio management In: Energy Economics.
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article34
2013The role of jump dynamics in the risk–return relationship In: International Review of Financial Analysis.
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article4
2014Option pricing under stochastic volatility and tempered stable Lévy jumps In: International Review of Financial Analysis.
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article16
2015Focusing on the worst state for robust investing In: International Review of Financial Analysis.
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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.
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article24
2013Composition of robust equity portfolios In: Finance Research Letters.
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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.
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article5
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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article1
2007Momentum strategies based on reward-risk stock selection criteria In: Journal of Banking & Finance.
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article43
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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article36
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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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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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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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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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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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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2014Smooth monotone covariance for elliptical distributions and applications in finance 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.
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2019Sentiment indices and their forecasting ability In: Journal of Forecasting.
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2004AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2005THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF).
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2007ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS In: International Journal of Theoretical and Applied Finance (IJTAF).
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2008DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY In: International Journal of Theoretical and Applied Finance (IJTAF).
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2009BARRIER OPTION PRICING BY BRANCHING PROCESSES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2012METRIZATION OF STOCHASTIC DOMINANCE RULES In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? In: International Journal of Theoretical and Applied Finance (IJTAF).
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2013PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article10
2016RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL In: International Journal of Theoretical and Applied Finance (IJTAF).
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2015Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty In: Journal of Financial Engineering (JFE).
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2019Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management In: World Scientific Books.
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2019Introduction In: World Scientific Book Chapters.
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2019Random Variables In: World Scientific Book Chapters.
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2019Stochastic Processes with Jumps In: World Scientific Book Chapters.
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2019The Generalized Hyperbolic Distribution In: World Scientific Book Chapters.
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2019The Class of Stable Distributions In: World Scientific Book Chapters.
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2019Tempered Stable Distributions In: World Scientific Book Chapters.
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2019Multivariate Time-Changed Brownian Motion In: World Scientific Book Chapters.
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2019Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method In: World Scientific Book Chapters.
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2019Extreme Value Theory In: World Scientific Book Chapters.
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2019A Portfolio Selection Analysis with Non-Gaussian Models In: World Scientific Book Chapters.
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2019Implied Volatility Smile with Non-Gaussian Processes In: World Scientific Book Chapters.
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2019Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions In: World Scientific Book Chapters.
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2010Bayesian inference for hedge funds with stable distribution of returns In: Working Paper Series in Economics.
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2011Tempered infinitely divisible distributions and processes In: Working Paper Series in Economics.
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2011A profit model for spread trading with an application to energy futures In: Working Paper Series in Economics.
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2011Fat-tailed models for risk estimation In: Working Paper Series in Economics.
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2012Option pricing with regime switching tempered stable processes In: Working Paper Series in Economics.
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