Details about Fabio Trojani

Access statistics for papers by Fabio Trojani.

Last updated 2011-04-24. Update your information in the RePEc Author Service.

Short-id: ptr61

Working Papers

2009

1. Variance Covariance Orders and Median Preserving
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2008

2. Infinitesimal Robustness for Diffusions
   University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen
   See also Journal Article in Journal of the American Statistical Association (2010)

2007

3. A general multivariate threshold GARCH model with dynamic conditional correlations
   University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (3)
   Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005)
   See also Journal Article in Journal of Business & Economic Statistics (2011)
4. Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
   University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (2)
   See also Journal Article in Journal of Financial Econometrics (2007)
5. Ambiguity Aversion and the Term Structure of Interest Rates
   University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen
   See also Journal Article in Review of Financial Studies (2009)
6. Robust Value at Risk Prediction
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   Also in University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen (2007) View citations (2)

2006

7. Robust Subsampling
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2005

8. Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
   Computing in Economics and Finance 2005, Society for Computational Economics
9. GENERAL ANALYTICAL SOLUTIONS FOR MERTONS'S-TYPE CONSUMPTION-INVESTMENT PROBLEMS
   University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen
10. Learning and Asset Prices under Ambiguous Information
    University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen View citations (6)
    See also Journal Article in Review of Financial Studies (2008)
11. Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
    University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen
    Also in Research Papers by the Department of Economics, University of Geneva, Département des Sciences Économiques, Université de Genève (2004) View citations (1)
    See also Journal Article in Journal of the American Statistical Association (2005)

2002

12. A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2004)
13. Equilibrium Asset Pricing with Time-Varying Pessimism
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)

1997

14. Robust GMM Estimators and Tests for Models of the Term Structure of Interest Rates
    Research Papers by the Department of Economics, University of Geneva, Département des Sciences Économiques, Université de Genève

Undated

15. Robust Resampling Methods for Time Series
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

Journal Articles

2011

1. A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
   Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 View citations (2)
   See also Working Paper (2007)

2010

2. Correlation Risk and Optimal Portfolio Choice
   Journal of Finance, 2010, 65, (1), 393-420 View citations (17)
3. Infinitesimal Robustness for Diffusions
   Journal of the American Statistical Association, 2010, 105, (490), 703-712
   See also Working Paper (2008)

2009

4. Ambiguity Aversion and the Term Structure of Interest Rates
   Review of Financial Studies, 2009, 22, (10), 4157-4188 View citations (5)
   See also Working Paper (2007)

2008

5. Asset prices with locally constrained-entropy recursive multiple-priors utility
   Journal of Economic Dynamics and Control, 2008, 32, (11), 3695-3717 View citations (5)
6. Learning and Asset Prices Under Ambiguous Information
   Review of Financial Studies, 2008, 21, (6), 2565-2597 View citations (16)
   See also Working Paper (2005)

2007

7. Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
   Journal of Financial Econometrics, 2007, 5, (4), 591-623 View citations (2)
   See also Working Paper (2007)

2006

8. Equilibrium impact of value-at-risk regulation
   Journal of Economic Dynamics and Control, 2006, 30, (8), 1277-1313 View citations (8)
9. Estimating and predicting multivariate volatility thresholds in global stock markets
   Journal of Applied Econometrics, 2006, 21, (3), 345-369 View citations (4)
10. Semiparametric Regression for the Applied Econometrician. Adonis Yatchew
    Journal of the American Statistical Association, 2006, 101, 397-398

2005

11. Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
    Journal of the American Statistical Association, 2005, 100, 628-641 View citations (7)
    See also Working Paper (2005)
12. Robust GMM tests for structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 139-182 View citations (4)
13. Robust efficient method of moments
    Journal of Econometrics, 2005, 128, (1), 69-97 View citations (12)

2004

14. A geometric approach to multiperiod mean variance optimization of assets and liabilities
    Journal of Economic Dynamics and Control, 2004, 28, (6), 1079-1113 View citations (8)
    See also Working Paper (2002)
15. Robustness and Ambiguity Aversion in General Equilibrium
    Review of Finance, 2004, 8, (2), 279-324 View citations (9)

2003

16. Robust GMM analysis of models for the short rate process
    Journal of Empirical Finance, 2003, 10, (3), 373-397 View citations (12)

2002

17. A Note on the Three-Portfolios Matching Problem
    European Financial Management, 2002, 8, (4), 515-527
18. A note on robustness in Merton's model of intertemporal consumption and portfolio choice
    Journal of Economic Dynamics and Control, 2002, 26, (3), 423-435 View citations (11)

2001

19. Robust inference with GMM estimators
    Journal of Econometrics, 2001, 101, (1), 37-69 View citations (25)