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Details about Fabio Trojani

E-mail:
Homepage:http://www.people.usi.ch/trojanif/
Workplace:Geneva Finance Research Institute (GFRI), Université de Genève (University of Geneva), (more information at EDIRC)
Swiss Finance Institute, (more information at EDIRC)

Access statistics for papers by Fabio Trojani.

Last updated 2017-08-16. Update your information in the RePEc Author Service.

Short-id: ptr61


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Working Papers

2016

  1. Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Financial Econometrics (2017)
  2. Predictability Hidden by Anomalous Observations
    Papers, arXiv.org Downloads

2015

  1. Divergence and the Price of Uncertainty
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
  2. The Price of the Smile and Variance Risk Premia
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)

2014

  1. Ambiguity and Reality
    Working Papers on Finance, University of St. Gallen, School of Finance Downloads

2009

  1. Variance Covariance Orders and Median Preserving
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)

2008

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

2007

  1. 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 Downloads View citations (6)
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (2011)
  2. 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 Downloads View citations (4)
    See also Journal Article in Journal of Financial Econometrics (2007)
  3. 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 Downloads
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2009)
  4. Robust Value at Risk Prediction
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen (2007) Downloads

    See also Journal Article in Journal of Financial Econometrics (2011)

2006

  1. Robust Subsampling
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Journal of Econometrics (2012)

2005

  1. Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads
  2. 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 Downloads
  3. 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 Downloads View citations (12)
    See also Journal Article in Review of Financial Studies (2008)
  4. 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 Downloads View citations (10)
    Also in Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève (2004) Downloads View citations (1)

    See also Journal Article in Journal of the American Statistical Association (2005)

2002

  1. A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads View citations (5)
    See also Journal Article in Journal of Economic Dynamics and Control (2004)
  2. Equilibrium Asset Pricing with Time-Varying Pessimism
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (1)

1997

  1. Robust GMM Estimators and Tests for Models of the Term Structure of Interest Rates
    Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva, Institut d'Economie et Econométrie, Université de Genève

Undated

  1. Dividend Growth Predictability and the Price-Dividend Ratio
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. Robust Resampling Methods for Time Series
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  3. Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)

Journal Articles

2017

  1. Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 377-387 Downloads
    See also Working Paper (2016)
  2. Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
    Journal of Financial Econometrics, 2017, 15, (3), 505-505 Downloads

2014

  1. Economic Uncertainty, Disagreement, and Credit Markets
    Management Science, 2014, 60, (5), 1281-1296 Downloads View citations (1)
  2. When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns
    Review of Financial Studies, 2014, 27, (2), 581-616 Downloads View citations (6)
  3. When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
    Journal of Finance, 2014, 69, (1), 101-137 Downloads View citations (16)

2012

  1. Robust subsampling
    Journal of Econometrics, 2012, 167, (1), 197-210 Downloads View citations (1)
    See also Working Paper (2006)

2011

  1. A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
    Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 Downloads View citations (11)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 (2011) Downloads View citations (5)

    See also Working Paper (2007)
  2. Robust Value at Risk Prediction
    Journal of Financial Econometrics, 2011, 9, (2), 281-313 Downloads View citations (7)
    See also Working Paper (2007)

2010

  1. Correlation Risk and Optimal Portfolio Choice
    Journal of Finance, 2010, 65, (1), 393-420 Downloads View citations (52)
  2. Infinitesimal Robustness for Diffusions
    Journal of the American Statistical Association, 2010, 105, (490), 703-712 Downloads View citations (3)
    See also Working Paper (2008)

2009

  1. Ambiguity Aversion and the Term Structure of Interest Rates
    Review of Financial Studies, 2009, 22, (10), 4157-4188 Downloads View citations (20)
    See also Working Paper (2007)

2008

  1. Asset prices with locally constrained-entropy recursive multiple-priors utility
    Journal of Economic Dynamics and Control, 2008, 32, (11), 3695-3717 Downloads View citations (17)
  2. Learning and Asset Prices Under Ambiguous Information
    Review of Financial Studies, 2008, 21, (6), 2565-2597 Downloads View citations (32)
    See also Working Paper (2005)

2007

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

2006

  1. Equilibrium impact of value-at-risk regulation
    Journal of Economic Dynamics and Control, 2006, 30, (8), 1277-1313 Downloads View citations (11)
  2. Estimating and predicting multivariate volatility thresholds in global stock markets
    Journal of Applied Econometrics, 2006, 21, (3), 345-369 Downloads View citations (12)
  3. Semiparametric Regression for the Applied Econometrician. Adonis Yatchew
    Journal of the American Statistical Association, 2006, 101, 397-398 Downloads

2005

  1. Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
    Journal of the American Statistical Association, 2005, 100, 628-641 Downloads View citations (18)
    See also Working Paper (2005)
  2. Robust GMM tests for structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 139-182 Downloads View citations (12)
  3. Robust efficient method of moments
    Journal of Econometrics, 2005, 128, (1), 69-97 Downloads View citations (14)

2004

  1. A geometric approach to multiperiod mean variance optimization of assets and liabilities
    Journal of Economic Dynamics and Control, 2004, 28, (6), 1079-1113 Downloads View citations (23)
    See also Working Paper (2002)
  2. Robustness and Ambiguity Aversion in General Equilibrium
    Review of Finance, 2004, 8, (2), 279-324 Downloads View citations (22)
    Also in Review of Finance, 2004, 8, (2), 279-324 (2004) Downloads View citations (4)

2003

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

2002

  1. A Note on the Three-Portfolios Matching Problem
    European Financial Management, 2002, 8, (4), 515-527 Downloads
  2. 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 Downloads View citations (25)

2001

  1. Robust inference with GMM estimators
    Journal of Econometrics, 2001, 101, (1), 37-69 Downloads View citations (43)
 
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