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Details about Fabio Trojani
Access statistics for papers by Fabio Trojani.
Last updated 2009-10-10. Update your information in the RePEc Author Service .
Short-id: ptr61
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Journal Articles
Working Papers
2009
Variance Covariance Orders and Median Preserving
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
2008
Infinitesimal Robustness for Diffusions
University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen
2007
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
Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005)
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
See also Journal Article in Journal of Financial Econometrics (2007)
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 View citations
See also Journal Article in Review of Financial Studies (2009)
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)
2006
Robust Subsampling
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
2005
Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
Computing in Economics and Finance 2005, Society for Computational Economics
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
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
See also Journal Article in Review of Financial Studies (2008)
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 View citations
Also in Cahiers du Département d'Econométrie, Département d'Econométrie, Université de Genève (2004) View citations
See also Journal Article in Journal of the American Statistical Association (2005)
2002
A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities
FAME Research Paper Series, International Center for Financial Asset Management and Engineering
See also Journal Article in Journal of Economic Dynamics and Control (2004)
Equilibrium asset pricing with time-varying pessimism
Discussion Paper, Tilburg University, Center for Economic Research View citations
1997
Robust GMM Estimators and Tests for Models of the Term Structure of Interest Rates
Cahiers du Département d'Econométrie, Département d'Econométrie, Université de Genève
Undated
Robust Resampling Methods for Time Series
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
Journal Articles
2009
Ambiguity Aversion and the Term Structure of Interest Rates
Review of Financial Studies , 2009, 22 , (10), 4157-4188
See also Working Paper (2007)
2008
Asset prices with locally constrained-entropy recursive multiple-priors utility
Journal of Economic Dynamics and Control , 2008, 32 , (11), 3695-3717
Learning and Asset Prices Under Ambiguous Information
Review of Financial Studies , 2008, 21 , (6), 2565-2597 View citations
See also Working Paper (2005)
2007
Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
Journal of Financial Econometrics , 2007, 5 , (4), 591-623
See also Working Paper (2007)
2006
Equilibrium impact of value-at-risk regulation
Journal of Economic Dynamics and Control , 2006, 30 , (8), 1277-1313 View citations
Estimating and predicting multivariate volatility thresholds in global stock markets
Journal of Applied Econometrics , 2006, 21 , (3), 345-369 View citations
Semiparametric Regression for the Applied Econometrician. Adonis Yatchew
Journal of the American Statistical Association , 2006, 101 , 397-398
2005
Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
Journal of the American Statistical Association , 2005, 100 , 628-641 View citations
See also Working Paper (2005)
Robust GMM tests for structural breaks
Journal of Econometrics , 2005, 129 , (1-2), 139-182 View citations
Robust efficient method of moments
Journal of Econometrics , 2005, 128 , (1), 69-97 View citations
2004
A geometric approach to multiperiod mean variance optimization of assets and liabilities
Journal of Economic Dynamics and Control , 2004, 28 , (6), 1079-1113
See also Working Paper (2002)
Robustness and Ambiguity Aversion in General Equilibrium
Review of Finance , 2004, 8 , (2), 279-324 View citations
2003
Robust GMM analysis of models for the short rate process
Journal of Empirical Finance , 2003, 10 , (3), 373-397 View citations
2002
A Note on the Three-Portfolios Matching Problem
European Financial Management , 2002, 8 , (4), 515-527
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
2001
Robust inference with GMM estimators
Journal of Econometrics , 2001, 101 , (1), 37-69 View citations