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

Working Papers

2009

1. Variance Covariance Orders and Median Preserving
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2008

2. Infinitesimal Robustness for Diffusions
   University of St. Gallen Department of Economics working paper series 2008, Department of Economics, University of St. Gallen

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

2006

7. Robust Subsampling
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

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
    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 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

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
    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

1997

14. 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

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

Journal Articles

2009

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

2008

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

2007

4. 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

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

2005

8. 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)
9. Robust GMM tests for structural breaks
   Journal of Econometrics, 2005, 129, (1-2), 139-182 View citations
10. Robust efficient method of moments
    Journal of Econometrics, 2005, 128, (1), 69-97 View citations

2004

11. 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)
12. Robustness and Ambiguity Aversion in General Equilibrium
    Review of Finance, 2004, 8, (2), 279-324 View citations

2003

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

2002

14. A Note on the Three-Portfolios Matching Problem
    European Financial Management, 2002, 8, (4), 515-527
15. 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

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