EconPapers    
Economics at your fingertips  
 

Details about Frank J. Fabozzi

E-mail:
Homepage:http://www.frankfabozzi.com
Workplace:Département Comptabilité, Droit, Finance et Économie (Department of Accounting, Law, Finance and Economics), Groupe EDHEC (École de Hautes Études Commerciales du Nord) (EDHEC Business School), (more information at EDIRC)
EDHEC-Risk, Groupe EDHEC (École de Hautes Études Commerciales du Nord) (EDHEC Business School), (more information at EDIRC)
Groupe EDHEC (École de Hautes Études Commerciales du Nord) (EDHEC Business School), (more information at EDIRC)

Access statistics for papers by Frank J. Fabozzi.

Last updated 2019-08-06. Update your information in the RePEc Author Service.

Short-id: pfa323


Jump to Journal Articles Books Edited books Chapters

Working Papers

2019

  1. A New Set of Financial Instruments
    Papers, arXiv.org Downloads
  2. Multiple Subordinated Modeling of Asset Returns
    Papers, arXiv.org Downloads View citations (1)

2017

  1. Another Look at the Ho-Lee Bond Option Pricing Model
    Papers, arXiv.org Downloads
  2. Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach
    Papers, arXiv.org Downloads
  3. Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing
    Papers, arXiv.org Downloads
  4. Enhancing Binomial and Trinomial Equity Option Pricing Models
    Papers, arXiv.org Downloads
    See also Journal Article in Finance Research Letters (2019)
  5. Option Pricing with Greed and Fear Factor: The Rational Finance Approach
    Papers, arXiv.org Downloads View citations (2)
  6. Option pricing for Informed Traders
    Papers, arXiv.org Downloads
  7. Pricing derivatives in Hermite markets
    Papers, arXiv.org Downloads
    Also in Papers, arXiv.org (2016) Downloads

2016

  1. Financial market with no riskless (safe) asset
    Papers, arXiv.org Downloads
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2017)
  2. Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion
    Papers, arXiv.org Downloads View citations (4)
    See also Journal Article in Economics Letters (2016)

2015

  1. The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads
    IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan Downloads View citations (1)

2014

  1. Calibrating the Italian smile with time-varying volatility and heavy-tailed models
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (2)
    See also Journal Article in Computational Economics (2018)

2013

  1. Technical Review Panel for the Pension Insurance Modeling System (PIMS)
    Working Papers, University of Michigan, Michigan Retirement Research Center Downloads
  2. Tempered stable Ornstein-Uhlenbeck processes: a practical view
    Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area Downloads View citations (2)

2012

  1. Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads View citations (19)
    See also Journal Article in Annals of Operations Research (2012)
  2. Option pricing with regime switching tempered stable processes
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads

2011

  1. A profit model for spread trading with an application to energy futures
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads
  2. CVaR sensitivity with respect to tail thickness
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2013)
  3. Fat-tailed models for risk estimation
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads View citations (9)
  4. Tempered infinitely divisible distributions and processes
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads View citations (7)
  5. Tempered stable and tempered infinitely divisible GARCH models
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads View citations (7)
    See also Journal Article in Journal of Banking & Finance (2010)

2010

  1. Analysis of the intraday effects of economic releases on the currency market
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads
    See also Journal Article in Journal of International Money and Finance (2011)
  2. Bayesian inference for hedge funds with stable distribution of returns
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads View citations (1)
  3. Time series analysis for financial market meltdowns
    Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering Downloads
    See also Journal Article in Journal of Banking & Finance (2011)

2009

  1. A Discretionary Wealth Approach to Investment Policy
    Yale School of Management Working Papers, Yale School of Management Downloads
  2. Computing VAR and AVaR in Infinitely Divisible Distributions
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (5)
  3. Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (1)
  4. Property Derivatives for Managing European Real-Estate Risk
    Yale School of Management Working Papers, Yale School of Management Downloads

2007

  1. Collateralized Debt Obligations and Credit Risk Transfer
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (3)
  2. Securitization: The Tool of Financial Transformation
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (8)

2006

  1. How do Conflicting Theories about Financial Markets Coexist?
    Yale School of Management Working Papers, Yale School of Management Downloads
    See also Journal Article in Journal of Post Keynesian Economics (2007)

Journal Articles

2019

  1. Does the corporate bond market overvalue bonds of sin companies?
    Finance Research Letters, 2019, 28, (C), 165-170 Downloads
  2. Effectiveness of developed and emerging market FX options in active currency risk management
    Journal of International Money and Finance, 2019, 96, (C), 130-146 Downloads
  3. Enhancing binomial and trinomial equity option pricing models
    Finance Research Letters, 2019, 28, (C), 185-190 Downloads
    See also Working Paper (2017)
  4. Market implied volatilities for defaultable bonds
    Annals of Operations Research, 2019, 275, (2), 669-683 Downloads
  5. Quantile-Based Inference for Tempered Stable Distributions
    Computational Economics, 2019, 53, (1), 51-83 Downloads
  6. Quanto Option Pricing with Lévy Models
    Computational Economics, 2019, 53, (3), 1279-1308 Downloads
  7. Sentiment indices and their forecasting ability
    Journal of Forecasting, 2019, 38, (4), 257-276 Downloads
  8. The Timeline Estimation of Bubbles: The Case of Real Estate
    Real Estate Economics, 2019, 47, (2), 564-594 Downloads

2018

  1. An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey
    Applied Economics, 2018, 50, (40), 4318-4327 Downloads
  2. Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
    Computational Economics, 2018, 51, (3), 339-378 Downloads View citations (1)
    See also Working Paper (2014)
  3. Diversification versus optimality: is there really a diversification puzzle?
    Applied Economics, 2018, 50, (43), 4671-4693 Downloads View citations (4)
  4. Improving corporate bond recovery rate prediction using multi-factor support vector regressions
    European Journal of Operational Research, 2018, 271, (2), 664-675 Downloads View citations (2)
  5. Local volatility and the recovery rate of credit default swaps
    Journal of Economic Dynamics and Control, 2018, 92, (C), 1-29 Downloads
  6. Macroeconomic variable selection for creditor recovery rates
    Journal of Banking & Finance, 2018, 89, (C), 14-25 Downloads View citations (4)
  7. Recent advancements in robust optimization for investment management
    Annals of Operations Research, 2018, 266, (1), 183-198 Downloads
  8. Robust equity portfolio performance
    Annals of Operations Research, 2018, 266, (1), 293-312 Downloads
  9. Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies
    Finance Research Letters, 2018, 25, (C), 196-201 Downloads

2017

  1. A flexible approach to estimate the equity premium
    Applied Economics, 2017, 49, (59), 5940-5950 Downloads
  2. An improved least squares Monte Carlo valuation method based on heteroscedasticity
    European Journal of Operational Research, 2017, 263, (2), 698-706 Downloads
  3. Effects of Spot Market Short-Sale Constraints on Index Futures Trading
    Review of Finance, 2017, 21, (5), 1975-2005 Downloads
  4. Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence
    Journal of Asset Management, 2017, 18, (3), 188-208 Downloads
  5. Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios
    Applied Economics Letters, 2017, 24, (13), 923-927 Downloads
  6. Exploring rating shopping for european triple a senior structured finance securities
    Finance Research Letters, 2017, 20, (C), 35-39 Downloads View citations (1)
  7. Explosive rents: The real estate market dynamics in exuberance
    The Quarterly Review of Economics and Finance, 2017, 66, (C), 100-107 Downloads
  8. FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET
    International Journal of Theoretical and Applied Finance (IJTAF), 2017, 20, (08), 1-24 Downloads
    See also Working Paper (2016)
  9. Fuzzy decision fusion approach for loss-given-default modeling
    European Journal of Operational Research, 2017, 262, (2), 780-791 Downloads View citations (3)
  10. How fat are the tails of equity market indices?
    International Journal of Finance & Economics, 2017, 22, (3), 181-200 Downloads View citations (1)
  11. Intensity-based framework for surrender modeling in life insurance
    Insurance: Mathematics and Economics, 2017, 72, (C), 189-196 Downloads View citations (1)
  12. Penalizing variances for higher dependency on factors
    Quantitative Finance, 2017, 17, (4), 479-489 Downloads
  13. Predictability dynamics of emerging sovereign CDS markets
    Economics Letters, 2017, 161, (C), 5-9 Downloads View citations (2)
  14. Skillful hiding: evaluating hedge fund managers’ performance based on what they hide
    Applied Economics, 2017, 49, (7), 664-676 Downloads

2016

  1. A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance
    Journal of Banking & Finance, 2016, 65, (C), 134-155 Downloads View citations (2)
  2. An improved method for pricing and hedging long dated American options
    European Journal of Operational Research, 2016, 254, (2), 656-666 Downloads View citations (4)
  3. Elliptical tempered stable distribution
    Quantitative Finance, 2016, 16, (7), 1069-1087 Downloads View citations (2)
  4. Equity style allocation: A nonparametric approach
    Journal of Asset Management, 2016, 17, (3), 141-164 Downloads
  5. Factor decomposition of the Eurozone sovereign CDS spreads
    Journal of International Money and Finance, 2016, 65, (C), 1-23 Downloads View citations (11)
  6. Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques
    International Review of Financial Analysis, 2016, 45, (C), 189-201 Downloads
  7. Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion
    Economics Letters, 2016, 145, (C), 225-229 Downloads View citations (4)
    See also Working Paper (2016)
  8. On stability of operational risk estimates by LDA: From causes to approaches
    Journal of Banking & Finance, 2016, 68, (C), 266-278 Downloads View citations (2)
  9. Portfolio selection with conservative short-selling
    Finance Research Letters, 2016, 18, (C), 363-369 Downloads View citations (1)
  10. RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL
    International Journal of Theoretical and Applied Finance (IJTAF), 2016, 19, (04), 1-28 Downloads View citations (3)
  11. Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction
    International Review of Financial Analysis, 2016, 48, (C), 272-281 Downloads View citations (3)

2015

  1. A Three-Factor Model for Mortality Modeling
    North American Actuarial Journal, 2015, 19, (2), 129-141 Downloads
  2. Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
    Journal of Financial Engineering (JFE), 2015, 02, (01), 1-31 Downloads
  3. Focusing on the worst state for robust investing
    International Review of Financial Analysis, 2015, 39, (C), 19-31 Downloads View citations (3)
  4. Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads
    Computational Economics, 2015, 46, (2), 243-273 Downloads View citations (2)
  5. Measuring and explaining pension system risk*
    Journal of Pension Economics and Finance, 2015, 14, (2), 161-171 Downloads
  6. Multiperiod conditional valuation of barrier options with incomplete information
    Quantitative Finance, 2015, 15, (7), 1093-1102 Downloads
  7. The information content of three credit ratings: the case of European residential mortgage-backed securities
    The European Journal of Finance, 2015, 21, (3), 172-194 Downloads View citations (3)

2014

  1. 60 Years of portfolio optimization: Practical challenges and current trends
    European Journal of Operational Research, 2014, 234, (2), 356-371 Downloads View citations (42)
  2. Bayesian estimation of truncated data with applications to operational risk measurement
    Quantitative Finance, 2014, 14, (5), 863-888 Downloads View citations (3)
  3. Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
    Economics Letters, 2014, 122, (2), 154-158 Downloads View citations (7)
  4. Deciphering robust portfolios
    Journal of Banking & Finance, 2014, 45, (C), 1-8 Downloads View citations (3)
  5. Discussion of ‘on simulation and properties of the stable law’ by Devroye and James
    Statistical Methods & Applications, 2014, 23, (3), 353-357 Downloads
  6. Extracting market information from equity options with exponential Lévy processes
    Journal of Economic Dynamics and Control, 2014, 38, (C), 125-141 Downloads View citations (2)
  7. Option pricing under stochastic volatility and tempered stable Lévy jumps
    International Review of Financial Analysis, 2014, 31, (C), 101-108 Downloads View citations (7)
  8. Recent Developments in Robust Portfolios with a Worst-Case Approach
    Journal of Optimization Theory and Applications, 2014, 161, (1), 103-121 Downloads View citations (9)
  9. Robust portfolios that do not tilt factor exposure
    European Journal of Operational Research, 2014, 234, (2), 411-421 Downloads View citations (7)
  10. Smooth monotone covariance for elliptical distributions and applications in finance
    Quantitative Finance, 2014, 14, (9), 1555-1571 Downloads

2013

  1. CVaR sensitivity with respect to tail thickness
    Journal of Banking & Finance, 2013, 37, (3), 977-988 Downloads View citations (7)
    See also Working Paper (2011)
  2. Composition of robust equity portfolios
    Finance Research Letters, 2013, 10, (2), 72-81 Downloads View citations (9)
  3. Computational aspects of portfolio risk estimation in volatile markets: a survey
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (1), 103-120 Downloads
  4. Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
    Studies in Nonlinear Dynamics & Econometrics, 2013, 17, (2), 167-177 Downloads View citations (2)
  5. FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST?
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (04), 1-20 Downloads
  6. Market overreaction and underreaction: tests of the directional and magnitude effects
    Applied Financial Economics, 2013, 23, (18), 1469-1482 Downloads View citations (14)
  7. Optimal corporate strategy under uncertainty
    Applied Economics, 2013, 45, (20), 2877-2882 Downloads
  8. Option pricing with time-changed Lévy processes
    Applied Financial Economics, 2013, 23, (15), 1231-1238 Downloads View citations (4)
  9. PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (05), 1-38 Downloads View citations (1)
  10. Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
    Annals of Operations Research, 2013, 205, (1), 169-187 Downloads View citations (10)
  11. Size, value, and momentum in emerging market stock returns
    Emerging Markets Review, 2013, 16, (C), 46-65 Downloads View citations (36)
  12. The new issues puzzle: evidence from non-US firms
    Applied Economics Letters, 2013, 20, (17), 1586-1591 Downloads
  13. The role of jump dynamics in the risk–return relationship
    International Review of Financial Analysis, 2013, 29, (C), 212-218 Downloads View citations (3)
  14. What do robust equity portfolio models really do?
    Annals of Operations Research, 2013, 205, (1), 141-168 Downloads View citations (4)

2012

  1. A Pricing Framework for Real Estate Derivatives
    European Financial Management, 2012, 18, (5), 762-789 Downloads View citations (4)
  2. A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates
    Insurance: Mathematics and Economics, 2012, 50, (1), 85-93 Downloads View citations (3)
  3. A new method for generating approximation algorithms for financial mathematics applications
    Quantitative Finance, 2012, 12, (10), 1571-1583 Downloads
  4. Approximation of Stable and Geometric Stable Distribution
    Journal of Statistical and Econometric Methods, 2012, 1, (3), 8 Downloads View citations (1)
  5. Approximation of skewed and leptokurtic return distributions
    Applied Financial Economics, 2012, 22, (16), 1305-1316 Downloads View citations (10)
  6. Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities
    European Financial Management, 2012, 18, (4), 515-542 Downloads View citations (4)
  7. METRIZATION OF STOCHASTIC DOMINANCE RULES
    International Journal of Theoretical and Applied Finance (IJTAF), 2012, 15, (02), 1-22 Downloads View citations (4)
  8. Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
    Annals of Operations Research, 2012, 201, (1), 325-343 Downloads View citations (14)
    See also Working Paper (2012)
  9. Option pricing and hedging under a stochastic volatility Lévy process model
    Review of Derivatives Research, 2012, 15, (1), 81-97 Downloads View citations (3)
  10. Portfolio revision under mean-variance and mean-CVaR with transaction costs
    Review of Quantitative Finance and Accounting, 2012, 39, (4), 509-526 Downloads View citations (3)

2011

  1. Analysis of the intraday effects of economic releases on the currency market
    Journal of International Money and Finance, 2011, 30, (4), 692-707 Downloads View citations (9)
    See also Working Paper (2010)
  2. Balancing energy strategies in electricity portfolio management
    Energy Economics, 2011, 33, (1), 2-11 Downloads View citations (25)
  3. Calibrating affine stochastic mortality models using term assurance premiums
    Insurance: Mathematics and Economics, 2011, 49, (1), 53-60 Downloads View citations (6)
  4. Household search choice: theory and evidence
    Applied Economics, 2011, 43, (26), 3835-3847 Downloads View citations (1)
  5. Is food consumption a good proxy for nondurable consumption?
    Economics Letters, 2011, 111, (2), 110-112 Downloads
  6. Liability Index Fund: The Liability Beta Portfolio
    Journal of Financial Transformation, 2011, 33, 29-33
  7. MCMC-based estimation of Markov Switching ARMA-GARCH models
    Applied Economics, 2011, 43, (3), 259-271 Downloads View citations (20)
  8. Savings selectivity bias, subjective expectations and stock market participation
    Applied Financial Economics, 2011, 21, (3), 119-130 Downloads
  9. Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering
    Financial Markets and Portfolio Management, 2011, 25, (4), 477-478 Downloads
  10. Time series analysis for financial market meltdowns
    Journal of Banking & Finance, 2011, 35, (8), 1879-1891 Downloads View citations (17)
    See also Working Paper (2010)

2010

  1. A risk-based evaluation of the free-trader option
    Quantitative Finance, 2010, 10, (3), 235-240 Downloads
  2. Approximation of aggregate and extremal losses within the very heavy tails framework
    Quantitative Finance, 2010, 10, (10), 1153-1162 Downloads
  3. Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model
    Studies in Nonlinear Dynamics & Econometrics, 2010, 14, (2), 1-26 Downloads View citations (2)
  4. Portfolio selection under distributional uncertainty: A relative robust CVaR approach
    European Journal of Operational Research, 2010, 203, (1), 185-194 Downloads View citations (31)
  5. Property Derivatives for Managing European Real†Estate Risk
    European Financial Management, 2010, 16, (1), 8-26 Downloads View citations (4)
  6. Risk management and dynamic portfolio selection with stable Paretian distributions
    Journal of Empirical Finance, 2010, 17, (2), 195-211 Downloads View citations (3)
  7. Robust portfolios: contributions from operations research and finance
    Annals of Operations Research, 2010, 176, (1), 191-220 Downloads View citations (33)
  8. Stochastic models for risk estimation in volatile markets: a survey
    Annals of Operations Research, 2010, 176, (1), 293-309 Downloads View citations (9)
  9. Tempered stable and tempered infinitely divisible GARCH models
    Journal of Banking & Finance, 2010, 34, (9), 2096-2109 Downloads View citations (20)
    See also Working Paper (2011)
  10. The Reasonable Effectiveness of Mathematics in Economics
    The American Economist, 2010, 55, (1), 19-30 Downloads

2009

  1. A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions
    European Financial Management, 2009, 15, (2), 340-361 Downloads View citations (6)
  2. A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
    Empirical Economics, 2009, 36, (1), 201-229 Downloads View citations (23)
  3. An empirical analysis of the CDX index and its tranches
    Applied Economics Letters, 2009, 16, (14), 1425-1431 Downloads View citations (2)
  4. BARRIER OPTION PRICING BY BRANCHING PROCESSES
    International Journal of Theoretical and Applied Finance (IJTAF), 2009, 12, (07), 1055-1073 Downloads
  5. Black swans and white eagles: on mathematics and finance
    Mathematical Methods of Operations Research, 2009, 69, (3), 379-394 Downloads
  6. CAViaR-based forecast for oil price risk
    Energy Economics, 2009, 31, (4), 511-518 Downloads View citations (11)
  7. Construction of probability metrics on classes of investors
    Economics Letters, 2009, 103, (1), 45-48 Downloads
  8. Estimating risk-neutral density with parametric models in interest rate markets
    Quantitative Finance, 2009, 9, (1), 55-70 Downloads View citations (6)
  9. Introduction to special issue: studies in mathematical and empirical finance
    Mathematical Methods of Operations Research, 2009, 69, (3), 375-377 Downloads
  10. Multi-tail generalized elliptical distributions for asset returns
    Econometrics Journal, 2009, 12, (2), 272-291 Downloads View citations (4)
  11. Orderings and Probability Functionals Consistent with Preferences
    Applied Mathematical Finance, 2009, 16, (1), 81-102 Downloads View citations (6)
  12. Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
    Applied Financial Economics, 2009, 19, (17), 1401-1416 Downloads
  13. Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
    Journal of Empirical Finance, 2009, 16, (2), 201-215 Downloads View citations (4)
  14. Svetlozar, 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
    International Journal of Forecasting, 2009, 25, (3), 632-634 Downloads

2008

  1. An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors
    Journal of Financial and Quantitative Analysis, 2008, 43, (1), 123-160 Downloads View citations (23)
  2. DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (01), 19-54 Downloads View citations (15)
  3. Financial market models with Lévy processes and time-varying volatility
    Journal of Banking & Finance, 2008, 32, (7), 1363-1378 Downloads View citations (28)
  4. Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
    Annals of Finance, 2008, 4, (2), 217-241 Downloads View citations (7)
  5. Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (2), 1-37 Downloads View citations (11)
  6. OR PRACTICE---Assisting Defined-Benefit Pension Plans
    Operations Research, 2008, 56, (5), 1066-1078 Downloads View citations (5)
  7. On the challenges in quantitative equity management
    Quantitative Finance, 2008, 8, (7), 649-665 Downloads View citations (1)
  8. Optimal mortgage refinancing: application of bond valuation tools to household risk management
    Applied Financial Economics Letters, 2008, 4, (2), 141-149 Downloads View citations (1)
  9. Portfolio selection with uncertain exit time: A robust CVaR approach
    Journal of Economic Dynamics and Control, 2008, 32, (2), 594-623 Downloads View citations (11)
  10. Relative deviation metrics and the problem of strategy replication
    Journal of Banking & Finance, 2008, 32, (2), 199-206 Downloads View citations (2)

2007

  1. An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve
    European Journal of Operational Research, 2007, 177, (2), 1134-1152 Downloads View citations (2)
  2. Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns
    The European Journal of Finance, 2007, 13, (3), 269-282 Downloads View citations (1)
  3. Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
    Annals of Economics and Finance, 2007, 8, (1), 21-31 Downloads View citations (2)
  4. Exploring the components of credit risk in credit default swaps
    Finance Research Letters, 2007, 4, (1), 10-18 Downloads View citations (25)
  5. Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns
    Journal of Economics and Business, 2007, 59, (6), 575-595 Downloads View citations (10)
  6. How do conflicting theories about financial markets coexist?
    Journal of Post Keynesian Economics, 2007, 29, (3), 363-391 Downloads View citations (2)
    See also Working Paper (2006)
  7. Momentum strategies based on reward-risk stock selection criteria
    Journal of Banking & Finance, 2007, 31, (8), 2325-2346 Downloads View citations (30)
  8. ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
    International Journal of Theoretical and Applied Finance (IJTAF), 2007, 10, (08), 1305-1321 Downloads View citations (1)
  9. Optimal Financial Portfolios
    Applied Mathematical Finance, 2007, 14, (5), 401-436 Downloads View citations (18)
  10. Refunding efficiency: a generalized approach
    Applied Financial Economics Letters, 2007, 3, (3), 141-146 Downloads View citations (1)
  11. Stable distributions in the Black-Litterman approach to asset allocation
    Quantitative Finance, 2007, 7, (4), 423-433 Downloads View citations (15)
  12. Trends in quantitative equity management: survey results
    Quantitative Finance, 2007, 7, (2), 115-122 Downloads View citations (3)

2006

  1. An empirical examination of the return distribution characteristics of agency mortgage pass-through securities
    Applied Financial Economics, 2006, 16, (15), 1085-1094 Downloads View citations (1)
  2. Chinese equity market and the efficient frontier
    Applied Financial Economics Letters, 2006, 2, (2), 87-94 Downloads View citations (4)
  3. Macroeconomic news effects on conditional volatilities in the bond and stock markets
    Applied Financial Economics, 2006, 16, (5), 377-384 Downloads View citations (9)
  4. On risk management problems related to a coherence property
    Quantitative Finance, 2006, 6, (1), 75-81 Downloads View citations (2)
  5. The value, size, and momentum spread during distressed economic periods
    Finance Research Letters, 2006, 3, (4), 244-252 Downloads View citations (7)

2005

  1. Market experience with modeling for defined-benefit pension funds: evidence from four countries
    Journal of Pension Economics and Finance, 2005, 4, (3), 313-327 Downloads View citations (2)
  2. THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY
    International Journal of Theoretical and Applied Finance (IJTAF), 2005, 08, (08), 1107-1133 Downloads View citations (15)

2004

  1. A methodology for index tracking based on time-series clustering
    Quantitative Finance, 2004, 4, (4), 417-425 Downloads View citations (10)
  2. AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
    International Journal of Theoretical and Applied Finance (IJTAF), 2004, 07, (08), 949-978 Downloads View citations (6)
  3. Modeling Volatility for the Chinese Equity Markets
    Annals of Economics and Finance, 2004, 5, (1), 79-92 Downloads View citations (7)

2000

  1. Equity Manager Selection and Performance
    Review of Quantitative Finance and Accounting, 2000, 15, (1), 81-97 Downloads

1996

  1. International corporate finance: Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp
    The North American Journal of Economics and Finance, 1996, 7, (2), 233-234 Downloads

1994

  1. Holiday Trading in Futures Markets
    Journal of Finance, 1994, 49, (1), 307-24 Downloads View citations (17)

1993

  1. The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation
    Journal of Finance, 1993, 48, (3), 1039-55 Downloads View citations (46)

1991

  1. Effective Capital Gains Tax Rates: A Reply
    National Tax Journal, 1991, 44, (1), 105-07 Downloads

1989

  1. OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH
    Journal of Financial Research, 1989, 12, (2), 129-142 Downloads
  2. Taxation of Capital Gains With Deferred Realization
    National Tax Journal, 1989, 42, (4), 475-85 Downloads View citations (2)

1988

  1. The Over-the-Counter Market and New York Stock Exchange Trading Halts
    The Financial Review, 1988, 23, (4), 427-37 View citations (3)

1986

  1. State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments
    Journal of Financial and Quantitative Analysis, 1986, 21, (4), 427-436 Downloads View citations (8)

1985

  1. WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS
    Journal of Financial Research, 1985, 8, (3), 203-216 Downloads View citations (1)

1983

  1. Valuation of Safe Harbor Tax Benefit Transfer Leases
    Journal of Finance, 1983, 38, (2), 595-606 Downloads

1982

  1. A note on the association between systematic risk and common stock and bond rating classifications
    Journal of Economics and Business, 1982, 34, (2), 159-163 Downloads

1981

  1. Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time
    Journal of Financial and Quantitative Analysis, 1981, 16, (3), 323-339 Downloads View citations (3)

1980

  1. Generalized Functional Form for Mutual Fund Returns
    Journal of Financial and Quantitative Analysis, 1980, 15, (5), 1107-1120 Downloads View citations (3)
  2. Stability of mutual fund systematic risk statistics
    Journal of Business Research, 1980, 8, (2), 263-275 Downloads View citations (5)

1979

  1. Mathematical programming models to determine civil service salaries
    European Journal of Operational Research, 1979, 3, (3), 190-198 Downloads
  2. Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination
    Journal of Finance, 1979, 34, (5), 1243-50 Downloads View citations (23)
  3. The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model
    Journal of Financial and Quantitative Analysis, 1979, 14, (2), 351-360 Downloads View citations (7)

1978

  1. Beta as a Random Coefficient
    Journal of Financial and Quantitative Analysis, 1978, 13, (1), 101-116 Downloads View citations (93)

1977

  1. A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit
    The American Economist, 1977, 21, (1), 70-71 Downloads
  2. Stability Tests for Alphas and Betas over Bull and Bear Market Conditions
    Journal of Finance, 1977, 32, (4), 1093-99 Downloads View citations (83)

1976

  1. Mathematical Programming in American Companies: A Sample Survey
    Interfaces, 1976, 7, (1), 93-98 Downloads

1972

  1. Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence
    Bulletin of Economic Research, 1972, 24, (1), 3-12

Books

2019

  1. Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management
    World Scientific Books, World Scientific Publishing Co. Pte. Ltd. Downloads

2015

  1. Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition, vol 1
    MIT Press Books, The MIT Press View citations (1)

Edited books

2016

  1. The Handbook of Mortgage-Backed Securities, 7th Edition
    OUP Catalogue, Oxford University Press

Chapters

2019

  1. A Portfolio Selection Analysis with Non-Gaussian Models
    Chapter 10 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 433-461 Downloads
  2. Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions
    Chapter 12 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 517-547 Downloads
  3. Extreme Value Theory
    Chapter 9 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 367-430 Downloads
  4. Implied Volatility Smile with Non-Gaussian Processes
    Chapter 11 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 463-516 Downloads
  5. Introduction
    Chapter 1 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 3-21 Downloads
  6. Multivariate Time-Changed Brownian Motion
    Chapter 7 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 277-321 Downloads
  7. Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method
    Chapter 8 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 323-366 Downloads
  8. Random Variables
    Chapter 2 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 23-70 Downloads
  9. Stochastic Processes with Jumps
    Chapter 3 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 71-106 Downloads
  10. Tempered Stable Distributions
    Chapter 6 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 225-275 Downloads
  11. The Class of Stable Distributions
    Chapter 5 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 149-224 Downloads
  12. The Generalized Hyperbolic Distribution
    Chapter 4 in HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, 2019, pp 109-148 Downloads
 
Page updated 2019-12-15