Details about Fabio Trojani

Access statistics for papers by Fabio Trojani.

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

Short-id: ptr61

Working Papers

2016

1. Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy, Journal of Financial Econometrics, Oxford University Press (2017) View citations (1) (2017)
2. Predictability Hidden by Anomalous Observations
   Papers, arXiv.org View citations (9)

2015

3. Divergence and the Price of Uncertainty
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
4. The Price of the Smile and Variance Risk Premia
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (12)

2014

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

2012

6. Dividend Growth Predictability and the Price-Dividend Ratio
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2011

7. Taking Ambiguity to Reality: Robust Agents Cannot Trust the Data Too Much
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2009

8. Robust Resampling Methods for Time Series
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
9. Variance Covariance Orders and Median Preserving
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)

2008

10. Ambiguity Aversion and the Term Structure of Interest Rates
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
    Also in University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen (2007)
    See also Journal Article Ambiguity Aversion and the Term Structure of Interest Rates, The Review of Financial Studies, Society for Financial Studies (2009) View citations (35) (2009)
11. 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 Infinitesimal Robustness for Diffusions, Journal of the American Statistical Association, American Statistical Association (2010) View citations (4) (2010)

2007

12. 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 (7)
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005) View citations (3)
    See also Journal Article A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (21) (2011)
13. 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 (6)
    See also Journal Article Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent, Journal of Financial Econometrics, Oxford University Press (2007) View citations (6) (2007)
14. Robust Value at Risk Prediction
    University of St. Gallen Department of Economics working paper series 2007, Department of Economics, University of St. Gallen View citations (3)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2007) View citations (3)
    See also Journal Article Robust Value at Risk Prediction, Journal of Financial Econometrics, Oxford University Press (2011) View citations (13) (2011)

2006

15. Robust Subsampling
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Robust subsampling, Journal of Econometrics, Elsevier (2012) View citations (8) (2012)

2005

16. Accurate Yield Curve Scenarios Generation using Functional Gradient Descent
    Computing in Economics and Finance 2005, Society for Computational Economics
17. 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 View citations (1)
18. 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 (13)
    See also Journal Article Learning and Asset Prices Under Ambiguous Information, The Review of Financial Studies, Society for Financial Studies (2008) View citations (52) (2008)
19. 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 (21)
    See also Journal Article Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models, Journal of the American Statistical Association, American Statistical Association (2005) View citations (22) (2005)

2002

20. 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 (5)
    See also Journal Article A geometric approach to multiperiod mean variance optimization of assets and liabilities, Journal of Economic Dynamics and Control, Elsevier (2004) View citations (55) (2004)
21. Equilibrium Asset Pricing with Time-Varying Pessimism
    Discussion Paper, Tilburg University, Center for Economic Research View citations (4)

Journal Articles

2017

1. Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
   Journal of Financial Econometrics, 2017, 15, (3), 377-387 View citations (1)
   See also Working Paper Comments on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy, Swiss Finance Institute Research Paper Series (2016) (2016)
2. Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
   Journal of Financial Econometrics, 2017, 15, (3), 505-505 View citations (1)

2014

3. Economic Uncertainty, Disagreement, and Credit Markets
   Management Science, 2014, 60, (5), 1281-1296 View citations (13)
4. When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns
   The Review of Financial Studies, 2014, 27, (2), 581-616 View citations (35)
5. When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia
   Journal of Finance, 2014, 69, (1), 101-137 View citations (69)

2012

6. Robust subsampling
   Journal of Econometrics, 2012, 167, (1), 197-210 View citations (8)
   See also Working Paper Robust Subsampling, Swiss Finance Institute Research Paper Series (2006) (2006)

2011

7. A General Multivariate Threshold GARCH Model With Dynamic Conditional Correlations
   Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 View citations (21)
   Also in Journal of Business & Economic Statistics, 2011, 29, (1), 138-149 (2011) View citations (21)
   See also Working Paper A general multivariate threshold GARCH model with dynamic conditional correlations, University of St. Gallen Department of Economics working paper series 2007 (2007) View citations (7) (2007)
8. Robust Value at Risk Prediction
   Journal of Financial Econometrics, 2011, 9, (2), 281-313 View citations (13)
   See also Working Paper Robust Value at Risk Prediction, University of St. Gallen Department of Economics working paper series 2007 (2007) View citations (3) (2007)

2010

9. Correlation Risk and Optimal Portfolio Choice
   Journal of Finance, 2010, 65, (1), 393-420 View citations (107)
10. Infinitesimal Robustness for Diffusions
    Journal of the American Statistical Association, 2010, 105, (490), 703-712 View citations (4)
    See also Working Paper Infinitesimal Robustness for Diffusions, University of St. Gallen Department of Economics working paper series 2008 (2008) (2008)

2009

11. Ambiguity Aversion and the Term Structure of Interest Rates
    The Review of Financial Studies, 2009, 22, (10), 4157-4188 View citations (35)
    See also Working Paper Ambiguity Aversion and the Term Structure of Interest Rates, Swiss Finance Institute Research Paper Series (2008) View citations (3) (2008)

2008

12. Asset prices with locally constrained-entropy recursive multiple-priors utility
    Journal of Economic Dynamics and Control, 2008, 32, (11), 3695-3717 View citations (21)
13. Learning and Asset Prices Under Ambiguous Information
    The Review of Financial Studies, 2008, 21, (6), 2565-2597 View citations (52)
    See also Working Paper Learning and Asset Prices under Ambiguous Information, University of St. Gallen Department of Economics working paper series 2005 (2005) View citations (13) (2005)

2007

14. Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent
    Journal of Financial Econometrics, 2007, 5, (4), 591-623 View citations (6)
    See also Working Paper Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent, University of St. Gallen Department of Economics working paper series 2007 (2007) View citations (6) (2007)

2006

15. Equilibrium impact of value-at-risk regulation
    Journal of Economic Dynamics and Control, 2006, 30, (8), 1277-1313 View citations (18)
16. Estimating and predicting multivariate volatility thresholds in global stock markets
    Journal of Applied Econometrics, 2006, 21, (3), 345-369 View citations (13)
17. Semiparametric Regression for the Applied Econometrician. Adonis Yatchew
    Journal of the American Statistical Association, 2006, 101, 397-398

2005

18. Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
    Journal of the American Statistical Association, 2005, 100, 628-641 View citations (22)
    See also Working Paper Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models, University of St. Gallen Department of Economics working paper series 2005 (2005) View citations (21) (2005)
19. Robust GMM tests for structural breaks
    Journal of Econometrics, 2005, 129, (1-2), 139-182 View citations (15)
20. Robust efficient method of moments
    Journal of Econometrics, 2005, 128, (1), 69-97 View citations (17)

2004

21. 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 (55)
    See also Working Paper A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities, FAME Research Paper Series (2002) View citations (5) (2002)
22. Robustness and Ambiguity Aversion in General Equilibrium
    Review of Finance, 2004, 8, (2), 279-324 View citations (35)
    Also in Review of Finance, 2004, 8, (2), 279-324 (2004) View citations (31)

2003

23. Robust GMM analysis of models for the short rate process
    Journal of Empirical Finance, 2003, 10, (3), 373-397 View citations (21)

2002

24. A Note on the Three–Portfolios Matching Problem
    European Financial Management, 2002, 8, (4), 515-527 View citations (1)
25. 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 (33)

2001

26. Robust inference with GMM estimators
    Journal of Econometrics, 2001, 101, (1), 37-69 View citations (57)