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Information about:
Fabio Trojani

Personal Details | Affiliation | Works
This is information that was supplied by Fabio Trojani in registering through RePEc. If you are Fabio Trojani , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Fabio
Middle Name:
Last Name: Trojani
Suffix:

RePEc Short-ID: ptr61

Email:
Homepage: http://www.people.lu.unisi.ch/trojanif/
Postal Address: University of Lugano Via Buffi 13 CH-6900 Lugano
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Semyon MALAMUD & Fabio TROJANI, 2009. "Variance Covariance Orders and Median Preserving," Swiss Finance Institute Research Paper Series 09-13, Swiss Finance Institute. [Downloadable!]

  2. Davide La Vecchia & Fabio Trojani, 2008. "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008 2008-09, Department of Economics, University of St. Gallen. [Downloadable!]

  3. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
    Published as:

  4. Loriano Mancini & Fabio Trojani, 2007. "Robust Value at Risk Prediction," University of St. Gallen Department of Economics working paper series 2007 2007-36, Department of Economics, University of St. Gallen. [Downloadable!]
    Other versions:

  5. Francesco Audrino & Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," University of St. Gallen Department of Economics working paper series 2007 2007-24, Department of Economics, University of St. Gallen. [Downloadable!]
    Published as:

  6. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute. [Downloadable!]

  7. Fabio Trojani & Francesco Audrino, 2005. "Accurate Yield Curve Scenarios Generation using Functional Gradient Descent," Computing in Economics and Finance 2005 14, Society for Computational Economics. [Downloadable!]

  8. Loriano Mancini & Elvezio Ronchetti & Fabio Trojani, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," University of St. Gallen Department of Economics working paper series 2005 2005-01, Department of Economics, University of St. Gallen. [Downloadable!]
    Other versions:
    Published as:

  9. Fabio Trojani & Roberto G. Ferretti, 2005. "General Analytical Solutions For Mertons'S-Type Consumption-Investment Problems," University of St. Gallen Department of Economics working paper series 2005 2005-02, Department of Economics, University of St. Gallen. [Downloadable!]

  10. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
    Published as:

  11. Fabio Trojani & Francesco Audrino, 2005. "A general multivariate threshold GARCH model with dynamic conditional correlations," University of St. Gallen Department of Economics working paper series 2005 2005-04, Department of Economics, University of St. Gallen. [Downloadable!]
    Other versions:

  12. Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002. "A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities," FAME Research Paper Series rp48, International Center for Financial Asset Management and Engineering. [Downloadable!]
    Published as:

  13. Sbuelz, A. & Trojani, F., 2002. "Equilibrium asset pricing with time-varying pessimism," Discussion Paper 102, Tilburg University, Center for Economic Research. [Downloadable!]

  14. Elvezio Ronchetti & Fabio Trojani, 1997. "Robust GMM Estimators and Tests for Models of the Term Structure of Interest Rates," Cahiers du Département d'Econométrie 97.02, Département d'Econométrie, Université de Genève.

  15. Lorenzo CAMPONOVO & Olivier SCAILLET & Fabio TROJANI, . "Robust Resampling Methods for Time Series," Swiss Finance Institute Research Paper Series 09-38, Swiss Finance Institute. [Downloadable!]

Articles

  1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2009. "Ambiguity Aversion and the Term Structure of Interest Rates," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(10), pages 4157-4188, October. [Downloadable!] (restricted)
    Other versions:

  2. Sbuelz, Alessandro & Trojani, Fabio, 2008. "Asset prices with locally constrained-entropy recursive multiple-priors utility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3695-3717, November. [Downloadable!] (restricted)

  3. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(6), pages 2565-2597, November. [Downloadable!] (restricted)
    Other versions:

  4. Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 591-623, Fall. [Downloadable!] (restricted)
    Other versions:

  5. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August. [Downloadable!] (restricted)

  6. Trojani, Fabio, 2006. "Semiparametric Regression for the Applied Econometrician. Adonis Yatchew," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 397-398, March. [Downloadable!] (restricted)

  7. Fabio Trojani & Francesco Audrino, 2006. "Estimating and predicting multivariate volatility thresholds in global stock markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 345-369. [Downloadable!]

  8. Mancini, Loriano & Ronchetti, Elvezio & Trojani, Fabio, 2005. "Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 628-641, June. [Downloadable!] (restricted)
    Other versions:

  9. Ortelli, Claudio & Trojani, Fabio, 2005. "Robust efficient method of moments," Journal of Econometrics, Elsevier, vol. 128(1), pages 69-97, September. [Downloadable!] (restricted)

  10. Gagliardini, Patrick & Trojani, Fabio & Urga, Giovanni, 2005. "Robust GMM tests for structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 139-182. [Downloadable!] (restricted)

  11. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004. "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1079-1113, March. [Downloadable!] (restricted)
    Other versions:

  12. Fabio Trojani & Paolo Vanini, 2004. "Robustness and Ambiguity Aversion in General Equilibrium," Review of Finance, Springer, vol. 8(2), pages 279-324. [Downloadable!]

  13. Dell'Aquila, Rosario & Ronchetti, Elvezio & Trojani, Fabio, 2003. "Robust GMM analysis of models for the short rate process," Journal of Empirical Finance, Elsevier, vol. 10(3), pages 373-397, May. [Downloadable!] (restricted)

  14. Fabio Trojani & Paolo Vanini & Luigi Vignola, 2002. "A Note on the Three-Portfolios Matching Problem," European Financial Management, Blackwell Publishing Ltd, vol. 8(4), pages 515-527. [Downloadable!] (restricted)

  15. Trojani, Fabio & Vanini, Paolo, 2002. "A note on robustness in Merton's model of intertemporal consumption and portfolio choice," Journal of Economic Dynamics and Control, Elsevier, vol. 26(3), pages 423-435, March. [Downloadable!] (restricted)

  16. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March. [Downloadable!] (restricted)

NEP Fields

15 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2008-05-24
  2. NEP-CMP: Computational Economics (1) 2007-07-20
  3. NEP-DGE: Dynamic General Equilibrium (1) 2007-08-14
  4. NEP-ECM: Econometrics (10) 2004-09-05 2005-05-29 2005-05-29 2005-11-19 2007-07-20 2007-07-20 2007-10-20 2007-10-20 2007-12-01 2008-05-24 Author is listed
  5. NEP-ETS: Econometric Time Series (4) 2005-05-29 2007-07-20 2007-07-20 2007-12-01 Author is listed
  6. NEP-FIN: Finance (1) 2005-05-29
  7. NEP-FMK: Financial Markets (1) 2007-12-01
  8. NEP-FOR: Forecasting (4) 2005-11-19 2007-07-20 2007-07-20 2007-12-01 Author is listed
  9. NEP-MAC: Macroeconomics (2) 2007-07-20 2007-08-14
  10. NEP-MON: Monetary Economics (2) 2007-07-20 2007-08-14
  11. NEP-RMG: Risk Management (4) 2007-07-20 2007-07-20 2007-10-20 2007-12-01 Author is listed
  12. NEP-UPT: Utility Models & Prospect Theory (1) 2007-08-14
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This page was last updated on 2009-11-17.

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