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Publications

by members of

Département Comptabilité, Droit, Finance et Économie
Groupe EDHEC (École de Hautes Études Commerciales du Nord)
Lille/Paris, France

(Department of Accounting, Law, Finance and Economics, EDHEC Business School)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

2021

  1. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2021. "Dynamics of Asset Demands with Confidence Heterogeneity," CEPR Discussion Papers 16441, C.E.P.R. Discussion Papers.
  2. Uppal, Raman & DeMiguel, Victor & Martin-Utrera, Alberto, 2021. "What Alleviates Crowding in Factor Investing?," CEPR Discussion Papers 16527, C.E.P.R. Discussion Papers.
  3. Uppal, Raman & Bhamra, Harjoat Singh, 2021. "Do the Effects of Individual Behavioral Biases Cancel Out?," CEPR Discussion Papers 16335, C.E.P.R. Discussion Papers.
  4. Pierre Courtioux & Tristan-Pierre Maury & Johan Seux, 2021. "Social segregation at French University: some geographical disparities during the 2006-2016 period [Ségrégation sociale à l'Université : des disparités académiques sur la période 2006-2016]," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03167787, HAL.
  5. Pierre Courtioux & Tristan-Pierre Maury & Johan Seux, 2021. "Ségrégation sociale à l'Université : des disparités académiques sur la période 2006-2016," Documents de travail du Centre d'Economie de la Sorbonne 21003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  6. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2021. "Corporate focus, residential assets, and the performance of French REITs," Post-Print hal-03369147, HAL.
  7. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2021. "Implications of homeownership policies on land prices: the case of a French experiment," Post-Print hal-03369140, HAL.

2020

  1. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020. "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers 15116, C.E.P.R. Discussion Papers.
  2. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2020. "Income Segregation and Social Housing in France," Working Papers hal-02526776, HAL.
  3. Christophe Croux & Julapa Jagtiani & Tarunsai Korivi & Milos Vulanovic, 2020. "Important Factors Determining Fintech Loan Default: Evidence from the LendingClub Consumer Platform," Working Papers 20-15, Federal Reserve Bank of Philadelphia.
  4. Magnus Blomkvist & Milos Vulanovic, 2020. "SPAC IPO waves," Post-Print hal-03039846, HAL.

2019

  1. Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Multiple Subordinated Modeling of Asset Returns," Papers 1907.12600, arXiv.org.
  2. Arnaud Cheron & Kazuo Nishimura & Carine Nourry & Thomas Seegmuller & Alain Venditti, 2019. "Growth and Public Debt: What Are the Relevant Trade‐Offs?," Post-Print hal-02087092, HAL.
  3. Peijnenburg, Kim & Anantanasuwong, Kanin & Kouwenberg, Roy & Mitchell, Olivia S, 2019. "Ambiguity Attitudes about Investments: Evidence from the Field," CEPR Discussion Papers 13518, C.E.P.R. Discussion Papers.

2018

  1. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2018. "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers 13137, C.E.P.R. Discussion Papers.
  2. Pierre Courtioux & Tristan-Pierre Maury, 2018. "Private and Public Schools: A Spatial Analysis of Social Segregation in France," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01823056, HAL.
  3. Shachmurove, Yochanan & Vulanovic, Milos, 2018. "SPAC IPOs," EconStor Preprints 177392, ZBW - Leibniz Information Centre for Economics.
  4. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise & Kim Peijnenburg, 2018. "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families," Post-Print hal-02279289, HAL.
  5. Peijnenburg, Kim & Dimmock, Steve & Kouwenberg, Roy & Mitchell, Olivia S, 2018. "Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field," CEPR Discussion Papers 13109, C.E.P.R. Discussion Papers.

2017

  1. Uppal, Raman & Bhamra, Harjoat Singh, 2017. "Does Household Finance Matter? Small Financial Errors with Large Social Costs," CEPR Discussion Papers 12414, C.E.P.R. Discussion Papers.
  2. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J. & Uppal, Raman, 2017. "A Portfolio Perspective on the Multitude of Firm Characteristics," CEPR Discussion Papers 12417, C.E.P.R. Discussion Papers.
  3. Uppal, Raman & Buss, Adrian & Vilkov, Grigory, 2017. "Financial Innovation and Asset Prices," CEPR Discussion Papers 12416, C.E.P.R. Discussion Papers.
  4. Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani, 2017. "Option Pricing with Greed and Fear Factor: The Rational Finance Approach," Papers 1709.08134, arXiv.org, revised Mar 2020.
  5. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
  6. Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Enhancing Binomial and Trinomial Equity Option Pricing Models," Papers 1712.03566, arXiv.org.
  7. Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi & Abootaleb Shirvani, 2017. "Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach," Papers 1710.03211, arXiv.org, revised Feb 2020.
  8. Svetlozar Rachev & Stoyan Stoyanov & Frank J. Fabozzi, 2017. "Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing," Papers 1710.03205, arXiv.org.
  9. Young Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Another Look at the Ho-Lee Bond Option Pricing Model," Papers 1712.06664, arXiv.org.
  10. Peijnenburg, Kim & Parise, Gianpaolo, 2017. "Noncognitive Abilities and Financial Distress: Evidence from a Representative Household Panel," HEC Research Papers Series 1193, HEC Paris, revised 07 Aug 2017.
  11. Peijnenburg, Kim & Parise, Gianpaolo, 2017. "Understanding the Determinants of Financial Outcomes and Choices: The Role of Noncognitive Abilities," CEPR Discussion Papers 11900, C.E.P.R. Discussion Papers.
  12. Peijnenburg, J.M.J. & Nijman, Theo & Werker, Bas J.M., 2017. "Health cost risk : A potential solution to the annuity puzzle," Other publications TiSEM 257e76c9-54bb-4103-bd26-9, Tilburg University, School of Economics and Management.

2016

  1. Raman Uppal & Harjoat Bhamra, 2016. "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," 2016 Meeting Papers 1358, Society for Economic Dynamics.
  2. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general equilibrium analysis," SAFE Working Paper Series 124, Leibniz Institute for Financial Research SAFE.
  3. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2016. "Home tenure, stock market participation, and composition of the household portfolio," Post-Print hal-01300625, HAL.
  4. Pierre Courtioux & Tristan-Pierre Maury, 2016. "Public, privé et éducation prioritaire : une analyse de la mixité sociale selon le secteur du collège," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01339855, HAL.
  5. Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi, 2016. "Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion," Papers 1612.01979, arXiv.org.
  6. Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2016. "Pricing Derivatives in Hermite Markets," Papers 1612.07016, arXiv.org, revised Dec 2016.
  7. Svetlozar Rachev & Frank Fabozzi, 2016. "Financial market with no riskless (safe) asset," Papers 1612.02112, arXiv.org.
  8. Abootaleb Shirvani & Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi, 2016. "A New Set of Financial Instruments," Papers 1612.00828, arXiv.org, revised Oct 2019.
  9. Arnaud Chéron & Xavier Chojnicki & Pierre Courtioux, 2016. "L’impact des réformes des retraites sur l’équité entre les générations," Post-Print hal-01799666, HAL.
  10. Vulanovic, Milos, 2016. "SPACs: Post-merger survival," EconStor Preprints 148304, ZBW - Leibniz Information Centre for Economics.
  11. Peijnenburg, Kim & Nijman, Theo & Werker, Bas J. M., 2016. "The annuity puzzle remains a puzzle," Other publications TiSEM 011232cd-6c91-4c59-8bc6-6, Tilburg University, School of Economics and Management.
  12. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise, 2016. "Are star funds really shining? Cross-trading and performance shifting in mutual fund families," BIS Working Papers 577, Bank for International Settlements.

2015

  1. Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015. "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers 10437, C.E.P.R. Discussion Papers.
  2. Buss, Adrian & Uppal, Raman & Vilkov, Grigory, 2015. "Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs," SAFE Working Paper Series 41, Leibniz Institute for Financial Research SAFE, revised 2015.
  3. Frank J. Fabozzi & Rosella Giacometti & Naoshi Tsuchida, 2015. "The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads," IMES Discussion Paper Series 15-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
  4. Arnaud Cheron & Anthony Terriau, 2015. "Search frictions and (in)efficient vocational training over the life-cycle," TEPP Working Paper 2015-09, TEPP.

2014

  1. Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
  2. Arnaud Chéron & Bruno Decreuse, 2014. "Matching with Phantoms," AMSE Working Papers 1423, Aix-Marseille School of Economics, France, revised Apr 2014.
  3. Arnaud Cheron & Pierre-Jean Messe & Jerome Ronchetti, 2014. "Employer-provided health insurance and equilibrium wages with two-sided heterogeneity," TEPP Working Paper 2014-16, TEPP.
  4. Arnaud Cheron & Anthony Terriau, 2014. "Dépréciation du capital humain et formation continue au cours du cycle de vie : Quelle dynamique des externalités sociales ?," TEPP Research Report 2014-06, TEPP.
  5. Pascal Belan & Arnaud Chéron, 2014. "Turbulence, training and unemployment," Post-Print hal-02979757, HAL.
  6. Shachmurove, Yochanan & Vulanovic, Milos, 2014. "SPACs with focus on China," MPRA Paper 53550, University Library of Munich, Germany.
  7. Kim Peijnenburg, 2014. "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," 2014 Meeting Papers 967, Society for Economic Dynamics.

2013

  1. Uppal, Raman & DeMiguel, Victor & Nogales, Francisco J., 2013. "Stock Return Serial Dependence and Out-of-Sample Portfolio Performance," CEPR Discussion Papers 9456, C.E.P.R. Discussion Papers.
  2. Raman Uppal & Harjoat Bhamra, 2013. "Asset Prices with Heterogeneity in Preferences and Beliefs," 2013 Meeting Papers 1344, Society for Economic Dynamics.
  3. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2013. "Tempered stable Ornstein-Uhlenbeck processes: a practical view," Temi di discussione (Economic working papers) 912, Bank of Italy, Economic Research and International Relations Area.
  4. Olivia S. Mitchell & Christopher C. Geczy & Robert Novy-Marx & Raimond Maurer & Donald E. Fuerst & Christopher M. Bone & Donald J. Segal & Martin G. Clarke & Frank J. Fabozzi & Deborah Lucas & David F, 2013. "Technical Review Panel for the Pension Insurance Modeling System (PIMS)," Working Papers wp290, University of Michigan, Michigan Retirement Research Center.
  5. Milan Lakicevic & Yochanan Shachmurove & Milos Vulanovic, 2013. "On Mergers, Acquisitions and Liquidation Using Specified Purpose Acquisition Companies (SPACs)," PIER Working Paper Archive 13-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
  6. Shachmurove, Yochanan & Vulanovic, Milos, 2013. "SPACs in Shipping," MPRA Paper 52520, University Library of Munich, Germany.
  7. Stephen G. Dimmock & Roy Kouwenberg & Olivia S. Mitchell & Kim Peijnenburg, 2013. "Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence," NBER Working Papers 18743, National Bureau of Economic Research, Inc.

2012

  1. Stephane Gregoir; & Tristan-Pierre Maury;, 2012. "On the impact of social housing on the labour position of disabled," Health, Econometrics and Data Group (HEDG) Working Papers 12/22, HEDG, c/o Department of Economics, University of York.
  2. VALLETTA, Giacomo, 2012. "Health, fairness and taxation," LIDAM Discussion Papers CORE 2012016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Efthymios Athanasiou & Santanu Dey & Giacomo Valleta, 2012. "On Sharing the Benefits of Communication," Working Papers 2012.41, Fondazione Eni Enrico Mattei.
  4. Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics 44, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  5. Lin, Zuodong & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2012. "Option pricing with regime switching tempered stable processes," Working Paper Series in Economics 43, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  6. Lakicevic, Milan & Vulanovic, Milos, 2012. "A Story on Spacs," MPRA Paper 42172, University Library of Munich, Germany.

2011

  1. Tristan-Pierre Maury & Fabien Tripier, 2011. "The quality effect of intrafirm bargaining with endogenous worker flows," Working Papers hal-00566168, HAL.
  2. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2011. "Assessing the Interaction between Real Estate and Equity in Households Portfolio Choice," Working Papers halshs-00635582, HAL.
  3. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011. "Fat-tailed models for risk estimation," Working Paper Series in Economics 30, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  4. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  5. Bianchi, Michele Leonardo & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2011. "Tempered infinitely divisible distributions and processes," Working Paper Series in Economics 26, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  6. Kanamura, Takashi & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "A profit model for spread trading with an application to energy futures," Working Paper Series in Economics 27, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  7. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  8. Bütler, Monika & Peijnenburg, Kim & Staubli, Stefan, 2011. "How Much Do Means-Tested Benefits Reduce the Demand for Annuities?," Economics Working Paper Series 1124, University of St. Gallen, School of Economics and Political Science.
  9. Peijnenburg, J.M.J., 2011. "Consumption, savings, and investments over the life cycle," Other publications TiSEM 53507526-8619-428d-865f-d, Tilburg University, School of Economics and Management.

2010

  1. Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers 7686, C.E.P.R. Discussion Papers.
  2. Uppal, Raman & Boyle, Phelim & Wang, Tan & Garlappi, Lorenzo, 2010. "Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification," CEPR Discussion Papers 7687, C.E.P.R. Discussion Papers.
  3. Tristan-Pierre Maury & Fabien Tripier, 2010. "Strategies for search on the housing market and their implications for price dispersion," Working Papers hal-00480484, HAL.
  4. Güner, Biliana & Rachev, Svetlozar T. & Edelman, Daniel & Fabozzi, Frank J., 2010. "Bayesian inference for hedge funds with stable distribution of returns," Working Paper Series in Economics 1, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  5. Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  6. Rezania, Omid & Rachev, Svetlozar T. & Sun, Edward & Fabozzi, Frank J., 2010. "Analysis of the intraday effects of economic releases on the currency market," Working Paper Series in Economics 3, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  7. Arnaud Chéron & Bénédicte Rouland, 2010. "Endogenous Job Destructions and the Distribution of Wages," TEPP Working Paper 2010-20, TEPP.
  8. Arnaud Chéron & Bénédicte Rouland & François Charles Wolff, 2010. "Returns to firm-provided training in France: Evidence on mobility and wages," Working Papers halshs-00809753, HAL.
  9. Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010. "Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement," Discussion Paper 2010-11, Tilburg University, Center for Economic Research.
  10. Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010. "Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand," Discussion Paper 2010-14, Tilburg University, Center for Economic Research.

2009

  1. Nappi-Choulet, Ingrid & Maury, Tristan-Pierre, 2009. "A Spatial and Temporal Autoregressive Local Estimation for the Paris Housing Market," ESSEC Working Papers DR 09004, ESSEC Research Center, ESSEC Business School.
  2. Tristan-Pierre Maury, 2009. "Measuring Local Individual Housing Returns from a Large Quarterly Transaction Database," ERES eres2009_339, European Real Estate Society (ERES).
  3. Stephane Gregoir & Tristan-Pierre Maury, 2009. "Liquidity Risk and Housing Price Dynamics," ERES eres2009_154, European Real Estate Society (ERES).
  4. Arnaud Chéron & Jean-Olivier Hairault & François Langot, 2009. "The role of Institutions in Transatlantic Employment Differences: A Life-Cycle View," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00623280, HAL.
  5. Arnaud Chéron, 2009. "Age-Design Employment Protection," 2009 Meeting Papers 641, Society for Economic Dynamics.

2008

  1. Nappi-Choulet, Ingrid & Maury, Tristan-Pierre, 2008. "A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market," ESSEC Working Papers DR 08008, ESSEC Research Center, ESSEC Business School.
  2. Palomino, Frédéric & Peyrache, Eloïc & ÖRS, Evren, 2008. "Performance Gender-Gap: Does Competition Matter?," CEPR Discussion Papers 6891, C.E.P.R. Discussion Papers.
  3. Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2008. "Life-Cycle Equilibrium Unemployment," IZA Discussion Papers 3396, Institute of Labor Economics (IZA).
  4. Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2008. "Age-Dependent Employment Protection," IZA Discussion Papers 3851, Institute of Labor Economics (IZA).
  5. Arnaud Chéron & Jean-Olivier Hairault & François Langot, 2008. "A Quantitative Evaluation of Payroll Tax Subsidies For Low-Wage Workers: An Equilibrium Search Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00270295, HAL.
  6. Arnaud Chéron & François Langot, 2008. "Equilibre général stochastique et dynamique non-walrasienne du marché du travail," Post-Print halshs-00754268, HAL.

2007

  1. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," NBER Working Papers 13401, National Bureau of Economic Research, Inc.
  2. VALLETTA, Giacomo, 2007. "A fair solution to the compensation problem," LIDAM Discussion Papers CORE 2007077, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Hairault, Jean-Olivier & Chéron, Arnaud & Langot, François, 2007. "Job Creation and Job Destruction over the Life Cycle: The Older Workers in the Spotlight," IZA Discussion Papers 2597, Institute of Labor Economics (IZA).
  4. Chéron, Arnaud & Langot, François & Moreno-Galbis, Eva, 2007. "The “Dynamic” of Job Competition during the ICT Revolution," IZA Discussion Papers 2671, Institute of Labor Economics (IZA).
  5. Jean-Olivier Hairault & Francois Langot & Arnaud Cheron, 2007. "Job creation and job destruction over the life cycle," 2007 Meeting Papers 431, Society for Economic Dynamics.

2006

  1. Uppal, Raman & Bhamra, Harjoat Singh, 2006. "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers 5726, C.E.P.R. Discussion Papers.
  2. Arnaud Cheron & Jean-Olivier Hairault & Francois Langot, 2006. "Job Creation, Job Destruction and the Life Cycle," 2006 Meeting Papers 641, Society for Economic Dynamics.
  3. Jean-Paul Barinci & Arnaud Cheron & François Langot, 2006. "Liquidity Constraints, Heterogeneous Households and Sunspots Fluctuations," Post-Print halshs-00754131, HAL.
  4. Jerome Ballet & Damien Bazin & Abraham Lioui & David Touahri, 2006. "Green Taxation and Individual Responsibility," CAE Working Papers 49, Aix-Marseille Université, CERGAM.
  5. Jérôme Ballet & Damien Bazin & Abraham Lioui & David Touahri, 2006. "Taxation and The Crowding-Out Effect of Corporate Social Responsibility," Working Papers halshs-00113856, HAL.

2005

  1. Uppal, Raman & Wang, Tan & Garlappi, Lorenzo, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5041, C.E.P.R. Discussion Papers.
  2. Uppal, Raman & Garlappi, Lorenzo & DeMiguel, Victor, 2005. "How Inefficient is the 1/N Asset-Allocation Strategy?," CEPR Discussion Papers 5142, C.E.P.R. Discussion Papers.
  3. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2005. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," NBER Working Papers 11803, National Bureau of Economic Research, Inc.
  4. Uppal, Raman & Bhamra, Harjoat Singh, 2005. "The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility," CEPR Discussion Papers 5020, C.E.P.R. Discussion Papers.
  5. Ingrid Nappi-Choulet & Isabelle Maleyre & Tristan-Pierre Maury, 2005. "A Hedonic Price Model for the Office Market: An Application for the Paris-La DÈfense District," ERES eres2005_263, European Real Estate Society (ERES).
  6. Chéron, Arnaud & Langot, François & Hairault, Jean-Olivier, 2005. "La baisse des charges en France : Un bon compromis entre emploi et productivité," CEPREMAP Working Papers (Docweb) 0508, CEPREMAP.

2004

  1. Maury, P-M. & Pluyaud, B., 2004. "The Breaks in per Capita Productivity Trends in a Number of Industrial Countries," Working papers 111, Banque de France.
  2. Matheron,J. & Maury, P-M., 2004. "Evaluating the Fit of Sticky Price Models," Working papers 104, Banque de France.
  3. Palomino, Frédéric & Sadrieh, Abdolkarim, 2004. "Overconfidence and Delegated Portfolio Management," CEPR Discussion Papers 4231, C.E.P.R. Discussion Papers.
  4. Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2004. "Labor Market Institutions and the Employment-Productivity Trade-Off: A Wage Posting Approach," IZA Discussion Papers 1364, Institute of Labor Economics (IZA).
  5. Cheron, Arnaud & Khaskhoussi, Fouad & Khaskhoussi, Tarek & Langot, François, 2004. "Voluntary and involuntary retirement decision : does real wage rigidity affects the effectiveness of pension reforms ?," MPRA Paper 9119, University Library of Munich, Germany.
  6. Ljungqvist, Alexander & Boehmer, Ekkehart, 2004. "On the decision to go public: Evidence from privately-held firms," Discussion Paper Series 1: Economic Studies 2004,16, Deutsche Bundesbank.

2003

  1. Frederic Palomino & Jozsef Sakovics, 2003. "Inter-league competition for talent vs. competitive balance," Edinburgh School of Economics Discussion Paper Series 96, Edinburgh School of Economics, University of Edinburgh.
  2. Marco Becht & Ekkehart Boehmer, 2003. "Voting control in German corporations," ULB Institutional Repository 2013/13312, ULB -- Universite Libre de Bruxelles.
  3. Lionel Martellini & Branko Urosevic, 2003. "On the valuation and incentive effects of executive cash bonus contracts," Economics Working Papers 784, Department of Economics and Business, Universitat Pompeu Fabra.

2002

  1. Uppal, Raman & Wang, Tan, 2002. "Model Misspecification and Under-Diversification," CEPR Discussion Papers 3304, C.E.P.R. Discussion Papers.
  2. Uppal, Raman & Sercu, Piet & Apte, Prakesh, 2002. "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers 3343, C.E.P.R. Discussion Papers.
  3. Uppal, Raman & Das, Sanjiv Ranjan, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
  4. Uhlig, Harald & Palomino, Frédéric, 2002. "Should Smart Investors Buy Funds with High Returns in the Past?," CEPR Discussion Papers 3282, C.E.P.R. Discussion Papers.
  5. Sonia Falconieri & Frederic Palomino & Jozsef Sakovics, 2002. "Collective vs. Individual Sale of TV Rights in League Sports," Edinburgh School of Economics Discussion Paper Series 85, Edinburgh School of Economics, University of Edinburgh.
  6. Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2002. "Le salaire minimum et les revenus de substitution comme outils de coordination des stratégies salariales des firmes," CEPREMAP Working Papers (Couverture Orange) 0211, CEPREMAP.

2001

  1. Leonid Kogan & Raman Uppal, 2001. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," NBER Working Papers 8609, National Bureau of Economic Research, Inc.
  2. Frederic Palomino & Luca Rigotti, 2001. "The Sport League's Dilemma: Competitive Balance versus Incentives to Win," Industrial Organization 0012003, University Library of Munich, Germany.
  3. Palomino, Frédéric & Prat, Andrea & Goriaev, Alexei P., 2001. "Mutual Fund Tournament: Risk Taking Incentives Induced By Ranking Objectives," CEPR Discussion Papers 2794, C.E.P.R. Discussion Papers.
  4. Barinci, Jean-Paul & Chéron, Arnaud, 2001. "Real business cycles and the animal spirits hypothesis in a CIA economy," CEPREMAP Working Papers (Couverture Orange) 0110, CEPREMAP.
  5. Chéron, Arnaud, 2001. "Participation limitée, rigidités de prix et propagation des impulsions monétaires : une évaluation quantitative," CEPREMAP Working Papers (Couverture Orange) 0111, CEPREMAP.
  6. Jean-Paul Barinci & Arnaud Chéron, 2001. "Real Business Cycles and the Animal Spirits Hypothesis in a Cash-in-Advance Economy," Documents de recherche 01-13, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
  7. Marco Becht & Ekkehart Boehmer, 2001. "Ownership and voting power in Germany," ULB Institutional Repository 2013/13334, ULB -- Universite Libre de Bruxelles.
  8. Abraham Lioui & Patrice Poncet, 2001. "International Asset Allocation: A New Perspective," Working Papers 2001-04, Bar-Ilan University, Department of Economics.
  9. Abraham Lioui & Patrice Poncet, 2001. "General Equilibrium Pricing of Trading Strategy Risk," Working Papers 2001-13, Bar-Ilan University, Department of Economics.
  10. Abraham Lioui & Patrice Poncet, 2001. "Dynamic Asset Pricing With Non-Redundant Forwards," Working Papers 2001-10, Bar-Ilan University, Department of Economics.

2000

  1. Frederic Palomino, 2000. "Competitive Balance vs. Incentives to Win: A Theoretical Analysis of Revenue Sharing," Econometric Society World Congress 2000 Contributed Papers 0930, Econometric Society.
  2. Frederic Palomino & Jozsef Sakovics, 2000. "Revenue sharing in professional sports leagues: for the sake of competitive balance or as a result of monopsony power?," Edinburgh School of Economics Discussion Paper Series 59, Edinburgh School of Economics, University of Edinburgh.
  3. Frederic Palomino & Luca Rigotti & Aldo Rustichini, 2000. "Skill, Strategy, and Passion: an Empirical Analysis of Soccer," Econometric Society World Congress 2000 Contributed Papers 1822, Econometric Society.
  4. Barinci, J.P. & Cheron, A., 2000. "Sunspots and Business Cycle in a Finance Constrained Economy," Papiers d'Economie Mathématique et Applications 2000.10, Université Panthéon-Sorbonne (Paris 1).
  5. Algan, Y. & Hairault, J.-O., 2000. "Epargne de precaution et chomage : une evaluation quantitative de l'auto-assurance," Papiers d'Economie Mathématique et Applications 2000.92, Université Panthéon-Sorbonne (Paris 1).

1999

  1. Bernard Dumas & Raman Uppal, 1999. "Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods," NBER Working Papers 6994, National Bureau of Economic Research, Inc.
  2. Palomino, Frédéric & Prat, Andrea, 1999. "Risk Taking and Optimal Contracts for Money Managers," CEPR Discussion Papers 2066, C.E.P.R. Discussion Papers.
  3. Chéron, A. & Langot, François, 1999. "The Phillips and Beveridge curves revisited," CEPREMAP Working Papers (Couverture Orange) 9905, CEPREMAP.
  4. Chéron, A. & Langot, François, 1999. "Labor-market search, welfare ranking and the real wage over the business cycle," CEPREMAP Working Papers (Couverture Orange) 9902, CEPREMAP.
  5. Arnaud CHÉRON, 1999. "Mobilité interrégionale, réallocation de l’emploi et dynamique du chômage," Discussion Papers (REL - Recherches Economiques de Louvain) 1999023, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
  6. Ekkehart Boehmer, 1999. "Business Groups, Bank Control and Large Shareholders: An Analysis of German Takeovers," Working Papers 1999.20, Fondazione Eni Enrico Mattei.

1998

  1. Bernard Dumas & Raman Uppal & Tan Wang, 1998. "Efficient Intertemporal Allocations with Recursive Utility," NBER Technical Working Papers 0231, National Bureau of Economic Research, Inc.
  2. Palomino, Frédéric, 1998. "Relative Performance Equilibrium in Financial Markets," CEPR Discussion Papers 1993, C.E.P.R. Discussion Papers.
  3. Cheron, A. & Langot, F., 1998. "A Monetary Model of Business Cycle with Search on the Labor Market," Papiers d'Economie Mathématique et Applications 98.56, Université Panthéon-Sorbonne (Paris 1).

1996

  1. Moyen, N. & Slade, M. & Uppal, R., 1996. "Valuing Risk and Flexibility: A Comparison of Methods," G.R.E.Q.A.M. 96b08, Universite Aix-Marseille III.
  2. Prakash Apte & Piet Sercu & Raman Uppal, 1996. "The Equilibrium Approach to Exchange Rates: Theory and Tests," NBER Working Papers 5748, National Bureau of Economic Research, Inc.
  3. Palomino, F. & Vega, F., 1996. "Convergence of Aspirations and (Partial) Cooperation in the Prisoners's Dilemma," UFAE and IAE Working Papers 345.96, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

1995

  1. Palomino, F., 1995. "Market Manipulations and the Weekend Effect," UFAE and IAE Working Papers 317.95, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  2. Palomino, F., 1995. "On the Survival of Strictly Dominated Strategies in Large Populations," UFAE and IAE Working Papers 308.95, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

Journal articles

2023

  1. Dimic, Nebojsa & Goodell, John W. & Piljak, Vanja & Vulanovic, Milos, 2023. "Acquisition determinants of energy SPACs: Reflecting a closed group?," Finance Research Letters, Elsevier, vol. 55(PB).

2022

  1. Kevin Beaubrun‐Diant & Tristan‐Pierre Maury, 2022. "Corporate focus, residential assets, and the performance of French REITs," Bulletin of Economic Research, Wiley Blackwell, vol. 74(2), pages 599-621, April.
  2. Du, Yan & Goodell, John W. & Piljak, Vanja & Vulanovic, Milos, 2022. "Subsidiary financing choices: The roles of institutional distances from home countries," International Review of Financial Analysis, Elsevier, vol. 83(C).

2021

  1. Kevin Beaubrun-Diant & Tristan-Pierre Maury, 2021. "Implications of homeownership policies on land prices: the case of a French experiment," Economics Bulletin, AccessEcon, vol. 41(3), pages 1256-1265.
  2. Pierre Courtioux & Tristan-Pierre Maury, 2021. "Social Diversity: A Review of Twelve Years of Targeting Priority Education Policies," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 528-529, pages 9-28.
  3. Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2021. "The structure and degree of dependence in government bond markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  4. Mirjana Cizmović & Yochanan Shachmurove & Milos Vulanovic, 2021. "Real Effective Exchange Rates and deindustrialization: Evidence from 25 Post-Communist Eastern European countries," Post-Communist Economies, Taylor & Francis Journals, vol. 33(7), pages 862-898, October.

2020

  1. Victor DeMiguel & Alberto Martín-Utrera & Francisco J Nogales & Raman Uppal, 2020. "A Transaction-Cost Perspective on the Multitude of Firm Characteristics," The Review of Financial Studies, Society for Financial Studies, vol. 33(5), pages 2180-2222.
  2. Pierre Courtioux & Tristan-Pierre Maury, 2020. "Private and public schools: A spatial analysis of social segregation in France," Urban Studies, Urban Studies Journal Limited, vol. 57(4), pages 865-882, March.
  3. Blomkvist, Magnus & Vulanovic, Milos, 2020. "SPAC IPO waves," Economics Letters, Elsevier, vol. 197(C).
  4. Croux, Christophe & Jagtiani, Julapa & Korivi, Tarunsai & Vulanovic, Milos, 2020. "Important factors determining Fintech loan default: Evidence from a lendingclub consumer platform," Journal of Economic Behavior & Organization, Elsevier, vol. 173(C), pages 270-296.
  5. Eisele, Alexander & Nefedova, Tamara & Parise, Gianpaolo & Peijnenburg, Kim, 2020. "Trading out of sight: An analysis of cross-trading in mutual fund families," Journal of Financial Economics, Elsevier, vol. 135(2), pages 359-378.

2019

  1. Harjoat S. Bhamra & Raman Uppal, 2019. "Does Household Finance Matter? Small Financial Errors with Large Social Costs," American Economic Review, American Economic Association, vol. 109(3), pages 1116-1154, March.
  2. Tristan‐Pierre Maury & Fabien Tripier, 2019. "The quality effect of intra‐firm bargaining with endogenous worker flows," International Journal of Economic Theory, The International Society for Economic Theory, vol. 15(2), pages 183-207, June.
  3. Vincenzo Russo & Rosella Giacometti & Frank J. Fabozzi, 2019. "Market implied volatilities for defaultable bonds," Annals of Operations Research, Springer, vol. 275(2), pages 669-683, April.
  4. Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019. "Quantile-Based Inference for Tempered Stable Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 51-83, January.
  5. Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019. "Enhancing binomial and trinomial equity option pricing models," Finance Research Letters, Elsevier, vol. 28(C), pages 185-190.
  6. Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
  7. Frank J. Fabozzi & Keli Xiao, 2019. "The Timeline Estimation of Bubbles: The Case of Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 47(2), pages 564-594, June.
  8. Vohra, Suprita & Fabozzi, Frank J., 2019. "Effectiveness of developed and emerging market FX options in active currency risk management," Journal of International Money and Finance, Elsevier, vol. 96(C), pages 130-146.
  9. Fabozzi, Frank J. & Lamba, Asjeet S. & Nishikawa, Takeshi & Rao, Ramesh P. & Ma, K.C., 2019. "Does the corporate bond market overvalue bonds of sin companies?," Finance Research Letters, Elsevier, vol. 28(C), pages 165-170.
  10. David A. Mascio & Frank J. Fabozzi, 2019. "Sentiment indices and their forecasting ability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 257-276, July.
  11. Arnaud Cheron & Kazuo Nishimura & Carine Nourry & Thomas Seegmuller & Alain Venditti, 2019. "Growth and Public Debt: What Are the Relevant Trade‐Offs?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 51(2-3), pages 655-682, March.
  12. Lioui, Abraham & Tarelli, Andrea, 2019. "Macroeconomic environment, money demand and portfolio choice," European Journal of Operational Research, Elsevier, vol. 274(1), pages 357-374.
  13. Gianpaolo Parise & Kim Peijnenburg, 2019. "Noncognitive Abilities and Financial Distress: Evidence from a Representative Household Panel," The Review of Financial Studies, Society for Financial Studies, vol. 32(10), pages 3884-3919.

2018

  1. Stéphane Gregoir & Tristan-Pierre Maury, 2018. "The Negative and Persistent Impact of Social Housing on Employment," Annals of Economics and Statistics, GENES, issue 130, pages 133-166.
  2. Nazemi, Abdolreza & Fabozzi, Frank J., 2018. "Macroeconomic variable selection for creditor recovery rates," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 14-25.
  3. Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018. "Local volatility and the recovery rate of credit default swaps," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 1-29.
  4. Nazemi, Abdolreza & Heidenreich, Konstantin & Fabozzi, Frank J., 2018. "Improving corporate bond recovery rate prediction using multi-factor support vector regressions," European Journal of Operational Research, Elsevier, vol. 271(2), pages 664-675.
  5. Patel, Jinal & Russo, Vincenzo & Fabozzi, Frank J., 2018. "Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies," Finance Research Letters, Elsevier, vol. 25(C), pages 196-201.
  6. Sergio Ortobelli Lozza & Wing-Keung Wong & Frank J. Fabozzi & Martin Egozcue, 2018. "Diversification versus optimality: is there really a diversification puzzle?," Applied Economics, Taylor & Francis Journals, vol. 50(43), pages 4671-4693, September.
  7. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
  8. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018. "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
  9. Jang Ho Kim & Woo Chang Kim & Do-Gyun Kwon & Frank J. Fabozzi, 2018. "Robust equity portfolio performance," Annals of Operations Research, Springer, vol. 266(1), pages 293-312, July.
  10. Yongjae Lee & Do-Gyun Kwon & Woo Chang Kim & Frank J. Fabozzi, 2018. "An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey," Applied Economics, Taylor & Francis Journals, vol. 50(40), pages 4318-4327, August.
  11. Chéron, Arnaud & Terriau, Anthony, 2018. "Life cycle training and equilibrium unemployment," Labour Economics, Elsevier, vol. 50(C), pages 32-44.
  12. Peijnenburg, Kim, 2018. "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(5), pages 1963-1994, October.

2017

  1. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2017. "Penalizing variances for higher dependency on factors," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 479-489, April.
  2. Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J., 2017. "Intensity-based framework for surrender modeling in life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 189-196.
  3. Svetlozar T. Rachev & Stoyan V. Stoyanov & Frank J. Fabozzi, 2017. "Financial Markets With No Riskless (Safe) Asset," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-24, December.
  4. Sensoy, Ahmet & Fabozzi, Frank J. & Eraslan, Veysel, 2017. "Predictability dynamics of emerging sovereign CDS markets," Economics Letters, Elsevier, vol. 161(C), pages 5-9.
  5. Stoyan Stoyanov & Lixia Loh & Frank J. Fabozzi, 2017. "How fat are the tails of equity market indices?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(3), pages 181-200, July.
  6. Nazemi, Abdolreza & Fatemi Pour, Farnoosh & Heidenreich, Konstantin & Fabozzi, Frank J., 2017. "Fuzzy decision fusion approach for loss-given-default modeling," European Journal of Operational Research, Elsevier, vol. 262(2), pages 780-791.
  7. Fabozzi, Frank J. & Nawas, Mike E. & Vink, Dennis, 2017. "Exploring rating shopping for european triple a senior structured finance securities," Finance Research Letters, Elsevier, vol. 20(C), pages 35-39.
  8. Yosef Bonaparte & Frank J. Fabozzi, 2017. "Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 24(13), pages 923-927, July.
  9. Rama Malladi & Frank J. Fabozzi, 2017. "Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence," Journal of Asset Management, Palgrave Macmillan, vol. 18(3), pages 188-208, May.
  10. Fabozzi, Frank J. & Xiao, Keli, 2017. "Explosive rents: The real estate market dynamics in exuberance," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 100-107.
  11. Frank J. Fabozzi & Ahmet K. Karagozoglu & Na Wang, 2017. "Effects of Spot Market Short-Sale Constraints on Index Futures Trading," Review of Finance, European Finance Association, vol. 21(5), pages 1975-2005.
  12. Yosef Bonaparte & Frank J Fabozzi, 2017. "A flexible approach to estimate the equity premium," Applied Economics, Taylor & Francis Journals, vol. 49(59), pages 5940-5950, December.
  13. Rama Malladi & Frank J. Fabozzi, 2017. "Skillful hiding: evaluating hedge fund managers’ performance based on what they hide," Applied Economics, Taylor & Francis Journals, vol. 49(7), pages 664-676, February.
  14. Fabozzi, Frank J. & Paletta, Tommaso & Tunaru, Radu, 2017. "An improved least squares Monte Carlo valuation method based on heteroscedasticity," European Journal of Operational Research, Elsevier, vol. 263(2), pages 698-706.
  15. Arnaud Cheron & Bruno Decreuse, 2017. "Matching with Phantoms," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 84(3), pages 1041-1070.
  16. Shachmurove, Yochanan & Vulanovic, Milos, 2017. "U.S. SPACs with a focus on China," Journal of Multinational Financial Management, Elsevier, vol. 39(C), pages 1-18.
  17. Bütler, Monika & Peijnenburg, Kim & Staubli, Stefan, 2017. "How much do means-tested benefits reduce the demand for annuities?," Journal of Pension Economics and Finance, Cambridge University Press, vol. 16(4), pages 419-449, October.
  18. Kim Peijnenburg & Theo Nijman & Bas J.M. Werker, 2017. "Health Cost Risk: A Potential Solution to the Annuity Puzzle," Economic Journal, Royal Economic Society, vol. 127(603), pages 1598-1625, August.

2016

  1. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
  2. E. Beaubrun-Diant, Kevin. & Maury, Tristan-Pierre, 2016. "Home tenure, stock market participation, and composition of the household portfolio," Journal of Housing Economics, Elsevier, vol. 32(C), pages 1-17.
  3. Zhou, Xiaoping & Durfee, Antonina V. & Fabozzi, Frank J., 2016. "On stability of operational risk estimates by LDA: From causes to approaches," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 266-278.
  4. Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016. "Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion," Economics Letters, Elsevier, vol. 145(C), pages 225-229.
  5. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2016. "Portfolio selection with conservative short-selling," Finance Research Letters, Elsevier, vol. 18(C), pages 363-369.
  6. Subbiah, Mohan & Fabozzi, Frank J., 2016. "Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 189-201.
  7. Fabozzi, Frank J. & Giacometti, Rosella & Tsuchida, Naoshi, 2016. "Factor decomposition of the Eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 1-23.
  8. Mohan Subbiah & Frank J Fabozzi, 2016. "Equity style allocation: A nonparametric approach," Journal of Asset Management, Palgrave Macmillan, vol. 17(3), pages 141-164, May.
  9. Sun, Andrew & Lachanski, Michael & Fabozzi, Frank J., 2016. "Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 272-281.
  10. Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
  11. Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016. "Elliptical tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1069-1087, July.
  12. Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
  13. Fabozzi, Frank J. & Paletta, Tommaso & Stanescu, Silvia & Tunaru, Radu, 2016. "An improved method for pricing and hedging long dated American options," European Journal of Operational Research, Elsevier, vol. 254(2), pages 656-666.
  14. Arnaud Chéron & Anthony Terriau, 2016. "Dépréciation du capital humain et formation continue au cours du cycle de vie : Quelle dynamique des externalités sociales ?," Revue d'économie politique, Dalloz, vol. 126(3), pages 435-462.
  15. Lioui, Abraham & Poncet, Patrice, 2016. "Understanding dynamic mean variance asset allocation," European Journal of Operational Research, Elsevier, vol. 254(1), pages 320-337.
  16. Peijnenburg, Kim & Nijman, Theo & Werker, Bas J.M., 2016. "The annuity puzzle remains a puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 18-35.
  17. Dimmock, Stephen G. & Kouwenberg, Roy & Mitchell, Olivia S. & Peijnenburg, Kim, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 119(3), pages 559-577.

2015

  1. Frank J. Fabozzi & Dennis Vink, 2015. "The information content of three credit ratings: the case of European residential mortgage-backed securities," The European Journal of Finance, Taylor & Francis Journals, vol. 21(3), pages 172-194, February.
  2. Stoyan Valchev & Radu Tunaru & Frank J. Fabozzi, 2015. "Multiperiod conditional valuation of barrier options with incomplete information," Quantitative Finance, Taylor & Francis Journals, vol. 15(7), pages 1093-1102, July.
  3. Fabozzi, Frank J., 2015. "Measuring and explaining pension system risk," Journal of Pension Economics and Finance, Cambridge University Press, vol. 14(2), pages 161-171, April.
  4. Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
  5. Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015. "Focusing on the worst state for robust investing," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 19-31.
  6. Vincenzo Russo & Rosella Giacometti & Svetlozar Rachev & Frank J. Fabozzi, 2015. "A Three-Factor Model for Mortality Modeling," North American Actuarial Journal, Taylor & Francis Journals, vol. 19(2), pages 129-141, April.
  7. Yifan Yang & Frank J. Fabozzi & Michele Leonardo Bianchi, 2015. "Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty," Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-31.
  8. Shachmurove, Yochanan & Vulanovic, Milos, 2015. "Specified purpose acquisition companies in shipping," Global Finance Journal, Elsevier, vol. 26(C), pages 64-79.
  9. Stephen Dimmock & Roy Kouwenberg & Olivia Mitchell & Kim Peijnenburg, 2015. "Estimating ambiguity preferences and perceptions in multiple prior models: Evidence from the field," Journal of Risk and Uncertainty, Springer, vol. 51(3), pages 219-244, December.

2014

  1. Harjoat S. Bhamra & Raman Uppal, 2014. "Asset Prices with Heterogeneity in Preferences and Beliefs," The Review of Financial Studies, Society for Financial Studies, vol. 27(2), pages 519-580.
  2. Victor DeMiguel & Francisco J. Nogales & Raman Uppal, 2014. "Stock Return Serial Dependence and Out-of-Sample Portfolio Performance," The Review of Financial Studies, Society for Financial Studies, vol. 27(4), pages 1031-1073.
  3. Maury, Tristan-Pierre & Tripier, Fabien, 2014. "Search strategies on the housing market and their implications on price dispersion," Journal of Housing Economics, Elsevier, vol. 26(C), pages 55-80.
  4. Stéphane GREGOIR & Tristan-Pierre MAURY, 2014. "Empowerment Zones And The Housing Market In Paris Inner City," Region et Developpement, Region et Developpement, LEAD, Universite du Sud - Toulon Var, vol. 40, pages 69-82.
  5. Kim, Woo Chang & Kim, Min Jeong & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Robust portfolios that do not tilt factor exposure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 411-421.
  6. Kim, Woo Chang & Fabozzi, Frank J. & Cheridito, Patrick & Fox, Charles, 2014. "Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments," Economics Letters, Elsevier, vol. 122(2), pages 154-158.
  7. Xiaoping Zhou & Dmitry Malioutov & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Smooth monotone covariance for elliptical distributions and applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1555-1571, September.
  8. Xiaoping Zhou & Rosella Giacometti & Frank J. Fabozzi & Ann H. Tucker, 2014. "Bayesian estimation of truncated data with applications to operational risk measurement," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 863-888, May.
  9. Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
  10. Zaevski, Tsvetelin S. & Kim, Young Shin & Fabozzi, Frank J., 2014. "Option pricing under stochastic volatility and tempered stable Lévy jumps," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 101-108.
  11. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
  12. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2014. "Recent Developments in Robust Portfolios with a Worst-Case Approach," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 103-121, April.
  13. Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
  14. Michele Bianchi & Frank Fabozzi, 2014. "Discussion of ‘on simulation and properties of the stable law’ by Devroye and James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 353-357, August.
  15. Belan, Pascal & Chéron, Arnaud, 2014. "Turbulence, training and unemployment," Labour Economics, Elsevier, vol. 27(C), pages 16-29.
  16. Lioui, Abraham & Maio, Paulo, 2014. "Interest Rate Risk and the Cross Section of Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 49(2), pages 483-511, April.
  17. Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos, 2014. "Institutional changes of Specified Purpose Acquisition Companies (SPACs)," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 149-169.

2013

  1. DeMiguel, Victor & Plyakha, Yuliya & Uppal, Raman & Vilkov, Grigory, 2013. "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(6), pages 1813-1845, December.
  2. Stéphane Gregoir & Tristan‐Pierre Maury, 2013. "The Impact Of Social Housing On The Labour Market Status Of The Disabled," Health Economics, John Wiley & Sons, Ltd., vol. 22(9), pages 1124-1138, September.
  3. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2013. "Composition of robust equity portfolios," Finance Research Letters, Elsevier, vol. 10(2), pages 72-81.
  4. Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013. "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, vol. 16(C), pages 46-65.
  5. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013. "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
  6. Andrew H. Chen & Frank J. Fabozzi & Dashan Huang, 2013. "Optimal corporate strategy under uncertainty," Applied Economics, Taylor & Francis Journals, vol. 45(20), pages 2877-2882, July.
  7. Fabozzi Frank J. & Stoyanov Stoyan V. & Rachev Svetlozar T., 2013. "Computational aspects of portfolio risk estimation in volatile markets: a survey," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 103-120, February.
  8. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2013. "The role of jump dynamics in the risk–return relationship," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 212-218.
  9. Turan G. Bali & Nusret Cakici & Frank J. Fabozzi, 2013. "The new issues puzzle: evidence from non-US firms," Applied Economics Letters, Taylor & Francis Journals, vol. 20(17), pages 1586-1591, November.
  10. Beck Alexander & Kim Young Shin Aaron & Rachev Svetlozar & Feindt Michael & Fabozzi Frank, 2013. "Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 167-177, April.
  11. Sergio Ortobelli Lozza & Haim Shalit & Frank J. Fabozzi, 2013. "Portfolio Selection Problems Consistent With Given Preference Orderings," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-38.
  12. Woo Kim & Jang Kim & So Ahn & Frank Fabozzi, 2013. "What do robust equity portfolio models really do?," Annals of Operations Research, Springer, vol. 205(1), pages 141-168, May.
  13. Sergio M. Focardi & Frank J. Fabozzi, 2013. "Factor Uniqueness In The S&P 500 Universe: Can Proprietary Factors Exist?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-20.
  14. Stoyan Stoyanov & Svetlozar Rachev & Frank Fabozzi, 2013. "Sensitivity of portfolio VaR and CVaR to portfolio return characteristics," Annals of Operations Research, Springer, vol. 205(1), pages 169-187, May.
  15. Arnaud Chéron & Jean-Olivier Hairault & François Langot, 2013. "Life-Cycle Equilibrium Unemployment," Journal of Labor Economics, University of Chicago Press, vol. 31(4), pages 843-882.
  16. Ekkehart Boehmer & Juan (Julie) Wu, 2013. "Short Selling and the Price Discovery Process," The Review of Financial Studies, Society for Financial Studies, vol. 26(2), pages 287-322.
  17. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang, 2013. "Shackling Short Sellers: The 2008 Shorting Ban," The Review of Financial Studies, Society for Financial Studies, vol. 26(6), pages 1363-1400.
  18. Lioui, Abraham, 2013. "Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1066-1096.
  19. Lioui, Abraham & Poncet, Patrice, 2013. "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, vol. 226(2), pages 268-276.
  20. Mirjana Cizmovic & Milan Lakicevic & Milos Vulanovic, 2013. "Unit Ipo'S: A Case Of Specified Purpose Acquisition Companies (Spacs)," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 9(1), pages 45-52.

2012

  1. Phelim Boyle & Lorenzo Garlappi & Raman Uppal & Tan Wang, 2012. "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification," Management Science, INFORMS, vol. 58(2), pages 253-272, February.
  2. Stéphane Gregoir & Mathieu Hutin & Tristan-Pierre Maury & Genevièvre Prandi, 2012. "Measuring Local Individual Housing Returns from a Large Transaction Database," Annals of Economics and Statistics, GENES, issue 107-108, pages 93-131.
  3. Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev, 2012. "Option pricing and hedging under a stochastic volatility Lévy process model," Review of Derivatives Research, Springer, vol. 15(1), pages 81-97, April.
  4. Frank J. Fabozzi & Arturo Leccadito & Radu S. Tunaru, 2012. "A new method for generating approximation algorithms for financial mathematics applications," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1571-1583, October.
  5. Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J., 2012. "A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 85-93.
  6. Andrew Chen & Frank Fabozzi & Dashan Huang, 2012. "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 509-526, November.
  7. Frank J. Fabozzi & Dennis Vink, 2012. "Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities," European Financial Management, European Financial Management Association, vol. 18(4), pages 515-542, September.
  8. Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
  9. Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi, 2012. "Metrization Of Stochastic Dominance Rules," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 1-22.
  10. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012. "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
  11. Hassan Fallahgoul & S. M. Hashemiparast & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2012. "Approximation of Stable and Geometric Stable Distribution," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 1(3), pages 1-8.
  12. Lioui, Abraham & Poncet, Patrice, 2012. "On model ambiguity and money neutrality," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1020-1033.
  13. Lioui, Abraham & Sharma, Zenu, 2012. "Environmental corporate social responsibility and financial performance: Disentangling direct and indirect effects," Ecological Economics, Elsevier, vol. 78(C), pages 100-111.

2011

  1. Ingrid Nappi‐Choulet & Tristan‐Pierre Maury, 2011. "A Spatial And Temporal Autoregressive Local Estimation For The Paris Housing Market," Journal of Regional Science, Wiley Blackwell, vol. 51(4), pages 732-750, October.
  2. Ryan, Ronald & Fabozzi , Frank, 2011. "Liability Index Fund: The Liability Beta Portfolio," Journal of Financial Transformation, Capco Institute, vol. 33, pages 29-33.
  3. Jan Henneke & Svetlozar Rachev & Frank Fabozzi & Metodi Nikolov, 2011. "MCMC-based estimation of Markov Switching ARMA-GARCH models," Applied Economics, Taylor & Francis Journals, vol. 43(3), pages 259-271.
  4. Yosef Bonaparte & Frank Fabozzi, 2011. "Household search choice: theory and evidence," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3835-3847.
  5. Bonaparte, Yosef & Fabozzi, Frank J., 2011. "Is food consumption a good proxy for nondurable consumption?," Economics Letters, Elsevier, vol. 111(2), pages 110-112, May.
  6. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
  7. Möller, Christoph & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Balancing energy strategies in electricity portfolio management," Energy Economics, Elsevier, vol. 33(1), pages 2-11, January.
  8. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011. "Time series analysis for financial market meltdowns," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1879-1891, August.
  9. Sun, Edward W. & Rezania, Omid & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Analysis of the intraday effects of economic releases on the currency market," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 692-707, June.
  10. Tobias Nigbur, 2011. "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, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 477-478, December.
  11. Palomino, Frederic & Sadrieh, Abdolkarim, 2011. "Overconfidence and delegated portfolio management," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 159-177, April.
  12. Arnaud Chéron & Francois Langot & Eva Moreno‐Galbis, 2011. "Labour Market Institutions and Technological Employment," Economica, London School of Economics and Political Science, vol. 78(309), pages 159-186, January.
  13. Arnaud Chéron & Aymen Esselmi & Simon Petitrenaud, 2011. "Does Uncertainty of Firing Costs Reduce Hirings?," LABOUR, CEIS, vol. 25(1), pages 89-96, March.
  14. Arnaud Chéron & Bénédicte Rouland, 2011. "Inefficient Job Destructions and Training with Hold‐up," LABOUR, CEIS, vol. 25(4), pages 397-420, December.
  15. Arnaud Chéron & Jean‐Olivier Hairault & François Langot, 2011. "Age‐Dependent Employment Protection," Economic Journal, Royal Economic Society, vol. 121(557), pages 1477-1504, December.
  16. Pascal Belan & Arnaud Chéron, 2011. "Chômage d'équilibre, dépréciation du capital humain général et subvention optimale à la formation," Revue d'économie politique, Dalloz, vol. 121(2), pages 209-231.
  17. Chéron, Arnaud & Rouland, Bénédicte, 2011. "Endogenous job destructions and the distribution of wages," Labour Economics, Elsevier, vol. 18(6), pages 845-852.
  18. Abraham Lioui & Patrice Poncet, 2011. "Misunderstanding risk and return?," Finance, Presses universitaires de Grenoble, vol. 32(2), pages 91-136.
  19. Milan Lakicevic & Milos Vulanovic, 2011. "The Role Of Warrants In Shelf Offerings," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 7(1), pages 73-78.
  20. Peijnenburg, Kim, 2011. "Evaluating the Financial Performance of Pension Funds. Richard Hinz, Heinz Rudolph, Pablo Antolin and Juan Yermo, eds. World Bank, 2010, ISBN 978-0-821-38159-5, 352 pages," Journal of Pension Economics and Finance, Cambridge University Press, vol. 10(1), pages 157-159, January.

2010

  1. Huang, Dashan & Zhu, Shushang & Fabozzi, Frank J. & Fukushima, Masao, 2010. "Portfolio selection under distributional uncertainty: A relative robust CVaR approach," European Journal of Operational Research, Elsevier, vol. 203(1), pages 185-194, May.
  2. Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao, 2010. "Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-26, March.
  3. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010. "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 195-211, March.
  4. Ivan Mitov & Svetlozar Rachev & Frank Fabozzi, 2010. "Approximation of aggregate and extremal losses within the very heavy tails framework," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1153-1162.
  5. Ren-Raw Chen & Frank Fabozzi, 2010. "A risk-based evaluation of the free-trader option," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 235-240.
  6. Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010. "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
  7. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2010. "Property Derivatives for Managing European Real†Estate Risk," European Financial Management, European Financial Management Association, vol. 16(1), pages 8-26, January.
  8. Sergio M. Focardi & Frank J. Fabozzi, 2010. "The Reasonable Effectiveness of Mathematics in Economics," The American Economist, Sage Publications, vol. 55(1), pages 19-30, May.
  9. Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
  10. Stoyan Stoyanov & Borjana Racheva-Iotova & Svetlozar Rachev & Frank Fabozzi, 2010. "Stochastic models for risk estimation in volatile markets: a survey," Annals of Operations Research, Springer, vol. 176(1), pages 293-309, April.
  11. Palomino, Frédéric & Peyrache, Eloïc-Anil, 2010. "Psychological bias and gender wage gap," Journal of Economic Behavior & Organization, Elsevier, vol. 76(3), pages 563-573, December.
  12. Chéron, Arnaud & Langot, François, 2010. "On-the-job search equilibrium with endogenous unemployment benefits," Labour Economics, Elsevier, vol. 17(2), pages 383-391, April.
  13. Boehmer, Ekkehart & Huszar, Zsuzsa R. & Jordan, Bradford D., 2010. "The good news in short interest," Journal of Financial Economics, Elsevier, vol. 96(1), pages 80-97, April.
  14. Abraham Lioui & Patrice Poncet, 2010. "Money and Asset Prices in a Production Economy," Finance, Presses universitaires de Grenoble, vol. 31(2), pages 007-049.
  15. Lionel Martellini & Volker Ziemann, 2010. "Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1467-1502, April.

2009

  1. Victor DeMiguel & Lorenzo Garlappi & Raman Uppal, 2009. "Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1915-1953, May.
  2. Victor DeMiguel & Lorenzo Garlappi & Francisco J. Nogales & Raman Uppal, 2009. "A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms," Management Science, INFORMS, vol. 55(5), pages 798-812, May.
  3. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2009. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, April.
  4. Harjoat S. Bhamra & Raman Uppal, 2009. "The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion," The Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2303-2330, June.
  5. Ingrid Nappi‐Choulet Pr. & Tristan‐Pierre Maury, 2009. "A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 37(2), pages 305-340, June.
  6. Giacomo Valletta, 2009. "A fair solution to the compensation problem," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 32(3), pages 455-478, March.
  7. Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi, 2009. "Orderings and Probability Functionals Consistent with Preferences," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 81-102.
  8. Sebastian Kring & Svetlozar T. Rachev & Markus Höchstötter & Frank J. Fabozzi & Michele Leonardo Bianchi, 2009. "Multi-tail generalized elliptical distributions for asset returns," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 272-291, July.
  9. Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Pricing of credit default index swap tranches with one-factor heavy-tailed copula models," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 201-215, March.
  10. Frank Fabozzi & Radu Tunaru & George Albota, 2009. "Estimating risk-neutral density with parametric models in interest rate markets," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 55-70.
  11. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Construction of probability metrics on classes of investors," Economics Letters, Elsevier, vol. 103(1), pages 45-48, April.
  12. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
  13. Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009. "A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions," European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361, March.
  14. Frank Fabozzi & Yi-Chen Wang & Shih-Kuo Yeh & Ren-Raw Chen, 2009. "An empirical analysis of the CDX index and its tranches," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1425-1431.
  15. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2009. "A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence," Empirical Economics, Springer, vol. 36(1), pages 201-229, February.
  16. Maté, Carlos, 2009. "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, Elsevier, vol. 25(3), pages 632-634, July.
  17. Svetlozar Rachev & Frank Fabozzi, 2009. "Introduction to special issue: studies in mathematical and empirical finance," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 375-377, July.
  18. Georgi K. Mitov & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi, 2009. "Barrier Option Pricing By Branching Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1055-1073.
  19. Sergio Focardi & Frank Fabozzi, 2009. "Black swans and white eagles: on mathematics and finance," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 379-394, July.
  20. Palomino, Frederic & Renneboog, Luc & Zhang, Chendi, 2009. "Information salience, investor sentiment, and stock returns: The case of British soccer betting," Journal of Corporate Finance, Elsevier, vol. 15(3), pages 368-387, June.
  21. Arnaud Chéron, 2009. "Equilibrium wage dispersion and the role of endogenous search effort revisited," Economics Bulletin, AccessEcon, vol. 29(1), pages 303-311.
  22. Khaskhoussi Fouad & Langot Francois & Khaskhoussi Tarek & Cheron Arnaud, 2009. "Incentive Schemes to Delay Retirement and the Equilibrium Interplay with Human Capital Investment," Economics Bulletin, AccessEcon, vol. 29(1), pages 221-229.
  23. Arnaud Chéron, 2009. "La protection des emplois en France et ses effets différenciés selon l'âge : Une évaluation quantitative structurelle," Revue d'économie politique, Dalloz, vol. 119(1), pages 41-70.
  24. Arnaud Chéron & Jean-Olivier Hairault & François Langot, 2009. "The Role of Institutions in Transatlantic Employment Differences: A Life-Cycle View," Annals of Economics and Statistics, GENES, issue 95-96, pages 121-138.
  25. Arnaud Chéron & François Langot, 2009. "Introduction to the special issue - Labor Market Outcomes : A Transatlantic Perspective," Annals of Economics and Statistics, GENES, issue 95-96, pages 5-11.
  26. Ekkehart Boehmer & Eric K. Kelley, 2009. "Institutional Investors and the Informational Efficiency of Prices," The Review of Financial Studies, Society for Financial Studies, vol. 22(9), pages 3563-3594, September.
  27. Lionel Martellini, 2009. "Risk and Asset Management: Introduction," European Financial Management, European Financial Management Association, vol. 15(2), pages 239-240, March.
  28. Noël Amenc & Felix Goltz & Véronique Le Sourd, 2009. "The Performance of Characteristics‐based Indices1," European Financial Management, European Financial Management Association, vol. 15(2), pages 241-278, March.

2008

  1. Ingrid Nappi-Choulet & Tristan-Pierre Maury & Marion Cancel, 2008. "Une mesure de la distribution de la solvabilité logement des ménages primo-accédants franciliens," Revue d'économie régionale et urbaine, Armand Colin, vol. 0(4), pages 543-563.
  2. Frank Fabozzi & Sergio Focardi & Caroline Jonas, 2008. "On the challenges in quantitative equity management," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 649-665.
  3. Sun Wei & Rachev Svetlozar & Stoyanov Stoyan V. & Fabozzi Frank J., 2008. "Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-37, May.
  4. Huang, Dashan & Zhu, Shu-Shang & Fabozzi, Frank J. & Fukushima, Masao, 2008. "Portfolio selection with uncertain exit time: A robust CVaR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 594-623, February.
  5. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2008. "Financial market models with Lévy processes and time-varying volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1363-1378, July.
  6. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
  7. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Ortobelli, Sergio & Fabozzi, Frank J., 2008. "Relative deviation metrics and the problem of strategy replication," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 199-206, February.
  8. Chen, Ren-Raw & Cheng, Xiaolin & Fabozzi, Frank J. & Liu, Bo, 2008. "An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(1), pages 123-160, March.
  9. John M. Mulvey & Koray D. Simsek & Zhuojuan Zhang & Frank J. Fabozzi & William R. Pauling, 2008. "OR PRACTICE---Assisting Defined-Benefit Pension Plans," Operations Research, INFORMS, vol. 56(5), pages 1066-1078, October.
  10. Svetlozar Rachev & Sergio Ortobelli & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova, 2008. "Desirable Properties Of An Ideal Risk Measure In Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 19-54.
  11. Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2008. "A quantitative evaluation of payroll tax subsidies for low-wage workers: An equilibrium search approach," Journal of Public Economics, Elsevier, vol. 92(3-4), pages 817-843, April.
  12. Arnaud Chéron & Guoqing Ding & Thierry Kamionka, 2008. "La relation entre le niveau du salaire perçu et les transitions d'emploi à emploi en France : une remise en cause des modèles de recherche d'emploi ? Suivi d'un commentaire de Thierry Kamionka," Économie et Statistique, Programme National Persée, vol. 412(1), pages 3-25.
  13. François Langot & Arnaud Chéron, 2008. "Équilibre général stochastique et dynamique non-walrasienne du marché du travail," Économie et Prévision, Programme National Persée, vol. 183(2), pages 93-113.
  14. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang, 2008. "Which Shorts Are Informed?," Journal of Finance, American Finance Association, vol. 63(2), pages 491-527, April.
  15. Lioui, Abraham & Poncet, Patrice, 2008. "Monetary non-neutrality in the Sidrauski model under uncertainty," Economics Letters, Elsevier, vol. 100(1), pages 22-26, July.
  16. Ballet, Jerome & Bazin, Damien & Lioui, Abraham & Touahri, David, 2008. "Erratum to "Green taxation and individual responsibility" [Ecological Economics 63 (2007) 732-739]," Ecological Economics, Elsevier, vol. 66(2-3), pages 554-554, June.
  17. Blanchet-Scalliet, Christophette & El Karoui, Nicole & Jeanblanc, Monique & Martellini, Lionel, 2008. "Optimal investment decisions when time-horizon is uncertain," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1100-1113, December.

2007

  1. Lorenzo Garlappi & Raman Uppal & Tan Wang, 2007. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," The Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 41-81, January.
  2. Ingrid Nappi-Choulet & Isabelle Maleyre & Tristan-Pierre Maury, 2007. "Un modèle hédonique des prix de bureaux à Paris et en Petite Couronne," Revue d'économie régionale et urbaine, Armand Colin, vol. 0(3), pages 421-451.
  3. Ingrid Nappi‐Choulet & Isabelle Maleyre & Tristan‐Pierre Maury, 2007. "A Hedonic Model of Office Prices in Paris and its Immediate Suburbs," Journal of Property Research, Taylor & Francis Journals, vol. 24(3), pages 241-263, September.
  4. S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi, 2007. "Optimal Financial Portfolios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 401-436.
  5. Rachev, Svetlozar & Jasic, Teo & Stoyanov, Stoyan & Fabozzi, Frank J., 2007. "Momentum strategies based on reward-risk stock selection criteria," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2325-2346, August.
  6. Wesley Phoa & Sergio Focardi & Frank Fabozzi, 2007. "How do conflicting theories about financial markets coexist?," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 29(3), pages 363-391.
  7. Fabozzi, Frank J. & Cheng, Xiaolin & Chen, Ren-Raw, 2007. "Exploring the components of credit risk in credit default swaps," Finance Research Letters, Elsevier, vol. 4(1), pages 10-18, March.
  8. Svetlozar T. Rachev & Chufang Wu & Frank J. Fabozzi, 2007. "Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 21-31, May.
  9. Sun, Wei & Rachev, Svetlozar & Fabozzi, Frank J., 2007. "Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns," Journal of Economics and Business, Elsevier, vol. 59(6), pages 575-595.
  10. Frank Fabozzi & Omar Masood & Radu Tunaru, 2007. "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, Taylor & Francis Journals, vol. 13(3), pages 269-282.
  11. Frank J. Fabozzi & Sergio Focardi & Caroline Jonas, 2007. "Trends in quantitative equity management: survey results," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 115-122.
  12. Rosella Giacometti & Marida Bertocchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2007. "Stable distributions in the Black-Litterman approach to asset allocation," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 423-433.
  13. Huang, Dashan & Kai, Yoshitaka & Fabozzi, Frank J. & Fukushima, Masao, 2007. "An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1134-1152, March.
  14. Frank J. Fabozzi & Radu Tunaru, 2007. "On Some Inconsistencies In Modeling Credit Portfolio Products," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1305-1321.
  15. Boehmer, Ekkehart & Grammig, Joachim & Theissen, Erik, 2007. "Estimating the probability of informed trading--does trade misclassification matter?," Journal of Financial Markets, Elsevier, vol. 10(1), pages 26-47, February.
  16. Ballet, Jerome & Bazin, Damien & Lioui, Abraham & Touahri, David, 2007. "Green taxation and individual responsibility," Ecological Economics, Elsevier, vol. 63(4), pages 732-739, September.
  17. Lioui, Abraham & Rangvid, Jesper, 2007. "Habit persistence in consumption and the demand for money," Economics Letters, Elsevier, vol. 96(2), pages 168-176, August.
  18. Lioui, Abraham, 2007. "The asset allocation puzzle is still a puzzle," Journal of Economic Dynamics and Control, Elsevier, vol. 31(4), pages 1185-1216, April.
  19. Felix Goltz & Lionel Martellini & Mathieu Vaissié, 2007. "Hedge Fund Indices: Reconciling Investability and Representativity," European Financial Management, European Financial Management Association, vol. 13(2), pages 257-286, March.

2006

  1. Bhamra, Harjoat S. & Uppal, Raman, 2006. "The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility," Journal of Economic Dynamics and Control, Elsevier, vol. 30(6), pages 967-991, June.
  2. Belorgey, Nicolas & Lecat, Remy & Maury, Tristan-Pierre, 2006. "Determinants of productivity per employee: An empirical estimation using panel data," Economics Letters, Elsevier, vol. 91(2), pages 153-157, May.
  3. Tristan-Pierre Maury, 2006. "Une réévaluation de la question du coût en bien-être de l'inflation en croissance endogène," Revue d'économie politique, Dalloz, vol. 116(2), pages 277-295.
  4. Frank Fabozzi & Radu Tunaru, 2006. "On risk management problems related to a coherence property," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 75-81.
  5. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2006. "The value, size, and momentum spread during distressed economic periods," Finance Research Letters, Elsevier, vol. 3(4), pages 244-252, December.
  6. Barinci, Jean-Paul & Chéron, Arnaud & Langot, Francois, 2006. "Liquidity Constraints, Heterogeneous Households And Sunspot Fluctuations," Macroeconomic Dynamics, Cambridge University Press, vol. 10(4), pages 529-544, September.
  7. Boehmer, Beatrice & Boehmer, Ekkehart & Fishe, Raymond P. H., 2006. "Do Institutions Receive Favorable Allocations in IPOs with Better Long-Run Returns?," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(4), pages 809-828, December.
  8. Abraham Lioui, 2006. "Black‐Scholes‐Merton revisited under stochastic dividend yields," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 26(7), pages 703-732, July.
  9. Jakša Cvitanić & Ali Lazrak & Lionel Martellini & Fernando Zapatero, 2006. "Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations," The Review of Financial Studies, Society for Financial Studies, vol. 19(4), pages 1113-1156.

2005

  1. Victor DeMiguel & Raman Uppal, 2005. "Portfolio Investment with the Exact Tax Basis via Nonlinear Programming," Management Science, INFORMS, vol. 51(2), pages 277-290, February.
  2. Fabozzi, Frank J. & Focardi, Sergio M. & Jonas, Caroline L., 2005. "Market experience with modeling for defined-benefit pension funds: evidence from four countries," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(3), pages 313-327, November.
  3. Sergio Ortobelli & Svetlozar T. Rachev & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova, 2005. "The Proper Use Of Risk Measures In Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1107-1133.
  4. Sonia Falconieri & Frédéric Palomino & Jozsef Sakovics, 2005. "La vendita dei diritti televisivi nel calcio: centralizzazione vs decentralizzazione," Rivista di Diritto ed Economia dello Sport, Centro di diritto e business dello Sport, vol. 1(3), pages 67-88, Dicembre.
  5. Palomino, Frederic, 2005. "Relative performance objectives in financial markets," Journal of Financial Intermediation, Elsevier, vol. 14(3), pages 351-375, July.
  6. Cheron, A., 2005. "Efficient v.s. equilibrium unemployment with match-specific costs," Economics Letters, Elsevier, vol. 88(2), pages 176-183, August.
  7. Arnaud Chéron & Jean-Olivier Hairault & Francois Lanaot, 2005. "La baisse des charges en France. Un bon compromis entre emploi et productivité," Revue Française d'Économie, Programme National Persée, vol. 19(4), pages 3-40.
  8. Ekkehart Boehmer & Gideon Saar & Lei Yu, 2005. "Lifting the Veil: An Analysis of Pre‐trade Transparency at the NYSE," Journal of Finance, American Finance Association, vol. 60(2), pages 783-815, April.
  9. Boehmer, Ekkehart & Nash, Robert C. & Netter, Jeffry M., 2005. "Bank privatization in developing and developed countries: Cross-sectional evidence on the impact of economic and political factors," Journal of Banking & Finance, Elsevier, vol. 29(8-9), pages 1981-2013, August.
  10. Boehmer, Ekkehart, 2005. "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, vol. 78(3), pages 553-582, December.
  11. Lioui, Abraham & Poncet, Patrice, 2005. "General equilibrium pricing of CPI derivatives," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1265-1294, May.
  12. Abraham Lioui, 2005. "Stochastic dividend yields and derivatives pricing in complete markets," Review of Derivatives Research, Springer, vol. 8(3), pages 151-175, December.
  13. Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.

2004

  1. Apte, Prakash & Sercu, Piet & Uppal, Raman, 2004. "The exchange rate and purchasing power parity: extending the theory and tests," Journal of International Money and Finance, Elsevier, vol. 23(4), pages 553-571, June.
  2. Matheron, Julien & Maury, Tristan-Pierre, 2004. "Supply-side refinements and the New Keynesian Phillips Curve," Economics Letters, Elsevier, vol. 82(3), pages 391-396, March.
  3. Matheron, Julien & Maury, Tristan-Pierre & Tripier, Fabien, 2004. "Sources of growth and the spectral properties of the labor market search model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(9), pages 1903-1923, July.
  4. Matheron, Julien & Maury, Tristan-Pierre, 2004. "The welfare cost of monopolistic competition: a quantitative assessment," Economic Modelling, Elsevier, vol. 21(6), pages 933-948, December.
  5. Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004. "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
  6. Sergio Focardi & Frank Fabozzi, 2004. "A methodology for index tracking based on time-series clustering," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 417-425.
  7. Andrew Kalotay & Deane Yang & Frank J. Fabozzi, 2004. "An Option-Theoretic Prepayment Model For Mortgages And Mortgage-Backed Securities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(08), pages 949-978.
  8. Palomino, Frederic & Sakovics, Jozsef, 2004. "Inter-league competition for talent vs. competitive balance," International Journal of Industrial Organization, Elsevier, vol. 22(6), pages 783-797, June.
  9. Sonia Falconieri & Frédéric Palomino & József Sákovics, 2004. "Collective Versus Individual Sale of Television Rights in League Sports," Journal of the European Economic Association, MIT Press, vol. 2(5), pages 833-862, September.
  10. Arnaud Cheron & Francois Langot, 2004. "Labor Market Search and Real Business Cycles: Reconciling Nash Bargaining with the Real Wage Dynamics," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 476-493, April.
  11. Algan, Yann & Cheron, Arnaud & Hairault, Jean-Olivier & Langot, Francois, 2004. "Self-insurance and inequality," Economics Letters, Elsevier, vol. 85(3), pages 295-299, December.
  12. Yann Algan & Arnaud Chéron & Jean-Olivier Hairault & François Langot, 2004. "Épargne de précaution et chômage : une évaluation quantitativede l'auto-assurance," Annals of Economics and Statistics, GENES, issue 74, pages 105-130.
  13. Boehmer, Ekkehart & Fishe, Raymond P. H., 2004. "Underwriter short covering in the IPO aftermarket: a clinical study," Journal of Corporate Finance, Elsevier, vol. 10(4), pages 575-594, September.
  14. Ekkehart Boehmer & Gary Sanger & Sanjay Varshney, 2004. "Managerial bonding and stock liquidity: An analysis of dual-class firms," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 28(1), pages 117-131, March.
  15. Lioui, Abraham & Poncet, Patrice, 2004. "General equilibrium real and nominal interest rates," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1569-1595, July.

2003

  1. Sercu, Piet & Uppal, Raman, 2003. "Exchange rate volatility and international trade: A general-equilibrium analysis," European Economic Review, Elsevier, vol. 47(3), pages 429-441, June.
  2. Raman Uppal & Tan Wang, 2003. "Model Misspecification and Underdiversification," Journal of Finance, American Finance Association, vol. 58(6), pages 2465-2486, December.
  3. Tristan-Pierre Maury & Fabien Tripier, 2003. "Output persistence in human capital-based growth models," Economics Bulletin, AccessEcon, vol. 5(11), pages 1-8.
  4. Tristan-Pierre Maury, 2003. "Endogenous growth, transitional dynamics and the welfare costs of inflation," Economics Bulletin, AccessEcon, vol. 5(12), pages 1-8.
  5. Palomino, Frederic & Prat, Andrea, 2003. "Risk Taking and Optimal Contracts for Money Managers," RAND Journal of Economics, The RAND Corporation, vol. 34(1), pages 113-137, Spring.
  6. Yann Algan & Arnaud Cheron & Jean-Olivier Hairault & Francois Langot, 2003. "Wealth Effect on Labor Market Transitions," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(1), pages 156-178, January.
  7. Becht, Marco & Boehmer, Ekkehart, 2003. "Voting control in German corporations," International Review of Law and Economics, Elsevier, vol. 23(1), pages 1-29, March.
  8. Boehmer, Beatrice & Boehmer, Ekkehart, 2003. "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, vol. 27(9), pages 1667-1703, September.
  9. Lioui, Abraham & Poncet, Patrice, 2003. "International asset allocation: A new perspective," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2203-2230, November.
  10. Lioui, Abraham & Poncet, Patrice, 2003. "Dynamic asset pricing with non-redundant forwards," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1163-1180, May.
  11. Abraham Lioui & Patrice Poncet, 2003. "General equilibrium pricing of nonredundant forward contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(9), pages 817-840, September.

2002

  1. Cheron, A., 2002. "Labor-market search and real business cycles: Nash bargaining vs. fair wage," Economics Letters, Elsevier, vol. 77(2), pages 279-285, October.
  2. Arnaud Chéron, 2002. "Allocation universelle vs. indemnité chômage. Evaluation quantitative dans un modèle d'appariement," Revue Économique, Programme National Persée, vol. 53(5), pages 951-964.
  3. Lioui, Abraham & Poncet, Patrice, 2002. "Optimal currency risk hedging," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 241-264, April.

2001

  1. Dumas, Bernard & Uppal, Raman, 2001. "Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 277-305.
  2. Frederic Palomino, 2001. "Informational efficiency: ranking markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 18(3), pages 683-700.
  3. Barinci, Jean-Paul & Cheron, Arnaud, 2001. "Sunspots and the Business Cycle in a Finance Constrained Economy," Journal of Economic Theory, Elsevier, vol. 97(1), pages 30-49, March.
  4. Arnaud Chéron, 2001. "Risque de chômage, assurance complète et choix des ménages dans les modèles dynamiques," Annals of Economics and Statistics, GENES, issue 61, pages 105-118.
  5. Lioui, Abraham & Poncet, Patrice, 2001. "On optimal portfolio choice under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1841-1865, November.
  6. Abraham Lioui & Patrice Poncet, 2001. "Mean‐variance efficiency of the market portfolio and futures trading," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 21(4), pages 329-346, April.
  7. Amenc, Noël & Martellini, Lionel, 2001. "It’s time for asset allocation," Journal of Financial Transformation, Capco Institute, vol. 3, pages 77-88.

2000

  1. Dumas, Bernard & Uppal, Raman & Wang, Tan, 2000. "Efficient Intertemporal Allocations with Recursive Utility," Journal of Economic Theory, Elsevier, vol. 93(2), pages 240-259, August.
  2. Collins, Bruce & Fabozzi, Frank, 2000. "Equity Manager Selection and Performance," Review of Quantitative Finance and Accounting, Springer, vol. 15(1), pages 81-97, July.
  3. Cheron, Arnaud & Langot, Francois, 2000. "The Phillips and Beveridge curves revisited," Economics Letters, Elsevier, vol. 69(3), pages 371-376, December.
  4. Boehmer, Ekkehart, 2000. "Business Groups, Bank Control, and Large Shareholders: An Analysis of German Takeovers," Journal of Financial Intermediation, Elsevier, vol. 9(2), pages 117-148, April.
  5. Abraham Lioui & Patrice Poncet, 2000. "The Minimum Variance Hedge Ratio Under Stochastic Interest Rates," Management Science, INFORMS, vol. 46(5), pages 658-668, May.
  6. Abraham Lioui & Patrice Poncet, 2000. "Bernoulli speculator and trading strategy risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 20(6), pages 507-523, July.
  7. Lionel Martellini, 2000. "Efficient Option Replication in the Presence of Transactions Costs," Review of Derivatives Research, Springer, vol. 4(2), pages 107-131, May.

1999

  1. Fernando Vega-Redondo & Frédéric Palomino, 1999. "Convergence of aspirations and (partial) cooperation in the prisoner's dilemma," International Journal of Game Theory, Springer;Game Theory Society, vol. 28(4), pages 465-488.
  2. Lioui, Abraham, 1999. "Spreading currency forwards: why and how?," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 305-317, February.

1998

  1. Lioui, Abraham & Eldor, Rafael, 1998. "Optimal spreading when spreading is optimal," Journal of Economic Dynamics and Control, Elsevier, vol. 23(2), pages 277-301, September.
  2. Lioui, Abraham, 1998. "Currency risk hedging: Futures vs. forward," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 61-81, January.
  3. Lioui, Abraham, 1998. "Erratum to "Currency risk hedging: Futures vs. forward" [J. Banking and Finance 22 (1) (1998) 61-81]1," Journal of Banking & Finance, Elsevier, vol. 22(5), pages 611-612, May.

1997

  1. Uppal, Raman & Van Hulle, Cynthia, 1997. "Sovereign debt and the London Club: A precommitment device for limiting punishment for default," Journal of Banking & Finance, Elsevier, vol. 21(5), pages 741-756, May.
  2. Hollifield, Burton & Uppal, Raman, 1997. "An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets," Journal of Finance, American Finance Association, vol. 52(5), pages 2145-2170, December.
  3. Ekkehart Boehmer & Jeffry M. Netter, 1997. "Management optimism and corporate acquisitions: evidence from insider trading," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 18(7-8), pages 693-708.
  4. Abraham Lioui, 1997. "Marking‐to‐market and the demand for interest rate futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 17(3), pages 303-316, May.

1996

  1. Moyen, Nathalie & Slade, Margaret & Uppal, Raman, 1996. "Valuing risk and flexibility : A comparison of methods," Resources Policy, Elsevier, vol. 22(1-2), pages 63-74.
  2. Griffiths, Mark D., 1996. "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, Elsevier, vol. 7(2), pages 233-234.
  3. Palomino, Frederic, 1996. "Noise Trading in Small Markets," Journal of Finance, American Finance Association, vol. 51(4), pages 1537-1550, September.
  4. Lioui, Abraham & Poncet, Patrice, 1996. "Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth," Journal of Economic Dynamics and Control, Elsevier, vol. 20(6-7), pages 1101-1113.
  5. Abraham Lioui & Pascal Nguyen Duc Trong & Patrice Poncet, 1996. "Optimal Dynamic Hedging in Incomplete Futures Markets," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 21(1), pages 103-122, June.

1995

  1. Sercu, Piet & Uppal, Raman & Van Hulle, Cynthia, 1995. "The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity," Journal of Finance, American Finance Association, vol. 50(4), pages 1309-1319, September.

1994

  1. Naik, Vasanttilak & Uppal, Raman, 1994. "Leverage Constraints and the Optimal Hedging of Stock and Bond Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(2), pages 199-222, June.
  2. Fabozzi, Frank J & Ma, Christopher K & Briley, James E, 1994. "Holiday Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 49(1), pages 307-324, March.

1993

  1. Edirisinghe, Chanaka & Naik, Vasanttilak & Uppal, Raman, 1993. "Optimal Replication of Options with Transactions Costs and Trading Restrictions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(1), pages 117-138, March.
  2. Uppal, Raman, 1993. "A General Equilibrium Model of International Portfolio Choice," Journal of Finance, American Finance Association, vol. 48(2), pages 529-553, June.
  3. Coggin, T Daniel & Fabozzi, Frank J & Rahman, Shafiqur, 1993. "The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 48(3), pages 1039-1055, July.

1992

  1. Uppal, Raman, 1992. "Deviations from purchasing power parity and capital flows," Journal of International Money and Finance, Elsevier, vol. 11(2), pages 126-144, April.

1991

  1. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1991. "Effective Capital Gains Tax Rates: A Reply," National Tax Journal, National Tax Association;National Tax Journal, vol. 44(1), pages 105-107, March.
  2. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991. "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, vol. 30(2), pages 253-272, December.

1990

  1. Boehmer, Ekkehart & Megginson, William L, 1990. "Determinants of Secondary Market Prices for Developing Country Syndicated Loans," Journal of Finance, American Finance Association, vol. 45(5), pages 1517-1540, December.

1989

  1. Jongmoo Jay Choi & Frank J. Fabozzi & Uzi Yaari, 1989. "Optimum Corporate Leverage With Risky Debt: A Demand Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 129-142, June.
  2. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1989. "Taxation of Capital Gains With Deferred Realization," National Tax Journal, National Tax Association;National Tax Journal, vol. 42(4), pages 475-485, December.

1988

  1. Fabozzi, Frank J & Ma, Christopher K, 1988. "The Over-the-Counter Market and New York Stock Exchange Trading Halts," The Financial Review, Eastern Finance Association, vol. 23(4), pages 427-437, November.

1986

  1. Fabozzi, Frank J. & Thurston, Thom B., 1986. "State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(4), pages 427-436, December.

1985

  1. Uzi Yaari & Frank J. Fabozzi, 1985. "Why Ira And Keogh Plans Should Avoid Growth Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(3), pages 203-216, September.

1983

  1. Fabozzi, Frank J & Yaari, Uzi, 1983. "Valuation of Safe Harbor Tax Benefit Transfer Leases," Journal of Finance, American Finance Association, vol. 38(2), pages 595-606, May.

1982

  1. Fabozzi, Frank J., 1982. "A note on the association between systematic risk and common stock and bond rating classifications," Journal of Economics and Business, Elsevier, vol. 34(2), pages 159-163.

1981

  1. Fabozzi, Frank J. & West, Richard R., 1981. "Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(3), pages 323-339, September.

1980

  1. Fabozzi, Frank J. & Francis, Jack C. & Lee, Cheng F., 1980. "Generalized Functional Form for Mutual Fund Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(5), pages 1107-1120, December.
  2. Francis, Jack Clark & Fabozzi, Frank J., 1980. "Stability of mutual fund systematic risk statistics," Journal of Business Research, Elsevier, vol. 8(2), pages 263-275, June.

1979

  1. Fabozzi, Frank J & Francis, Jack C, 1979. "Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination," Journal of Finance, American Finance Association, vol. 34(5), pages 1243-1250, December.
  2. Fabozzi, Frank J. & Bachner, Alfred W., 1979. "Mathematical programming models to determine civil service salaries," European Journal of Operational Research, Elsevier, vol. 3(3), pages 190-198, May.
  3. Francis, Jack Clark & Fabozzi, Frank J., 1979. "The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(2), pages 351-360, June.

1978

  1. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 101-116, March.

1977

  1. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-1099, September.
  2. Frank J. Fabozzi & Stephen Feldman, 1977. "A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit," The American Economist, Sage Publications, vol. 21(1), pages 70-71, March.

1976

  1. Frank J. Fabozzi & Joseph Valente, 1976. "Mathematical Programming in American Companies: A Sample Survey," Interfaces, INFORMS, vol. 7(1), pages 93-98, November.

1972

  1. Gujarati, Damodar & Fabozzi, Frank, 1972. "Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence," Bulletin of Economic Research, Wiley Blackwell, vol. 24(1), pages 3-12, May.

Books

2019

  1. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 11118, December.

2016

  1. Fabozzi, Frank J. (ed.), 2016. "The Handbook of Mortgage-Backed Securities, 7th Edition," OUP Catalogue, Oxford University Press, edition 7, number 9780198785774, Decembrie.

2015

  1. Fabozzi, Frank J., 2015. "Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 0262029480, December.

2006

  1. Sercu,Piet & Uppal,Raman, 2006. "Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes," Cambridge Books, Cambridge University Press, number 9780521034234.

Chapters

2019

  1. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 8, pages 323-366, World Scientific Publishing Co. Pte. Ltd..
  2. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Multivariate Time-Changed Brownian Motion," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 7, pages 277-321, World Scientific Publishing Co. Pte. Ltd..
  3. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Implied Volatility Smile with Non-Gaussian Processes," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 11, pages 463-516, World Scientific Publishing Co. Pte. Ltd..
  4. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Introduction," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 1, pages 3-21, World Scientific Publishing Co. Pte. Ltd..
  5. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "The Generalized Hyperbolic Distribution," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 4, pages 109-148, World Scientific Publishing Co. Pte. Ltd..
  6. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Random Variables," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 2, pages 23-70, World Scientific Publishing Co. Pte. Ltd..
  7. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Extreme Value Theory," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 9, pages 367-430, World Scientific Publishing Co. Pte. Ltd..
  8. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "The Class of Stable Distributions," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 5, pages 149-224, World Scientific Publishing Co. Pte. Ltd..
  9. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Stochastic Processes with Jumps," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 3, pages 71-106, World Scientific Publishing Co. Pte. Ltd..
  10. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 12, pages 517-547, World Scientific Publishing Co. Pte. Ltd..
  11. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "Tempered Stable Distributions," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 6, pages 225-275, World Scientific Publishing Co. Pte. Ltd..
  12. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019. "A Portfolio Selection Analysis with Non-Gaussian Models," World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 10, pages 433-461, World Scientific Publishing Co. Pte. Ltd..

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