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Publications

by members of

Groupe EDHEC (École de Hautes Études Commerciales du Nord) → Département Comptabilité, Droit, Finance et Économie

EDHEC Business School → Department of Accounting, Law, Finance and Economics

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

2025

  1. Ramzi Benkraiem & Nebojsa Dimic & Vanja Piljak & Laurens Swinkels & Milos Vulanovic, 2025, "Media-based climate risks and international corporate bond market," Post-Print, HAL, number hal-05535568, Feb, DOI: 10.1016/j.jimonfin.2024.103260.

2024

  1. Arnaud Dufays & Aristide Houndetoungan & Alain Coen, 2024, "Selective linear segmentation for detecting relevant parameter changes," Papers, arXiv.org, number 2402.05329, Feb.

2023

  1. Ardia, David & Dufays, Arnaud & Ordás Criado, Carlos, 2023, "Linking Frequentist and Bayesian Change-Point Methods," MPRA Paper, University Library of Munich, Germany, number 119486, Dec.
  2. Pierre Courtioux & Tristan-Pierre Maury & Johan Seux, 2023, "The Geographies of Segregation in French Universities from 2006 to 2016," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-04118941, May.
  3. Kevin Elie Beaubrun-Diant & Tristan-Pierre Maury, 2023, "Income segregation in France: a geographical decomposition across and within urban areas," Post-Print, HAL, number hal-04442600, DOI: 10.1080/00343404.2023.2237531.

2022

  1. Kevin Beaubrun-Diant & Tristan-Pierre Maury, 2022, "On the Impact of Public Housing on Income Segregation in France," Post-Print, HAL, number hal-03957214.
  2. M. Blomkvist & G. Nocera & M. Vulanovic, 2022, "SPAC CEOs and Capital Raising Outcomes," Post-Print, HAL, number hal-04570251, Apr.

2021

  1. 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), HAL, number halshs-03167787, Mar.
  2. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2021, "Implications of homeownership policies on land prices: the case of a French experiment," Post-Print, HAL, number hal-03369140.
  3. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2021, "Corporate focus, residential assets, and the performance of French REITs," Post-Print, HAL, number hal-03369147.
  4. 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, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21003, Mar, DOI: 10.3917/reru.223.0385.
  5. Uppal, Raman & Bhamra, Harjoat Singh, 2021, "Do the Effects of Individual Behavioral Biases Cancel Out?," CEPR Discussion Papers, Centre for Economic Policy Research, number 16335, Jul.
  6. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2021, "Dynamics of Asset Demands with Confidence Heterogeneity," CEPR Discussion Papers, Centre for Economic Policy Research, number 16441, Aug.
  7. Uppal, Raman & DeMiguel, Victor & Martin-Utrera, Alberto, 2021, "What Alleviates Crowding in Factor Investing?," CEPR Discussion Papers, Centre for Economic Policy Research, number 16527, Sep.

2020

  1. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2020, "Income Segregation and Social Housing in France," Working Papers, HAL, number hal-02526776, Mar.
  2. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2020, "Investor Sophistication and Portfolio Dynamics," CEPR Discussion Papers, Centre for Economic Policy Research, number 15116, Jul.
  3. Christophe Croux & Julapa Jagtiani & Tarunsai Korivi & Milos Vulanovic, 2020, "Important Factors Determining Fintech Loan Default: Evidence from the LendingClub Consumer Platform," Working Papers, Federal Reserve Bank of Philadelphia, number 20-15, Apr, DOI: 10.21799/frbp.wp.2020.15.
  4. Magnus Blomkvist & Milos Vulanovic, 2020, "SPAC IPO waves," Post-Print, HAL, number hal-03039846, Dec, DOI: 10.1016/j.econlet.2020.109645.

2019

  1. Arnaud Cheron & Kazuo Nishimura & Carine Nourry & Thomas Seegmuller & Alain Venditti, 2019, "Growth and Public Debt: What Are the Relevant Trade‐Offs?," Post-Print, HAL, number hal-02087092, Mar, DOI: 10.1111/jmcb.12543.
  2. Maciej Augustyniak & Luc Bauwens & Arnaud Dufays, 2019, "A new approach: the factorial hidden Markov volatility model," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 3066, Jan.
  3. Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019, "Multiple Subordinated Modeling of Asset Returns," Papers, arXiv.org, number 1907.12600, Jul.
  4. Peijnenburg, Kim & Anantanasuwong, Kanin & Kouwenberg, Roy & Mitchell, Olivia S, 2019, "Ambiguity Attitudes about Investments: Evidence from the Field," CEPR Discussion Papers, Centre for Economic Policy Research, number 13518, Feb.

2018

  1. Vincent Boucher & Finagnon A. Dedewanou & Arnaud Dufays, 2018, "Peer-Induced Beliefs Regarding College Participation," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1817.
  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), HAL, number halshs-01823056, May.
  3. Peijnenburg, Kim & Dimmock, Steve & Kouwenberg, Roy & Mitchell, Olivia S, 2018, "Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field," CEPR Discussion Papers, Centre for Economic Policy Research, number 13109, Aug.
  4. Buss, Adrian & Vilkov, Grigory & Uppal, Raman, 2018, "The Implications of Financial Innovation for Capital Markets and Household Welfare," CEPR Discussion Papers, Centre for Economic Policy Research, number 13137, Aug.
  5. Shachmurove, Yochanan & Vulanovic, Milos, 2018, "SPAC IPOs," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 177392.

2017

  1. Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani, 2017, "Option Pricing with Greed and Fear Factor: The Rational Finance Approach," Papers, arXiv.org, number 1709.08134, Sep, revised Mar 2020.
  2. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017, "Option pricing for Informed Traders," Papers, arXiv.org, number 1711.09445, Nov.
  3. Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017, "Enhancing Binomial and Trinomial Equity Option Pricing Models," Papers, arXiv.org, number 1712.03566, Dec.
  4. 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, arXiv.org, number 1710.03211, Oct, revised Feb 2020.
  5. Svetlozar Rachev & Stoyan Stoyanov & Frank J. Fabozzi, 2017, "Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing," Papers, arXiv.org, number 1710.03205, Oct.
  6. Young Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017, "Another Look at the Ho-Lee Bond Option Pricing Model," Papers, arXiv.org, number 1712.06664, Dec.
  7. Gianpaolo Parise & Kim Peijnenburg, 2017, "Understanding the determinants of financial outcomes and choices: the role of noncognitive abilities," BIS Working Papers, Bank for International Settlements, number 640, May.
  8. Peijnenburg, Kim & Parise, Gianpaolo, 2017, "Noncognitive Abilities and Financial Distress: Evidence from a Representative Household Panel," HEC Research Papers Series, HEC Paris, number 1193, Mar, revised 07 Aug 2017.
  9. Peijnenburg, J.M.J. & Nijman, Theo & Werker, Bas J.M., 2017, "Health cost risk : A potential solution to the annuity puzzle," Other publications TiSEM, Tilburg University, School of Economics and Management, number 257e76c9-54bb-4103-bd26-9.
  10. Uppal, Raman & Bhamra, Harjoat Singh, 2017, "Does Household Finance Matter? Small Financial Errors with Large Social Costs," CEPR Discussion Papers, Centre for Economic Policy Research, number 12414, Nov.
  11. Uppal, Raman & Bhamra, Harjoat Singh, 2017, "Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?," CEPR Discussion Papers, Centre for Economic Policy Research, number 12415, Nov.
  12. Uppal, Raman & Buss, Adrian & Vilkov, Grigory, 2017, "Financial Innovation and Asset Prices," CEPR Discussion Papers, Centre for Economic Policy Research, number 12416, Nov.
  13. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J. & Uppal, Raman, 2017, "A Portfolio Perspective on the Multitude of Firm Characteristics," CEPR Discussion Papers, Centre for Economic Policy Research, number 12417, Nov.

2016

  1. Xavier Chojnicki, 2016, "L’impact des réformes des retraites sur l’équité entre les générations," Post-Print, HAL, number hal-01799666, Jun.
  2. AUGUSTYNIAK, Maciej & BAUWENS, Luc & DUFAYS, Arnaud, 2016, "A New Approach to Volatility Modeling : The High-Dimensional Markov Model," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016042, Dec.
  3. Arnaud Dufays & Jeroen V.K. Rombouts, 2016, "Sparse Change-point HAR Models for Realized Variance," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1607.
  4. Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi, 2016, "Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion," Papers, arXiv.org, number 1612.01979, Dec.
  5. Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2016, "Pricing Derivatives in Hermite Markets," Papers, arXiv.org, number 1612.07016, Dec, revised Dec 2016.
  6. Svetlozar Rachev & Frank Fabozzi, 2016, "Financial market with no riskless (safe) asset," Papers, arXiv.org, number 1612.02112, Dec.
  7. Abootaleb Shirvani & Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi, 2016, "A New Set of Financial Instruments," Papers, arXiv.org, number 1612.00828, Dec, revised Oct 2019.
  8. 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), HAL, number halshs-01339855, Jun.
  9. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2016, "Home tenure, stock market participation, and composition of the household portfolio," Post-Print, HAL, number hal-01300625, DOI: 10.1016/j.jhe.2016.03.002.
  10. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise, 2016, "Are star funds really shining? Cross-trading and performance shifting in mutual fund families," BIS Working Papers, Bank for International Settlements, number 577, Aug.
  11. Peijnenburg, Kim & Nijman, Theo & Werker, Bas J. M., 2016, "The annuity puzzle remains a puzzle," Other publications TiSEM, Tilburg University, School of Economics and Management, number 011232cd-6c91-4c59-8bc6-6.
  12. Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016, "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 449.
  13. Vulanovic, Milos, 2016, "SPACs: Post-merger survival," EconStor Preprints, ZBW - Leibniz Information Centre for Economics, number 148304.

2015

  1. Arnaud Cheron & Anthony Terriau, 2015, "Search frictions and (in)efficient vocational training over the life-cycle," Working Papers, HAL, number hal-01292113, Nov.
  2. Bauwens, Luc & Carpantier, Jean-François & Dufays, Arnaud, 2015, "Autoregressive moving average infinite hidden markov-switching models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015007, Feb.
  3. Dufays, A. & Rombouts, V., 2015, "Sparse Change-Point Time Series Models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2015032, Jul.
  4. Arnaud Dufays, 2015, "Evolutionary Sequential Monte Carlo Samplers for Change-point Models," Cahiers de recherche, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques, number 1508.
  5. Frank J. Fabozzi & Rosella Giacometti & Naoshi Tsuchida, 2015, "The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads," IMES Discussion Paper Series, Institute for Monetary and Economic Studies, Bank of Japan, number 15-E-04, Jun.
  6. Uppal, Raman & Vilkov, Grigory & Buss, Adrian, 2015, "Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 10437, Feb.
  7. 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, Leibniz Institute for Financial Research SAFE, number 41, revised 2015, DOI: 10.2139/ssrn.2397083.

2014

  1. Arnaud Chéron & Bruno Decreuse, 2014, "Matching with Phantoms," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1423, Apr, revised Apr 2014.
  2. Pascal Belan & Arnaud Chéron, 2014, "Turbulence, training and unemployment," Post-Print, HAL, number hal-02979757, Dec, DOI: 10.1016/j.labeco.2014.01.001.
  3. Arnaud Chéron & Pierre-Jean Messe & Jerome Ronchetti, 2014, "Employer-provided health insurance and equilibrium wages with two-sided heterogeneity," Working Papers, HAL, number halshs-01100345.
  4. Arnaud Chéron & Anthony Terriau, 2014, "Dépréciation du capital humain et formation continue au cours du cycle de vie : Quelle dynamique des externalités sociales ?," Working Papers, HAL, number halshs-01100369.
  5. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2014, "Specific Markov-switching behaviour for ARMA parameters," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014014, Jun.
  6. BAUWENS, Luc & DE BACKER, Bruno & DUFAYS, Arnaud, 2014, "A Bayesian method of change-point estimation with recurrent regimes: application to GARCH models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2641, Jan.
  7. Arnaud Dufays, 2014, "On the conjugacy of off-line and on-line Sequential Monte Carlo Samplers," Working Paper Research, National Bank of Belgium, number 263, Sep.
  8. 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), Bank of Italy, Economic Research and International Relations Area, number 944, Jan.
  9. Kim Peijnenburg, 2014, "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," 2014 Meeting Papers, Society for Economic Dynamics, number 967.
  10. Shachmurove, Yochanan & Vulanovic, Milos, 2014, "SPACs with focus on China," MPRA Paper, University Library of Munich, Germany, number 53550, Feb.

2013

  1. Jean-François Carpantier & Arnaud Dufays, 2013, "Commodities Inventory Effect," Working Papers, HAL, number hal-01821144.
  2. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2013, "Tempered stable Ornstein-Uhlenbeck processes: a practical view," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 912, Jun.
  3. 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, University of Michigan, Michigan Retirement Research Center, number wp290, Sep.
  4. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise & Kim Peijnenburg, 2013, "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 13-19, Jan.
  5. Stephen G. Dimmock & Roy Kouwenberg & Olivia S. Mitchell & Kim Peijnenburg, 2013, "Ambiguity Aversion and Household Portfolio Choice: Empirical Evidence," NBER Working Papers, National Bureau of Economic Research, Inc, number 18743, Jan.
  6. Uppal, Raman & DeMiguel, Victor & Nogales, Francisco J., 2013, "Stock Return Serial Dependence and Out-of-Sample Portfolio Performance," CEPR Discussion Papers, Centre for Economic Policy Research, number 9456, Apr.
  7. Uppal, Raman & Bhamra, Harjoat Singh, 2013, "Asset Prices with Heterogeneity in Preferences and Beliefs," CEPR Discussion Papers, Centre for Economic Policy Research, number 9459, May.
  8. Milan Lakicevic & Yochanan Shachmurove & Milos Vulanovic, 2013, "On Mergers, Acquisitions and Liquidation Using Specified Purpose Acquisition Companies (SPACs)," PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, number 13-013, Feb.
  9. Shachmurove, Yochanan & Vulanovic, Milos, 2013, "SPACs in Shipping," MPRA Paper, University Library of Munich, Germany, number 52520, Dec.

2012

  1. CARPANTIER, Jean-François & DUFAYS, Arnaud, 2012, "Commodities volatility and the theory of storage," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012037, Oct.
  2. DUFAYS, Arnaud, 2012, "Infinite-state Markov-switching for dynamic volatility and correlation models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012043, Nov.
  3. 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, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 44, DOI: 10.5445/IR/1000029307.
  4. 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, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 43, DOI: 10.5445/IR/1000029302.
  5. 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, HEDG, c/o Department of Economics, University of York, number 12/22, Jul.
  6. VALLETTA, Giacomo, 2012, "Health, fairness and taxation," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2012016, May.
  7. Efthymios Athanasiou & Santanu Dey & Giacomo Valleta, 2012, "On Sharing the Benefits of Communication," Working Papers, Fondazione Eni Enrico Mattei, number 2012.41, May.
  8. Lakicevic, Milan & Vulanovic, Milos, 2012, "A Story on Spacs," MPRA Paper, University Library of Munich, Germany, number 42172, May.

2011

  1. Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2011, "Life Cycle Equilibrium Unemployment," CEPREMAP Working Papers (Docweb), CEPREMAP, number 1103, Apr.
  2. Arnaud Chéron & Jean-Olivier Hairault & François Langot, 2011, "Age-Dependent Employment Protection," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00623282, Dec, DOI: 10.1111/j.1468-0297.2011.02453.x.
  3. Luc Luc & Arnaud Dufays & Jeroen V.K. Rombouts, 2011, "Marginal Likelihood for Markov-switching and Change-point Garch Models," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-41, Nov.
  4. BAUWENS, Luc & DUFAYS, Arnaud & DE BACKER, Bruno, 2011, "Estimating and forecasting structural breaks in financial time series," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011055, Nov.
  5. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011, "Fat-tailed models for risk estimation," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 30, DOI: 10.5445/IR/1000023244.
  6. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011, "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 29, DOI: 10.5445/IR/1000023240.
  7. Bianchi, Michele Leonardo & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2011, "Tempered infinitely divisible distributions and processes," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 26, DOI: 10.5445/IR/1000023237.
  8. 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, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 27, DOI: 10.5445/IR/1000023238.
  9. 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, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 28, DOI: 10.5445/IR/1000023239.
  10. Tristan-Pierre Maury & Fabien Tripier, 2011, "The quality effect of intrafirm bargaining with endogenous worker flows," Working Papers, HAL, number hal-00566168, Feb.
  11. Kévin Beaubrun-Diant & Tristan-Pierre Maury, 2011, "Assessing the Interaction between Real Estate and Equity in Households Portfolio Choice," Working Papers, HAL, number halshs-00635582, Oct.
  12. Monika Bütler & Kim Peijnenburg & Stefan Staubli, 2011, "How Much Do Means-Tested Benefits Reduce the Demand for Annuities?," CESifo Working Paper Series, CESifo, number 3493.
  13. Peijnenburg, J.M.J., 2011, "Consumption, savings, and investments over the life cycle," Other publications TiSEM, Tilburg University, School of Economics and Management, number 53507526-8619-428d-865f-d.

2010

  1. Arnaud Chéron & Bénédicte Rouland & François Charles Wolff, 2010, "Returns to firm-provided training in France: Evidence on mobility and wages," Working Papers, HAL, number halshs-00809753, Jan.
  2. Arnaud Chéron & Bénédicte Rouland, 2010, "Endogenous Job Destructions and the Distribution of Wages," Working Papers, HAL, number halshs-00812095, Aug.
  3. 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, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 1, DOI: 10.5445/IR/1000019743.
  4. 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, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 2, DOI: 10.5445/IR/1000019771.
  5. 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, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 3, DOI: 10.5445/IR/1000019772.
  6. Tristan-Pierre Maury & Fabien Tripier, 2010, "Strategies for search on the housing market and their implications for price dispersion," Working Papers, HAL, number hal-00480484, May.
  7. 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, Tilburg University, Center for Economic Research, number 2010-11.
  8. 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, Tilburg University, Center for Economic Research, number 2010-14.
  9. Uppal, Raman & DeMiguel, Victor & Plyakha, Yuliya & Vilkov, Grigory, 2010, "Improving Portfolio Selection Using Option-Implied Volatility and Skewness," CEPR Discussion Papers, Centre for Economic Policy Research, number 7686, Feb.
  10. Uppal, Raman & Boyle, Phelim & Wang, Tan & Garlappi, Lorenzo, 2010, "Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification," CEPR Discussion Papers, Centre for Economic Policy Research, number 7687, Feb.

2009

  1. 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, number hal-00623280, Jul, DOI: 10.2307/27917406.
  2. Arnaud Chéron, 2009, "Age-Design Employment Protection," 2009 Meeting Papers, Society for Economic Dynamics, number 641.
  3. Stephane Gregoir & Tristan-Pierre Maury, 2009, "Liquidity Risk and Housing Price Dynamics," ERES, European Real Estate Society (ERES), number eres2009_154, Jan.
  4. Tristan-Pierre Maury, 2009, "Measuring Local Individual Housing Returns from a Large Quarterly Transaction Database," ERES, European Real Estate Society (ERES), number eres2009_339, Jan.

2008

  1. 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), HAL, number halshs-00270295, DOI: 10.1016/j.jpubeco.2007.09.012.
  2. Arnaud Chéron & François Langot, 2008, "Equilibre général stochastique et dynamique non-walrasienne du marché du travail," Post-Print, HAL, number halshs-00754268, Sep, DOI: 10.3917/ecop.183.0093.
  3. Nappi-Choulet, Ingrid & Maury, Tristan-Pierre, 2008, "A Spatiotemporal Autoregressive Price Index for the Paris Office Property Market," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 08008, Apr.
  4. Palomino, Frédéric & Peyrache, Eloïc & ÖRS, Evren, 2008, "Performance Gender-Gap: Does Competition Matter?," CEPR Discussion Papers, Centre for Economic Policy Research, number 6891, Jun.

2007

  1. Cheron, Arnaud & Langot, François & Moreno-Galbis, Eva, 2007, "The dynamic of job competition during the ICT revolution," CEPREMAP Working Papers (Docweb), CEPREMAP, number 0702.
  2. 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, IZA Network @ LISER, number 2597, Feb.
  3. Jean-Olivier Hairault & Francois Langot & Arnaud Cheron, 2007, "Job creation and job destruction over the life cycle," 2007 Meeting Papers, Society for Economic Dynamics, number 431.
  4. Ingrid Nappi-Choulet & Tristan-Pierre Maury, 2007, "A Spatial and Temporal Autoregressive Local Estimation for the Paris Housing Market," ERES, European Real Estate Society (ERES), number eres2007_404, Jan.
  5. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007, "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-37, Jul.
  6. VALLETTA, Giacomo, 2007, "A fair solution to the compensation problem," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2007077, Sep.

2006

  1. Arnaud Cheron & Jean-Olivier Hairault & Francois Langot, 2006, "Job Creation, Job Destruction and the Life Cycle," 2006 Meeting Papers, Society for Economic Dynamics, number 641.
  2. Jerome Ballet & Damien Bazin & Abraham Lioui & David Touahri, 2006, "Green Taxation and Individual Responsibility," CAE Working Papers, Aix-Marseille Université, CERGAM, number 49.
  3. Jérôme Ballet & Damien Bazin & Abraham Lioui & David Touahri, 2006, "Taxation and The Crowding-Out Effect of Corporate Social Responsibility," Working Papers, HAL, number halshs-00113856, Nov.
  4. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2006, "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-19, Oct.
  5. Uppal, Raman & Bhamra, Harjoat Singh, 2006, "The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 5726, Jun.

2005

  1. 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), CEPREMAP, number 0508, Jul.
  2. 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, European Real Estate Society (ERES), number eres2005_263, Jan.
  3. Uppal, Raman & Bhamra, Harjoat Singh, 2005, "The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility," CEPR Discussion Papers, Centre for Economic Policy Research, number 5020, Apr.
  4. Uppal, Raman & Wang, Tan & Garlappi, Lorenzo, 2005, "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 5041, May.
  5. Uppal, Raman & Garlappi, Lorenzo & DeMiguel, Victor, 2005, "How Inefficient is the 1/N Asset-Allocation Strategy?," CEPR Discussion Papers, Centre for Economic Policy Research, number 5142, Jul.

2004

  1. Ljungqvist, Alexander & Boehmer, Ekkehart, 2004, "On the decision to go public: Evidence from privately-held firms," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2004,16.
  2. Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2004, "Labor Market Institutions and the Employment-Productivity Trade-Off: A Wage Posting Approach," IZA Discussion Papers, IZA Network @ LISER, number 1364, Oct.
  3. 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, University Library of Munich, Germany, number 9119.
  4. Julien Matheron & Tristan-Pierre Maury, 2004, "Evaluating the Fit of Sticky Price Models," Working papers, Banque de France, number 104.
  5. Tristan-Pierre Maury & Bertrand Pluyaud, 2004, "The Breaks in per Capita Productivity Trends in a Number of Industrial Countries," Working papers, Banque de France, number 111.
  6. Palomino, Frédéric & Sadrieh, Abdolkarim, 2004, "Overconfidence and Delegated Portfolio Management," CEPR Discussion Papers, Centre for Economic Policy Research, number 4231, Feb.

2003

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

2002

  1. 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), CEPREMAP, number 0211.
  2. Jean-Paul Barinci & Arnaud Chéron & François Langot, 2002, "Liquitity Constraints, Heterogeneous Households and Sunspots Fluctuations," Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne, number 02-17.
  3. Uhlig, Harald & Palomino, Frédéric, 2002, "Should Smart Investors Buy Funds with High Returns in the Past?," CEPR Discussion Papers, Centre for Economic Policy Research, number 3282, Mar.
  4. Sonia Falconieri & Frederic Palomino & Jozsef Sakovics, 2002, "Collective vs. Individual Sale of TV Rights in League Sports," Edinburgh School of Economics Discussion Paper Series, Edinburgh School of Economics, University of Edinburgh, number 85, Aug.
  5. Uppal, Raman & Wang, Tan, 2002, "Model Misspecification and Under-Diversification," CEPR Discussion Papers, Centre for Economic Policy Research, number 3304, Apr.
  6. Uppal, Raman & Das, Sanjiv Ranjan, 2002, "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers, Centre for Economic Policy Research, number 3305, Apr.
  7. Uppal, Raman & Kogan, Leonid, 2002, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 3306, Apr.
  8. Uppal, Raman & Sercu, Piet & Apte, Prakesh, 2002, "The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests," CEPR Discussion Papers, Centre for Economic Policy Research, number 3343, Apr.

2001

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

2000

  1. Barinci, J.P. & Cheron, A., 2000, "Sunspots and Business Cycle in a Finance Constrained Economy," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.10.
  2. Algan, Y. & Hairault, J.-O., 2000, "Epargne de precaution et chomage : une evaluation quantitative de l'auto-assurance," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 2000.92.
  3. Frederic Palomino, 2000, "Competitive Balance vs. Incentives to Win: A Theoretical Analysis of Revenue Sharing," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0930, Aug.
  4. 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, Edinburgh School of Economics, University of Edinburgh, number 59, Jun.
  5. Frederic Palomino & Luca Rigotti & Aldo Rustichini, 2000, "Skill, Strategy, and Passion: an Empirical Analysis of Soccer," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1822, Aug.

1999

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

1998

  1. Cheron, A. & Langot, F., 1998, "A Monetary Model of Business Cycle with Search on the Labor Market," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 98.56.
  2. Palomino, Frédéric, 1998, "Relative Performance Equilibrium in Financial Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 1993, Oct.

1997

  1. Bernard Dumas & Raman Uppal & Tan Wang, 1997, "Efficient Intertemporal Allocations with Recursive Utility," Working Papers, HAL, number hal-00605603.

1996

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

1995

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

Journal articles

2025

  1. Victor DeMiguel & Alberto Martín-Utrera & Raman Uppal, 2025, "Can Competition Increase Profits in Factor Investing?," Management Science, INFORMS, volume 71, issue 7, pages 5552-5571, July, DOI: 10.1287/mnsc.2022.02684.
  2. Dimic, Nebojsa & Tinoco, Mario Hernandez & Piljak, Vanja & Vulanovic, Milos, 2025, "Energy SPACs performance and governance," Energy Economics, Elsevier, volume 145, issue C, DOI: 10.1016/j.eneco.2025.108478.
  3. Benkraiem, Ramzi & Dimic, Nebojsa & Piljak, Vanja & Swinkels, Laurens & Vulanovic, Milos, 2025, "Media-based climate risks and international corporate bond market," Journal of International Money and Finance, Elsevier, volume 151, issue C, DOI: 10.1016/j.jimonfin.2024.103260.

2024

  1. Kevin Beaubrun-Diant & Tristan-Pierre Maury, 2024, "Income segregation in France: a geographical decomposition across and within urban areas," Regional Studies, Taylor & Francis Journals, volume 58, issue 3, pages 442-454, March, DOI: 10.1080/00343404.2023.2237531.
  2. VICTOR DeMIGUEL & ALBERTO MARTÍN‐UTRERA & RAMAN UPPAL, 2024, "A Multifactor Perspective on Volatility‐Managed Portfolios," Journal of Finance, American Finance Association, volume 79, issue 6, pages 3859-3891, December, DOI: 10.1111/jofi.13395.
  3. Dimic, Nebojsa & Tinoco, Mario Hernandez & Piljak, Vanja & Vulanovic, Milos, 2024, "Carbon VIX: A case of decarbonized SPACs," Finance Research Letters, Elsevier, volume 70, issue C, DOI: 10.1016/j.frl.2024.106360.

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, volume 55, issue PB, DOI: 10.1016/j.frl.2023.104001.
  2. Samuel D. Barrows & Magnus Blomkvist & Nebojsa Dimic & Milos Vulanovic, 2023, "Oil Price Uncertainty and M&A Activity," The Energy Journal, , volume 44, issue 4, pages 1-20, July, DOI: 10.5547/01956574.44.4.sbar.
  3. Magnus Blomkvist & Nebojsa Dimic & Milos Vulanovic, 2023, "Oil Price Uncertainty and IPOs," The Energy Journal, , volume 44, issue 6, pages 21-42, November, DOI: 10.5547/01956574.44.6.mblo.

2022

  1. Boucher, Vincent & Dedewanou, F. Antoine & Dufays, Arnaud, 2022, "Peer-induced beliefs regarding college participation," Economics of Education Review, Elsevier, volume 90, issue C, DOI: 10.1016/j.econedurev.2022.102307.
  2. Arnaud Dufays & Elysee Aristide Houndetoungan & Alain Coën, 2022, "Selective Linear Segmentation for Detecting Relevant Parameter Changes
    [Risks and Portfolio Decisions Involving Hedge Funds]    ," Journal of Financial Econometrics, Oxford University Press, volume 20, issue 4, pages 762-805.
  3. Kevin Beaubrun‐Diant & Tristan‐Pierre Maury, 2022, "Corporate focus, residential assets, and the performance of French REITs," Bulletin of Economic Research, Wiley Blackwell, volume 74, issue 2, pages 599-621, April, DOI: 10.1111/boer.12311.
  4. Pierre Courtioux & Tristan-Pierre Maury & Johan Seux, 2022, "Ségrégation sociale à l’Université : des disparités académiques sur la période 2006-2016," Revue d'économie régionale et urbaine, Armand Colin, volume 0, issue 3, pages 385-412.
  5. Magnus Blomkvist & Giacomo Nocera & Milos Vulanovic, 2022, "SPAC CEOs and capital raising outcomes," Economics Bulletin, AccessEcon, volume 42, issue 2, pages 729-739.
  6. 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, volume 83, issue C, DOI: 10.1016/j.irfa.2022.102280.

2021

  1. Donfack Morvan Nongni & Dufays Arnaud, 2021, "Modeling time-varying parameters using artificial neural networks: a GARCH illustration," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 5, pages 311-343, December, DOI: 10.1515/snde-2019-0091.
  2. Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021, "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 36, issue 6, pages 703-727, September, DOI: 10.1002/jae.2844.
  3. Kevin Beaubrun-Diant & Tristan-Pierre Maury, 2021, "Implications of homeownership policies on land prices: the case of a French experiment," Economics Bulletin, AccessEcon, volume 41, issue 3, pages 1256-1265.
  4. 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, DOI: https://doi.org/10.24187/ecostat.20.
  5. 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, volume 74, issue C, DOI: 10.1016/j.intfin.2021.101385.
  6. 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, volume 33, issue 7, pages 862-898, October, DOI: 10.1080/14631377.2020.1867429.

2020

  1. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020, "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, volume 217, issue 1, pages 46-78, DOI: 10.1016/j.jeconom.2019.10.008.
  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, volume 57, issue 4, pages 865-882, March, DOI: 10.1177/0042098019859508.
  3. 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, volume 135, issue 2, pages 359-378, DOI: 10.1016/j.jfineco.2018.12.005.
  4. 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, volume 33, issue 5, pages 2180-2222.
  5. Blomkvist, Magnus & Vulanovic, Milos, 2020, "SPAC IPO waves," Economics Letters, Elsevier, volume 197, issue C, DOI: 10.1016/j.econlet.2020.109645.
    • Magnus Blomkvist & Milos Vulanovic, 2020, "SPAC IPO waves," Post-Print, HAL, number hal-03039846, Dec, DOI: 10.1016/j.econlet.2020.109645.
  6. 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, volume 173, issue C, pages 270-296, DOI: 10.1016/j.jebo.2020.03.016.

2019

  1. 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, volume 51, issue 2-3, pages 655-682, March, DOI: 10.1111/jmcb.12543.
  2. Arnaud Dufays & Jeroen V. K. Rombouts, 2019, "Sparse Change-point HAR Models for Realized Variance," Econometric Reviews, Taylor & Francis Journals, volume 38, issue 8, pages 857-880, September, DOI: 10.1080/07474938.2018.1454366.
  3. Maciej Augustyniak & Luc Bauwens & Arnaud Dufays, 2019, "A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 37, issue 4, pages 696-709, October, DOI: 10.1080/07350015.2017.1415910.
  4. Vincenzo Russo & Rosella Giacometti & Frank J. Fabozzi, 2019, "Market implied volatilities for defaultable bonds," Annals of Operations Research, Springer, volume 275, issue 2, pages 669-683, April, DOI: 10.1007/s10479-018-3064-z.
  5. Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019, "Quantile-Based Inference for Tempered Stable Distributions," Computational Economics, Springer;Society for Computational Economics, volume 53, issue 1, pages 51-83, January, DOI: 10.1007/s10614-017-9718-0.
  6. Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019, "Enhancing binomial and trinomial equity option pricing models," Finance Research Letters, Elsevier, volume 28, issue C, pages 185-190, DOI: 10.1016/j.frl.2018.04.022.
  7. 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, volume 53, issue 3, pages 1279-1308, March, DOI: 10.1007/s10614-018-9807-8.
  8. 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, volume 47, issue 2, pages 564-594, June, DOI: 10.1111/1540-6229.12246.
  9. 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, volume 96, issue C, pages 130-146, DOI: 10.1016/j.jimonfin.2019.04.005.
  10. 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, volume 28, issue C, pages 165-170, DOI: 10.1016/j.frl.2018.04.018.
  11. David A. Mascio & Frank J. Fabozzi, 2019, "Sentiment indices and their forecasting ability," Journal of Forecasting, John Wiley & Sons, Ltd., volume 38, issue 4, pages 257-276, July, DOI: 10.1002/for.2571.
  12. Lioui, Abraham & Tarelli, Andrea, 2019, "Macroeconomic environment, money demand and portfolio choice," European Journal of Operational Research, Elsevier, volume 274, issue 1, pages 357-374, DOI: 10.1016/j.ejor.2018.09.039.
  13. 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, volume 15, issue 2, pages 183-207, June, DOI: 10.1111/ijet.12164.
  14. 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, volume 32, issue 10, pages 3884-3919.
  15. Harjoat S. Bhamra & Raman Uppal, 2019, "Does Household Finance Matter? Small Financial Errors with Large Social Costs," American Economic Review, American Economic Association, volume 109, issue 3, pages 1116-1154, March.

2018

  1. Chéron, Arnaud & Terriau, Anthony, 2018, "Life cycle training and equilibrium unemployment," Labour Economics, Elsevier, volume 50, issue C, pages 32-44, DOI: 10.1016/j.labeco.2017.04.004.
  2. Augustyniak, Maciej & Dufays, Arnaud, 2018, "Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space," Economics Letters, Elsevier, volume 170, issue C, pages 122-126, DOI: 10.1016/j.econlet.2018.06.009.
  3. Nazemi, Abdolreza & Fabozzi, Frank J., 2018, "Macroeconomic variable selection for creditor recovery rates," Journal of Banking & Finance, Elsevier, volume 89, issue C, pages 14-25, DOI: 10.1016/j.jbankfin.2018.01.006.
  4. 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, volume 92, issue C, pages 1-29, DOI: 10.1016/j.jedc.2018.04.002.
  5. 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, volume 271, issue 2, pages 664-675, DOI: 10.1016/j.ejor.2018.05.024.
  6. 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, volume 25, issue C, pages 196-201, DOI: 10.1016/j.frl.2017.10.013.
  7. 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, volume 50, issue 43, pages 4671-4693, September, DOI: 10.1080/00036846.2018.1459037.
  8. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018, "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, volume 266, issue 1, pages 183-198, July, DOI: 10.1007/s10479-017-2573-5.
  9. 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, volume 51, issue 3, pages 339-378, March, DOI: 10.1007/s10614-016-9599-7.
  10. Jang Ho Kim & Woo Chang Kim & Do-Gyun Kwon & Frank J. Fabozzi, 2018, "Robust equity portfolio performance," Annals of Operations Research, Springer, volume 266, issue 1, pages 293-312, July, DOI: 10.1007/s10479-017-2739-1.
  11. 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, volume 50, issue 40, pages 4318-4327, August, DOI: 10.1080/00036846.2018.1444263.
  12. 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, DOI: 10.15609/annaeconstat2009.130.0133.
  13. Peijnenburg, Kim, 2018, "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 53, issue 5, pages 1963-1994, October.

2017

  1. Arnaud Cheron & Bruno Decreuse, 2017, "Matching with Phantoms," The Review of Economic Studies, Review of Economic Studies Ltd, volume 84, issue 3, pages 1041-1070.
  2. Luc Bauwens & Jean-François Carpantier & Arnaud Dufays, 2017, "Autoregressive Moving Average Infinite Hidden Markov-Switching Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 35, issue 2, pages 162-182, April, DOI: 10.1080/07350015.2015.1123636.
  3. Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2017, "Penalizing variances for higher dependency on factors," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 4, pages 479-489, April, DOI: 10.1080/14697688.2016.1220677.
  4. Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J., 2017, "Intensity-based framework for surrender modeling in life insurance," Insurance: Mathematics and Economics, Elsevier, volume 72, issue C, pages 189-196, DOI: 10.1016/j.insmatheco.2016.11.001.
  5. 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., volume 20, issue 08, pages 1-24, December, DOI: 10.1142/S0219024917500546.
  6. Sensoy, Ahmet & Fabozzi, Frank J. & Eraslan, Veysel, 2017, "Predictability dynamics of emerging sovereign CDS markets," Economics Letters, Elsevier, volume 161, issue C, pages 5-9, DOI: 10.1016/j.econlet.2017.09.015.
  7. 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., volume 22, issue 3, pages 181-200, July.
  8. 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, volume 262, issue 2, pages 780-791, DOI: 10.1016/j.ejor.2017.04.008.
  9. Fabozzi, Frank J. & Nawas, Mike E. & Vink, Dennis, 2017, "Exploring rating shopping for european triple a senior structured finance securities," Finance Research Letters, Elsevier, volume 20, issue C, pages 35-39, DOI: 10.1016/j.frl.2016.08.013.
  10. Yosef Bonaparte & Frank J. Fabozzi, 2017, "Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios," Applied Economics Letters, Taylor & Francis Journals, volume 24, issue 13, pages 923-927, July, DOI: 10.1080/13504851.2016.1240335.
  11. Rama Malladi & Frank J. Fabozzi, 2017, "Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 3, pages 188-208, May, DOI: 10.1057/s41260-016-0033-4.
  12. Fabozzi, Frank J. & Xiao, Keli, 2017, "Explosive rents: The real estate market dynamics in exuberance," The Quarterly Review of Economics and Finance, Elsevier, volume 66, issue C, pages 100-107, DOI: 10.1016/j.qref.2017.07.006.
  13. 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, volume 21, issue 5, pages 1975-2005.
  14. Yosef Bonaparte & Frank J Fabozzi, 2017, "A flexible approach to estimate the equity premium," Applied Economics, Taylor & Francis Journals, volume 49, issue 59, pages 5940-5950, December, DOI: 10.1080/00036846.2017.1363862.
  15. Rama Malladi & Frank J. Fabozzi, 2017, "Skillful hiding: evaluating hedge fund managers’ performance based on what they hide," Applied Economics, Taylor & Francis Journals, volume 49, issue 7, pages 664-676, February, DOI: 10.1080/00036846.2016.1203066.
  16. 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, volume 263, issue 2, pages 698-706, DOI: 10.1016/j.ejor.2017.05.048.
  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, volume 16, issue 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, volume 127, issue 603, pages 1598-1625, August.
  19. Shachmurove, Yochanan & Vulanovic, Milos, 2017, "U.S. SPACs with a focus on China," Journal of Multinational Financial Management, Elsevier, volume 39, issue C, pages 1-18, DOI: 10.1016/j.mulfin.2016.12.001.

2016

  1. 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, volume 126, issue 3, pages 435-462.
  2. Arnaud Dufays, 2016, "Evolutionary Sequential Monte Carlo Samplers for Change-Point Models," Econometrics, MDPI, volume 4, issue 1, pages 1-33, March.
  3. Arnaud Dufays, 2016, "Infinite-State Markov-Switching for Dynamic Volatility," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 2, pages 418-460.
  4. 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, volume 68, issue C, pages 266-278, DOI: 10.1016/j.jbankfin.2016.01.014.
  5. 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, volume 145, issue C, pages 225-229, DOI: 10.1016/j.econlet.2016.05.035.
  6. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2016, "Portfolio selection with conservative short-selling," Finance Research Letters, Elsevier, volume 18, issue C, pages 363-369, DOI: 10.1016/j.frl.2016.05.015.
  7. 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, volume 45, issue C, pages 189-201, DOI: 10.1016/j.irfa.2016.03.003.
  8. Fabozzi, Frank J. & Giacometti, Rosella & Tsuchida, Naoshi, 2016, "Factor decomposition of the Eurozone sovereign CDS spreads," Journal of International Money and Finance, Elsevier, volume 65, issue C, pages 1-23, DOI: 10.1016/j.jimonfin.2016.03.003.
  9. Mohan Subbiah & Frank J Fabozzi, 2016, "Equity style allocation: A nonparametric approach," Journal of Asset Management, Palgrave Macmillan, volume 17, issue 3, pages 141-164, May, DOI: 10.1057/jam.2016.1.
  10. 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, volume 48, issue C, pages 272-281, DOI: 10.1016/j.irfa.2016.10.009.
  11. 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., volume 19, issue 04, pages 1-28, June, DOI: 10.1142/S0219024916500278.
  12. Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016, "Elliptical tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 7, pages 1069-1087, July, DOI: 10.1080/14697688.2015.1111522.
  13. 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, volume 65, issue C, pages 134-155, DOI: 10.1016/j.jbankfin.2015.10.005.
  14. 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, volume 254, issue 2, pages 656-666, DOI: 10.1016/j.ejor.2016.04.002.
  15. Lioui, Abraham & Poncet, Patrice, 2016, "Understanding dynamic mean variance asset allocation," European Journal of Operational Research, Elsevier, volume 254, issue 1, pages 320-337, DOI: 10.1016/j.ejor.2016.04.003.
  16. E. Beaubrun-Diant, Kevin. & Maury, Tristan-Pierre, 2016, "Home tenure, stock market participation, and composition of the household portfolio," Journal of Housing Economics, Elsevier, volume 32, issue C, pages 1-17, DOI: 10.1016/j.jhe.2016.03.002.
  17. Peijnenburg, Kim & Nijman, Theo & Werker, Bas J.M., 2016, "The annuity puzzle remains a puzzle," Journal of Economic Dynamics and Control, Elsevier, volume 70, issue C, pages 18-35, DOI: 10.1016/j.jedc.2016.05.023.
  18. 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, volume 119, issue 3, pages 559-577, DOI: 10.1016/j.jfineco.2016.01.003.
  19. 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, volume 81, issue C, pages 25-43, DOI: 10.1016/j.jmoneco.2016.03.008.

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, volume 21, issue 3, pages 172-194, February, DOI: 10.1080/1351847X.2013.862838.
  2. Stoyan Valchev & Radu Tunaru & Frank J. Fabozzi, 2015, "Multiperiod conditional valuation of barrier options with incomplete information," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 7, pages 1093-1102, July, DOI: 10.1080/14697688.2014.945472.
  3. Fabozzi, Frank J., 2015, "Measuring and explaining pension system risk," Journal of Pension Economics and Finance, Cambridge University Press, volume 14, issue 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, volume 46, issue 2, pages 243-273, August, DOI: 10.1007/s10614-014-9457-4.
  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, volume 39, issue C, pages 19-31, DOI: 10.1016/j.irfa.2015.02.001.
  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, volume 19, issue 2, pages 129-141, April, DOI: 10.1080/10920277.2015.1015262.
  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., volume 2, issue 01, pages 1-31, DOI: 10.1142/S2345768615500014.
  8. 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, volume 51, issue 3, pages 219-244, December, DOI: 10.1007/s11166-015-9227-2.
  9. Shachmurove, Yochanan & Vulanovic, Milos, 2015, "Specified purpose acquisition companies in shipping," Global Finance Journal, Elsevier, volume 26, issue C, pages 64-79, DOI: 10.1016/j.gfj.2015.01.005.

2014

  1. Belan, Pascal & Chéron, Arnaud, 2014, "Turbulence, training and unemployment," Labour Economics, Elsevier, volume 27, issue C, pages 16-29, DOI: 10.1016/j.labeco.2014.01.001.
  2. Bauwens, Luc & Dufays, Arnaud & Rombouts, Jeroen V.K., 2014, "Marginal likelihood for Markov-switching and change-point GARCH models," Journal of Econometrics, Elsevier, volume 178, issue P3, pages 508-522, DOI: 10.1016/j.jeconom.2013.08.017.
  3. Bauwens, Luc & De Backer, Bruno & Dufays, Arnaud, 2014, "A Bayesian method of change-point estimation with recurrent regimes: Application to GARCH models," Journal of Empirical Finance, Elsevier, volume 29, issue C, pages 207-229, DOI: 10.1016/j.jempfin.2014.06.008.
  4. 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, volume 234, issue 2, pages 411-421, DOI: 10.1016/j.ejor.2013.03.029.
  5. 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, volume 122, issue 2, pages 154-158, DOI: 10.1016/j.econlet.2013.11.024.
  6. 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, volume 14, issue 9, pages 1555-1571, September, DOI: 10.1080/14697688.2014.911949.
  7. 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, volume 14, issue 5, pages 863-888, May, DOI: 10.1080/14697688.2012.752103.
  8. 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, volume 38, issue C, pages 125-141, DOI: 10.1016/j.jedc.2013.10.001.
  9. 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, volume 31, issue C, pages 101-108, DOI: 10.1016/j.irfa.2013.10.004.
  10. 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, volume 234, issue 2, pages 356-371, DOI: 10.1016/j.ejor.2013.10.060.
  11. 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, volume 161, issue 1, pages 103-121, April, DOI: 10.1007/s10957-013-0329-1.
  12. Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014, "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, volume 45, issue C, pages 1-8, DOI: 10.1016/j.jbankfin.2014.04.021.
  13. 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, volume 23, issue 3, pages 353-357, August, DOI: 10.1007/s10260-014-0266-7.
  14. Lioui, Abraham & Maio, Paulo, 2014, "Interest Rate Risk and the Cross Section of Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 49, issue 2, pages 483-511, April.
  15. Maury, Tristan-Pierre & Tripier, Fabien, 2014, "Search strategies on the housing market and their implications on price dispersion," Journal of Housing Economics, Elsevier, volume 26, issue C, pages 55-80, DOI: 10.1016/j.jhe.2014.09.001.
  16. 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, volume 40, pages 69-82.
  17. Harjoat S. Bhamra & Raman Uppal, 2014, "Asset Prices with Heterogeneity in Preferences and Beliefs," The Review of Financial Studies, Society for Financial Studies, volume 27, issue 2, pages 519-580.
  18. 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, volume 27, issue 4, pages 1031-1073.
  19. Lakicevic, Milan & Shachmurove, Yochanan & Vulanovic, Milos, 2014, "Institutional changes of Specified Purpose Acquisition Companies (SPACs)," The North American Journal of Economics and Finance, Elsevier, volume 28, issue C, pages 149-169, DOI: 10.1016/j.najef.2014.03.002.

2013

  1. Ekkehart Boehmer & Juan (Julie) Wu, 2013, "Short Selling and the Price Discovery Process," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 2, pages 287-322.
  2. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang, 2013, "Shackling Short Sellers: The 2008 Shorting Ban," The Review of Financial Studies, Society for Financial Studies, volume 26, issue 6, pages 1363-1400.
  3. Arnaud Chéron & Jean-Olivier Hairault & François Langot, 2013, "Life-Cycle Equilibrium Unemployment," Journal of Labor Economics, University of Chicago Press, volume 31, issue 4, pages 843-882, DOI: 10.1086/669941.
  4. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2013, "Composition of robust equity portfolios," Finance Research Letters, Elsevier, volume 10, issue 2, pages 72-81, DOI: 10.1016/j.frl.2013.02.001.
  5. Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013, "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, volume 16, issue C, pages 46-65, DOI: 10.1016/j.ememar.2013.03.001.
  6. Frank J. Fabozzi & Chun-Yip Fung & Kin Lam & Wing-Keung Wong, 2013, "Market overreaction and underreaction: tests of the directional and magnitude effects," Applied Financial Economics, Taylor & Francis Journals, volume 23, issue 18, pages 1469-1482, September, DOI: 10.1080/09603107.2013.829200.
  7. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013, "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, volume 37, issue 3, pages 977-988, DOI: 10.1016/j.jbankfin.2012.11.010.
  8. Andrew H. Chen & Frank J. Fabozzi & Dashan Huang, 2013, "Optimal corporate strategy under uncertainty," Applied Economics, Taylor & Francis Journals, volume 45, issue 20, pages 2877-2882, July, DOI: 10.1080/00036846.2012.684791.
  9. 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, volume 17, issue 1, pages 103-120, February, DOI: 10.1515/snde-2012-0004.
  10. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2013, "The role of jump dynamics in the risk–return relationship," International Review of Financial Analysis, Elsevier, volume 29, issue C, pages 212-218, DOI: 10.1016/j.irfa.2012.11.004.
  11. Sven Klingler & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2013, "Option pricing with time-changed L�vy processes," Applied Financial Economics, Taylor & Francis Journals, volume 23, issue 15, pages 1231-1238, August, DOI: 10.1080/09603107.2013.807024.
  12. Turan G. Bali & Nusret Cakici & Frank J. Fabozzi, 2013, "The new issues puzzle: evidence from non-US firms," Applied Economics Letters, Taylor & Francis Journals, volume 20, issue 17, pages 1586-1591, November, DOI: 10.1080/13504851.2013.829188.
  13. 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, volume 17, issue 2, pages 167-177, April, DOI: 10.1515/snde-2012-0033.
  14. 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., volume 16, issue 05, pages 1-38, DOI: 10.1142/S0219024913500295.
  15. Woo Kim & Jang Kim & So Ahn & Frank Fabozzi, 2013, "What do robust equity portfolio models really do?," Annals of Operations Research, Springer, volume 205, issue 1, pages 141-168, May, DOI: 10.1007/s10479-012-1247-6.
  16. 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., volume 16, issue 04, pages 1-20, DOI: 10.1142/S0219024913500209.
  17. Stoyan Stoyanov & Svetlozar Rachev & Frank Fabozzi, 2013, "Sensitivity of portfolio VaR and CVaR to portfolio return characteristics," Annals of Operations Research, Springer, volume 205, issue 1, pages 169-187, May, DOI: 10.1007/s10479-012-1142-1.
  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, volume 37, issue 5, pages 1066-1096, DOI: 10.1016/j.jedc.2013.01.007.
  19. Lioui, Abraham & Poncet, Patrice, 2013, "Optimal benchmarking for active portfolio managers," European Journal of Operational Research, Elsevier, volume 226, issue 2, pages 268-276, DOI: 10.1016/j.ejor.2012.10.043.
  20. 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., volume 22, issue 9, pages 1124-1138, September, DOI: 10.1002/hec.2962.
  21. 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, volume 48, issue 6, pages 1813-1845, December.
  22. 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), volume 9, issue 1, pages 45-52.

2012

  1. 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, volume 15, issue 1, pages 81-97, April, DOI: 10.1007/s11147-011-9070-9.
  2. Matthias Scherer & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi, 2012, "Approximation of skewed and leptokurtic return distributions," Applied Financial Economics, Taylor & Francis Journals, volume 22, issue 16, pages 1305-1316, August, DOI: 10.1080/09603107.2012.659342.
  3. 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, volume 12, issue 10, pages 1571-1583, October, DOI: 10.1080/14697688.2011.580363.
  4. 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, volume 50, issue 1, pages 85-93, DOI: 10.1016/j.insmatheco.2011.10.002.
  5. 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, volume 39, issue 4, pages 509-526, November, DOI: 10.1007/s11156-012-0292-1.
  6. 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, volume 18, issue 4, pages 515-542, September, DOI: 10.1111/j.1468-036X.2010.00577.x.
  7. 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, volume 201, issue 1, pages 325-343, December, DOI: 10.1007/s10479-012-1229-8.
  8. 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., volume 15, issue 02, pages 1-22, DOI: 10.1142/S0219024912500173.
  9. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012, "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, volume 18, issue 5, pages 762-789, November, DOI: 10.1111/j.1468-036X.2011.00635.x.
  10. 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, volume 1, issue 3, pages 1-8.
  11. Lioui, Abraham & Poncet, Patrice, 2012, "On model ambiguity and money neutrality," Journal of Macroeconomics, Elsevier, volume 34, issue 4, pages 1020-1033, DOI: 10.1016/j.jmacro.2012.08.003.
  12. Lioui, Abraham & Sharma, Zenu, 2012, "Environmental corporate social responsibility and financial performance: Disentangling direct and indirect effects," Ecological Economics, Elsevier, volume 78, issue C, pages 100-111, DOI: 10.1016/j.ecolecon.2012.04.004.
  13. 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.
  14. Phelim Boyle & Lorenzo Garlappi & Raman Uppal & Tan Wang, 2012, "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification," Management Science, INFORMS, volume 58, issue 2, pages 253-272, February, DOI: 10.1287/mnsc.1110.1349.

2011

  1. Arnaud Chéron & Francois Langot & Eva Moreno‐Galbis, 2011, "Labour Market Institutions and Technological Employment," Economica, London School of Economics and Political Science, volume 78, issue 309, pages 159-186, January.
  2. Arnaud Chéron & Aymen Esselmi & Simon Petitrenaud, 2011, "Does Uncertainty of Firing Costs Reduce Hirings?," LABOUR, CEIS, volume 25, issue 1, pages 89-96, March, DOI: j.1467-9914.2010.00498.x.
  3. Arnaud Chéron & Bénédicte Rouland, 2011, "Inefficient Job Destructions and Training with Hold‐up," LABOUR, CEIS, volume 25, issue 4, pages 397-420, December, DOI: j.1467-9914.2011.00526.x.
  4. Pascal Belan & Arnaud Chéron, 2011, "Chômage d'équilibre, dépréciation du capital humain général et subvention optimale à la formation," Revue d'économie politique, Dalloz, volume 121, issue 2, pages 209-231.
  5. Arnaud Chéron & Jean‐Olivier Hairault & François Langot, 2011, "Age‐Dependent Employment Protection," Economic Journal, Royal Economic Society, volume 121, issue 557, pages 1477-1504, December, DOI: j.1468-0297.2011.02453.x.
  6. Chéron, Arnaud & Rouland, Bénédicte, 2011, "Endogenous job destructions and the distribution of wages," Labour Economics, Elsevier, volume 18, issue 6, pages 845-852, DOI: 10.1016/j.labeco.2011.07.005.
  7. Ronald Ryan & Frank Fabozzi, 2011, "Liability Index Fund: The Liability Beta Portfolio," Journal of Financial Transformation, Capco Institute, volume 33, pages 29-33.
  8. Jan Henneke & Svetlozar Rachev & Frank Fabozzi & Metodi Nikolov, 2011, "MCMC-based estimation of Markov Switching ARMA-GARCH models," Applied Economics, Taylor & Francis Journals, volume 43, issue 3, pages 259-271, DOI: 10.1080/00036840802552379.
  9. Yosef Bonaparte & Frank Fabozzi, 2011, "Household search choice: theory and evidence," Applied Economics, Taylor & Francis Journals, volume 43, issue 26, pages 3835-3847, DOI: 10.1080/00036841003724460.
  10. Bonaparte, Yosef & Fabozzi, Frank J., 2011, "Is food consumption a good proxy for nondurable consumption?," Economics Letters, Elsevier, volume 111, issue 2, pages 110-112, May.
  11. Yosef Bonaparte & Frank Fabozzi, 2011, "Savings selectivity bias, subjective expectations and stock market participation," Applied Financial Economics, Taylor & Francis Journals, volume 21, issue 3, pages 119-130, DOI: 10.1080/09603107.2010.526579.
  12. 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, volume 49, issue 1, pages 53-60, July.
  13. Möller, Christoph & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011, "Balancing energy strategies in electricity portfolio management," Energy Economics, Elsevier, volume 33, issue 1, pages 2-11, January.
  14. 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, volume 35, issue 8, pages 1879-1891, August.
  15. 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, volume 30, issue 4, pages 692-707, June.
  16. 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, volume 25, issue 4, pages 477-478, December, DOI: 10.1007/s11408-011-0171-0.
  17. Abraham Lioui & Patrice Poncet, 2011, "Misunderstanding risk and return?," Finance, Presses universitaires de Grenoble, volume 32, issue 2, pages 91-136.
  18. 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, volume 51, issue 4, pages 732-750, October, DOI: j.1467-9787.2011.00713.x.
  19. Palomino, Frederic & Sadrieh, Abdolkarim, 2011, "Overconfidence and delegated portfolio management," Journal of Financial Intermediation, Elsevier, volume 20, issue 2, pages 159-177, April.
  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, volume 10, issue 1, pages 157-159, January.
  21. Milan Lakicevic & Milos Vulanovic, 2011, "The Role Of Warrants In Shelf Offerings," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), volume 7, issue 1, pages 73-78.

2010

  1. Boehmer, Ekkehart & Huszar, Zsuzsa R. & Jordan, Bradford D., 2010, "The good news in short interest," Journal of Financial Economics, Elsevier, volume 96, issue 1, pages 80-97, April.
  2. Chéron, Arnaud & Langot, François, 2010, "On-the-job search equilibrium with endogenous unemployment benefits," Labour Economics, Elsevier, volume 17, issue 2, pages 383-391, April.
  3. 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, volume 203, issue 1, pages 185-194, May.
  4. 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, volume 14, issue 2, pages 1-26, March, DOI: 10.2202/1558-3708.1805.
  5. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010, "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, volume 17, issue 2, pages 195-211, March.
  6. Ivan Mitov & Svetlozar Rachev & Frank Fabozzi, 2010, "Approximation of aggregate and extremal losses within the very heavy tails framework," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 10, pages 1153-1162, DOI: 10.1080/14697681003718414.
  7. Ren-Raw Chen & Frank Fabozzi, 2010, "A risk-based evaluation of the free-trader option," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 3, pages 235-240, DOI: 10.1080/14697681003665664.
  8. 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, volume 34, issue 9, pages 2096-2109, September.
  9. 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, volume 16, issue 1, pages 8-26, January, DOI: 10.1111/j.1468-036X.2009.00528.x.
  10. Sergio M. Focardi & Frank J. Fabozzi, 2010, "The Reasonable Effectiveness of Mathematics in Economics," The American Economist, Sage Publications, volume 55, issue 1, pages 19-30, May, DOI: 10.1177/056943451005500103.
  11. Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010, "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, volume 176, issue 1, pages 191-220, April, DOI: 10.1007/s10479-009-0515-6.
  12. 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, volume 176, issue 1, pages 293-309, April, DOI: 10.1007/s10479-008-0468-1.
  13. Abraham Lioui & Patrice Poncet, 2010, "Money and Asset Prices in a Production Economy," Finance, Presses universitaires de Grenoble, volume 31, issue 2, pages 007-049.
  14. 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, volume 23, issue 4, pages 1467-1502, April.
  15. Palomino, Frédéric & Peyrache, Eloïc-Anil, 2010, "Psychological bias and gender wage gap," Journal of Economic Behavior & Organization, Elsevier, volume 76, issue 3, pages 563-573, December.

2009

  1. Ekkehart Boehmer & Eric K. Kelley, 2009, "Institutional Investors and the Informational Efficiency of Prices," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 9, pages 3563-3594, September.
  2. 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.
  3. 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.
  4. 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, volume 119, issue 1, pages 41-70.
  5. 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, volume 29, issue 1, pages 221-229.
  6. Arnaud Chéron, 2009, "Equilibrium wage dispersion and the role of endogenous search effort revisited," Economics Bulletin, AccessEcon, volume 29, issue 1, pages 303-311.
  7. Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi, 2009, "Orderings and Probability Functionals Consistent with Preferences," Applied Mathematical Finance, Taylor & Francis Journals, volume 16, issue 1, pages 81-102, DOI: 10.1080/13504860802327180.
  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, volume 12, issue 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, volume 16, issue 2, pages 201-215, March.
  10. Jochen Papenbrock & Svetlozar Rachev & Markus Hochstotter & Frank Fabozzi, 2009, "Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions," Applied Financial Economics, Taylor & Francis Journals, volume 19, issue 17, pages 1401-1416, DOI: 10.1080/09603100902798040.
  11. Frank Fabozzi & Radu Tunaru & George Albota, 2009, "Estimating risk-neutral density with parametric models in interest rate markets," Quantitative Finance, Taylor & Francis Journals, volume 9, issue 1, pages 55-70, DOI: 10.1080/14697680802272045.
  12. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009, "Construction of probability metrics on classes of investors," Economics Letters, Elsevier, volume 103, issue 1, pages 45-48, April.
  13. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009, "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, volume 31, issue 4, pages 511-518, July.
  14. 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, volume 15, issue 2, pages 340-361, March, DOI: 10.1111/j.1468-036X.2008.00467.x.
  15. 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, volume 16, issue 14, pages 1425-1431, DOI: 10.1080/17446540802584889.
  16. 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, volume 36, issue 1, pages 201-229, February, DOI: 10.1007/s00181-008-0192-3.
  17. 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, volume 25, issue 3, pages 632-634, July.
  18. 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), volume 69, issue 3, pages 375-377, July, DOI: 10.1007/s00186-008-0242-9.
  19. 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., volume 12, issue 07, pages 1055-1073, DOI: 10.1142/S0219024909005555.
  20. 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), volume 69, issue 3, pages 379-394, July, DOI: 10.1007/s00186-008-0243-8.
  21. Noël Amenc & Felix Goltz & Véronique Le Sourd, 2009, "The Performance of Characteristics‐based Indices1," European Financial Management, European Financial Management Association, volume 15, issue 2, pages 241-278, March, DOI: 10.1111/j.1468-036X.2008.00468.x.
  22. Lionel Martellini, 2009, "Risk and Asset Management: Introduction," European Financial Management, European Financial Management Association, volume 15, issue 2, pages 239-240, March, DOI: 10.1111/j.1468-036X.2009.00498.x.
  23. 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, volume 37, issue 2, pages 305-340, June, DOI: 10.1111/j.1540-6229.2009.00244.x.
  24. 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, volume 15, issue 3, pages 368-387, June.
  25. 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, volume 64, issue 2, pages 579-629, April, DOI: 10.1111/j.1540-6261.2009.01444.x.
  26. 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, volume 55, issue 5, pages 798-812, May, DOI: 10.1287/mnsc.1080.0986.
  27. 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, volume 22, issue 5, pages 1915-1953, May.
  28. 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, volume 22, issue 6, pages 2303-2330, June.
  29. Giacomo Valletta, 2009, "A fair solution to the compensation problem," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, volume 32, issue 3, pages 455-478, March, DOI: 10.1007/s00355-008-0335-7.

2008

  1. Ekkehart Boehmer & Charles M. Jones & Xiaoyan Zhang, 2008, "Which Shorts Are Informed?," Journal of Finance, American Finance Association, volume 63, issue 2, pages 491-527, April, DOI: 10.1111/j.1540-6261.2008.01324.x.
  2. Arnaud Chéron & François Langot, 2008, "Équilibre général stochastique et dynamique non-walrasienne du marché du travail," Economie & Prévision, La Documentation Française, volume 0, issue 2, pages 93-113.
  3. 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, volume 92, issue 3-4, pages 817-843, April.
  4. 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, volume 412, issue 1, pages 3-25, DOI: 10.3406/estat.2008.7039.
  5. Frank Fabozzi & Sergio Focardi & Caroline Jonas, 2008, "On the challenges in quantitative equity management," Quantitative Finance, Taylor & Francis Journals, volume 8, issue 7, pages 649-665, DOI: 10.1080/14697680802486751.
  6. 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, volume 12, issue 2, pages 1-37, May, DOI: 10.2202/1558-3708.1572.
  7. 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, volume 32, issue 2, pages 594-623, February.
  8. 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, volume 32, issue 7, pages 1363-1378, July.
  9. 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, volume 4, issue 2, pages 217-241, March, DOI: 10.1007/s10436-007-0078-y.
  10. 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, volume 32, issue 2, pages 199-206, February.
  11. 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, volume 43, issue 1, pages 123-160, March.
  12. 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, volume 56, issue 5, pages 1066-1078, October, DOI: 10.1287/opre.1080.0526.
  13. 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., volume 11, issue 01, pages 19-54, DOI: 10.1142/S0219024908004713.
  14. Lioui, Abraham & Poncet, Patrice, 2008, "Monetary non-neutrality in the Sidrauski model under uncertainty," Economics Letters, Elsevier, volume 100, issue 1, pages 22-26, July.
  15. Blanchet-Scalliet, Christophette & El Karoui, Nicole & Jeanblanc, Monique & Martellini, Lionel, 2008, "Optimal investment decisions when time-horizon is uncertain," Journal of Mathematical Economics, Elsevier, volume 44, issue 11, pages 1100-1113, December.
  16. 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, volume 0, issue 4, pages 543-563.

2007

  1. Boehmer, Ekkehart & Grammig, Joachim & Theissen, Erik, 2007, "Estimating the probability of informed trading--does trade misclassification matter?," Journal of Financial Markets, Elsevier, volume 10, issue 1, pages 26-47, February.
  2. S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi, 2007, "Optimal Financial Portfolios," Applied Mathematical Finance, Taylor & Francis Journals, volume 14, issue 5, pages 401-436, DOI: 10.1080/13504860701255292.
  3. Rachev, Svetlozar & Jasic, Teo & Stoyanov, Stoyan & Fabozzi, Frank J., 2007, "Momentum strategies based on reward-risk stock selection criteria," Journal of Banking & Finance, Elsevier, volume 31, issue 8, pages 2325-2346, August.
  4. Wesley Phoa & Sergio Focardi & Frank Fabozzi, 2007, "How do conflicting theories about financial markets coexist?," Journal of Post Keynesian Economics, Taylor & Francis Journals, volume 29, issue 3, pages 363-391, DOI: 10.2753/PKE0160-3477290301.
  5. Fabozzi, Frank J. & Cheng, Xiaolin & Chen, Ren-Raw, 2007, "Exploring the components of credit risk in credit default swaps," Finance Research Letters, Elsevier, volume 4, issue 1, pages 10-18, March.
  6. 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, volume 8, issue 1, pages 21-31, May.
  7. 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, volume 59, issue 6, pages 575-595.
  8. 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, volume 13, issue 3, pages 269-282, DOI: 10.1080/13518470600813581.
  9. Frank J. Fabozzi & Sergio Focardi & Caroline Jonas, 2007, "Trends in quantitative equity management: survey results," Quantitative Finance, Taylor & Francis Journals, volume 7, issue 2, pages 115-122, DOI: 10.1080/14697680701195941.
  10. 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, volume 7, issue 4, pages 423-433, DOI: 10.1080/14697680701442731.
  11. 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, volume 177, issue 2, pages 1134-1152, March.
  12. 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., volume 10, issue 08, pages 1305-1321, DOI: 10.1142/S0219024907004664.
  13. Felix Goltz & Lionel Martellini & Mathieu Vaissié, 2007, "Hedge Fund Indices: Reconciling Investability and Representativity," European Financial Management, European Financial Management Association, volume 13, issue 2, pages 257-286, March, DOI: 10.1111/j.1468-036X.2006.00354.x.
  14. Ballet, Jerome & Bazin, Damien & Lioui, Abraham & Touahri, David, 2007, "Green taxation and individual responsibility," Ecological Economics, Elsevier, volume 63, issue 4, pages 732-739, September.
  15. Lioui, Abraham & Rangvid, Jesper, 2007, "Habit persistence in consumption and the demand for money," Economics Letters, Elsevier, volume 96, issue 2, pages 168-176, August.
  16. Lioui, Abraham, 2007, "The asset allocation puzzle is still a puzzle," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 4, pages 1185-1216, April.
  17. 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, volume 0, issue 3, pages 421-451.
  18. 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, volume 24, issue 3, pages 241-263, September, DOI: 10.1080/09599910701599290.
  19. 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, volume 20, issue 1, pages 41-81, January.

2006

  1. 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, volume 41, issue 4, pages 809-828, December.
  2. Barinci, Jean-Paul & Chéron, Arnaud & Langot, Francois, 2006, "Liquidity Constraints, Heterogeneous Households And Sunspot Fluctuations," Macroeconomic Dynamics, Cambridge University Press, volume 10, issue 4, pages 529-544, September.
  3. Frank Fabozzi & Radu Tunaru, 2006, "On risk management problems related to a coherence property," Quantitative Finance, Taylor & Francis Journals, volume 6, issue 1, pages 75-81, DOI: 10.1080/14697680500467889.
  4. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2006, "The value, size, and momentum spread during distressed economic periods," Finance Research Letters, Elsevier, volume 3, issue 4, pages 244-252, December.
  5. Bala Arshanapalli & Edmond d'Ouville & Frank Fabozzi & Lorne Switzer, 2006, "Macroeconomic news effects on conditional volatilities in the bond and stock markets," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 5, pages 377-384, DOI: 10.1080/09603100500511068.
  6. Frank Fabozzi & Borjana Racheva-Iotova & Stoyan Stoyanov, 2006, "An empirical examination of the return distribution characteristics of agency mortgage pass-through securities," Applied Financial Economics, Taylor & Francis Journals, volume 16, issue 15, pages 1085-1094, DOI: 10.1080/09603100500438775.
  7. Abraham Lioui, 2006, "Black‐Scholes‐Merton revisited under stochastic dividend yields," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 26, issue 7, pages 703-732, July.
  8. 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, volume 19, issue 4, pages 1113-1156.
  9. 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, volume 116, issue 2, pages 277-295.
  10. Belorgey, Nicolas & Lecat, Remy & Maury, Tristan-Pierre, 2006, "Determinants of productivity per employee: An empirical estimation using panel data," Economics Letters, Elsevier, volume 91, issue 2, pages 153-157, May.
  11. 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, volume 30, issue 6, pages 967-991, June.

2005

  1. 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, volume 60, issue 2, pages 783-815, April, DOI: 10.1111/j.1540-6261.2005.00746.x.
  2. 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, volume 29, issue 8-9, pages 1981-2013, August.
  3. Boehmer, Ekkehart, 2005, "Dimensions of execution quality: Recent evidence for US equity markets," Journal of Financial Economics, Elsevier, volume 78, issue 3, pages 553-582, December.
  4. Cheron, A., 2005, "Efficient v.s. equilibrium unemployment with match-specific costs," Economics Letters, Elsevier, volume 88, issue 2, pages 176-183, August.
  5. 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, volume 19, issue 4, pages 3-40, DOI: 10.3406/rfeco.2005.1558.
  6. 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, volume 4, issue 3, pages 313-327, November.
  7. 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., volume 8, issue 08, pages 1107-1133, DOI: 10.1142/S0219024905003402.
  8. Lioui, Abraham & Poncet, Patrice, 2005, "General equilibrium pricing of CPI derivatives," Journal of Banking & Finance, Elsevier, volume 29, issue 5, pages 1265-1294, May.
  9. Abraham Lioui, 2005, "Stochastic dividend yields and derivatives pricing in complete markets," Review of Derivatives Research, Springer, volume 8, issue 3, pages 151-175, December, DOI: 10.1007/s11147-006-9000-4.
  10. Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005, "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, volume 29, issue 10, pages 1737-1764, October.
  11. 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, volume 1, issue 3, pages 67-88, Dicembre.
  12. Palomino, Frederic, 2005, "Relative performance objectives in financial markets," Journal of Financial Intermediation, Elsevier, volume 14, issue 3, pages 351-375, July.
  13. Victor DeMiguel & Raman Uppal, 2005, "Portfolio Investment with the Exact Tax Basis via Nonlinear Programming," Management Science, INFORMS, volume 51, issue 2, pages 277-290, February, DOI: 10.1287/mnsc.1040.0315.

2004

  1. Boehmer, Ekkehart & Fishe, Raymond P. H., 2004, "Underwriter short covering in the IPO aftermarket: a clinical study," Journal of Corporate Finance, Elsevier, volume 10, issue 4, pages 575-594, September.
  2. 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, volume 28, issue 1, pages 117-131, March, DOI: 10.1007/BF02761459.
  3. 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.
  4. Algan, Yann & Cheron, Arnaud & Hairault, Jean-Olivier & Langot, Francois, 2004, "Self-insurance and inequality," Economics Letters, Elsevier, volume 85, issue 3, pages 295-299, December.
  5. 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, volume 7, issue 2, pages 476-493, April, DOI: 10.1016/j.red.2003.11.003.
  6. Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004, "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, volume 5, issue 1, pages 79-92, May.
  7. Sergio Focardi & Frank Fabozzi, 2004, "A methodology for index tracking based on time-series clustering," Quantitative Finance, Taylor & Francis Journals, volume 4, issue 4, pages 417-425, DOI: 10.1080/14697680400008668.
  8. 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., volume 7, issue 08, pages 949-978, DOI: 10.1142/S0219024904002785.
  9. Lioui, Abraham & Poncet, Patrice, 2004, "General equilibrium real and nominal interest rates," Journal of Banking & Finance, Elsevier, volume 28, issue 7, pages 1569-1595, July.
  10. 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, volume 28, issue 9, pages 1903-1923, July.
  11. Matheron, Julien & Maury, Tristan-Pierre, 2004, "The welfare cost of monopolistic competition: a quantitative assessment," Economic Modelling, Elsevier, volume 21, issue 6, pages 933-948, December.
  12. Matheron, Julien & Maury, Tristan-Pierre, 2004, "Supply-side refinements and the New Keynesian Phillips Curve," Economics Letters, Elsevier, volume 82, issue 3, pages 391-396, March.
  13. Palomino, Frederic & Sakovics, Jozsef, 2004, "Inter-league competition for talent vs. competitive balance," International Journal of Industrial Organization, Elsevier, volume 22, issue 6, pages 783-797, June.
  14. 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, volume 2, issue 5, pages 833-862, September.
  15. 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, volume 23, issue 4, pages 553-571, June.

2003

  1. Becht, Marco & Boehmer, Ekkehart, 2003, "Voting control in German corporations," International Review of Law and Economics, Elsevier, volume 23, issue 1, pages 1-29, March.
  2. Boehmer, Beatrice & Boehmer, Ekkehart, 2003, "Trading your neighbor's ETFs: Competition or fragmentation?," Journal of Banking & Finance, Elsevier, volume 27, issue 9, pages 1667-1703, September.
  3. 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, volume 6, issue 1, pages 156-178, January, DOI: 10.1016/S1094-2025(02)00013-3.
  4. Lioui, Abraham & Poncet, Patrice, 2003, "International asset allocation: A new perspective," Journal of Banking & Finance, Elsevier, volume 27, issue 11, pages 2203-2230, November.
  5. Lioui, Abraham & Poncet, Patrice, 2003, "Dynamic asset pricing with non-redundant forwards," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1163-1180, May.
  6. Abraham Lioui & Patrice Poncet, 2003, "General equilibrium pricing of nonredundant forward contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 9, pages 817-840, September.
  7. Tristan-Pierre Maury, 2003, "Endogenous growth, transitional dynamics and the welfare costs of inflation," Economics Bulletin, AccessEcon, volume 5, issue 12, pages 1-8.
  8. Tristan-Pierre Maury & Fabien Tripier, 2003, "Output persistence in human capital-based growth models," Economics Bulletin, AccessEcon, volume 5, issue 11, pages 1-8.
  9. Palomino, Frederic & Prat, Andrea, 2003, "Risk Taking and Optimal Contracts for Money Managers," RAND Journal of Economics, The RAND Corporation, volume 34, issue 1, pages 113-137, Spring.
  10. Raman Uppal & Tan Wang, 2003, "Model Misspecification and Underdiversification," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2465-2486, December, DOI: 10.1046/j.1540-6261.2003.00612.x.
  11. Sercu, Piet & Uppal, Raman, 2003, "Exchange rate volatility and international trade: A general-equilibrium analysis," European Economic Review, Elsevier, volume 47, issue 3, pages 429-441, June.

2002

  1. Cheron, A., 2002, "Labor-market search and real business cycles: Nash bargaining vs. fair wage," Economics Letters, Elsevier, volume 77, issue 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, volume 53, issue 5, pages 951-964, DOI: 10.3406/reco.2002.410455.
  3. Lioui, Abraham & Poncet, Patrice, 2002, "Optimal currency risk hedging," Journal of International Money and Finance, Elsevier, volume 21, issue 2, pages 241-264, April.

2001

  1. 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.
  2. Barinci, Jean-Paul & Cheron, Arnaud, 2001, "Sunspots and the Business Cycle in a Finance Constrained Economy," Journal of Economic Theory, Elsevier, volume 97, issue 1, pages 30-49, March.
  3. Lioui, Abraham & Poncet, Patrice, 2001, "On optimal portfolio choice under stochastic interest rates," Journal of Economic Dynamics and Control, Elsevier, volume 25, issue 11, pages 1841-1865, November.
  4. Abraham Lioui & Patrice Poncet, 2001, "Mean‐variance efficiency of the market portfolio and futures trading," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 21, issue 4, pages 329-346, April.
  5. Noël Amenc & Lionel Martellini, 2001, "It’s time for asset allocation," Journal of Financial Transformation, Capco Institute, volume 3, pages 77-88.
  6. Frederic Palomino, 2001, "Informational efficiency: ranking markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 3, pages 683-700.
  7. 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, volume 14, issue 1, pages 277-305.

2000

  1. Boehmer, Ekkehart, 2000, "Business Groups, Bank Control, and Large Shareholders: An Analysis of German Takeovers," Journal of Financial Intermediation, Elsevier, volume 9, issue 2, pages 117-148, April.
  2. Cheron, Arnaud & Langot, Francois, 2000, "The Phillips and Beveridge curves revisited," Economics Letters, Elsevier, volume 69, issue 3, pages 371-376, December.
  3. Collins, Bruce & Fabozzi, Frank, 2000, "Equity Manager Selection and Performance," Review of Quantitative Finance and Accounting, Springer, volume 15, issue 1, pages 81-97, July.
  4. Abraham Lioui & Patrice Poncet, 2000, "The Minimum Variance Hedge Ratio Under Stochastic Interest Rates," Management Science, INFORMS, volume 46, issue 5, pages 658-668, May, DOI: 10.1287/mnsc.46.5.658.12045.
  5. Abraham Lioui & Patrice Poncet, 2000, "Bernoulli speculator and trading strategy risk," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 20, issue 6, pages 507-523, July.
  6. Lionel Martellini, 2000, "Efficient Option Replication in the Presence of Transactions Costs," Review of Derivatives Research, Springer, volume 4, issue 2, pages 107-131, May, DOI: 10.1023/A:1009632624999.
  7. Dumas, Bernard & Uppal, Raman & Wang, Tan, 2000, "Efficient Intertemporal Allocations with Recursive Utility," Journal of Economic Theory, Elsevier, volume 93, issue 2, pages 240-259, August.

1999

  1. Lioui, Abraham, 1999, "Spreading currency forwards: why and how?," Journal of International Money and Finance, Elsevier, volume 18, issue 2, pages 305-317, February.
  2. 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, volume 28, issue 4, pages 465-488.

1998

  1. Lioui, Abraham & Eldor, Rafael, 1998, "Optimal spreading when spreading is optimal," Journal of Economic Dynamics and Control, Elsevier, volume 23, issue 2, pages 277-301, September.
  2. Lioui, Abraham, 1998, "Currency risk hedging: Futures vs. forward," Journal of Banking & Finance, Elsevier, volume 22, issue 1, pages 61-81, January.

1997

  1. Ekkehart Boehmer & Jeffry M. Netter, 1997, "Management optimism and corporate acquisitions: evidence from insider trading," Managerial and Decision Economics, John Wiley & Sons, Ltd., volume 18, issue 7-8, pages 693-708, DOI: 10.1002/(SICI)1099-1468(199711/12)1.
  2. Abraham Lioui, 1997, "Marking‐to‐market and the demand for interest rate futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 17, issue 3, pages 303-316, May.
  3. Hollifield, Burton & Uppal, Raman, 1997, "An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets," Journal of Finance, American Finance Association, volume 52, issue 5, pages 2145-2170, December.
  4. 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, volume 21, issue 5, pages 741-756, May.

1996

  1. 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, volume 7, issue 2, pages 233-234.
  2. 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, volume 20, issue 6-7, pages 1101-1113.
  3. 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), volume 21, issue 1, pages 103-122, June.
  4. Palomino, Frederic, 1996, "Noise Trading in Small Markets," Journal of Finance, American Finance Association, volume 51, issue 4, pages 1537-1550, September.
  5. Moyen, Nathalie & Slade, Margaret & Uppal, Raman, 1996, "Valuing risk and flexibility : A comparison of methods," Resources Policy, Elsevier, volume 22, issue 1-2, pages 63-74.

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, volume 50, issue 4, pages 1309-1319, September.

1994

  1. Fabozzi, Frank J & Ma, Christopher K & Briley, James E, 1994, "Holiday Trading in Futures Markets," Journal of Finance, American Finance Association, volume 49, issue 1, pages 307-324, March.
  2. 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, volume 29, issue 2, pages 199-222, June.

1993

  1. 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, volume 48, issue 3, pages 1039-1055, July.
  2. Uppal, Raman, 1993, "A General Equilibrium Model of International Portfolio Choice," Journal of Finance, American Finance Association, volume 48, issue 2, pages 529-553, June.
  3. 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, volume 28, issue 1, pages 117-138, March.

1992

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

1991

  1. Boehmer, Ekkehart & Masumeci, Jim & Poulsen, Annette B., 1991, "Event-study methodology under conditions of event-induced variance," Journal of Financial Economics, Elsevier, volume 30, issue 2, pages 253-272, December.
  2. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1991, "Effective Capital Gains Tax Rates: A Reply," National Tax Journal, National Tax Association;National Tax Journal, volume 44, issue 1, pages 105-107, March, DOI: 10.1086/NTJ41788882.

1990

  1. Boehmer, Ekkehart & Megginson, William L, 1990, "Determinants of Secondary Market Prices for Developing Country Syndicated Loans," Journal of Finance, American Finance Association, volume 45, issue 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, volume 12, issue 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, volume 42, issue 4, pages 475-485, December, DOI: 10.1086/NTJ41788815.

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, volume 23, issue 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, volume 21, issue 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, volume 8, issue 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, volume 38, issue 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, volume 34, issue 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, volume 16, issue 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, volume 15, issue 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, volume 8, issue 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, volume 34, issue 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, volume 3, issue 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, volume 14, issue 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, volume 13, issue 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, volume 32, issue 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, volume 21, issue 1, pages 70-71, March, DOI: 10.1177/056943457702100114.

1976

  1. Frank J. Fabozzi & Joseph Valente, 1976, "Mathematical Programming in American Companies: A Sample Survey," Interfaces, INFORMS, volume 7, issue 1, pages 93-98, November, DOI: 10.1287/inte.7.1.93.

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, volume 24, issue 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, ISBN: ARRAY(0x779b9290).

2016

  1. Fabozzi, Frank J. (ed.), 2016, "The Handbook of Mortgage-Backed Securities, 7th Edition," OUP Catalogue, Oxford University Press, number 9780198785774, edition 7, ISBN: ARRAY(0x811cd710).

2015

  1. Fabozzi, Frank J., 2015, "Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition," MIT Press Books, The MIT Press, number 0262029480, edition 5, ISBN: ARRAY(0x82e51450), 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, World Scientific Publishing Co. Pte. Ltd., chapter 8, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  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, World Scientific Publishing Co. Pte. Ltd., chapter 7, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  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, World Scientific Publishing Co. Pte. Ltd., chapter 11, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  4. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019, "Introduction," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  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, World Scientific Publishing Co. Pte. Ltd., chapter 4, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  6. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019, "Random Variables," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  7. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019, "Extreme Value Theory," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  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, World Scientific Publishing Co. Pte. Ltd., chapter 5, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  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, World Scientific Publishing Co. Pte. Ltd., chapter 3, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  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, World Scientific Publishing Co. Pte. Ltd., chapter 12, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  11. Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019, "Tempered Stable Distributions," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".
  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, World Scientific Publishing Co. Pte. Ltd., chapter 10, "HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT".

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