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Publications

by members of

Groupe EDHEC (École de Hautes Études Commerciales du Nord)

EDHEC Business School

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

Working papers

2025

  1. Aziza Laguecir & Christopher Chapman & Florian Gebreiter & Célia Lemaire, 2025, "Patient empowerment in public healthcare funding system reform: a power network perspective," Post-Print, HAL, number hal-04617978, DOI: 10.1080/01559982.2024.2364955.

2021

  1. Christopher S. Chapman & Anja Kern & Aziza Laguecir & Gerardine Doyle & Nathalie Angelé-Halgand & Allan Hansen & Frank G.H. Hartmann & Céu Mateus & Paolo Perego & Vera Winter & Wilm Quentin, 2021, "Managing quality of cost information in clinical costing: evidence across seven countries," Post-Print, HAL, number hal-04483717, Sep, DOI: 10.1108/jpbafm-09-2020-0155.

2020

  1. Aziza Laguecir & Anja Kern & Cécile Kharoubi, 2020, "Management accounting systems in institutional complexity: Hysteresis and boundaries of practices in social housing," Post-Print, HAL, number hal-03134361, Dec, DOI: 10.1016/j.mar.2020.100715.

2019

  1. Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019, "Multiple Subordinated Modeling of Asset Returns," Papers, arXiv.org, number 1907.12600, Jul.
  2. Aziza Laguecir & Christopher Chapman & Anja Kern, 2019, "Profitability calculations under trial of strength," Post-Print, HAL, number hal-02996174, Nov, DOI: 10.1108/AAAJ-09-2018-3674.

2018

  1. Aziza Laguecir & Bernard Leca, 2018, "Strategies of visibility in contemporary surveillance settings: Insights from misconduct concealment in financial markets, Critical Perspectives on Accounting," Post-Print, HAL, number hal-01914996, Jul, DOI: 10.1016/j.cpa.2018.10.002.

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. Laguecir, Aziza & Leca, Bernard, 2017, "A theological approach to organizational visual representations," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number WP1704, Feb.
  8. Anja Kern & Aziza Laguecir & Bernard Leca, 2017, "Behind Smoke and Mirrors: A Political Approach to Decoupling," Post-Print, HAL, number hal-01745307, Dec, DOI: 10.1177/0170840617693268.
  9. Johannes Marcelus Kraak & Aziza Laguecir & Yochanan Altman, 2017, "Grids, Groups and Contracts: Integrating Psychological Contract with Cultural Theory," Post-Print, HAL, number hal-01797979, May.
  10. Renneboog, Luc & Szilagyi, Peter & Vansteenkiste, Cara, 2017, "Creditor Rights, Claims Enforcement, and Bond Performance in Mergers and Acquisitions," Discussion Paper, Tilburg University, Center for Economic Research, number 2017-012.

2016

  1. 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.
  2. Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2016, "Pricing Derivatives in Hermite Markets," Papers, arXiv.org, number 1612.07016, Dec, revised Dec 2016.
  3. Svetlozar Rachev & Frank Fabozzi, 2016, "Financial market with no riskless (safe) asset," Papers, arXiv.org, number 1612.02112, Dec.
  4. 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.

2015

  1. 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.

2014

  1. Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014, "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 944, Jan.

2013

  1. 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.
  2. 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.

2012

  1. P. Du Jardin & E. Séverin, 2012, "Forecasting financial failure using a Kohonen map: a comparative study to improve bankruptcy model over time," Post-Print, HAL, number hal-00801853.
  2. du Jardin, Philippe, 2012, "The influence of variable selection methods on the accuracy of bankruptcy prediction models," MPRA Paper, University Library of Munich, Germany, number 44383, Jan.
  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.

2011

  1. P. Du Jardin & E. Séverin, 2011, "Predicting Corporate Bankruptcy Using Self-Organising map: An empirical study to Improve the Forecasting horizon of financial failure model," Post-Print, HAL, number hal-00801878.
  2. P. Du Jardin & E. Séverin, 2011, "Dividend policy," Post-Print, HAL, number hal-00801923.
    • du Jardin, Philippe & Séverin, Eric, 2011, "Dividend policy," MPRA Paper, University Library of Munich, Germany, number 44382, Nov.
  3. du Jardin, Philippe & Severin, Eric, 2011, "Forecasting financial failure using a Kohonen map: A comparative study to improve model stability over time," MPRA Paper, University Library of Munich, Germany, number 39935, Jun, revised 03 Apr 2012.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.

2010

  1. du Jardin, Philippe, 2010, "Predicting bankruptcy using neural networks and other classification methods: the influence of variable selection techniques on model accuracy," MPRA Paper, University Library of Munich, Germany, number 44375.
  2. du Jardin, Philippe & Séverin, Eric, 2010, "Dynamic analysis of the business failure process: A study of bankruptcy trajectories," MPRA Paper, University Library of Munich, Germany, number 44379, Jul.
  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. Jonathan A. Batten & Warren P. Hogan & Peter G Szilagyi, 2010, "Foreign Bond Markets and Financial Market Development: International Perspectives," Working Papers, eSocialSciences, number id:3042, Oct.
  7. Batten, Jonathan & Szilagyi, Peter, 2010, "The Recent Internationalisation of Japanese Banks," MPRA Paper, University Library of Munich, Germany, number 48049.

2009

  1. du Jardin, Philippe, 2009, "Bankruptcy prediction models: How to choose the most relevant variables?," MPRA Paper, University Library of Munich, Germany, number 44380, Jan.
  2. Albuquerque, Rui & Schroth, Enrique, 2009, "Quantifying private benefits of control from a structural model of block trades," CEPR Discussion Papers, Centre for Economic Policy Research, number 7358, Jul.
  3. Cziraki, P. & Renneboog, L.D.R. & Szilagyi, P.G., 2009, "Shareholder Activism through Proxy Proposals : The European Perspective," Discussion Paper, Tilburg University, Center for Economic Research, number 2009-44.
  4. Renneboog, L.D.R. & Szilagyi, P.G., 2009, "Shareholder Activism through the Proxy Process," Discussion Paper, Tilburg University, Center for Economic Research, number 2009-65.

2008

  1. du Jardin, Philippe, 2008, "Bankruptcy prediction and neural networks: The contribution of variable selection methods," MPRA Paper, University Library of Munich, Germany, number 44384, Sep.
  2. Albuquerque, Rui & Schroth, Enrique, 2008, "Determinants of the Block Premium and of Private Benefits of Control," CEPR Discussion Papers, Centre for Economic Policy Research, number 6742, Mar.
  3. Schroth, Enrique & Szalay, Dezsö, 2008, "Cash Breeds Success : The Role of Financing Constraints in Patent Races," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics, number 873.

2007

  1. Szilagyi, P.G., 2007, "Corporate governance and the agency costs of debt and outside equity," Other publications TiSEM, Tilburg University, School of Economics and Management, number 9520d40a-224f-43a8-9bf9-b.

2006

  1. Peter G. Szilagyi & Jonathan A. Batten, 2006, "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp128, Apr.
  2. Jonathan A. Batten & Peter G. Szilagyi, 2006, "Developing Foreign Bond Markets: The Arirang Bond Experience in Korea," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp138, May.
  3. Renneboog, L.D.R. & Szilagyi, P.G., 2006, "How do Mergers and Acquisitions Affect Bondholders in Europe? Evidence on the Impact and Spillover of Governance and Legal Standards," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-55.
  4. Renneboog, L.D.R. & Szilagyi, P.G., 2006, "How Relevant is Dividend Policy under Low Shareholder Protection?," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-73.
  5. Renneboog, L.D.R. & Szilagyi, P.G., 2006, "Corporate Restructuring and Bondholder Wealth," Discussion Paper, Tilburg University, Center for Economic Research, number 2006-23.

2004

  1. Helios Herrera & Enrique Schroth, 2004, "Developer's Expertise and Dynamicsof Financial Innovation: Theory and Evidence," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp124, Oct.

2003

  1. Helios Herrera & Enrique Schroth, 2003, "Profitable Innovation Without Patent Protection: The Case of Derivatives," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp76, Jan.

2002

  1. Enrique Schroth, 2002, "Innovation and First-Mover Advantages in Corporate Underwriting: Evidence from Equity Linked Securities," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp74, Nov.

2001

  1. Helios HERRERA & Enrique SCHROTH, 2001, "The Welfare Implications of Non-Patentable Financial Innovations," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp82, Mar.

Journal articles

2025

  1. Philippe Jardin, 2025, "Designing Ensemble-Based Models Using Neural Networks and Temporal Financial Profiles to Forecast Firms’ Financial Failure," Computational Economics, Springer;Society for Computational Economics, volume 65, issue 1, pages 149-209, January, DOI: 10.1007/s10614-024-10579-4.
  2. Philippe du Jardin, 2025, "A Quantification Approach of Changes in Firms' Financial Situation Using Neural Networks for Predicting Bankruptcy," Journal of Forecasting, John Wiley & Sons, Ltd., volume 44, issue 2, pages 781-802, March, DOI: 10.1002/for.3227.

2024

  1. Grossi, Giuseppe & Laguecir, Aziza & Ferry, Laurence & Tucker, Basil, 2024, "Accounting and accountability for managing diversity tensions in hybrid organisations," The British Accounting Review, Elsevier, volume 56, issue 5, DOI: 10.1016/j.bar.2024.101470.
  2. Laguecir, Aziza & Hudson, Bryant Ashley, 2024, "Too poor to get social housing: Accounting and structural stigmatisation of the poor," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, volume 100, issue C, DOI: 10.1016/j.cpa.2024.102757.

2023

  1. Philippe Jardin, 2023, "Designing topological data to forecast bankruptcy using convolutional neural networks," Annals of Operations Research, Springer, volume 325, issue 2, pages 1291-1332, June, DOI: 10.1007/s10479-022-04780-7.
  2. Aziza Laguecir & Bernard Leca, 2023, "Surveillance numérique rhizomique, contradictions et pratiques managériales de contrôle : éléments d’analyse à partir du scandale de la Société Générale," ACCRA, Association francophone de comptabilité, volume 29, issue 1, pages 7-38.
  3. Bernard Leca & Aziza Laguecir, 2023, "Expanding public sector performance measurement and management research with actor-centred approaches in new institutionalism," Journal of Public Budgeting, Accounting & Financial Management, Emerald Group Publishing Limited, volume 35, issue 5, pages 608-620, August, DOI: 10.1108/JPBAFM-12-2022-0180.

2022

  1. Aziza Laguecir & Bernard Leca & Élise Berlinski, 2022, "Souveraineté et évaluation académique. Une histoire de virgule en sciences de gestion," Revue française de gestion, Lavoisier, volume 0, issue 4, pages 103-117.
  2. Aziza Laguecir & Bernard Leca, 2022, "Organized Decoupling of Management Control Systems: An Exploratory Study of Traders’ Unethical Behavior," Journal of Business Ethics, Springer, volume 181, issue 1, pages 153-169, November, DOI: 10.1007/s10551-021-04741-3.

2021

  1. du Jardin, Philippe, 2021, "Forecasting corporate failure using ensemble of self-organizing neural networks," European Journal of Operational Research, Elsevier, volume 288, issue 3, pages 869-885, DOI: 10.1016/j.ejor.2020.06.020.
  2. Philippe Jardin, 2021, "Forecasting bankruptcy using biclustering and neural network-based ensembles," Annals of Operations Research, Springer, volume 299, issue 1, pages 531-566, April, DOI: 10.1007/s10479-019-03283-2.
  3. Christopher S. Chapman & Anja Kern & Aziza Laguecir & Gerardine Doyle & Nathalie Angelé-Halgand & Allan Hansen & Frank G.H. Hartmann & Céu Mateus & Paolo Perego & Vera Winter & Wilm Quentin, 2021, "Managing quality of cost information in clinical costing: evidence across seven countries," Journal of Public Budgeting, Accounting & Financial Management, Emerald Group Publishing Limited, volume 34, issue 2, pages 310-329, September, DOI: 10.1108/JPBAFM-09-2020-0155.
  4. Batten, Jonathan A. & Lončarski, Igor & Szilagyi, Peter G., 2021, "Strategic insider trading in foreign exchange markets," Journal of Corporate Finance, Elsevier, volume 69, issue C, DOI: 10.1016/j.jcorpfin.2020.101818.
  5. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2021, "Hedging stocks with oil," Energy Economics, Elsevier, volume 93, issue C, DOI: 10.1016/j.eneco.2019.06.007.

2020

  1. Renneboog, Luc & Szilagyi, Peter G., 2020, "How relevant is dividend policy under low shareholder protection?," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 64, issue C, DOI: 10.1016/j.intfin.2015.01.006.

2019

  1. Philippe Jardin & David Veganzones & Eric Séverin, 2019, "Forecasting Corporate Bankruptcy Using Accrual-Based Models," Computational Economics, Springer;Society for Computational Economics, volume 54, issue 1, pages 7-43, June, DOI: 10.1007/s10614-017-9681-9.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. Laguecir, Aziza & Leca, Bernard, 2019, "Strategies of visibility in contemporary surveillance settings: Insights from misconduct concealment in financial markets," CRITICAL PERSPECTIVES ON ACCOUNTING, Elsevier, volume 62, issue C, pages 39-58, DOI: 10.1016/j.cpa.2018.10.002.
  11. Aziza Laguecir & Christopher S. Chapman & Anja Kern, 2019, "Profitability calculations under trial of strength," Accounting, Auditing & Accountability Journal, Emerald Group Publishing Limited, volume 33, issue 4, pages 727-751, November, DOI: 10.1108/AAAJ-09-2018-3674.
  12. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019, "Liquidity, surprise volume and return premia in the oil market," Energy Economics, Elsevier, volume 77, issue C, pages 93-104, DOI: 10.1016/j.eneco.2018.06.016.
  13. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2019, "Time-varying energy and stock market integration in Asia," Energy Economics, Elsevier, volume 80, issue C, pages 777-792, DOI: 10.1016/j.eneco.2019.01.008.

2018

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. Johannes Marcelus Kraak & Yochanan Altman & Aziza Laguecir, 2018, "Psychological Contract Meets Cultural Theory: A Study of Self-Initiated Expatriates," International Studies of Management & Organization, Taylor & Francis Journals, volume 48, issue 4, pages 386-402, October, DOI: 10.1080/00208825.2018.1504478.
  11. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2018, "Addressing COP21 using a stock and oil market integration index," Energy Policy, Elsevier, volume 116, issue C, pages 127-136, DOI: 10.1016/j.enpol.2018.01.048.
  12. Jonathan A. Batten & Igor Lončarski & Peter G. Szilagyi, 2018, "When Kamay Met Hill: Organisational Ethics in Practice," Journal of Business Ethics, Springer, volume 147, issue 4, pages 779-792, February, DOI: 10.1007/s10551-017-3435-4.

2017

  1. 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.
  2. 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.
  3. Svetlozar T. Rachev & Stoyan V. Stoyanov & Frank J. Fabozzi, 2017, "Financial Markets With No Riskless (Safe) Asset," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 20, issue 08, pages 1-24, December, DOI: 10.1142/S0219024917500546.
  4. 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.
  5. Stoyan Stoyanov & Lixia Loh & Frank J. Fabozzi, 2017, "How fat are the tails of equity market indices?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., volume 22, issue 3, pages 181-200, July.
  6. Nazemi, Abdolreza & Fatemi Pour, Farnoosh & Heidenreich, Konstantin & Fabozzi, Frank J., 2017, "Fuzzy decision fusion approach for loss-given-default modeling," European Journal of Operational Research, Elsevier, volume 262, issue 2, pages 780-791, DOI: 10.1016/j.ejor.2017.04.008.
  7. Fabozzi, Frank J. & Nawas, Mike E. & Vink, Dennis, 2017, "Exploring rating shopping for european triple a senior structured finance securities," Finance Research Letters, Elsevier, volume 20, issue C, pages 35-39, DOI: 10.1016/j.frl.2016.08.013.
  8. 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.
  9. Rama Malladi & Frank J. Fabozzi, 2017, "Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence," Journal of Asset Management, Palgrave Macmillan, volume 18, issue 3, pages 188-208, May, DOI: 10.1057/s41260-016-0033-4.
  10. 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.
  11. Frank J. Fabozzi & Ahmet K. Karagozoglu & Na Wang, 2017, "Effects of Spot Market Short-Sale Constraints on Index Futures Trading," Review of Finance, European Finance Association, volume 21, issue 5, pages 1975-2005.
  12. 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.
  13. 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.
  14. Fabozzi, Frank J. & Paletta, Tommaso & Tunaru, Radu, 2017, "An improved least squares Monte Carlo valuation method based on heteroscedasticity," European Journal of Operational Research, Elsevier, volume 263, issue 2, pages 698-706, DOI: 10.1016/j.ejor.2017.05.048.
  15. Batten, Jonathan A. & Kinateder, Harald & Szilagyi, Peter G. & Wagner, Niklas F., 2017, "Can stock market investors hedge energy risk? Evidence from Asia," Energy Economics, Elsevier, volume 66, issue C, pages 559-570, DOI: 10.1016/j.eneco.2016.11.026.
  16. Luc Renneboog & Peter G. Szilagyi & Cara Vansteenkiste, 2017, "Creditor rights, claims enforcement, and bond performance in mergers and acquisitions," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 48, issue 2, pages 174-194, February, DOI: 10.1057/s41267-016-0031-2.

2016

  1. du Jardin, Philippe, 2016, "A two-stage classification technique for bankruptcy prediction," European Journal of Operational Research, Elsevier, volume 254, issue 1, pages 236-252, DOI: 10.1016/j.ejor.2016.03.008.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Batten, Jonathan A. & Szilagyi, Peter G., 2016, "The internationalisation of the RMB: New starts, jumps and tipping points," Emerging Markets Review, Elsevier, volume 28, issue C, pages 221-238, DOI: 10.1016/j.ememar.2016.02.006.

2015

  1. du Jardin, Philippe, 2015, "Bankruptcy prediction using terminal failure processes," European Journal of Operational Research, Elsevier, volume 242, issue 1, pages 286-303, DOI: 10.1016/j.ejor.2014.09.059.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Jonathan A. Batten & Peter G. Szilagyi & Wagner, 2015, "Should emerging market investors buy commodities?," Applied Economics, Taylor & Francis Journals, volume 47, issue 39, pages 4228-4246, August, DOI: 10.1080/00036846.2015.1026586.
  10. Jonathan A. Batten & Peter Morgan & Peter G. Szilagyi, 2015, "Time Varying Asian Stock Market Integration," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., volume 60, issue 01, pages 1-24, DOI: 10.1142/S021759081550006X.

2014

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. Jonathan A. Batten & Peter G. Szilagyi & Michael C.S. Wong, 2014, "Stock Market Spread Trading: Argentina and Brazil Stock Indexes," Emerging Markets Finance and Trade, Taylor & Francis Journals, volume 50, issue 03, pages 61-76, May.

2013

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. Turan G. Bali & Nusret Cakici & Frank J. Fabozzi, 2013, "The new issues puzzle: evidence from non-US firms," Applied Economics Letters, Taylor & Francis Journals, volume 20, issue 17, pages 1586-1591, November, DOI: 10.1080/13504851.2013.829188.
  10. Beck Alexander & Kim Young Shin Aaron & Rachev Svetlozar & Feindt Michael & Fabozzi Frank, 2013, "Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 17, issue 2, pages 167-177, April, DOI: 10.1515/snde-2012-0033.
  11. Sergio Ortobelli Lozza & Haim Shalit & Frank J. Fabozzi, 2013, "Portfolio Selection Problems Consistent With Given Preference Orderings," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 16, issue 05, pages 1-38, DOI: 10.1142/S0219024913500295.
  12. 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.
  13. Sergio M. Focardi & Frank J. Fabozzi, 2013, "Factor Uniqueness In The S&P 500 Universe: Can Proprietary Factors Exist?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 16, issue 04, pages 1-20, DOI: 10.1142/S0219024913500209.
  14. 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.
  15. Jonathan A. Batten & Cetin Ciner & Brian M. Lucey & Peter G. Szilagyi, 2013, "The structure of gold and silver spread returns," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 4, pages 561-570, March, DOI: 10.1080/14697688.2012.708777.

2012

  1. du Jardin, Philippe & Séverin, Eric, 2012, "Forecasting financial failure using a Kohonen map: A comparative study to improve model stability over time," European Journal of Operational Research, Elsevier, volume 221, issue 2, pages 378-396, DOI: 10.1016/j.ejor.2012.04.006.
  2. 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.
  3. 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.
  4. Frank J. Fabozzi & Arturo Leccadito & Radu S. Tunaru, 2012, "A new method for generating approximation algorithms for financial mathematics applications," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 10, pages 1571-1583, October, DOI: 10.1080/14697688.2011.580363.
  5. Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J., 2012, "A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, volume 50, issue 1, pages 85-93, DOI: 10.1016/j.insmatheco.2011.10.002.
  6. Andrew Chen & Frank Fabozzi & Dashan Huang, 2012, "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, volume 39, issue 4, pages 509-526, November, DOI: 10.1007/s11156-012-0292-1.
  7. Frank J. Fabozzi & Dennis Vink, 2012, "Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities," European Financial Management, European Financial Management Association, volume 18, issue 4, pages 515-542, September, DOI: 10.1111/j.1468-036X.2010.00577.x.
  8. Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012, "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, volume 201, issue 1, pages 325-343, December, DOI: 10.1007/s10479-012-1229-8.
  9. Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi, 2012, "Metrization Of Stochastic Dominance Rules," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 02, pages 1-22, DOI: 10.1142/S0219024912500173.
  10. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012, "A Pricing Framework for Real Estate Derivatives," European Financial Management, European Financial Management Association, volume 18, issue 5, pages 762-789, November, DOI: 10.1111/j.1468-036X.2011.00635.x.
  11. Hassan Fallahgoul & S. M. Hashemiparast & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2012, "Approximation of Stable and Geometric Stable Distribution," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, volume 1, issue 3, pages 1-8.
  12. Loncarski, Igor & Szilagyi, Peter G., 2012, "Empirical analysis of credit spread changes of US corporate bonds," International Review of Financial Analysis, Elsevier, volume 24, issue C, pages 12-19, DOI: 10.1016/j.irfa.2012.06.011.
  13. Batten, Jonathan A. & Szilagyi, Peter G., 2012, "International banking during the Global Financial Crisis: U.K. and U.S. perspectives," International Review of Financial Analysis, Elsevier, volume 25, issue C, pages 136-141, DOI: 10.1016/j.irfa.2012.07.008.
  14. Jonathan A. Batten & Peter G. Szilagyi, 2012, "Bank internationalization since 1995," Journal of Financial Transformation, Capco Institute, volume 35, pages 91-105.

2011

  1. Ronald Ryan & Frank Fabozzi, 2011, "Liability Index Fund: The Liability Beta Portfolio," Journal of Financial Transformation, Capco Institute, volume 33, pages 29-33.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011, "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 1, pages 53-60, July.
  7. Möller, Christoph & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011, "Balancing energy strategies in electricity portfolio management," Energy Economics, Elsevier, volume 33, issue 1, pages 2-11, January.
  8. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011, "Time series analysis for financial market meltdowns," Journal of Banking & Finance, Elsevier, volume 35, issue 8, pages 1879-1891, August.
  9. Sun, Edward W. & Rezania, Omid & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011, "Analysis of the intraday effects of economic releases on the currency market," Journal of International Money and Finance, Elsevier, volume 30, issue 4, pages 692-707, June.
  10. Tobias Nigbur, 2011, "Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, volume 25, issue 4, pages 477-478, December, DOI: 10.1007/s11408-011-0171-0.
  11. Herrera, Helios & Schroth, Enrique, 2011, "Advantageous innovation and imitation in the underwriting market for corporate securities," Journal of Banking & Finance, Elsevier, volume 35, issue 5, pages 1097-1113, May.
  12. Jonathan A. Batten & Warren P. Hogan & Peter G. Szilagyi, 2011, "The Role of Foreign Bond Issuance: The Case of Australia," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, volume 44, issue 1, pages 36-50, March.
  13. Renneboog, Luc & Szilagyi, Peter G., 2011, "The role of shareholder proposals in corporate governance," Journal of Corporate Finance, Elsevier, volume 17, issue 1, pages 167-188, February.
  14. Jonathan Batten & Peter Szilagyi, 2011, "The Recent Internationalization of Japanese Banks," The Japanese Political Economy, Taylor & Francis Journals, volume 38, issue 1, pages 81-120, DOI: 10.2753/JES1097-203X380104.
  15. Jonathan Batten & Peter Szilagyi, 2011, "Bank internationalisation during the Global Financial Crisis: an Asia Pacific perspective," Journal of the Asia Pacific Economy, Taylor & Francis Journals, volume 16, issue 3, pages 372-392, DOI: 10.1080/13547860.2011.589628.

2010

  1. Huang, Dashan & Zhu, Shushang & Fabozzi, Frank J. & Fukushima, Masao, 2010, "Portfolio selection under distributional uncertainty: A relative robust CVaR approach," European Journal of Operational Research, Elsevier, volume 203, issue 1, pages 185-194, May.
  2. Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao, 2010, "Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 14, issue 2, pages 1-26, March, DOI: 10.2202/1558-3708.1805.
  3. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010, "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, volume 17, issue 2, pages 195-211, March.
  4. Ivan Mitov & Svetlozar Rachev & Frank Fabozzi, 2010, "Approximation of aggregate and extremal losses within the very heavy tails framework," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 10, pages 1153-1162, DOI: 10.1080/14697681003718414.
  5. 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.
  6. Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010, "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, volume 34, issue 9, pages 2096-2109, September.
  7. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2010, "Property Derivatives for Managing European Real†Estate Risk," European Financial Management, European Financial Management Association, volume 16, issue 1, pages 8-26, January, DOI: 10.1111/j.1468-036X.2009.00528.x.
  8. 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.
  9. 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.
  10. Stoyan Stoyanov & Borjana Racheva-Iotova & Svetlozar Rachev & Frank Fabozzi, 2010, "Stochastic models for risk estimation in volatile markets: a survey," Annals of Operations Research, Springer, volume 176, issue 1, pages 293-309, April, DOI: 10.1007/s10479-008-0468-1.
  11. Aziza Laguecir & Hervé Colas & Marie-Laure Massue, 2010, "Des modes d'utilisation du plan d'affaires : apports de la théorie de l'activité," Revue de l'Entrepreneuriat, De Boeck Université, volume 9, issue 1, pages 50-81.
  12. Albuquerque, Rui & Schroth, Enrique, 2010, "Quantifying private benefits of control from a structural model of block trades," Journal of Financial Economics, Elsevier, volume 96, issue 1, pages 33-55, April.
  13. Enrique Schroth & Dezsö Szalay, 2010, "Cash Breeds Success: The Role of Financing Constraints in Patent Races," Review of Finance, European Finance Association, volume 14, issue 1, pages 73-118.
  14. Gishan Dissanaike & Peter G. Szilagyi, 2010, "Corporate Governance and Control: Introduction," European Financial Management, European Financial Management Association, volume 16, issue 5, pages 710-711, November, DOI: 10.1111/j.1468-036X.2010.00575.x.
  15. Peter Cziraki & Luc Renneboog & Peter G. Szilagyi, 2010, "Shareholder Activism through Proxy Proposals: The European Perspective," European Financial Management, European Financial Management Association, volume 16, issue 5, pages 738-777, November, DOI: 10.1111/j.1468-036X.2010.00559.x.
  16. J. A. Batten & P. G. Szilagyi, 2010, "Is covered interest parity arbitrage extinct? Evidence from the spot USD/Yen," Applied Economics Letters, Taylor & Francis Journals, volume 17, issue 3, pages 283-287, February, DOI: 10.1080/13504850701720189.

2009

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. 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.
  14. 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.

2008

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. Luc Renneboog & Peter G. Szilagyi, 2008, "Corporate Restructuring and Bondholder Wealth," European Financial Management, European Financial Management Association, volume 14, issue 4, pages 792-819, September, DOI: 10.1111/j.1468-036X.2007.00414.x.

2007

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Batten, Jonathan A. & Szilagyi, Peter G., 2007, "Covered interest parity arbitrage and temporal long-term dependence between the US dollar and the Yen," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 376, issue C, pages 409-421, DOI: 10.1016/j.physa.2006.10.021.
  13. Jonathan A. Batten & Peter G. Szilagyi, 2007, "Domestic Bond Market Development: The Arirang Bond Experience in Korea," The World Bank Research Observer, World Bank, volume 22, issue 2, pages 165-195, September.

2006

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. Enrique Schroth, 2006, "Innovation, Differentiation, and the Choice of an Underwriter: Evidence from Equity-Linked Securities," The Review of Financial Studies, Society for Financial Studies, volume 19, issue 3, pages 1041-1080.

2005

  1. 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.
  2. 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.

2004

  1. 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.
  2. 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.
  3. 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.

2003

  1. Máximo Torero & Enrique Schroth & Alberto Pasco-Font, 2003, "The Impact of Telecommunications Privatization in Peru on the Welfare of Urban Consumers," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, volume 0, issue Fall 2003, pages 99-128.
  2. Peter Szilagyi & Jonathan Batten & Thomas Fetherston, 2003, "Disintermediation and the Development of Bond Markets in Emerging Europe," International Journal of the Economics of Business, Taylor & Francis Journals, volume 10, issue 1, pages 67-82, DOI: 10.1080/1357151032000043339.
  3. Jonathan Batten & Peter Szilagyi, 2003, "Why Japan Needs to Develop its Corporate Bond Market," International Journal of the Economics of Business, Taylor & Francis Journals, volume 10, issue 1, pages 83-108, DOI: 10.1080/1357151032000043348.

2000

  1. 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.

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.

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.

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.

1991

  1. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1991, "Effective Capital Gains Tax Rates: A Reply," National Tax Journal, National Tax Association;National Tax Journal, volume 44, issue 1, pages 105-107, March, DOI: 10.1086/NTJ41788882.

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.

Chapters

2023

  1. Bernard Leca & Aziza Laguecir, 2023, "Fraud, management control systems, and personal ethics," Chapters, Edward Elgar Publishing, chapter 13, in: Marion Brivot & Charles H. Cho, "Research Handbook on Accounting and Ethics".

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".

2012

  1. Jonathan A Batten & Peter G Szilagyi, 2012, "Comments on Qianying Chen, Andrew Filardo, Dong He and Feng Zhu's paper "The impact of central bank balance sheet policies on the emerging economies"," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Are central bank balance sheets in Asia too large?".
  2. Jonathan A. Batten & Warren P. Hogan & Peter G. Szilagyi, 2012, "Foreign Bond Markets and Financial Market Development: International Perspectives," Chapters, Edward Elgar Publishing, chapter 12, in: Masahiro Kawai & David G. Mayes & Peter Morgan, "Implications of the Global Financial Crisis for Financial Reform and Regulation in Asia".

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