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Publications

by members of

Groupe EDHEC (École de Hautes Études Commerciales du Nord) → EDHEC-Risk

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. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2019

  1. Anna Calamia & Laurent Deville & Fabrice Riva, 2019, "Liquidity provision in ETF markets : The basket and beyond," Post-Print, HAL, number hal-02277671.
  2. Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019, "Multiple Subordinated Modeling of Asset Returns," Papers, arXiv.org, number 1907.12600, Jul.

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.

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. Laurent Deville & Carole Gresse & Béatrice de Séverac, 2014, "Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index," Post-Print, HAL, number halshs-00641118, Mar, DOI: 10.1111/j.1468-036X.2011.00638.x.
  2. Laurent Deville & Mohamed Oubenal, 2014, "Une confrontation des modes de description du marché en finance et en sociologie : le cas des Exchange Traded Funds (ETF)," Post-Print, HAL, number halshs-01070329.
  3. 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. Anna Calamia & Laurent Deville & Fabrice Riva, 2013, "Liquidity in European Equity ETFs: What Really Matters?," GREDEG Working Papers, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France, number 2013-10, Apr.
  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.

2012

  1. Laurent Deville & Carole Gressse & Béatrice de Séverac, 2012, "Direct and Indirect Effects of Index ETFs on Spot-Futures Mispricing and Illiquidity," Post-Print, HAL, number halshs-00727687.
  2. Laurent Deville & Mohamed Oubenal, 2012, "Legitimizing an ambiguous financial innovation: The case of Exchange-Traded Funds in France," Post-Print, HAL, number halshs-00727733.
  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. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2012, "Revisiting Mutual Fund Performance Evaluation," MPRA Paper, University Library of Munich, Germany, number 36644, Feb.

2011

  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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. 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.
  2. 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.
  3. 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.

2009

  1. Laurent Deville & Mohamed Oubenal, 2009, "Le marché des trackers : aspects techniques, dimension sociale," Post-Print, HAL, number halshs-00727753.

2008

  1. Laurent Deville, 2008, "Exchange Traded Funds: History, Trading and Research," Post-Print, HAL, number halshs-00162223.

2007

  1. Laurent Deville, 2007, "Le point sur les ETFs," Post-Print, HAL, number halshs-00150643.
  2. Laurent Deville & Fabrice Riva, 2007, "Liquidity and Arbitrage in Options Markets: A SurvivalAnalysis Approach," Post-Print, HAL, number halshs-00162221, DOI: 10.1093/rof/rfm021.

2006

  1. Vrontos Ioannis & Vrontos Spyridon & Giamouridis Daniel, 2006, "Evaluating hedge fund managers: A Bayesian investigation of skill and persistence," Computing in Economics and Finance 2006, Society for Computational Economics, number 487, Jul.

2005

  1. Marion Soulerot & Samuel Sponem & Laurent Deville, 2005, "Les réactions du marché à l'annonce de programmes de réduction des coûts : une étude exploratoire sur les entreprises du CAC 40," Post-Print, HAL, number halshs-00150460.

2004

  1. Fabrice Riva & Laurent Deville, 2004, "A Survivorship Analysis of the French Index Options Market Deviations to Put Call Parity," Post-Print, HAL, number halshs-00163226, Oct.
  2. Fabrice Riva & Laurent Deville, 2004, "The Determinants of the Time to Efficiency in Options Markets: A Survival Analysis Approach," Post-Print, HAL, number halshs-00163228, Dec.

2001

  1. Laurent Deville, 2001, "Estimation des coûts de transaction sur un marché gouverné par les ordres : le cas des composantes du CAC 40," Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg, number 2001-02.

1996

  1. J. S. Butler & Barry Schachter, 1996, "Improving value-at-risk estimates by combining kernel estimation," Proceedings, Federal Reserve Bank of Chicago, number 513.
  2. J. S. Butler & Barry Schachter, 1996, "Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation," Finance, University Library of Munich, Germany, number 9605001, May.

1995

  1. Laura E. Kodres & Barry Schachter & P. C. Venkatesh, 1995, "Stock price reactions to derivatives information in the FRY-9c reports," Proceedings, Federal Reserve Bank of Chicago, number 472.

Journal articles

2019

  1. Anna Calamia & Laurent Deville & Fabrice Riva, 2019, "Liquidity provision in ETF markets: The basket and beyond," Finance, Presses universitaires de Grenoble, volume 40, issue 1, pages 53-85.
  2. Laurent Deville & Fabrice Riva, 2019, "Innovation financière et recherche en finance. Le cas des Exchange-Traded Funds," Revue française de gestion, Lavoisier, volume 0, issue 8, pages 101-118.
  3. 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.
  4. 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.
  5. 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.
  6. Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019, "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, volume 53, issue 3, pages 1279-1308, March, DOI: 10.1007/s10614-018-9807-8.
  7. Frank J. Fabozzi & Keli Xiao, 2019, "The Timeline Estimation of Bubbles: The Case of Real Estate," Real Estate Economics, American Real Estate and Urban Economics Association, volume 47, issue 2, pages 564-594, June, DOI: 10.1111/1540-6229.12246.
  8. Vohra, Suprita & Fabozzi, Frank J., 2019, "Effectiveness of developed and emerging market FX options in active currency risk management," Journal of International Money and Finance, Elsevier, volume 96, issue C, pages 130-146, DOI: 10.1016/j.jimonfin.2019.04.005.
  9. Fabozzi, Frank J. & Lamba, Asjeet S. & Nishikawa, Takeshi & Rao, Ramesh P. & Ma, K.C., 2019, "Does the corporate bond market overvalue bonds of sin companies?," Finance Research Letters, Elsevier, volume 28, issue C, pages 165-170, DOI: 10.1016/j.frl.2018.04.018.
  10. 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.

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.

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. Daniel Giamouridis & Athanasios Sakkas & Nikolaos Tessaromatis, 2017, "Dynamic Asset Allocation with Liabilities," European Financial Management, European Financial Management Association, volume 23, issue 2, pages 254-291, March, DOI: 10.1111/eufm.12097.
  16. Daniel Giamouridis, 2017, "Systematic Investment Strategies," Financial Analysts Journal, Taylor & Francis Journals, volume 73, issue 4, pages 10-14, October, DOI: 10.2469/faj.v73.n4.10.

2016

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

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.

2014

  1. Laurent Deville & Carole Gresse & Béatrice de Séverac, 2014, "Direct and Indirect Effects of Index ETFs on Spot†Futures Pricing and Liquidity: Evidence from the CAC 40 Index," European Financial Management, European Financial Management Association, volume 20, issue 2, pages 352-373, March, DOI: 10.1111/j.1468-036X.2011.00638.x.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. Daniel Giamouridis & Chris Montagu, 2014, "The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Manager's Perspective," European Financial Management, European Financial Management Association, volume 20, issue 1, pages 152-178, January, DOI: 10.1111/j.1468-036X.2011.00627.x.

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. Angelidis, Timotheos & Giamouridis, Daniel & Tessaromatis, Nikolaos, 2013, "Revisiting mutual fund performance evaluation," Journal of Banking & Finance, Elsevier, volume 37, issue 5, pages 1759-1776, DOI: 10.1016/j.jbankfin.2013.01.006.

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. Barry Schachter, 2012, "An Introduction to Austrian Economics, by Thomas C. Taylor," Quantitative Finance, Taylor & Francis Journals, volume 12, issue 7, pages 1011-1012, July, DOI: 10.1080/14697688.2012.691176.

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.

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. Daniel Giamouridis & Sandra Paterlini, 2010, "Regular(Ized) Hedge Fund Clones," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 33, issue 3, pages 223-247, September, DOI: 10.1111/j.1475-6803.2010.01269.x.
  12. Rodrigo Dupleich & Daniel Giamouridis & Spyros Mesomeris & Nima Noorizadeh, 2010, "Unbundling common style exposures, time variance and style timing of hedge fund beta," Journal of Asset Management, Palgrave Macmillan, volume 11, issue 1, pages 19-30, April, DOI: 10.1057/jam.2010.2.

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.
  15. Gurvinder Brar & Daniel Giamouridis & Manolis Liodakis, 2009, "Predicting European Takeover Targets," European Financial Management, European Financial Management Association, volume 15, issue 2, pages 430-450, March, DOI: 10.1111/j.1468-036X.2007.00423.x.
  16. Daniel Giamouridis & Ioanna Ntoula, 2009, "A comparison of alternative approaches for determining the downside risk of hedge fund strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 29, issue 3, pages 244-269, March.
  17. 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.

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. Vrontos, Spyridon D. & Vrontos, Ioannis D. & Giamouridis, Daniel, 2008, "Hedge fund pricing and model uncertainty," Journal of Banking & Finance, Elsevier, volume 32, issue 5, pages 741-753, May.

2007

  1. Laurent Deville & Fabrice Riva, 2007, "Liquidity and Arbitrage in Options Markets: A Survival Analysis Approach," Review of Finance, European Finance Association, volume 11, issue 3, pages 497-525.
  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. Giamouridis, Daniel & Vrontos, Ioannis D., 2007, "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, volume 31, issue 1, pages 199-217, January.
  14. Dimitris Flamouris & Daniel Giamouridis, 2007, "Approximate basket option valuation for a simplified jump process," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 27, issue 9, pages 819-837, September.
  15. 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.

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.

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.
  3. Daniel Giamouridis, 2005, "Inferring option-implied investors' risk preferences," Applied Financial Economics, Taylor & Francis Journals, volume 15, issue 7, pages 479-488, DOI: 10.1080/09603100500056684.

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.

2002

  1. Dimitris Flamouris & Daniel Giamouridis, 2002, "Estimating Implied PDFs From American Options on Futures: A New Semiparametric Approach," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 22, issue 1, pages 1-30, January.

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.

1997

  1. Chang, Eric C. & Michael Pinegar, J. & Schachter, Barry, 1997, "Interday variations in volume, variance and participation of large speculators," Journal of Banking & Finance, Elsevier, volume 21, issue 6, pages 797-810, June.

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. Butler, J. S. & Schachter, Barry, 1996, "The statistical properties of parameters inferred from the black-scholes formula," International Review of Financial Analysis, Elsevier, volume 5, issue 3, pages 223-235.

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. Russell P. Robins & Barry Schachter, 1994, "An Analysis of the Risk in Discretely Rebalanced Option Hedges and Delta-Based Techniques," Management Science, INFORMS, volume 40, issue 6, pages 798-808, June, DOI: 10.1287/mnsc.40.6.798.

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.
  2. Schachter, B, 1988, "Open Interest In Stock-Options Around Quarterly Earnings Announcements," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 26, issue 2, pages 353-372, DOI: http://hdl.handle.net/10.2307/24911.

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.
  2. Schachter, Barry, 1986, "A Note on the Welfare Consequences of New Option Markets," Journal of Finance, American Finance Association, volume 41, issue 1, pages 263-267, March.
  3. Butler, J. S. & Schachter, Barry, 1986, "Unbiased estimation of the Black/Scholes formula," Journal of Financial Economics, Elsevier, volume 15, issue 3, pages 341-357, March.

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.
  2. Schachter, B, 1985, "Open Interest And Consensus Among Investors," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 23, issue 2, pages 907-910, DOI: http://hdl.handle.net/10.2307/24908.

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

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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