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Frank J. Fabozzi

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First Name:Frank
Middle Name:J.
Last Name:Fabozzi
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  1. Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
  2. Olivia S. Mitchell & Christopher C. Geczy & Robert Novy-Marx & Raimond Maurer & Donald E. Fuerst & Christopher M. Bone & Donald J. Segal & Martin G. Clarke & Frank J. Fabozzi & Deborah Lucas & David F, 2013. "Technical Review Panel for the Pension Insurance Modeling System (PIMS)," Working Papers wp290, University of Michigan, Michigan Retirement Research Center.
  3. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2013. "Tempered stable Ornstein-Uhlenbeck processes: a practical view," Temi di discussione (Economic working papers) 912, Bank of Italy, Economic Research and International Relations Area.
  4. Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics 44, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  5. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics 29, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  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 26, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  7. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  8. Kanamura, Takashi & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "A profit model for spread trading with an application to energy futures," Working Paper Series in Economics 27, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  9. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011. "Fat-tailed models for risk estimation," Working Paper Series in Economics 30, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  10. Rezania, Omid & Rachev, Svetlozar T. & Sun, Edward & Fabozzi, Frank J., 2010. "Analysis of the intraday effects of economic releases on the currency market," Working Paper Series in Economics 3, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  11. Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  12. Güner, Biliana & Rachev, Svetlozar T. & Edelman, Daniel & Fabozzi, Frank J., 2010. "Bayesian inference for hedge funds with stable distribution of returns," Working Paper Series in Economics 1, Karlsruhe Institute of Technology (KIT), Department of Economics and Business Engineering.
  13. Young Kim & Svetlozar Rachev & Michele Bianchi & Frank Fabozzi, 2009. "Computing VAR and AVaR in Infinitely Divisible Distributions," Yale School of Management Working Papers amz2569, Yale School of Management.
  14. Jarrod Wilcox & Frank Fabozzi, 2009. "A Discretionary Wealth Approach to Investment Policy," Yale School of Management Working Papers amz2434, Yale School of Management.
  15. Dennis Vink & Frank Fabozzi, 2009. "Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings," Yale School of Management Working Papers amz2493, Yale School of Management.
  16. Frank Fabozzi & Robert Shiller & Radu Tunaru, 2009. "Property Derivatives for Managing European Real-Estate Risk," Yale School of Management Working Papers amz2652, Yale School of Management, revised 01 Sep 2009.
  17. Douglas Lucas & Laurie Goodman & Frank Fabozzi, 2007. "Collateralized Debt Obligations and Credit Risk Transfer," Yale School of Management Working Papers amz2503, Yale School of Management.
  18. Frank Fabozzi & Vinod Kothari, 2007. "Securitization: The Tool of Financial Transformation," Yale School of Management Working Papers amz2495, Yale School of Management, revised 01 Jul 2007.
  19. Wesley Phoa & Sergio Focardi & Frank Fabozzi, 2006. "How do Conflicting Theories about Financial Markets Coexist?," Yale School of Management Working Papers amz2445, Yale School of Management.
  1. Xiaoping Zhou & Dmitry Malioutov & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Smooth monotone covariance for elliptical distributions and applications in finance," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1555-1571, September.
  2. Fabozzi, Frank J. & Leccadito, Arturo & Tunaru, Radu S., 2014. "Extracting market information from equity options with exponential Lévy processes," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 125-141.
  3. Xiaoping Zhou & Rosella Giacometti & Frank J. Fabozzi & Ann H. Tucker, 2014. "Bayesian estimation of truncated data with applications to operational risk measurement," Quantitative Finance, Taylor & Francis Journals, vol. 14(5), pages 863-888, May.
  4. Kim, Woo Chang & Kim, Min Jeong & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Robust portfolios that do not tilt factor exposure," European Journal of Operational Research, Elsevier, vol. 234(2), pages 411-421.
  5. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
  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, vol. 31(C), pages 101-108.
  7. Kim, Woo Chang & Fabozzi, Frank J. & Cheridito, Patrick & Fox, Charles, 2014. "Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments," Economics Letters, Elsevier, vol. 122(2), pages 154-158.
  8. Beck Alexander & Kim Young Shin Aaron & Rachev Svetlozar & Feindt Michael & Fabozzi Frank, 2013. "Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 167-177, April.
  9. Sven Klingler & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2013. "Option pricing with time-changed Lévy processes," Applied Financial Economics, Taylor & Francis Journals, vol. 23(15), pages 1231-1238, August.
  10. Cakici, Nusret & Fabozzi, Frank J. & Tan, Sinan, 2013. "Size, value, and momentum in emerging market stock returns," Emerging Markets Review, Elsevier, vol. 16(C), pages 46-65.
  11. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2013. "The role of jump dynamics in the risk–return relationship," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 212-218.
  12. Andrew H. Chen & Frank J. Fabozzi & Dashan Huang, 2013. "Optimal corporate strategy under uncertainty," Applied Economics, Taylor & Francis Journals, vol. 45(20), pages 2877-2882, July.
  13. Sergio Ortobelli Lozza & Haim Shalit & Frank J. Fabozzi, 2013. "Portfolio Selection Problems Consistent With Given Preference Orderings," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1350029-1-1.
  14. 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, vol. 23(18), pages 1469-1482, September.
  15. Fabozzi Frank J. & Stoyanov Stoyan V. & Rachev Svetlozar T., 2013. "Computational aspects of portfolio risk estimation in volatile markets: a survey," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(1), pages 103-120, February.
  16. Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2013. "Composition of robust equity portfolios," Finance Research Letters, Elsevier, vol. 10(2), pages 72-81.
  17. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2013. "CVaR sensitivity with respect to tail thickness," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
  18. Turan G. Bali & Nusret Cakici & Frank J. Fabozzi, 2013. "The new issues puzzle: evidence from non-US firms," Applied Economics Letters, Taylor & Francis Journals, vol. 20(17), pages 1586-1591, November.
  19. Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi, 2012. "Metrization Of Stochastic Dominance Rules," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(02), pages 1250017-1-1.
  20. 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, vol. 22(16), pages 1305-1316, August.
  21. Frank J. Fabozzi & Arturo Leccadito & Radu S. Tunaru, 2012. "A new method for generating approximation algorithms for financial mathematics applications," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1571-1583, October.
  22. Andrew Chen & Frank Fabozzi & Dashan Huang, 2012. "Portfolio revision under mean-variance and mean-CVaR with transaction costs," Review of Quantitative Finance and Accounting, Springer, vol. 39(4), pages 509-526, November.
  23. Young Kim & Frank Fabozzi & Zuodong Lin & Svetlozar Rachev, 2012. "Option pricing and hedging under a stochastic volatility Lévy process model," Review of Derivatives Research, Springer, vol. 15(1), pages 81-97, April.
  24. Giacometti, Rosella & Bertocchi, Marida & Rachev, Svetlozar T. & Fabozzi, Frank J., 2012. "A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates," Insurance: Mathematics and Economics, Elsevier, vol. 50(1), pages 85-93.
  25. Russo, Vincenzo & Giacometti, Rosella & Ortobelli, Sergio & Rachev, Svetlozar & Fabozzi, Frank J., 2011. "Calibrating affine stochastic mortality models using term assurance premiums," Insurance: Mathematics and Economics, Elsevier, vol. 49(1), pages 53-60, July.
  26. Ryan, Ronald & Fabozzi , Frank, 2011. "Liability Index Fund: The Liability Beta Portfolio," Journal of Financial Transformation, Capco Institute, vol. 33, pages 29-33.
  27. Möller, Christoph & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Balancing energy strategies in electricity portfolio management," Energy Economics, Elsevier, vol. 33(1), pages 2-11, January.
  28. Paulauskas, Vygantas & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Comment On “Weak Convergence To A Matrix Stochastic Integral With Stable Processes”," Econometric Theory, Cambridge University Press, vol. 27(04), pages 907-911, August.
  29. 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, vol. 25(4), pages 477-478, December.
  30. Bonaparte, Yosef & Fabozzi, Frank J., 2011. "Is food consumption a good proxy for nondurable consumption?," Economics Letters, Elsevier, vol. 111(2), pages 110-112, May.
  31. Sun, Edward W. & Rezania, Omid & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011. "Analysis of the intraday effects of economic releases on the currency market," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 692-707, June.
  32. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2011. "Time series analysis for financial market meltdowns," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1879-1891, August.
  33. Yosef Bonaparte & Frank Fabozzi, 2011. "Savings selectivity bias, subjective expectations and stock market participation," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 119-130.
  34. Yosef Bonaparte & Frank Fabozzi, 2011. "Household search choice: theory and evidence," Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3835-3847.
  35. Jan Henneke & Svetlozar Rachev & Frank Fabozzi & Metodi Nikolov, 2011. "MCMC-based estimation of Markov Switching ARMA-GARCH models," Applied Economics, Taylor & Francis Journals, vol. 43(3), pages 259-271.
  36. Ivan Mitov & Svetlozar Rachev & Frank Fabozzi, 2010. "Approximation of aggregate and extremal losses within the very heavy tails framework," Quantitative Finance, Taylor & Francis Journals, vol. 10(10), pages 1153-1162.
  37. Ortobelli, Sergio & Rachev, Svetlozar T. & Fabozzi, Frank J., 2010. "Risk management and dynamic portfolio selection with stable Paretian distributions," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 195-211, March.
  38. Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010. "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
  39. Huang, Dashan & Zhu, Shushang & Fabozzi, Frank J. & Fukushima, Masao, 2010. "Portfolio selection under distributional uncertainty: A relative robust CVaR approach," European Journal of Operational Research, Elsevier, vol. 203(1), pages 185-194, May.
  40. Huang Dashan & Yu Baimin & Lu Zudi & Fabozzi Frank J. & Focardi Sergio & Fukushima Masao, 2010. "Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-26, March.
  41. Ren-Raw Chen & Frank Fabozzi, 2010. "A risk-based evaluation of the free-trader option," Quantitative Finance, Taylor & Francis Journals, vol. 10(3), pages 235-240.
  42. 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, vol. 19(17), pages 1401-1416.
  43. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2009. "A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence," Empirical Economics, Springer, vol. 36(1), pages 201-229, February.
  44. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Construction of probability metrics on classes of investors," Economics Letters, Elsevier, vol. 103(1), pages 45-48, April.
  45. Georgi K. Mitov & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi, 2009. "Barrier Option Pricing By Branching Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1055-1073.
  46. Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Pricing of credit default index swap tranches with one-factor heavy-tailed copula models," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 201-215, March.
  47. Sebastian Kring & Svetlozar T. Rachev & Markus H�chst�tter & Frank J. Fabozzi & Michele Leonardo Bianchi, 2009. "Multi-tail generalized elliptical distributions for asset returns," Econometrics Journal, Royal Economic Society, vol. 12(2), pages 272-291, 07.
  48. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
  49. Frank Fabozzi & Radu Tunaru & George Albota, 2009. "Estimating risk-neutral density with parametric models in interest rate markets," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 55-70.
  50. Maté, Carlos, 2009. "Svetlozar, T. Rachev, John S.J. Hsu, B.S. Bagasheva and F.J. Fabozzi , Bayesian Methods in Finance, John Wiley and Sons, USA (2008) ISBN 978-0-471-92083-0 (hardcover), $95, 329 pages," International Journal of Forecasting, Elsevier, vol. 25(3), pages 632-634, July.
  51. Sergio Ortobelli & Svetlozar Rachev & Haim Shalit & Frank Fabozzi, 2009. "Orderings and Probability Functionals Consistent with Preferences," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(1), pages 81-102.
  52. Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009. "A New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions," European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361.
  53. Frank Fabozzi & Yi-Chen Wang & Shih-Kuo Yeh & Ren-Raw Chen, 2009. "An empirical analysis of the CDX index and its tranches," Applied Economics Letters, Taylor & Francis Journals, vol. 16(14), pages 1425-1431.
  54. Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Ortobelli, Sergio & Fabozzi, Frank J., 2008. "Relative deviation metrics and the problem of strategy replication," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 199-206, February.
  55. Sun Wei & Rachev Svetlozar & Stoyanov Stoyan V. & Fabozzi Frank J., 2008. "Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-37, May.
  56. Chen, Ren-Raw & Cheng, Xiaolin & Fabozzi, Frank J. & Liu, Bo, 2008. "An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(01), pages 123-160, March.
  57. Svetlozar Rachev & Sergio Ortobelli & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova, 2008. "Desirable Properties Of An Ideal Risk Measure In Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 19-54.
  58. Huang, Dashan & Zhu, Shu-Shang & Fabozzi, Frank J. & Fukushima, Masao, 2008. "Portfolio selection with uncertain exit time: A robust CVaR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 594-623, February.
  59. Andrew Kalotay & Deane Yang & Frank Fabozzi, 2008. "Optimal mortgage refinancing: application of bond valuation tools to household risk management," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 4(2), pages 141-149.
  60. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
  61. Frank Fabozzi & Sergio Focardi & Caroline Jonas, 2008. "On the challenges in quantitative equity management," Quantitative Finance, Taylor & Francis Journals, vol. 8(7), pages 649-665.
  62. Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2008. "Financial market models with Lévy processes and time-varying volatility," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1363-1378, July.
  63. Svetlozar T. Rachev & Chufang Wu & Frank J. Fabozzi, 2007. "Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 21-31, May.
  64. Sun, Wei & Rachev, Svetlozar & Fabozzi, Frank J., 2007. "Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns," Journal of Economics and Business, Elsevier, vol. 59(6), pages 575-595.
  65. S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi, 2007. "Optimal Financial Portfolios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 401-436.
  66. Fabozzi, Frank J. & Cheng, Xiaolin & Chen, Ren-Raw, 2007. "Exploring the components of credit risk in credit default swaps," Finance Research Letters, Elsevier, vol. 4(1), pages 10-18, March.
  67. Frank Fabozzi & Omar Masood & Radu Tunaru, 2007. "Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns," The European Journal of Finance, Taylor & Francis Journals, vol. 13(3), pages 269-282.
  68. Wesley Phoa & Sergio M. Focardi & Frank J. Fabozzi, 2007. "How do conflicting theories about financial markets coexist?," Journal of Post Keynesian Economics, M.E. Sharpe, Inc., vol. 29(3), pages 363-391, May.
  69. Frank J. Fabozzi & Radu Tunaru, 2007. "On Some Inconsistencies In Modeling Credit Portfolio Products," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1305-1321.
  70. Rachev, Svetlozar & Jasic, Teo & Stoyanov, Stoyan & Fabozzi, Frank J., 2007. "Momentum strategies based on reward-risk stock selection criteria," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2325-2346, August.
  71. Huang, Dashan & Kai, Yoshitaka & Fabozzi, Frank J. & Fukushima, Masao, 2007. "An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve," European Journal of Operational Research, Elsevier, vol. 177(2), pages 1134-1152, March.
  72. Rosella Giacometti & Marida Bertocchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2007. "Stable distributions in the Black-Litterman approach to asset allocation," Quantitative Finance, Taylor & Francis Journals, vol. 7(4), pages 423-433.
  73. Frank J. Fabozzi & Sergio Focardi & Caroline Jonas, 2007. "Trends in quantitative equity management: survey results," Quantitative Finance, Taylor & Francis Journals, vol. 7(2), pages 115-122.
  74. Andrew J. Kalotay & Deane Yang & Frank J. Fabozzi, 2007. "Refunding efficiency: a generalized approach," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 3(3), pages 141-146.
  75. Frank Fabozzi & Radu Tunaru, 2006. "On risk management problems related to a coherence property," Quantitative Finance, Taylor & Francis Journals, vol. 6(1), pages 75-81.
  76. Arshanapalli, Bala & Fabozzi, Frank J. & Nelson, William, 2006. "The value, size, and momentum spread during distressed economic periods," Finance Research Letters, Elsevier, vol. 3(4), pages 244-252, December.
  77. Radu Tunaru & Frank Fabozzi & Tony Wu, 2006. "Chinese equity market and the efficient frontier," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(2), pages 87-94, March.
  78. 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, vol. 16(5), pages 377-384.
  79. 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, vol. 16(15), pages 1085-1094.
  80. Sergio Ortobelli & Svetlozar T. Rachev & Stoyan Stoyanov & Frank J. Fabozzi & Almira Biglova, 2005. "The Proper Use Of Risk Measures In Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1107-1133.
  81. Fabozzi, Frank J. & Focardi, Sergio M. & Jonas, Caroline L., 2005. "Market experience with modeling for defined-benefit pension funds: evidence from four countries," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(03), pages 313-327, November.
  82. Sergio M. Focardi & Frank J. Fabozzi, 2005. "An autoregressive conditional duration model of credit-risk contagion," Journal of Risk Finance, Emerald Group Publishing, vol. 6(3), pages 208-225, May.
  83. Frank J. Fabozzi & Radu Tunaru & Tony Wu, 2004. "Modeling Volatility for the Chinese Equity Markets," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
  84. Sergio Focardi & Frank Fabozzi, 2004. "A methodology for index tracking based on time-series clustering," Quantitative Finance, Taylor & Francis Journals, vol. 4(4), pages 417-425.
  85. Collins, Bruce & Fabozzi, Frank, 2000. " Equity Manager Selection and Performance," Review of Quantitative Finance and Accounting, Springer, vol. 15(1), pages 81-97, July.
  86. Griffiths, Mark D., 1996. "International corporate finance : Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp," The North American Journal of Economics and Finance, Elsevier, vol. 7(2), pages 233-234.
  87. Fabozzi, Frank J & Ma, Christopher K & Briley, James E, 1994. " Holiday Trading in Futures Markets," Journal of Finance, American Finance Association, vol. 49(1), pages 307-24, March.
  88. Coggin, T Daniel & Fabozzi, Frank J & Rahman, Shafiqur, 1993. " The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 48(3), pages 1039-55, July.
  89. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1991. "Effective Capital Gains Tax Rates: A Reply," National Tax Journal, National Tax Association, vol. 44(1), pages 105-07, March.
  90. Choi, Jongmoo Jay & Fabozzi, Frank J & Yaari, Uzi, 1989. "Optimum Corporate Leverage with Risky Debt: A Demand Approach," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 12(2), pages 129-42, Summer.
  91. Coyne, Christopher & Fabozzi, Frank J. & Yaari, Uzi, 1989. "Taxation of Capital Gains with Deferred Realization," National Tax Journal, National Tax Association, vol. 42(4), pages 475-85, December.
  92. Fabozzi, Frank J & Moran, Eileen & Ma, Christopher K, 1988. " Market Uncertainty and the Least-Cost Offering Method of Public Utility Debt: A Note," Journal of Finance, American Finance Association, vol. 43(4), pages 1025-34, September.
  93. Fabozzi, Frank J & Ma, Christopher K, 1988. "The Over-the-Counter Market and New York Stock Exchange Trading Halts," The Financial Review, Eastern Finance Association, vol. 23(4), pages 427-37, November.
  94. Fabozzi, Frank J, et al, 1988. " A Note on Unsuccessful Tender Offers and Stockholder Returns," Journal of Finance, American Finance Association, vol. 43(5), pages 1275-83, December.
  95. Fabozzi, Frank J. & Thurston, Thom B., 1986. "State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 427-436, December.
  96. Uzi Yaari & Frank J. Fabozzi, 1985. "Why Ira And Keogh Plans Should Avoid Growth Stocks," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 8(3), pages 203-216, 09.
  97. Fabozzi, Frank J & Yaari, Uzi, 1983. " Valuation of Safe Harbor Tax Benefit Transfer Leases," Journal of Finance, American Finance Association, vol. 38(2), pages 595-606, May.
  98. Fabozzi, Frank J., 1982. "A note on the association between systematic risk and common stock and bond rating classifications," Journal of Economics and Business, Elsevier, vol. 34(2), pages 159-163.
  99. Fabozzi, Frank J. & West, Richard R., 1981. "Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(03), pages 323-339, September.
  100. Francis, Jack Clark & Fabozzi, Frank J., 1980. "Stability of mutual fund systematic risk statistics," Journal of Business Research, Elsevier, vol. 8(2), pages 263-275, June.
  101. Fabozzi, Frank J. & Francis, Jack C. & Lee, Cheng F., 1980. "Generalized Functional Form for Mutual Fund Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(05), pages 1107-1120, December.
  102. Fabozzi, Frank J. & Bachner, Alfred W., 1979. "Mathematical programming models to determine civil service salaries," European Journal of Operational Research, Elsevier, vol. 3(3), pages 190-198, May.
  103. Francis, Jack Clark & Fabozzi, Frank J., 1979. "The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(02), pages 351-360, June.
  104. Fabozzi, Frank J & Francis, Jack C, 1979. "Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination," Journal of Finance, American Finance Association, vol. 34(5), pages 1243-50, December.
  105. Fabozzi, Frank J. & Francis, Jack Clark, 1978. "Beta as a Random Coefficient," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(01), pages 101-116, March.
  106. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-99, September.
  107. Gujarati, Damodar & Fabozzi, Frank, 1972. "Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence," Bulletin of Economic Research, Wiley Blackwell, vol. 24(1), pages 3-12, May.
12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-AGE: Economics of Ageing (1) 2014-01-17
  2. NEP-BAN: Banking (4) 2010-10-02 2010-10-02 2011-05-30 2011-05-30. Author is listed
  3. NEP-CBA: Central Banking (2) 2010-10-02 2010-10-02
  4. NEP-ECM: Econometrics (6) 2010-10-02 2011-05-30 2011-05-30 2011-05-30 2011-05-30 2012-09-09. Author is listed
  5. NEP-ENE: Energy Economics (1) 2011-05-30
  6. NEP-ENV: Environmental Economics (1) 2011-05-30
  7. NEP-ETS: Econometric Time Series (1) 2011-05-30
  8. NEP-FMK: Financial Markets (1) 2014-01-24
  9. NEP-FOR: Forecasting (1) 2010-10-02
  10. NEP-IAS: Insurance Economics (1) 2014-01-17
  11. NEP-IFN: International Finance (1) 2010-10-02
  12. NEP-MON: Monetary Economics (1) 2010-10-02
  13. NEP-MST: Market Microstructure (1) 2010-10-02
  14. NEP-RMG: Risk Management (4) 2010-10-02 2011-05-30 2011-05-30 2012-09-09. Author is listed
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