Frank J. Fabozzi
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019.
"Multiple Subordinated Modeling of Asset Returns,"
Papers
1907.12600, arXiv.org.
Cited by:
- Abootaleb Shirvani & Frank J. Fabozzi, 2020. "Choosing the Right Return Distribution and the Excess Volatility Puzzle," Papers 2001.08865, arXiv.org.
- Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "A Rational Finance Explanation of the Stock Predictability Puzzle," Papers 1911.02194, arXiv.org.
- Abootaleb Shirvani, 2020. "Stock Returns and Roughness Extreme Variations: A New Model for Monitoring 2008 Market Crash and 2015 Flash Crash," Applied Economics and Finance, Redfame publishing, vol. 7(3), pages 78-95, May.
- Safoora Zarei & Ali R. Fallahi, 2019. "Pay-As-You-Drive Insurance Pricing Model," Papers 1912.09273, arXiv.org.
- Abootaleb Shirvani & Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Option Pricing with Mixed Levy Subordinated Price Process and Implied Probability Weighting Function," Papers 1910.05902, arXiv.org, revised Apr 2020.
- Abootaleb Shirvani & Stoyan V. Stoyanov & Frank J. Fabozzi & Svetlozar T. Rachev, 2021. "Equity premium puzzle or faulty economic modelling?," Review of Quantitative Finance and Accounting, Springer, vol. 56(4), pages 1329-1342, May.
- Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani, 2017.
"Option Pricing with Greed and Fear Factor: The Rational Finance Approach,"
Papers
1709.08134, arXiv.org, revised Mar 2020.
Cited by:
- Abootaleb Shirvani & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Multiple Subordinated Modeling of Asset Returns," Papers 1907.12600, arXiv.org.
- Abootaleb Shirvani & Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Option Pricing with Mixed Levy Subordinated Price Process and Implied Probability Weighting Function," Papers 1910.05902, arXiv.org, revised Apr 2020.
- Svetlozar Rachev & Stoyan Stoyanov & Stefan Mittnik & Frank J. Fabozzi & Abootaleb Shirvani, 2017.
"Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach,"
Papers
1710.03211, arXiv.org, revised Feb 2020.
Cited by:
- Binghui Wu & Tingting Duan, 2019. "Nonlinear Dynamics Characteristic of Risk Contagion in Financial Market Based on Agent Modeling and Complex Network," Complexity, Hindawi, vol. 2019, pages 1-12, June.
- Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017.
"Enhancing Binomial and Trinomial Equity Option Pricing Models,"
Papers
1712.03566, arXiv.org.
- Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019. "Enhancing binomial and trinomial equity option pricing models," Finance Research Letters, Elsevier, vol. 28(C), pages 185-190.
Cited by:
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," JRFM, MDPI, vol. 13(12), pages 1-33, December.
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," Papers 2011.08343, arXiv.org.
- Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev, 2022. "ESG-valued discrete option pricing in complete markets," Papers 2209.06276, arXiv.org.
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2021. "Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis," Papers 2106.09128, arXiv.org.
- Hu, Yuan & Lindquist, W. Brent & Rachev, Svetlozar T. & Shirvani, Abootaleb & Fabozzi, Frank J., 2022. "Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis," Journal of Economic Dynamics and Control, Elsevier, vol. 137(C).
- Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu, 2023. "Unifying Market Microstructure and Dynamic Asset Pricing," Papers 2304.02356, arXiv.org, revised Feb 2024.
- Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.
- Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2016.
"Pricing Derivatives in Hermite Markets,"
Papers
1612.07016, arXiv.org, revised Dec 2016.
- Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2019. "Pricing Derivatives In Hermite Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(06), pages 1-27, September.
- Stoyan V. Stoyanov & Svetlozar T. Rachev & Stefan Mittnik & Frank J. Fabozzi, 2017. "Pricing derivatives in Hermite markets," Papers 1709.09068, arXiv.org.
Cited by:
- Daw, Lara & Kerchev, George, 2023. "Fractal dimensions of the Rosenblatt process," Stochastic Processes and their Applications, Elsevier, vol. 161(C), pages 544-571.
- Abootaleb Shirvani & Stoyan V. Stoyanov & Svetlozar T. Rachev & Frank J. Fabozzi, 2016.
"A New Set of Financial Instruments,"
Papers
1612.00828, arXiv.org, revised Oct 2019.
Cited by:
- Neilson, Ben Oakley & Lee, Steven J., 2024. "Identifying the properties and impact of education on misconduct: Evidence from Australian financial advisers," International Journal of Educational Development, Elsevier, vol. 105(C).
- Abootaleb Shirvani, 2020. "Stock Returns and Roughness Extreme Variations: A New Model for Monitoring 2008 Market Crash and 2015 Flash Crash," Applied Economics and Finance, Redfame publishing, vol. 7(3), pages 78-95, May.
- Svetlozar Rachev & Frank Fabozzi, 2016.
"Financial market with no riskless (safe) asset,"
Papers
1612.02112, arXiv.org.
- Svetlozar T. Rachev & Stoyan V. Stoyanov & Frank J. Fabozzi, 2017. "Financial Markets With No Riskless (Safe) Asset," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-24, December.
Cited by:
- Abootaleb Shirvani & Frank J. Fabozzi & Stoyan V. Stoyanov, 2020. "Option Pricing in an Investment Risk-Return Setting," Papers 2001.00737, arXiv.org.
- Svetlozar Rachev & Nancy Asare Nyarko & Blessing Omotade & Peter Yegon, 2023. "Bachelier's Market Model for ESG Asset Pricing," Papers 2306.04158, arXiv.org.
- Nancy Asare Nyarko & Bhathiya Divelgama & Jagdish Gnawali & Blessing Omotade & Svetlozar Rachev & Peter Yegon, 2023. "Exploring Dynamic Asset Pricing within Bachelier Market Model," Papers 2307.04059, arXiv.org.
- Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022. "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers 2206.02854, arXiv.org.
- W. Brent Lindquist & Svetlozar T. Rachev, 2024. "Alternatives to classical option pricing," Papers 2403.17187, arXiv.org.
- Yuan Hu & W. Brent Lindquist & Svetlozar T. Rachev & Frank J. Fabozzi, 2023. "Option pricing using a skew random walk pricing tree," Papers 2303.17014, arXiv.org.
- Y. S. Kim & S. Stoyanov & S. Rachev & F. Fabozzi, 2016.
"Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion,"
Papers
1612.01979, arXiv.org.
- Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016. "Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion," Economics Letters, Elsevier, vol. 145(C), pages 225-229.
Cited by:
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," JRFM, MDPI, vol. 13(12), pages 1-33, December.
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2020. "Option Pricing Incorporating Factor Dynamics in Complete Markets," Papers 2011.08343, arXiv.org.
- Svetlozar Rachev & Frank Fabozzi, 2016.
"Financial market with no riskless (safe) asset,"
Papers
1612.02112, arXiv.org.
- Svetlozar T. Rachev & Stoyan V. Stoyanov & Frank J. Fabozzi, 2017. "Financial Markets With No Riskless (Safe) Asset," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-24, December.
- Abootaleb Shirvani & Frank J. Fabozzi & Stoyan V. Stoyanov, 2020. "Option Pricing in an Investment Risk-Return Setting," Papers 2001.00737, arXiv.org.
- Hyun Jin Jang & Zuo Quan Xu & Harry Zheng, 2020. "Optimal Investment, Heterogeneous Consumption and Best Time for Retirement," Papers 2008.00392, arXiv.org, revised Jun 2022.
- Jiexin Dai & Abootaleb Shirvani & Frank J. Fabozzi, 2020. "Rational Finance Approach to Behavioral Option Pricing," Papers 2005.05310, arXiv.org.
- Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
- Svetlozar Rachev & Frank J. Fabozzi & Boryana Racheva-Iotova & Abootaleb Shirvani, 2017. "Option Pricing with Greed and Fear Factor: The Rational Finance Approach," Papers 1709.08134, arXiv.org, revised Mar 2020.
- Yuan Hu & Abootaleb Shirvani & W. Brent Lindquist & Frank J. Fabozzi & Svetlozar T. Rachev, 2021. "Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis," Papers 2106.09128, arXiv.org.
- Shvimer, Yossi & Herbon, Avi, 2020. "Comparative empirical study of binomial call-option pricing methods using S&P 500 index data," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017.
"Enhancing Binomial and Trinomial Equity Option Pricing Models,"
Papers
1712.03566, arXiv.org.
- Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019. "Enhancing binomial and trinomial equity option pricing models," Finance Research Letters, Elsevier, vol. 28(C), pages 185-190.
- Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu, 2023. "Unifying Market Microstructure and Dynamic Asset Pricing," Papers 2304.02356, arXiv.org, revised Feb 2024.
- W. Brent Lindquist & Svetlozar T. Rachev, 2024. "Alternatives to classical option pricing," Papers 2403.17187, arXiv.org.
- Svetlozar Rachev & Stoyan Stoyanov & Frank J. Fabozzi, 2017. "Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing," Papers 1710.03205, arXiv.org.
- Yossi Shvimer & Avi Herbon, 2022. "Non-tradability interval for heterogeneous rational players in the option markets," Computational Management Science, Springer, vol. 19(1), pages 133-157, January.
- Frank J. Fabozzi & Rosella Giacometti & Naoshi Tsuchida, 2015.
"The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads,"
IMES Discussion Paper Series
15-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
Cited by:
- Craig, Ben & Giuzio, Margherita & Paterlini, Sandra, 2020.
"The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios,"
Working Paper Series
2384, European Central Bank.
- Craig, Ben & Giuzio, Margherita & Paterlini, Sandra, 2019. "The effect of possible EU diversification requirements on the risk of banks' sovereign bond portfolios," ESRB Working Paper Series 89, European Systemic Risk Board.
- Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019. "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers 19-12, Federal Reserve Bank of Cleveland.
- Bryan Lim & Stefan Zohren & Stephen Roberts, 2020. "Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio," Papers 2002.02008, arXiv.org, revised Sep 2020.
- Craig, Ben & Giuzio, Margherita & Paterlini, Sandra, 2020.
"The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios,"
Working Paper Series
2384, European Central Bank.
- 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.
- Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018. "Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
Cited by:
- Gian Luca Tassinari & Michele Leonardo Bianchi, 2014. "Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-34.
- Kim, Sangkwon & Kim, Junseok, 2021. "Robust and accurate construction of the local volatility surface using the Black–Scholes equation," Chaos, Solitons & Fractals, Elsevier, vol. 150(C).
- Michele Leonardo Bianchi & Gian Luca Tassinari, 2018. "Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform," Papers 1805.05584, arXiv.org, revised May 2018.
- Michele Bianchi & Frank Fabozzi, 2014. "Discussion of ‘on simulation and properties of the stable law’ by Devroye and James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 353-357, August.
- 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.
Cited by:
- Michele Bianchi & Frank Fabozzi, 2014. "Discussion of ‘on simulation and properties of the stable law’ by Devroye and James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 353-357, August.
- Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
- 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.
Cited by:
- Tabassum, Tanjila & Ulm, Eric R., 2020. "Influences on Sponsor Voluntary Contributions to Defined Benefit Pension Plans in the US," Working Paper Series 21100, Victoria University of Wellington, School of Economics and Finance.
- Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012.
"Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model,"
Working Paper Series in Economics
44, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
Cited by:
- Kurosaki Tetsuo & Kim Young Shin, 2019. "Foster-Hart optimization for currency portfolios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-15, April.
- Gian Luca Tassinari & Michele Leonardo Bianchi, 2014. "Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-34.
- Abhinav Anand & Tiantian Li & Tetsuo Kurosaki & Young Shin Kim, 2017. "The equity risk posed by the too-big-to-fail banks: a Foster–Hart estimation," Annals of Operations Research, Springer, vol. 253(1), pages 21-41, June.
- Cheng Peng & Young Shin Kim & Stefan Mittnik, 2022.
"Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation,"
JRFM, MDPI, vol. 15(5), pages 1-23, May.
- Cheng Peng & Young Shin Kim & Stefan Mittnik, 2020. "Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation," Papers 2009.11367, arXiv.org, revised Feb 2023.
- Subhojit Biswas & Diganta Mukherjee, 2019. "Discrete time portfolio optimisation managing value at risk under heavy tail return distribution," Papers 1908.03907, arXiv.org, revised Nov 2020.
- Jensen DR, 2017. "Limits and Inferences for Alpha–Stable Variables," Biostatistics and Biometrics Open Access Journal, Juniper Publishers Inc., vol. 4(1), pages 15-18, December.
- Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
- Subhojit Biswas & Mrinal K. Ghosh & Diganta Mukherjee, 2019. "Portfolio Optimization Managing Value at Risk under Heavy Tail Return, using Stochastic Maximum Principle," Papers 1908.03905, arXiv.org, revised Nov 2020.
- Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho, 2015. "Quanto option pricing in the presence of fat tails and asymmetric dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 512-520.
- Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
- Michele Leonardo Bianchi & Gian Luca Tassinari, 2018. "Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform," Papers 1805.05584, arXiv.org, revised May 2018.
- Kurosaki, Tetsuo & Kim, Young Shin, 2022. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Finance Research Letters, Elsevier, vol. 45(C).
- Young Shin Kim, 2020. "Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk," Papers 2007.13972, arXiv.org, revised Sep 2020.
- Hassan A. Fallahgoul & Young S. Kim, 2014. "Elliptical Tempered Stable Distribution and Fractional Calculus," Papers 1408.3387, arXiv.org, revised Aug 2014.
- Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
- Babaei, Sadra & Sepehri, Mohammad Mehdi & Babaei, Edris, 2015. "Multi-objective portfolio optimization considering the dependence structure of asset returns," European Journal of Operational Research, Elsevier, vol. 244(2), pages 525-539.
- Jaehyung Choi & Hyangju Kim & Young Shin Kim, 2021. "Diversified reward-risk parity in portfolio construction," Papers 2106.09055, arXiv.org, revised Sep 2022.
- Tetsuo Kurosaki & Young Shin Kim, 2020. "Cryptocurrency portfolio optimization with multivariate normal tempered stable processes and Foster-Hart risk," Papers 2010.08900, arXiv.org.
- Young Shin Kim & Frank J. Fabozzi, 2024. "Portfolio optimization with relative tail risk," Annals of Operations Research, Springer, vol. 341(2), pages 1023-1055, October.
- Holger Fink & Stefan Mittnik, 2021. "Quanto Pricing beyond Black–Scholes," JRFM, MDPI, vol. 14(3), pages 1-27, March.
- Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019. "Quantile-Based Inference for Tempered Stable Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 51-83, January.
- Kim, Sung Ik, 2023. "A comparative study of firm value models: Default risk of corporate bonds," Finance Research Letters, Elsevier, vol. 56(C).
- Jiang, Chun-Fu & Peng, Hong-Yi & Yang, Yu-Kuan, 2016. "Tail variance of portfolio under generalized Laplace distribution," Applied Mathematics and Computation, Elsevier, vol. 282(C), pages 187-203.
- H. Fink & S. Geissel & J. Sass & F. T. Seifried, 2019. "Implied risk aversion: an alternative rating system for retail structured products," Review of Derivatives Research, Springer, vol. 22(3), pages 357-387, October.
- Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.
- Shao, Barret Pengyuan & Rachev, Svetlozar T. & Mu, Yu, 2015. "Applied mean-ETL optimization in using earnings forecasts," International Journal of Forecasting, Elsevier, vol. 31(2), pages 561-567.
- Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
- Sung Ik Kim & Young Shin Kim, 2018. "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, vol. 21(1), pages 119-148, April.
- Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
- Michele Leonardo Bianchi, 2014. "Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective," Temi di discussione (Economic working papers) 957, Bank of Italy, Economic Research and International Relations Area.
- Young Shin Kim, 2023. "Portfolio Optimization with Relative Tail Risk," Papers 2303.12209, arXiv.org, revised Mar 2023.
- Michael Grabchak, 2014. "Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes?," Annals of Finance, Springer, vol. 10(4), pages 553-568, November.
- Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016. "Elliptical tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1069-1087, July.
- Cerqueti, Roy & Giacalone, Massimiliano & Panarello, Demetrio, 2019. "A Generalized Error Distribution Copula-based method for portfolios risk assessment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 524(C), pages 687-695.
- Bianchi, Michele Leonardo & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2011.
"Tempered infinitely divisible distributions and processes,"
Working Paper Series in Economics
26, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
Cited by:
- Küchler, Uwe & Tappe, Stefan, 2013. "Tempered stable distributions and processes," Stochastic Processes and their Applications, Elsevier, vol. 123(12), pages 4256-4293.
- 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.
- Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Uwe Kuchler & Stefan Tappe, 2019. "Tempered stable distributions and processes," Papers 1907.05141, arXiv.org.
- Søren Asmussen, 2022. "On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance," Finance and Stochastics, Springer, vol. 26(3), pages 383-416, July.
- Grabchak, Michael, 2021. "An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case," Statistics & Probability Letters, Elsevier, vol. 170(C).
- Michael Grabchak, 2021. "On the transition laws of p-tempered $$\alpha $$ α -stable OU-processes," Computational Statistics, Springer, vol. 36(2), pages 1415-1436, June.
- Hassan A. Fallahgoul & Young S. Kim, 2014. "Elliptical Tempered Stable Distribution and Fractional Calculus," Papers 1408.3387, arXiv.org, revised Aug 2014.
- Schosser, Stephan & Vogt, Bodo, 2011. "The public loss game: An experimental study of public bads," Working Paper Series in Economics 33, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Küchler, Uwe & Tappe, Stefan, 2014. "Exponential stock models driven by tempered stable processes," Journal of Econometrics, Elsevier, vol. 181(1), pages 53-63.
- Uwe Kuchler & Stefan Tappe, 2019. "Exponential stock models driven by tempered stable processes," Papers 1907.05142, arXiv.org.
- Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
- Schaffer, Axel, 2011. "Appropriate policy measures to attract private capital in consideration of regional efficiency in using infrastructure and human capital," Working Paper Series in Economics 31, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
- Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016. "Elliptical tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1069-1087, July.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011.
"CVaR sensitivity with respect to tail thickness,"
Working Paper Series in Economics
29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- 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.
Cited by:
- Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan, 2015. "Reward-risk momentum strategies using classical tempered stable distribution," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 194-213.
- Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
- Walter Farkas & Ludovic Mathys & Nikola Vasiljevi'c, 2020. "Intra-Horizon Expected Shortfall and Risk Structure in Models with Jumps," Papers 2002.04675, arXiv.org, revised Jan 2021.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 148-159.
- Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
- M. Akhtaruzzaman & A.K. Banerjee & S. Boubaker & F. Moussa, 2023.
"Does Green Improve Portfolio Optimisation?,"
Post-Print
hal-04435509, HAL.
- Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
- Walter Farkas & Ludovic Mathys & Nikola Vasiljević, 2021. "Intra‐Horizon expected shortfall and risk structure in models with jumps," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 772-823, April.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011. "Fat-tailed models for risk estimation," Working Paper Series in Economics 30, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Berninghaus, Siegfried K. & Todorova, Lora & Vogt, Bodo, 2011. "A simple questionnaire can change everything: Are strategy choices in coordination games stable?," Working Paper Series in Economics 37, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Li, Leon, 2017. "Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 116-135.
- Jiang, Chun-Fu & Peng, Hong-Yi & Yang, Yu-Kuan, 2016. "Tail variance of portfolio under generalized Laplace distribution," Applied Mathematics and Computation, Elsevier, vol. 282(C), pages 187-203.
- Meyborg, Mirja, 2011. "The impact of West-German universities on regional innovation activities: A social network analysis," Working Paper Series in Economics 35, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Schosser, Stephan & Vogt, Bodo, 2011. "The public loss game: An experimental study of public bads," Working Paper Series in Economics 33, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2020. "Risk Analysis through the Half-Normal Distribution," Mathematics, MDPI, vol. 8(11), pages 1-27, November.
- Mikhail Semenov & Daulet Smagulov, 2017. "Portfolio Risk Assessment using Copula Models," Papers 1707.03516, arXiv.org.
- Schaffer, Axel, 2011. "Appropriate policy measures to attract private capital in consideration of regional efficiency in using infrastructure and human capital," Working Paper Series in Economics 31, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Marwa Elnahass & Mohamed Marie & Mohammed Elgammal, 2022. "Terrorist attacks and bank financial stability: evidence from MENA economies," Review of Quantitative Finance and Accounting, Springer, vol. 59(1), pages 383-427, July.
- Kanamura, Takashi & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011.
"A profit model for spread trading with an application to energy futures,"
Working Paper Series in Economics
27, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
Cited by:
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011. "Fat-tailed models for risk estimation," Working Paper Series in Economics 30, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Meyborg, Mirja, 2011. "The impact of West-German universities on regional innovation activities: A social network analysis," Working Paper Series in Economics 35, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Schosser, Stephan & Vogt, Bodo, 2011. "The public loss game: An experimental study of public bads," Working Paper Series in Economics 33, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Schaffer, Axel, 2011. "Appropriate policy measures to attract private capital in consideration of regional efficiency in using infrastructure and human capital," Working Paper Series in Economics 31, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011.
"Tempered stable and tempered infinitely divisible GARCH models,"
Working Paper Series in Economics
28, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- 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.
Cited by:
- Young Shin Kim, 2021. "Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing," JRFM, MDPI, vol. 14(2), pages 1-18, February.
- Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020.
"Tempered Stable Processes with Time Varying Exponential Tails,"
Papers
2006.07669, arXiv.org, revised Aug 2020.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512709, HAL.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Post-Print hal-03512709, HAL.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03018495, HAL.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011.
"CVaR sensitivity with respect to tail thickness,"
Working Paper Series in Economics
29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- 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.
- Piergiacomo Sabino & Nicola Cufaro Petroni, 2022. "Fast simulation of tempered stable Ornstein–Uhlenbeck processes," Computational Statistics, Springer, vol. 37(5), pages 2517-2551, November.
- Nicola Cufaro Petroni & Piergiacomo Sabino, 2020. "Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes," Papers 2011.09147, arXiv.org.
- Abhinav Anand & Tiantian Li & Tetsuo Kurosaki & Young Shin Kim, 2017. "The equity risk posed by the too-big-to-fail banks: a Foster–Hart estimation," Annals of Operations Research, Springer, vol. 253(1), pages 21-41, June.
- 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.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "American option valuation under time changed tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 57-68.
- 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.
- Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013.
"Stable mixture GARCH models,"
Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
- Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
- Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan, 2015. "Reward-risk momentum strategies using classical tempered stable distribution," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 194-213.
- Jaehyung Choi, 2014. "Maximum drawdown, recovery, and momentum," Papers 1403.8125, arXiv.org, revised Sep 2021.
- Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
- Fengler, Matthias & Melnikov, Alexander, 2017.
"GARCH option pricing models with Meixner innovations,"
Economics Working Paper Series
1702, University of St. Gallen, School of Economics and Political Science.
- Matthias R. Fengler & Alexander Melnikov, 2018. "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, vol. 21(3), pages 277-305, October.
- Grabchak, Michael, 2021. "An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case," Statistics & Probability Letters, Elsevier, vol. 170(C).
- Jaehyung Choi & Young Shin Kim & Ivan Mitov, 2014. "Reward-risk momentum strategies using classical tempered stable distribution," Papers 1403.6093, arXiv.org, revised Jun 2015.
- Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2020. "Research on China's financial systemic risk contagion under jump and heavy-tailed risk," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Michele Bianchi & Frank Fabozzi, 2014. "Discussion of ‘on simulation and properties of the stable law’ by Devroye and James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 353-357, August.
- Sampaio, Jhames M. & Morettin, Pedro A., 2020. "Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 67-83.
- 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.
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011. "Fat-tailed models for risk estimation," Working Paper Series in Economics 30, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Jaehyung Choi & Hyangju Kim & Young Shin Kim, 2021. "Diversified reward-risk parity in portfolio construction," Papers 2106.09055, arXiv.org, revised Sep 2022.
- Young Shin Kim, 2021. "Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing," Papers 2101.11001, arXiv.org.
- Berninghaus, Siegfried K. & Todorova, Lora & Vogt, Bodo, 2011. "A simple questionnaire can change everything: Are strategy choices in coordination games stable?," Working Paper Series in Economics 37, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Sharif Mozumder & Bakhtear Talukdar & M. Humayun Kabir & Bingxin Li, 2024. "Non-linear volatility with normal inverse Gaussian innovations: ad-hoc analytic option pricing," Review of Quantitative Finance and Accounting, Springer, vol. 62(1), pages 97-133, January.
- Tiantian Li & Young Shin Kim & Qi Fan & Fumin Zhu, 2021. "Aumann–Serrano index of risk in portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 197-217, October.
- Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018.
"Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
- 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.
- 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.
- Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
- Meyborg, Mirja, 2011. "The impact of West-German universities on regional innovation activities: A social network analysis," Working Paper Series in Economics 35, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Schosser, Stephan & Vogt, Bodo, 2011. "The public loss game: An experimental study of public bads," Working Paper Series in Economics 33, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.
- Kassberger, Stefan & Liebmann, Thomas, 2012. "When are path-dependent payoffs suboptimal?," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1304-1310.
- Michael Grabchak, 2022. "Discrete Tempered Stable Distributions," Methodology and Computing in Applied Probability, Springer, vol. 24(3), pages 1877-1890, September.
- Schaffer, Axel, 2011. "Appropriate policy measures to attract private capital in consideration of regional efficiency in using infrastructure and human capital," Working Paper Series in Economics 31, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Young Shin Kim & Hyangju Kim & Jaehyung Choi, 2023. "Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models," Papers 2303.08760, arXiv.org.
- Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
- Fabio Bellini & Lorenzo Mercuri, 2014. "Option pricing in a conditional Bilateral Gamma model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 22(2), pages 373-390, June.
- Tong Liu & Yanlin Shi, 2022. "Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market," Mathematics, MDPI, vol. 10(11), pages 1-18, June.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Racheva-Iotova, Boryana & Fabozzi, Frank J., 2011.
"Fat-tailed models for risk estimation,"
Working Paper Series in Economics
30, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
Cited by:
- Kimera Naradh & Retius Chifurira & Knowledge Chinhamu, 2022. "Analysis of stock exchange risk and currency in South African Financial Markets using stable parameter estimation," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 11(1), pages 120-131, January.
- Nahai-Williamson, Paul & Ota, Tomohiro & Vital, Mathieu & Wetherilt, Anne, 2013. "Financial Stability Paper No 19: Central counterparties and their financial resources – a numerical approach," Bank of England Financial Stability Papers 19, Bank of England.
- Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2016. "Diversification, gambling and market forces," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 129-157, July.
- Liu, Wei-han, 2018. "Hidden Markov model analysis of extreme behaviors of foreign exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1007-1019.
- Salih Çam, 2023. "Asset Allocation with Combined Models Based on Game-Theory Approach and Markov Chain Models," EKOIST Journal of Econometrics and Statistics, Istanbul University, Faculty of Economics, vol. 0(39), pages 26-36, December.
- Carlo Drago & Andrea Scozzari, 2022. "Evaluating conditional covariance estimates via a new targeting approach and a networks-based analysis," Papers 2202.02197, arXiv.org.
- Baul, Tushi & Karlan, Dean & Toyama, Kentaro & Vasilaky, Kathryn, 2024. "Improving smallholder agriculture via video-based group extension," Journal of Development Economics, Elsevier, vol. 169(C).
- Yu, Xing & Zhang, Wei Guo & Liu, Yong Jun & Wang, Xinxin & Wang, Chao, 2020. "Hedging the exchange rate risk for international portfolios," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 173(C), pages 85-104.
- Gueorgui S. Konstantinov & Frank J. Fabozzi, 2022. "The Geometry of the World of Currency Volatilities," Computational Economics, Springer;Society for Computational Economics, vol. 60(1), pages 125-145, June.
- Seyfi, Seyed Mohammad Sina & Sharifi, Azin & Arian, Hamidreza, 2021. "Portfolio Value-at-Risk and expected-shortfall using an efficient simulation approach based on Gaussian Mixture Model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 190(C), pages 1056-1079.
- Gordon M. Bodnar & Erasmo Giambona & John R. Graham & Campbell R. Harvey, 2019. "A View Inside Corporate Risk Management," Management Science, INFORMS, vol. 65(11), pages 5001-5026, November.
- Cheoljun Eom & Taisei Kaizoji & Enrico Scalas, 2019.
"Fat Tails in Financial Return Distributions Revisited: Evidence from the Korean Stock Market,"
Papers
1904.02567, arXiv.org.
- Eom, Cheoljun & Kaizoji, Taisei & Scalas, Enrico, 2019. "Fat tails in financial return distributions revisited: Evidence from the Korean stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 526(C).
- Paul R. Dewick, 2022. "On Financial Distributions Modelling Methods: Application on Regression Models for Time Series," JRFM, MDPI, vol. 15(10), pages 1-15, October.
- Berninghaus, Siegfried K. & Todorova, Lora & Vogt, Bodo, 2011. "A simple questionnaire can change everything: Are strategy choices in coordination games stable?," Working Paper Series in Economics 37, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- 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.
- Oliveira, Alexandre Silva de & Ceretta, Paulo Sergio & Albrecht, Peter, 2023. "Performance comparison of multifractal techniques and artificial neural networks in the construction of investment portfolios," Finance Research Letters, Elsevier, vol. 55(PA).
- Meyborg, Mirja, 2011. "The impact of West-German universities on regional innovation activities: A social network analysis," Working Paper Series in Economics 35, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Schosser, Stephan & Vogt, Bodo, 2011. "The public loss game: An experimental study of public bads," Working Paper Series in Economics 33, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Seyed Mohammad Sina Seyfi & Azin Sharifi & Hamidreza Arian, 2020. "Portfolio Risk Measurement Using a Mixture Simulation Approach," Papers 2011.07994, arXiv.org.
- Schaffer, Axel, 2011. "Appropriate policy measures to attract private capital in consideration of regional efficiency in using infrastructure and human capital," Working Paper Series in Economics 31, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Hamidreza Arian & Hossein Poorvasei & Azin Sharifi & Shiva Zamani, 2020. "The Uncertain Shape of Grey Swans: Extreme Value Theory with Uncertain Threshold," Papers 2011.06693, arXiv.org.
- Andrey Yu. Nevela & Victor A. Lapshin, 2022. "Model Risk and Basic Approaches to its Estimation on Example of Market Risk Models," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 2, pages 91-112, April.
- Justo Puerto & Federica Ricca & Mois'es Rodr'iguez-Madrena & Andrea Scozzari, 2021. "A combinatorial optimization approach to scenario filtering in portfolio selection," Papers 2103.01123, arXiv.org.
- Audrius Kabašinskas & Kristina Šutienė & Miloš Kopa & Kęstutis Lukšys & Kazimieras Bagdonas, 2020. "Dominance-Based Decision Rules for Pension Fund Selection under Different Distributional Assumptions," Mathematics, MDPI, vol. 8(5), pages 1-26, May.
- Rezania, Omid & Rachev, Svetlozar T. & Sun, Edward & Fabozzi, Frank J., 2010.
"Analysis of the intraday effects of economic releases on the currency market,"
Working Paper Series in Economics
3, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- 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.
Cited by:
- Edward Sun & Timm Kruse & Min-Teh Yu, 2014. "High frequency trading, liquidity, and execution cost," Annals of Operations Research, Springer, vol. 223(1), pages 403-432, December.
- Kräussl, Roman & Lehnert, Thorsten & Senulytė, Sigita, 2016.
"Euro crash risk,"
Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 417-428.
- Kräussl, Roman & Lehnert, Thorsten & Senulyte, Sigita, 2015. "Euro crash risk," CFS Working Paper Series 524, Center for Financial Studies (CFS).
- Sun, Edward W. & Meinl, Thomas, 2012. "A new wavelet-based denoising algorithm for high-frequency financial data mining," European Journal of Operational Research, Elsevier, vol. 217(3), pages 589-599.
- Syed Jawad Hussain Shahzad & Jose Arreola‐Hernandez & Md Lutfur Rahman & Gazi Salah Uddin & Muhammad Yahya, 2021. "Asymmetric interdependence between currency markets' volatilities across frequencies and time scales," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2436-2457, April.
- Ederington, Louis & Guan, Wei & Yang, Lisa (Zongfei), 2019. "The impact of the U.S. employment report on exchange rates," Journal of International Money and Finance, Elsevier, vol. 90(C), pages 257-267.
- Meinl Thomas & Sun Edward W., 2012. "A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-24, September.
- Power, Gabriel J. & Eaves, James & Turvey, Calum & Vedenov, Dmitry, 2017. "Catching the curl: Wavelet thresholding improves forward curve modelling," Economic Modelling, Elsevier, vol. 64(C), pages 312-321.
- Yi-Ting Chen & Edward W. Sun & Min-Teh Yu, 2018. "Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 653-684, August.
- Chen, Mei-Ping & Chen, Wen-Yi & Tseng, Tseng-Chan, 2017. "Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets: Evidence from the continuous wavelet analyses," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 484-498.
- Chen Yi-Ting & Sun Edward W. & Yu Min-Teh, 2015. "Improving model performance with the integrated wavelet denoising method," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 445-467, September.
- Marcela de Marillac Carvalho & Luiz Otávio de Oliveira Pala & Gabriel Rodrigo Gomes Pessanha & Thelma Sáfadi, 2021. "Asymmetric dependence of intraday frequency components in the Brazilian stock market," SN Business & Economics, Springer, vol. 1(6), pages 1-18, June.
- Jorge Carvalho & Gualter Couto & Pedro Pimentel, 2022. "EUR/USD Exchange Rate Characterization: Study of Events," Economies, MDPI, vol. 10(12), pages 1-14, November.
- Lin, Fu-Lai & Yang, Sheng-Yung & Marsh, Terry & Chen, Yu-Fen, 2018. "Stock and bond return relations and stock market uncertainty: Evidence from wavelet analysis," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 285-294.
- Al Rababa’a, Abdel Razzaq & Alomari, Mohammad & McMillan, David, 2021. "Multiscale stock-bond correlation: Implications for risk management," Research in International Business and Finance, Elsevier, vol. 58(C).
- Sun, Edward W. & Chen, Yi-Ting & Yu, Min-Teh, 2015. "Generalized optimal wavelet decomposing algorithm for big financial data," International Journal of Production Economics, Elsevier, vol. 165(C), pages 194-214.
- Güner, Biliana & Rachev, Svetlozar T. & Edelman, Daniel & Fabozzi, Frank J., 2010.
"Bayesian inference for hedge funds with stable distribution of returns,"
Working Paper Series in Economics
1, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
Cited by:
- Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2017. "Risk quantification in turmoil markets," Risk Management, Palgrave Macmillan, vol. 19(3), pages 202-224, August.
- Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
- Ott, Ingrid & Soretz, Susanne, 2010. "On the role of productive government spendings for convergence of a growing economy with heterogenous specialists," Working Paper Series in Economics 5, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2019. "Quantifying Risk in Traditional Energy and Sustainable Investments," Sustainability, MDPI, vol. 11(3), pages 1-22, January.
- Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010.
"Time series analysis for financial market meltdowns,"
Working Paper Series in Economics
2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- 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.
Cited by:
- Young Shin Kim, 2021. "Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing," JRFM, MDPI, vol. 14(2), pages 1-18, February.
- Yuhao Liu & Petar M. Djurić & Young Shin Kim & Svetlozar T. Rachev & James Glimm, 2021. "Systemic Risk Modeling with Lévy Copulas," JRFM, MDPI, vol. 14(6), pages 1-20, June.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020.
"Tempered Stable Processes with Time Varying Exponential Tails,"
Papers
2006.07669, arXiv.org, revised Aug 2020.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512709, HAL.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Post-Print hal-03512709, HAL.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03018495, HAL.
- Kejin Wu & Sayar Karmakar, 2023. "A model-free approach to do long-term volatility forecasting and its variants," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-38, December.
- Abhinav Anand & Tiantian Li & Tetsuo Kurosaki & Young Shin Kim, 2017. "The equity risk posed by the too-big-to-fail banks: a Foster–Hart estimation," Annals of Operations Research, Springer, vol. 253(1), pages 21-41, June.
- Cheng Peng & Young Shin Kim & Stefan Mittnik, 2022.
"Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation,"
JRFM, MDPI, vol. 15(5), pages 1-23, May.
- Cheng Peng & Young Shin Kim & Stefan Mittnik, 2020. "Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation," Papers 2009.11367, arXiv.org, revised Feb 2023.
- Michele Leonardo Bianchi & Giovanni De Luca & Giorgia Rivieccio, 2020. "CoVaR with volatility clustering, heavy tails and non-linear dependence," Papers 2009.10764, arXiv.org.
- Frank J. Fabozzi & Rosella Giacometti & Naoshi Tsuchida, 2015. "The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads," IMES Discussion Paper Series 15-E-04, Institute for Monetary and Economic Studies, Bank of Japan.
- Choi, Jaehyung & Kim, Young Shin & Mitov, Ivan, 2015. "Reward-risk momentum strategies using classical tempered stable distribution," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 194-213.
- Wang, Lu & Ma, Feng & Liu, Jing & Yang, Lin, 2020. "Forecasting stock price volatility: New evidence from the GARCH-MIDAS model," International Journal of Forecasting, Elsevier, vol. 36(2), pages 684-694.
- Michele Leonardo Bianchi & Gian Luca Tassinari, 2018. "Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform," Papers 1805.05584, arXiv.org, revised May 2018.
- Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2020. "Research on China's financial systemic risk contagion under jump and heavy-tailed risk," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Yipeng Yang & Allanus Tsoi, 2016. "A Level Set Analysis and A Nonparametric Regression on S&P 500 Daily Return," IJFS, MDPI, vol. 4(1), pages 1-24, February.
- Krastyu Georgiev & Young Kim & Stoyan Stoyanov, 2015. "Periodic portfolio revision with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(3), pages 337-359, June.
- Gong, Xiaoli & Zhuang, Xintian, 2016. "Option pricing for stochastic volatility model with infinite activity Lévy jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 455(C), pages 1-10.
- Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
- Jaehyung Choi & Hyangju Kim & Young Shin Kim, 2021. "Diversified reward-risk parity in portfolio construction," Papers 2106.09055, arXiv.org, revised Sep 2022.
- Young Shin Kim, 2021. "Sample path generation of the stochastic volatility CGMY process and its application to path-dependent option pricing," Papers 2101.11001, arXiv.org.
- Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019. "Quantile-Based Inference for Tempered Stable Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 51-83, January.
- Tiantian Li & Young Shin Kim & Qi Fan & Fumin Zhu, 2021. "Aumann–Serrano index of risk in portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(2), pages 197-217, October.
- Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
- Katherine Uylangco & Siqiwen Li, 2016. "An evaluation of the effectiveness of Value-at-Risk (VaR) models for Australian banks under Basel III," Australian Journal of Management, Australian School of Business, vol. 41(4), pages 699-718, November.
- Ott, Ingrid & Soretz, Susanne, 2010. "On the role of productive government spendings for convergence of a growing economy with heterogenous specialists," Working Paper Series in Economics 5, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, vol. 4(2), pages 1-28, May.
- Anand, Abhinav & Li, Tiantian & Kurosaki, Tetsuo & Kim, Young Shin, 2016. "Foster–Hart optimal portfolios," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 117-130.
- Gong, Xiao-li & Zhuang, Xin-tian, 2016. "Option pricing and hedging for optimized Lévy driven stochastic volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 118-127.
- Brée, David S. & Joseph, Nathan Lael, 2013. "Testing for financial crashes using the Log Periodic Power Law model," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 287-297.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Pricing foreign equity option under stochastic volatility tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 83-93.
- Michele Leonardo Bianchi, 2014. "Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective," Temi di discussione (Economic working papers) 957, Bank of Italy, Economic Research and International Relations Area.
- Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
- Bianchi, Michele Leonardo & De Luca, Giovanni & Rivieccio, Giorgia, 2023. "Non-Gaussian models for CoVaR estimation," International Journal of Forecasting, Elsevier, vol. 39(1), pages 391-404.
Articles
- Kim, Young Shin & Stoyanov, Stoyan & Rachev, Svetlozar & Fabozzi, Frank J., 2019.
"Enhancing binomial and trinomial equity option pricing models,"
Finance Research Letters, Elsevier, vol. 28(C), pages 185-190.
See citations under working paper version above.
- Yong Shin Kim & Stoyan Stoyanov & Svetlozar Rachev & Frank J. Fabozzi, 2017. "Enhancing Binomial and Trinomial Equity Option Pricing Models," Papers 1712.03566, arXiv.org.
- David A. Mascio & Frank J. Fabozzi, 2019.
"Sentiment indices and their forecasting ability,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 257-276, July.
Cited by:
- David A. Mascio & Marat Molyboga & Frank J. Fabozzi, 2023. "The battle of the factors: Macroeconomic variables or investor sentiment?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2280-2291, December.
- David A. Mascio & Frank J. Fabozzi & J. Kenton Zumwalt, 2021. "Market timing using combined forecasts and machine learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 1-16, January.
- Yao, Can-Zhong & Li, Hong-Yu, 2020. "Time-varying lead–lag structure between investor sentiment and stock market," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
- Fabozzi, Frank J. & Lamba, Asjeet S. & Nishikawa, Takeshi & Rao, Ramesh P. & Ma, K.C., 2019.
"Does the corporate bond market overvalue bonds of sin companies?,"
Finance Research Letters, Elsevier, vol. 28(C), pages 165-170.
Cited by:
- Karim, Sitara & Naeem, Muhammad Abubakr & Lucey, Brian M., 2022. "Do ethics outpace sins?," Finance Research Letters, Elsevier, vol. 47(PB).
- Niszczota, Paweł & Białek, Michał, 2021. "Women oppose sin stocks more than men do," Finance Research Letters, Elsevier, vol. 41(C).
- Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez, 2023. "Unraveling the relationship between betas and ESG scores through the Random Forests methodology," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-29, September.
- Brisker, Eric & Wang, Jinjing & Wang, Shuai, 2024. "Why do life insurers hold sin bonds? Evidence from investment delegation," Finance Research Letters, Elsevier, vol. 60(C).
- Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019.
"Quantile-Based Inference for Tempered Stable Distributions,"
Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 51-83, January.
Cited by:
- Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
- Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019.
"Quanto Option Pricing with Lévy Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
Cited by:
- Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
- Grabchak, Michael, 2021. "An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case," Statistics & Probability Letters, Elsevier, vol. 170(C).
- Batra, Luckshay & Taneja, H.C., 2021. "Approximate-Analytical solution to the information measure’s based quanto option pricing model," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
- Battauz, Anna & De Donno, Marzia & Sbuelz, Alessandro, 2022. "On the exercise of American quanto options," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Yunfei Xia & Michael Grabchak, 2024. "Pricing multi-asset options with tempered stable distributions," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 10(1), pages 1-24, December.
- Frank J. Fabozzi & Keli Xiao, 2019.
"The Timeline Estimation of Bubbles: The Case of Real Estate,"
Real Estate Economics, American Real Estate and Urban Economics Association, vol. 47(2), pages 564-594, June.
Cited by:
- Xiaoting Dai & Linhai Wu, 2023. "The impact of capitalist profit-seeking behavior by online food delivery platforms on food safety risks and government regulation strategies," Palgrave Communications, Palgrave Macmillan, vol. 10(1), pages 1-12, December.
- Hjalmarsson, Erik & Österholm, Pär, 2020.
"Heterogeneity in households’ expectations of housing prices – evidence from micro data,"
Journal of Housing Economics, Elsevier, vol. 50(C).
- Hjalmarsson, Erik & Österholm, Pär, 2019. "Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data," Working Paper Series 383, Sveriges Riksbank (Central Bank of Sweden).
- Hjalmarsson, Erik & Österholm, Pär, 2019. "Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data," Working Papers 2019:11, Örebro University, School of Business.
- Christophe André & Petre Caraiani & Adrian Cantemir Čalin & Rangan Gupta, 2018.
"Can Monetary Policy Lean against Housing Bubbles?,"
Working Papers
201877, University of Pretoria, Department of Economics.
- André, Christophe & Caraiani, Petre & Călin, Adrian Cantemir & Gupta, Rangan, 2022. "Can monetary policy lean against housing bubbles?," Economic Modelling, Elsevier, vol. 110(C).
- Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2021. "Testing for exuberance in house prices using data sampled at different frequencies," Working Paper series 21-13, Rimini Centre for Economic Analysis.
- Frank J. Fabozzi & Iason Kynigakis & Ekaterini Panopoulou & Radu S. Tunaru, 2020. "Detecting Bubbles in the US and UK Real Estate Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 60(4), pages 469-513, May.
- Huerta-Sanchez, Daniel & Jafarinejad, Mohammad & Kim, Dongshin & Soyeh, Kenneth W., 2020. "Disentangling bubbles in equity REITs," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 357-367.
- Patel, Jinal & Russo, Vincenzo & Fabozzi, Frank J., 2018.
"Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies,"
Finance Research Letters, Elsevier, vol. 25(C), pages 196-201.
Cited by:
- Hattori, Takahiro, 2022. "Information content and market liquidity in the fixed income market: Evidence from the swaption market," Finance Research Letters, Elsevier, vol. 45(C).
- Jang Ho Kim & Woo Chang Kim & Do-Gyun Kwon & Frank J. Fabozzi, 2018.
"Robust equity portfolio performance,"
Annals of Operations Research, Springer, vol. 266(1), pages 293-312, July.
Cited by:
- Junna Bi & Jun Cai & Yan Zeng, 2021. "Equilibrium reinsurance-investment strategies with partial information and common shock dependence," Annals of Operations Research, Springer, vol. 307(1), pages 1-24, December.
- Jang Ho Kim & Yongjae Lee & Woo Chang Kim & Frank J. Fabozzi, 2022. "Goal-based investing based on multi-stage robust portfolio optimization," Annals of Operations Research, Springer, vol. 313(2), pages 1141-1158, June.
- Antonios Georgantas & Michalis Doumpos & Constantin Zopounidis, 2024. "Robust optimization approaches for portfolio selection: a comparative analysis," Annals of Operations Research, Springer, vol. 339(3), pages 1205-1221, August.
- Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
- Giuseppe Pandolfo & Carmela Iorio & Roberta Siciliano & Antonio D’Ambrosio, 2020. "Robust mean-variance portfolio through the weighted $$L^{p}$$ L p depth function," Annals of Operations Research, Springer, vol. 292(1), pages 519-531, September.
- Jingnan Chen & Gengling Dai & Ning Zhang, 2020. "An application of sparse-group lasso regularization to equity portfolio optimization and sector selection," Annals of Operations Research, Springer, vol. 284(1), pages 243-262, January.
- Anja Vinzelberg & Benjamin R. Auer, 2022. "Unprofitability of food market investments," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(7), pages 2887-2910, October.
- Damian Kisiel & Denise Gorse, 2021. "A Meta-Method for Portfolio Management Using Machine Learning for Adaptive Strategy Selection," Papers 2111.05935, arXiv.org.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
- Nazemi, Abdolreza & Fabozzi, Frank J., 2018.
"Macroeconomic variable selection for creditor recovery rates,"
Journal of Banking & Finance, Elsevier, vol. 89(C), pages 14-25.
Cited by:
- Nazemi, Abdolreza & Rezazadeh, Hani & Fabozzi, Frank J. & Höchstötter, Markus, 2022. "Deep learning for modeling the collection rate for third-party buyers," International Journal of Forecasting, Elsevier, vol. 38(1), pages 240-252.
- Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019.
"Recovery rates: Uncertainty certainly matters,"
Journal of Banking & Finance, Elsevier, vol. 106(C), pages 371-383.
- Gambetti, Paolo & Gauthier, Geneviève & Vrins, Frédéric, 2019. "Recovery rates: Uncertainty certainly matters," LIDAM Reprints LFIN 2019007, Université catholique de Louvain, Louvain Finance (LFIN).
- Elyasiani, Elyas & Movaghari, Hadi, 2022. "Determinants of corporate cash holdings: An application of a robust variable selection technique," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 967-993.
- Pascal François, 2019. "The Determinants of Market-Implied Recovery Rates," Risks, MDPI, vol. 7(2), pages 1-15, May.
- Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022.
"Meta-Learning Approaches for Recovery Rate Prediction,"
Risks, MDPI, vol. 10(6), pages 1-29, June.
- Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2020. "Meta-learning approaches for recovery rate prediction," LIDAM Discussion Papers LFIN 2020007, Université catholique de Louvain, Louvain Finance (LFIN).
- Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," LIDAM Reprints LFIN 2022011, Université catholique de Louvain, Louvain Finance (LFIN).
- Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018.
"The determinants of bank loan recovery rates in good times and bad - new evidence,"
Papers
1804.07022, arXiv.org.
- Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad -- new evidence," Monash Econometrics and Business Statistics Working Papers 7/18, Monash University, Department of Econometrics and Business Statistics.
- Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020. "The determinants of bank loan recovery rates in good times and bad – New evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 875-897.
- Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
- Yi Cao & Xiaoquan Liu & Jia Zhai & Shan Hua, 2022. "A two‐stage Bayesian network model for corporate bankruptcy prediction," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 455-472, January.
- Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2021.
"Forecasting recovery rates on non-performing loans with machine learning,"
International Journal of Forecasting, Elsevier, vol. 37(1), pages 428-444.
- Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2020. "Forecasting recovery rates on non-performing loans with machine learning," LIDAM Discussion Papers LFIN 2020002, Université catholique de Louvain, Louvain Finance (LFIN).
- Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2020. "Forecasting recovery rates on non-performing loans with machine learning," LIDAM Reprints LFIN 2020002, Université catholique de Louvain, Louvain Finance (LFIN).
- Hoang, Daniel & Wiegratz, Kevin, 2022. "Machine learning methods in finance: Recent applications and prospects," Working Paper Series in Economics 158, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Sohrabi, Narges & Movaghari, Hadi, 2020. "Reliable factors of Capital structure: Stability selection approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 296-310.
- Wilms, Ines & Rombouts, Jeroen & Croux, Christophe, 2021. "Multivariate volatility forecasts for stock market indices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 484-499.
- Jochen Güntner & Benjamin Karner, 2023. "The bond agio premium," Economics working papers 2023-13, Department of Economics, Johannes Kepler University Linz, Austria.
- Maria Carannante & Valeria D’Amato & Paola Fersini & Salvatore Forte & Giuseppe Melisi, 2024. "Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market," Review of Managerial Science, Springer, vol. 18(7), pages 1963-1983, July.
- Lucey, Brian & Urquhart, Andrew & Zhang, Hanxiong, 2022. "UK Vice Chancellor compensation: Do they get what they deserve?," The British Accounting Review, Elsevier, vol. 54(4).
- Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
- Alan Tidwell & Yan (Olivia) Lu & Junsoo Lee & Piyali Banerjee, 2023. "Nature of comovements in US state and MSA housing prices," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 51(4), pages 959-989, July.
- Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric, 2023. "Business cycle and realized losses in the consumer credit industry," LIDAM Discussion Papers LFIN 2023007, Université catholique de Louvain, Louvain Finance (LFIN).
- Sopitpongstorn, Nithi & Silvapulle, Param & Gao, Jiti & Fenech, Jean-Pierre, 2021. "Local logit regression for loan recovery rate," Journal of Banking & Finance, Elsevier, vol. 126(C).
- Xing, Kai & Luo, Dan & Liu, Lanlan, 2023. "Macroeconomic conditions, corporate default, and default clustering," Economic Modelling, Elsevier, vol. 118(C).
- Nazemi, Abdolreza & Fabozzi, Frank J., 2024. "Interpretable machine learning for creditor recovery rates," Journal of Banking & Finance, Elsevier, vol. 164(C).
- Jean‐François Bégin & Mathieu Boudreault & Mathieu Thériault, 2024. "Leveraging prices from credit and equity option markets for portfolio risk management," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 122-147, January.
- Ding, Yi & Kambouroudis, Dimos & McMillan, David G., 2021. "Forecasting realised volatility: Does the LASSO approach outperform HAR?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Nguyen, Quyen & Diaz-Rainey, Ivan & Kuruppuarachchi, Duminda, 2021. "Predicting corporate carbon footprints for climate finance risk analyses: A machine learning approach," Energy Economics, Elsevier, vol. 95(C).
- Hui-Ching Chuang & Jau-er Chen, 2023. "Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles," Econometrics, MDPI, vol. 11(1), pages 1-20, February.
- Kellner, Ralf & Nagl, Maximilian & Rösch, Daniel, 2022. "Opening the black box – Quantile neural networks for loss given default prediction," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Sergio Ortobelli Lozza & Wing-Keung Wong & Frank J. Fabozzi & Martin Egozcue, 2018.
"Diversification versus optimality: is there really a diversification puzzle?,"
Applied Economics, Taylor & Francis Journals, vol. 50(43), pages 4671-4693, September.
Cited by:
- Kai-Yin Woo & Chulin Mai & Michael McAleer & Wing-Keung Wong, 2020. "Review on Efficiency and Anomalies in Stock Markets," Economies, MDPI, vol. 8(1), pages 1-51, March.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018.
"Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections,"
Econometric Institute Research Papers
EI2018-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Wing-Keung Wong & Michael McAleer, 2018. "Big data, computational science, economics, finance, marketing, management, and psychology: connections," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chia-Lin Chang & Michael McALeer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Tinbergen Institute Discussion Papers 18-011/III, Tinbergen Institute.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," JRFM, MDPI, vol. 11(1), pages 1-29, March.
- Koumou, Gilles Boevi, 2020. "Mean-variance model and investors’ diversification attitude: A theoretical revisit," Finance Research Letters, Elsevier, vol. 37(C).
- Asgar Ali & K. N. Badhani, 2023. "Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market," Journal of Asset Management, Palgrave Macmillan, vol. 24(1), pages 27-43, February.
- Wing-Keung Wong & Hooi Hoi Lean & Michael McAleer & Feng-Tse Tsai, 2018.
"Why did Warrant Markets Close in China but not Taiwan?,"
Tinbergen Institute Discussion Papers
18-051/III, Tinbergen Institute.
- Wong, W.-K. & Lean, H.H. & McAleer, M.J. & Tsai, F.-T., 2018. "Why did Warrant Markets Close in China but not Taiwan?," Econometric Institute Research Papers EI2018-22, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Kim-Hung Pho & Tuan-Kiet Tran & Thi Diem-Chinh Ho & Wing-Keung Wong, 2019. "Optimal Solution Techniques in Decision Sciences A Review," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 114-161, March.
- Peng Xiao & Xiaoxia Sun, 2022. "Does internationalization strategy promote enterprise innovation performance?—The moderating effect of environmental complexity," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 43(6), pages 1721-1733, September.
- Wing-Keung Wong & Hooi Hooi Lean & Michael McAleer & Feng-Tse Tsai, 2018. "Why Are Warrant Markets Sustained in Taiwan but Not in China?," Sustainability, MDPI, vol. 10(10), pages 1-17, October.
- Noureddine Kouaissah & Sergio Ortobelli lozza, 2020. "Multivariate Stochastic Dominance: A Parametric Approach," Economics Bulletin, AccessEcon, vol. 40(2), pages 1380-1387.
- Benoit Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The political reception of innovations," Cahiers de recherche 2107, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
- Chan, Raymond H. & Chow, Sheung-Chi & Guo, Xu & Wong, Wing-Keung, 2022. "Central moments, stochastic dominance, moment rule, and diversification with an application," Chaos, Solitons & Fractals, Elsevier, vol. 161(C).
- Nguyen Huu Hau & Tran Trung Tinh & Hoa Anh Tuong & Wing-Keung Wong, 2020. "Review of Matrix Theory with Applications in Education and Decision Sciences," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(1), pages 28-69, March.
- Benoît Carmichael & Gilles Boevi Koumou & Kevin Moran, 2021. "The RQE-CAPM : New insights about the pricing of idiosyncratic risk," CIRANO Working Papers 2021s-28, CIRANO.
- Kim-Hung Pho & Thi Diem-Chinh Ho & Tuan-Kiet Tran & Wing-Keung Wong, 2019. "Moment Generating Function, Expectation And Variance Of Ubiquitous Distributions With Applications In Decision Sciences: A Review," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 65-150, June.
- Tran Thai Ha Nguyen & Massoud Moslehpour & Thi Thuy Van Vo & Wing-Keung Wong, 2020. "State Ownership and Risk-Taking Behavior: An Empirical Approach to Get Better Profitability, Investment, and Trading Strategies for Listed Corporates in Vietnam," Economies, MDPI, vol. 8(2), pages 1-21, June.
- Dirk G. Baur, 2024. "Diversification Is Not a Free Lunch," JRFM, MDPI, vol. 17(6), pages 1-13, May.
- Jansen, Jeroen & Das, Sanjiv R. & Fabozzi, Frank J., 2018.
"Local volatility and the recovery rate of credit default swaps,"
Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 1-29.
Cited by:
- Nazemi, Abdolreza & Rezazadeh, Hani & Fabozzi, Frank J. & Höchstötter, Markus, 2022. "Deep learning for modeling the collection rate for third-party buyers," International Journal of Forecasting, Elsevier, vol. 38(1), pages 240-252.
- Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
- Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018.
"Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
See citations under working paper version above.
- 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.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018.
"Recent advancements in robust optimization for investment management,"
Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
Cited by:
- Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
- Jang Ho Kim & Yongjae Lee & Woo Chang Kim & Frank J. Fabozzi, 2022. "Goal-based investing based on multi-stage robust portfolio optimization," Annals of Operations Research, Springer, vol. 313(2), pages 1141-1158, June.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
- Rubesam, Alexandre, 2022.
"Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market,"
Emerging Markets Review, Elsevier, vol. 51(PB).
- Alexandre Rubesam, 2022. "Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market," Post-Print hal-03707365, HAL.
- Kouaissah, Noureddine, 2023. "Robust reward-risk performance measures with weakly second-order stochastic dominance constraints," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 53-62.
- Takano, Yuichi & Gotoh, Jun-ya, 2023. "Dynamic portfolio selection with linear control policies for coherent risk minimization," Operations Research Perspectives, Elsevier, vol. 10(C).
- Pejman Peykani & Ali Emrouznejad & Emran Mohammadi & Jafar Gheidar-Kheljani, 2024. "A novel robust network data envelopment analysis approach for performance assessment of mutual funds under uncertainty," Annals of Operations Research, Springer, vol. 339(3), pages 1149-1175, August.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
- Hashem Omrani & Arash Alizadeh & Ali Emrouznejad & Tamara Teplova, 2024. "Data envelopment analysis model with decision makers’ preferences: a robust credibility approach," Annals of Operations Research, Springer, vol. 339(3), pages 1269-1306, August.
- Nazemi, Abdolreza & Heidenreich, Konstantin & Fabozzi, Frank J., 2018.
"Improving corporate bond recovery rate prediction using multi-factor support vector regressions,"
European Journal of Operational Research, Elsevier, vol. 271(2), pages 664-675.
Cited by:
- Bottmer, Lea & Croux, Christophe & Wilms, Ines, 2022. "Sparse regression for large data sets with outliers," European Journal of Operational Research, Elsevier, vol. 297(2), pages 782-794.
- Pascal François, 2019. "The Determinants of Market-Implied Recovery Rates," Risks, MDPI, vol. 7(2), pages 1-15, May.
- Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022.
"Meta-Learning Approaches for Recovery Rate Prediction,"
Risks, MDPI, vol. 10(6), pages 1-29, June.
- Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2020. "Meta-learning approaches for recovery rate prediction," LIDAM Discussion Papers LFIN 2020007, Université catholique de Louvain, Louvain Finance (LFIN).
- Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," LIDAM Reprints LFIN 2022011, Université catholique de Louvain, Louvain Finance (LFIN).
- Fu, Saiji & Tian, Yingjie & Tang, Long, 2023. "Robust regression under the general framework of bounded loss functions," European Journal of Operational Research, Elsevier, vol. 310(3), pages 1325-1339.
- Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
- He Jiang, 2023. "Robust forecasting in spatial autoregressive model with total variation regularization," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(2), pages 195-211, March.
- Alameer, Zakaria & Elaziz, Mohamed Abd & Ewees, Ahmed A. & Ye, Haiwang & Jianhua, Zhang, 2019. "Forecasting gold price fluctuations using improved multilayer perceptron neural network and whale optimization algorithm," Resources Policy, Elsevier, vol. 61(C), pages 250-260.
- Fazlollah Soleymani & Houman Masnavi & Stanford Shateyi, 2020. "Classifying a Lending Portfolio of Loans with Dynamic Updates via a Machine Learning Technique," Mathematics, MDPI, vol. 9(1), pages 1-15, December.
- Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2021.
"Forecasting recovery rates on non-performing loans with machine learning,"
International Journal of Forecasting, Elsevier, vol. 37(1), pages 428-444.
- Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2020. "Forecasting recovery rates on non-performing loans with machine learning," LIDAM Discussion Papers LFIN 2020002, Université catholique de Louvain, Louvain Finance (LFIN).
- Bellotti, Anthony & Brigo, Damiano & Gambetti, Paolo & Vrins, Frédéric, 2020. "Forecasting recovery rates on non-performing loans with machine learning," LIDAM Reprints LFIN 2020002, Université catholique de Louvain, Louvain Finance (LFIN).
- Konstantin Gorgen & Abdolreza Nazemi & Melanie Schienle, 2022. "Robust Knockoffs for Controlling False Discoveries With an Application to Bond Recovery Rates," Papers 2206.06026, arXiv.org.
- Jochen Güntner & Benjamin Karner, 2023. "The bond agio premium," Economics working papers 2023-13, Department of Economics, Johannes Kepler University Linz, Austria.
- Liu, Yezheng & Qian, Yang & Jiang, Yuanchun & Shang, Jennifer, 2020. "Using favorite data to analyze asymmetric competition: Machine learning models," European Journal of Operational Research, Elsevier, vol. 287(2), pages 600-615.
- Maria Carannante & Valeria D’Amato & Paola Fersini & Salvatore Forte & Giuseppe Melisi, 2024. "Machine learning due diligence evaluation to increase NPLs profitability transactions on secondary market," Review of Managerial Science, Springer, vol. 18(7), pages 1963-1983, July.
- Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
- Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric, 2023. "Business cycle and realized losses in the consumer credit industry," LIDAM Discussion Papers LFIN 2023007, Université catholique de Louvain, Louvain Finance (LFIN).
- Yongtong Shao & Tao Xiong & Minghao Li & Dermot Hayes & Wendong Zhang & Wei Xie, 2021.
"China's Missing Pigs: Correcting China's Hog Inventory Data Using a Machine Learning Approach,"
American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(3), pages 1082-1098, May.
- Yongtong Shao & Minghao Li & Dermot J. Hayes & Wendong Zhang & Tao Xiong & Wei Xie, 2020. "China's Missing Pigs: Correcting China's Hog Inventory Data Using a Machine Learning Approach," Center for Agricultural and Rural Development (CARD) Publications 20-wp607, Center for Agricultural and Rural Development (CARD) at Iowa State University.
- Shao, Yongtong & Xiong, Tao & Li, Minghao & Hayes, Dermot & Zhang, Wendong & Xie, Wei, 2020. "China's Missing Pigs: Correcting China's Hog Inventory Data Using a Machine Learning Approach," ISU General Staff Papers 202001010800001619, Iowa State University, Department of Economics.
- Jennifer Betz & Ralf Kellner & Daniel Rösch, 2021. "Time matters: How default resolution times impact final loss rates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(3), pages 619-644, June.
- Jean‐François Bégin & Mathieu Boudreault & Mathieu Thériault, 2024. "Leveraging prices from credit and equity option markets for portfolio risk management," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 122-147, January.
- Hui-Ching Chuang & Jau-er Chen, 2023. "Exploring Industry-Distress Effects on Loan Recovery: A Double Machine Learning Approach for Quantiles," Econometrics, MDPI, vol. 11(1), pages 1-20, February.
- Kellner, Ralf & Nagl, Maximilian & Rösch, Daniel, 2022. "Opening the black box – Quantile neural networks for loss given default prediction," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Yongjae Lee & Do-Gyun Kwon & Woo Chang Kim & Frank J. Fabozzi, 2018.
"An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey,"
Applied Economics, Taylor & Francis Journals, vol. 50(40), pages 4318-4327, August.
Cited by:
- Yongjae Lee & Woo Chang Kim & Jang Ho Kim, 2020. "Achieving Portfolio Diversification for Individuals with Low Financial Sustainability," Sustainability, MDPI, vol. 12(17), pages 1-16, August.
- Cyril Bachelard & Apostolos Chalkis & Vissarion Fisikopoulos & Elias Tsigaridas, 2024. "Randomized Control in Performance Analysis and Empirical Asset Pricing," Papers 2403.00009, arXiv.org.
- Svetlozar T. Rachev & Stoyan V. Stoyanov & Frank J. Fabozzi, 2017.
"Financial Markets With No Riskless (Safe) Asset,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(08), pages 1-24, December.
See citations under working paper version above.
- Svetlozar Rachev & Frank Fabozzi, 2016. "Financial market with no riskless (safe) asset," Papers 1612.02112, arXiv.org.
- Frank J. Fabozzi & Ahmet K. Karagozoglu & Na Wang, 2017.
"Effects of Spot Market Short-Sale Constraints on Index Futures Trading,"
Review of Finance, European Finance Association, vol. 21(5), pages 1975-2005.
Cited by:
- Zhang, Xiaotao & Zhao, Yuepeng & Wang, Ziqiao, 2024. "Do loosened trading rules restore the stock index futures price discovery ability in China?," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 389-397.
- Tan, Xiaoyu & Zhang, Zili & Zhao, Xuejun & Wang, Chengxiang, 2021. "Investor sentiment and limits of arbitrage: Evidence from Chinese stock market," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 577-595.
- Nguyen, Duc Khuong & Sensoy, Ahmet & Sousa, Ricardo M. & Salah Uddin, Gazi, 2020. "U.S. equity and commodity futures markets: Hedging or financialization?," Energy Economics, Elsevier, vol. 86(C).
- Ryu, Doojin & Ryu, Doowon & Yang, Heejin, 2023. "Investor sentiment and futures market mispricing," Finance Research Letters, Elsevier, vol. 58(PC).
- Russo, Vincenzo & Giacometti, Rosella & Fabozzi, Frank J., 2017.
"Intensity-based framework for surrender modeling in life insurance,"
Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 189-196.
Cited by:
- Tiziano De Angelis & Alessandro Milazzo & Gabriele Stabile, 2024. "On variable annuities with surrender charges," Papers 2405.02115, arXiv.org.
- Ballotta, Laura & Eberlein, Ernst & Schmidt, Thorsten & Zeineddine, Raghid, 2021. "Fourier based methods for the management of complex life insurance products," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 320-341.
- Shi, Tianxiang & Lee, Yung-Tsung, 2021. "Prepayment risk in reverse mortgages: An intensity-governed surrender model," Insurance: Mathematics and Economics, Elsevier, vol. 98(C), pages 68-82.
- Zhang, Zhimin & Zhong, Wei, 2024. "Efficient valuation of guaranteed minimum accumulation benefits in regime switching jump diffusion models with lapse risk," Applied Mathematics and Computation, Elsevier, vol. 478(C).
- Berdin, Elia & Gründl, Helmut & Kubitza, Christian, 2017. "Rising interest rates, lapse risk, and the stability of life insurers," ICIR Working Paper Series 29/17, Goethe University Frankfurt, International Center for Insurance Regulation (ICIR).
- Siti Nurasyikin Shamsuddin & Noriszura Ismail & Nur Firyal Roslan, 2022. "What We Know about Research on Life Insurance Lapse: A Bibliometric Analysis," Risks, MDPI, vol. 10(5), pages 1-19, May.
- Fabozzi, Frank J. & Nawas, Mike E. & Vink, Dennis, 2017.
"Exploring rating shopping for european triple a senior structured finance securities,"
Finance Research Letters, Elsevier, vol. 20(C), pages 35-39.
Cited by:
- Vink, Dennis & Nawas, Mike & van Breemen, Vivian, 2021. "Security design and credit rating risk in the CLO market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
- Karimov, Nodirbek & Kara, Alper & Downing, Gareth & Marqués-Ibáñez, David, 2024. "The impact of regulatory changes on rating behaviour," Working Paper Series 2920, European Central Bank.
- Fabozzi, Frank J. & Xiao, Keli, 2017.
"Explosive rents: The real estate market dynamics in exuberance,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 100-107.
Cited by:
- Huerta-Sanchez, Daniel & Jafarinejad, Mohammad & Kim, Dongshin & Soyeh, Kenneth W., 2020. "Disentangling bubbles in equity REITs," The Quarterly Review of Economics and Finance, Elsevier, vol. 76(C), pages 357-367.
- Rama Malladi & Frank J. Fabozzi, 2017.
"Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence,"
Journal of Asset Management, Palgrave Macmillan, vol. 18(3), pages 188-208, May.
Cited by:
- Andrius Zuoza & Vaida Pilinkienė, 2021. "Energy Efficiency and Carbon Emission Impact on Competitiveness in the European Energy Intensive Industries," Energies, MDPI, vol. 14(15), pages 1-16, August.
- Ngo, Vu Minh & Nguyen, Huan Huu & Van Nguyen, Phuc, 2023. "Does reinforcement learning outperform deep learning and traditional portfolio optimization models in frontier and developed financial markets?," Research in International Business and Finance, Elsevier, vol. 65(C).
- C. N. V. Krishnan & Minghao Wu, 2022. "The Methodology Matters: What Influences Market Reaction, and Post-Issue Returns in Seasoned Equity Offerings?," JRFM, MDPI, vol. 15(10), pages 1-22, October.
- Amit Pandey & Anil Kumar Sharma, 2023. "Effect of Index Concentration on Index Volatility and Performance," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(3), pages 559-585, September.
- Steven Campbell & Qien Song & Ting-Kam Leonard Wong, 2024. "Macroscopic properties of equity markets: stylized facts and portfolio performance," Papers 2409.10859, arXiv.org, revised Oct 2024.
- Fabozzi, Frank J. & Paletta, Tommaso & Tunaru, Radu, 2017.
"An improved least squares Monte Carlo valuation method based on heteroscedasticity,"
European Journal of Operational Research, Elsevier, vol. 263(2), pages 698-706.
Cited by:
- Pascal Létourneau & Lars Stentoft, 2019. "Bootstrapping the Early Exercise Boundary in the Least-Squares Monte Carlo Method," JRFM, MDPI, vol. 12(4), pages 1-21, December.
- Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
- Maier, Sebastian & Pflug, Georg C. & Polak, John W., 2020. "Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties," European Journal of Operational Research, Elsevier, vol. 285(1), pages 133-147.
- Reesor, R. Mark & Stentoft, Lars & Zhu, Xiaotian, 2024. "A critical analysis of the Weighted Least Squares Monte Carlo method for pricing American options," Finance Research Letters, Elsevier, vol. 64(C).
- Wei, Wei & Zhu, Dan, 2022. "Generic improvements to least squares monte carlo methods with applications to optimal stopping problems," European Journal of Operational Research, Elsevier, vol. 298(3), pages 1132-1144.
- Hanbyeol Jang & Sangkwon Kim & Junhee Han & Seongjin Lee & Jungyup Ban & Hyunsoo Han & Chaeyoung Lee & Darae Jeong & Junseok Kim, 2020. "Fast Monte Carlo Simulation for Pricing Equity-Linked Securities," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 865-882, December.
- Jeechul Woo & Chenru Liu & Jaehyuk Choi, 2024. "Leave‐one‐out least squares Monte Carlo algorithm for pricing Bermudan options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(8), pages 1404-1428, August.
- Ben Moews, 2023. "On random number generators and practical market efficiency," Papers 2305.17419, arXiv.org, revised Jul 2023.
- Francesco Rotondi, 2019. "American Options on High Dividend Securities: A Numerical Investigation," Risks, MDPI, vol. 7(2), pages 1-20, May.
- Nazemi, Abdolreza & Fatemi Pour, Farnoosh & Heidenreich, Konstantin & Fabozzi, Frank J., 2017.
"Fuzzy decision fusion approach for loss-given-default modeling,"
European Journal of Operational Research, Elsevier, vol. 262(2), pages 780-791.
Cited by:
- Nazemi, Abdolreza & Rezazadeh, Hani & Fabozzi, Frank J. & Höchstötter, Markus, 2022. "Deep learning for modeling the collection rate for third-party buyers," International Journal of Forecasting, Elsevier, vol. 38(1), pages 240-252.
- Natalia Nehrebecka, 2019. "Bank loans recovery rate in commercial banks: A case study of non-financial corporations," Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics, University of Rijeka, Faculty of Economics and Business, vol. 37(1), pages 139-172.
- Betz, Jennifer & Kellner, Ralf & Rösch, Daniel, 2018. "Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation," European Journal of Operational Research, Elsevier, vol. 271(3), pages 1113-1144.
- Paolo Gambetti & Francesco Roccazzella & Frédéric Vrins, 2022.
"Meta-Learning Approaches for Recovery Rate Prediction,"
Risks, MDPI, vol. 10(6), pages 1-29, June.
- Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2020. "Meta-learning approaches for recovery rate prediction," LIDAM Discussion Papers LFIN 2020007, Université catholique de Louvain, Louvain Finance (LFIN).
- Gambetti, Paolo & Roccazzella, Francesco & Vrins, Frédéric, 2022. "Meta-Learning Approaches for Recovery Rate Prediction," LIDAM Reprints LFIN 2022011, Université catholique de Louvain, Louvain Finance (LFIN).
- Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019.
"Computational approaches and data analytics in financial services: A literature review,"
Post-Print
hal-02880149, HAL.
- Dimitris Andriosopoulos & Michalis Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1581-1599, October.
- Dimitris Andriosopoulos & Michael Doumpos & Panos M. Pardalos & Constantin Zopounidis, 2019. "Computational approaches and data analytics in financial services: A literature review," Post-Print hal-02879937, HAL.
- Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018.
"The determinants of bank loan recovery rates in good times and bad - new evidence,"
Papers
1804.07022, arXiv.org.
- Hong Wang & Catherine S. Forbes & Jean-Pierre Fenech & John Vaz, 2018. "The determinants of bank loan recovery rates in good times and bad -- new evidence," Monash Econometrics and Business Statistics Working Papers 7/18, Monash University, Department of Econometrics and Business Statistics.
- Wang, Hong & Forbes, Catherine S. & Fenech, Jean-Pierre & Vaz, John, 2020. "The determinants of bank loan recovery rates in good times and bad – New evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 177(C), pages 875-897.
- Barbagli, Matteo & François, Pascal & Gauthier, Geneviève & Vrins, Frédéric, 2024. "The role of CDS spreads in explaining bond recovery rates," LIDAM Discussion Papers LFIN 2024002, Université catholique de Louvain, Louvain Finance (LFIN).
- Shivam Gupta & Sachin Modgil & Samadrita Bhattacharyya & Indranil Bose, 2022. "Artificial intelligence for decision support systems in the field of operations research: review and future scope of research," Annals of Operations Research, Springer, vol. 308(1), pages 215-274, January.
- Li, Aimin & Li, Zhiyong & Bellotti, Anthony, 2023. "Predicting loss given default of unsecured consumer loans with time-varying survival scores," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
- Olson, Luke M. & Qi, Min & Zhang, Xiaofei & Zhao, Xinlei, 2021. "Machine learning loss given default for corporate debt," Journal of Empirical Finance, Elsevier, vol. 64(C), pages 144-159.
- Chai, Nana & Shi, Baofeng & Hua, Yiting, 2023. "Loss given default or default status: Which is better to determine farmers’ credit ratings?," Finance Research Letters, Elsevier, vol. 53(C).
- Salvatore D. Tomarchio & Antonio Punzo, 2019. "Modelling the loss given default distribution via a family of zero‐and‐one inflated mixture models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(4), pages 1247-1266, October.
- Xia, Yufei & Zhao, Junhao & He, Lingyun & Li, Yinguo & Yang, Xiaoli, 2021. "Forecasting loss given default for peer-to-peer loans via heterogeneous stacking ensemble approach," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1590-1613.
- Li, Zhiyong & Li, Aimin & Bellotti, Anthony & Yao, Xiao, 2023. "The profitability of online loans: A competing risks analysis on default and prepayment," European Journal of Operational Research, Elsevier, vol. 306(2), pages 968-985.
- Hurlin, Christophe & Leymarie, Jérémy & Patin, Antoine, 2018. "Loss functions for Loss Given Default model comparison," European Journal of Operational Research, Elsevier, vol. 268(1), pages 348-360.
- Shi, Baofeng & Chi, Guotai & Li, Weiping, 2020. "Exploring the mismatch between credit ratings and loss-given-default: A credit risk approach," Economic Modelling, Elsevier, vol. 85(C), pages 420-428.
- Nazemi, Abdolreza & Baumann, Friedrich & Fabozzi, Frank J., 2022. "Intertemporal defaulted bond recoveries prediction via machine learning," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1162-1177.
- Bastos, João A. & Matos, Sara M., 2022.
"Explainable models of credit losses,"
European Journal of Operational Research, Elsevier, vol. 301(1), pages 386-394.
- João A. Bastos & Sara M. Matos, 2021. "Explainable models of credit losses," Working Papers REM 2021/0161, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Distaso, Walter & Roccazzella, Francesco & Vrins, Frédéric, 2023. "Business cycle and realized losses in the consumer credit industry," LIDAM Discussion Papers LFIN 2023007, Université catholique de Louvain, Louvain Finance (LFIN).
- Sopitpongstorn, Nithi & Silvapulle, Param & Gao, Jiti & Fenech, Jean-Pierre, 2021. "Local logit regression for loan recovery rate," Journal of Banking & Finance, Elsevier, vol. 126(C).
- Richard Oduro, 2024. "Impact of recapitalisation and dividend payout policies on financial sustainability of rural and community banks in Ghana," Future Business Journal, Springer, vol. 10(1), pages 1-18, December.
- Jennifer Betz & Ralf Kellner & Daniel Rösch, 2021. "Time matters: How default resolution times impact final loss rates," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 70(3), pages 619-644, June.
- Marc Sanchez-Roger & María Dolores Oliver-Alfonso & Carlos Sanchís-Pedregosa, 2019. "Fuzzy Logic and Its Uses in Finance: A Systematic Review Exploring Its Potential to Deal with Banking Crises," Mathematics, MDPI, vol. 7(11), pages 1-22, November.
- Marc Gürtler & Marvin Zöllner, 2023. "Heterogeneities among credit risk parameter distributions: the modality defines the best estimation method," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(1), pages 251-287, March.
- Starosta, Wojciech, 2021. "Loss given default decomposition using mixture distributions of in-default events," European Journal of Operational Research, Elsevier, vol. 292(3), pages 1187-1199.
- Kellner, Ralf & Nagl, Maximilian & Rösch, Daniel, 2022. "Opening the black box – Quantile neural networks for loss given default prediction," Journal of Banking & Finance, Elsevier, vol. 134(C).
- Yosef Bonaparte & Frank J. Fabozzi, 2017.
"Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios,"
Applied Economics Letters, Taylor & Francis Journals, vol. 24(13), pages 923-927, July.
Cited by:
- Kraft, Holger & Munk, Claus & Weiss, Farina, 2022. "Bequest motives in consumption-portfolio decisions with recursive utility," Journal of Banking & Finance, Elsevier, vol. 138(C).
- Sensoy, Ahmet & Fabozzi, Frank J. & Eraslan, Veysel, 2017.
"Predictability dynamics of emerging sovereign CDS markets,"
Economics Letters, Elsevier, vol. 161(C), pages 5-9.
Cited by:
- Gök, Remzi & Bouri, Elie & Gemici, Eray, 2023. "Volatility spillovers between sovereign CDS and futures markets in various volatility states: Evidence from an emerging economy around the pandemic," Research in International Business and Finance, Elsevier, vol. 66(C).
- Miguel Henry & George Judge, 2019. "Permutation Entropy and Information Recovery in Nonlinear Dynamic Economic Time Series," Econometrics, MDPI, vol. 7(1), pages 1-16, March.
- Won Joong Kim & Gunho Jung & Sun-Yong Choi, 2020. "Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning," Complexity, Hindawi, vol. 2020, pages 1-23, July.
- Mensi, Walid & Sensoy, Ahmet & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Pricing efficiency and asymmetric multifractality of major asset classes before and during COVID-19 crisis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
- Saker Sabkha & Christian Peretti & Dorra Hmaied, 2019. "On the informational market efficiency of the worldwide sovereign credit default swaps," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 581-608, December.
- Giacomo Bulfone & Roberto Casarin & Francesco Ravazzolo, 2021. "Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model," Working Paper series 21-09, Rimini Centre for Economic Analysis.
- Sensoy, Ahmet, 2019. "The inefficiency of Bitcoin revisited: A high-frequency analysis with alternative currencies," Finance Research Letters, Elsevier, vol. 28(C), pages 68-73.
- Mariya Gubareva, 2019. "Weight of the Default Component of CDS Spreads: Avoiding Procyclicality in Credit Loss Provisioning Framework," Complexity, Hindawi, vol. 2019, pages 1-19, July.
- Sun, Xiaolei & Wang, Jun & Yao, Yanzhen & Li, Jingyu & Li, Jianping, 2020. "Spillovers among sovereign CDS, stock and commodity markets: A correlation network perspective," International Review of Financial Analysis, Elsevier, vol. 68(C).
- Stoyan Stoyanov & Lixia Loh & Frank J. Fabozzi, 2017.
"How fat are the tails of equity market indices?,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 22(3), pages 181-200, July.
Cited by:
- Hamed Tabasi & Vahidreza Yousefi & Jolanta Tamošaitienė & Foroogh Ghasemi, 2019. "Estimating Conditional Value at Risk in the Tehran Stock Exchange Based on the Extreme Value Theory Using GARCH Models," Administrative Sciences, MDPI, vol. 9(2), pages 1-17, May.
- Echaust, Krzysztof & Just, Małgorzata, 2022. "Is gold still a safe haven for stock markets? New insights through the tail thickness of portfolio return distributions," Research in International Business and Finance, Elsevier, vol. 63(C).
- Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2016.
"Portfolio selection with conservative short-selling,"
Finance Research Letters, Elsevier, vol. 18(C), pages 363-369.
Cited by:
- Chiu, Wan-Yi & Jiang, Ching-Hai, 2016. "On the weight sign of the global minimum variance portfolio," Finance Research Letters, Elsevier, vol. 19(C), pages 241-246.
- Xingyu Yang & Jin’an He & Hong Lin & Yong Zhang, 2020. "Boosting Exponential Gradient Strategy for Online Portfolio Selection: An Aggregating Experts’ Advice Method," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 231-251, January.
- Sant'Anna, Leonardo Riegel & de Oliveira, Alan Delgado & Filomena, Tiago Pascoal & Caldeira, João Frois, 2020. "Solving the index tracking problem based on a convex reformulation for cointegration," Finance Research Letters, Elsevier, vol. 37(C).
- Wael DAMMAK, 2024. "Assessing Effect of Market Sentiment on Pricing of European Currency Options ‎," International Journal of Research and Innovation in Social Science, International Journal of Research and Innovation in Social Science (IJRISS), vol. 8(6), pages 1224-1244, June.
- Giorgio Costa & Roy Kwon, 2020. "A robust framework for risk parity portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 21(5), pages 447-466, September.
- Shicheng Hu & Danping Li & Junmin Jia & Yang Liu, 2021. "A Self-Learning Based Preference Model for Portfolio Optimization," Mathematics, MDPI, vol. 9(20), pages 1-17, October.
- Fabozzi, Frank J. & Paletta, Tommaso & Stanescu, Silvia & Tunaru, Radu, 2016.
"An improved method for pricing and hedging long dated American options,"
European Journal of Operational Research, Elsevier, vol. 254(2), pages 656-666.
Cited by:
- Ballotta, Laura & Deelstra, Griselda & Rayée, Grégory, 2017. "Multivariate FX models with jumps: Triangles, Quantos and implied correlation," European Journal of Operational Research, Elsevier, vol. 260(3), pages 1181-1199.
- Luca Vincenzo Ballestra, 2018. "Fast and accurate calculation of American option prices," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 41(2), pages 399-426, November.
- Qianru Shang & Brian Byrne, 2021. "American option pricing: Optimal Lattice models and multidimensional efficiency tests," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 514-535, April.
- Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
- Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2019. "Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 109-127, January.
- McGee, Richard J. & McGroarty, Frank, 2017. "The risk premium that never was: A fair value explanation of the volatility spread," European Journal of Operational Research, Elsevier, vol. 262(1), pages 370-380.
- Fabozzi, Frank J. & Paletta, Tommaso & Tunaru, Radu, 2017. "An improved least squares Monte Carlo valuation method based on heteroscedasticity," European Journal of Operational Research, Elsevier, vol. 263(2), pages 698-706.
- Cristina Viegas & José Azevedo-Pereira, 2020. "A Quasi-Closed-Form Solution for the Valuation of American Put Options," IJFS, MDPI, vol. 8(4), pages 1-16, October.
- Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016.
"Elliptical tempered stable distribution,"
Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1069-1087, July.
Cited by:
- Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019. "Quantile-Based Inference for Tempered Stable Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 51-83, January.
- Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
- Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
- Zhou, Xiaoping & Durfee, Antonina V. & Fabozzi, Frank J., 2016.
"On stability of operational risk estimates by LDA: From causes to approaches,"
Journal of Banking & Finance, Elsevier, vol. 68(C), pages 266-278.
Cited by:
- Xiaoqian Zhu & Jianping Li & Dengsheng Wu, 2019. "Should the Advanced Measurement Approach for Operational Risk be Discarded? Evidence from the Chinese Banking Industry," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-15, March.
- Lu Wei & Jianping Li & Xiaoqian Zhu, 2018. "Operational Loss Data Collection: A Literature Review," Annals of Data Science, Springer, vol. 5(3), pages 313-337, September.
- Yinhong Yao & Jianping Li, 2022. "Operational risk assessment of third-party payment platforms: a case study of China," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-20, December.
- Clark, Brian & Ebrahim, Alireza, 2022. "Risk shifting and regulatory arbitrage: Evidence from operational risk," Journal of Financial Stability, Elsevier, vol. 58(C).
- Yuan Hong & Shaojian Qu, 2024. "Beyond Boundaries: The AHP-DEA Model for Holistic Cross-Banking Operational Risk Assessment," Mathematics, MDPI, vol. 12(7), pages 1-18, March.
- Xu, Chi & Zheng, Chunling & Wang, Donghua & Ji, Jingru & Wang, Nuan, 2019. "Double correlation model for operational risk: Evidence from Chinese commercial banks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 516(C), pages 327-339.
- Fabozzi, Frank J. & Giacometti, Rosella & Tsuchida, Naoshi, 2016.
"Factor decomposition of the Eurozone sovereign CDS spreads,"
Journal of International Money and Finance, Elsevier, vol. 65(C), pages 1-23.
Cited by:
- Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
- Lei Wang & Yan Yan & Xiaoteng Li & Xiaosong Chen, 2018. "General Component Analysis (GCA): A new approach to identify Chinese corporate bond market structures," PLOS ONE, Public Library of Science, vol. 13(7), pages 1-18, July.
- Consiglio, Andrea & Tumminello, Michele & Zenios, Stavros A., 2016.
"Pricing Sovereign Contingent Convertible Debt,"
Working Papers
16-05, University of Pennsylvania, Wharton School, Weiss Center.
- Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing Sovereign Contingent Convertible Debt," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
- Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing sovereign contingent convertible debt," Papers 1804.01475, arXiv.org.
- Andrea Consiglio & Michele Tumminello & Stavros A. Zenios, 2018. "Pricing Sovereign Contingent Convertible Debt," Journal of Enterprising Culture (JEC), World Scientific Publishing Co. Pte. Ltd., vol. 21(08), pages 1-36, December.
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"The effect of possible EU diversification requirements on the risk of banks’ sovereign bond portfolios,"
Working Paper Series
2384, European Central Bank.
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- Ben R. Craig & Margherita Giuzio & Sandra Paterlini, 2019. "The Effect of Possible EU Diversification Requirements on the Risk of Banks’ Sovereign Bond Portfolios," Working Papers 19-12, Federal Reserve Bank of Cleveland.
- Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2017.
"Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis,"
Journal of International Money and Finance, Elsevier, vol. 73(PB), pages 371-385.
- Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016. "Self-fulfilling dynamics: the interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Working Papers 214, Bank of Greece.
- Heather D. Gibson & Stephen G. Hall & George S. Tavlas, 2016. "Self-fulfilling dynamics: The interactions of sovereign spreads, sovereign ratings and bank ratings during the euro financial crisis," Discussion Papers in Economics 16/18, Division of Economics, School of Business, University of Leicester.
- Carlos Vladimir Rodríguez-Caballero & Massimiliano Caporin, 2018.
"A multilevel factor approach for the analysis of CDS commonality and risk contribution,"
CREATES Research Papers
2018-33, Department of Economics and Business Economics, Aarhus University.
- Rodríguez-Caballero, Carlos Vladimir & Caporin, Massimiliano, 2019. "A multilevel factor approach for the analysis of CDS commonality and risk contribution," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2017.
"The changing international network of sovereign debt and financial institutions,"
Working Papers
2017-04, University of Tasmania, Tasmanian School of Business and Economics.
- Dungey, Mardi & Harvey, John & Volkov, Vladimir, 2019. "The changing international network of sovereign debt and financial institutions," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 60(C), pages 149-168.
- Syed Jawad Hussain Shahzad & Elie Bouri & Jose Arreola-Hernandez & David Roubaud & Stelios Bekiros, 2019.
"Spillover across Eurozone credit market sectors and determinants,"
Post-Print
hal-02353094, HAL.
- Syed Jawad Hussain Shahzad & Elie Bouri & Jose Arreola-Hernandez & David Roubaud & Stelios Bekiros, 2019. "Spillover across Eurozone credit market sectors and determinants," Applied Economics, Taylor & Francis Journals, vol. 51(59), pages 6333-6349, December.
- Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.
- Singh, Manish K. & Gómez-Puig, Marta & Sosvilla-Rivero, Simón, 2021.
"Quantifying sovereign risk in the euro area,"
Economic Modelling, Elsevier, vol. 95(C), pages 76-96.
- Manish K. Singh & Marta Gómez-Puig & Simón Sosvilla-Rivero, 2024. "Quantifying sovereign risk in the euro area," IREA Working Papers 202403, University of Barcelona, Research Institute of Applied Economics, revised Feb 2024.
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- Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018.
"Portfolio diversification in the sovereign credit swap markets,"
Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
- Consiglio, Andrea & Lotfi, Somayyeh & Zenios, Stavros A., 2016. "Portfolio Diversification in the Sovereign Credit Swap Markets," Working Papers 16-06, University of Pennsylvania, Wharton School, Weiss Center.
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- Andreas Chouliaras & Theoharry Grammatikos, 2017.
"Extreme Returns in the European financial crisis,"
European Financial Management, European Financial Management Association, vol. 23(4), pages 728-760, September.
- Chouliaras, Andreas & Grammatikos, Theoharry, 2014. "Extreme Returns in the European Financial Crisis," MPRA Paper 58978, University Library of Munich, Germany.
- Marta Gómez-Puig & Simón Sosvilla-Rivero & Manish K. Singh, 2018. "“Incorporating creditors' seniority into contingent claim models:Application to peripheral euro area countries”," IREA Working Papers 201803, University of Barcelona, Research Institute of Applied Economics, revised Feb 2018.
- Heather D Gibson & Stephen G Hall & Deborah GeFang & Pavlos Petroulas & George S Tavlas, 2021. "Cross-country spillovers of national financial markets and the effectiveness of ECB policies during the euro-area crisis," Oxford Economic Papers, Oxford University Press, vol. 73(4), pages 1454-1470.
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- Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
- Mikhail Stolbov & Maria Shchepeleva, 2018. "Systemic risk in Europe: deciphering leading measures, common patterns and real effects," Annals of Finance, Springer, vol. 14(1), pages 49-91, February.
- Li, Haiping & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "The relationship between oil and financial markets in emerging economies: The significant role of Kazakhstan as the oil exporting country," Finance Research Letters, Elsevier, vol. 32(C).
- Naumer, Hans-Jörg & Yurtoglu, Burcin, 2022. "It is not only what you say, but how you say it: ESG, corporate news, and the impact on CDS spreads," Global Finance Journal, Elsevier, vol. 52(C).
- Sebastiano Michele Zema, 2020. "Directed Acyclic Graph based Information Shares for Price Discovery," LEM Papers Series 2020/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Kim, Y.S. & Stoyanov, S. & Rachev, S. & Fabozzi, F., 2016.
"Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion,"
Economics Letters, Elsevier, vol. 145(C), pages 225-229.
See citations under working paper version above.
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- Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016.
"A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance,"
Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
Cited by:
- Flori, Andrea & Regoli, Daniele, 2021. "Revealing Pairs-trading opportunities with long short-term memory networks," European Journal of Operational Research, Elsevier, vol. 295(2), pages 772-791.
- Trent Spears & Stefan Zohren & Stephen Roberts, 2023. "On statistical arbitrage under a conditional factor model of equity returns," Papers 2309.02205, arXiv.org.
- Buncic, Daniel & Stern, Cord, 2019.
"Forecast ranked tailored equity portfolios,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 63(C).
- Buncic, Daniel & Stern, Cord, 2018. "Forecast ranked tailored equity portfolios," MPRA Paper 90382, University Library of Munich, Germany.
- Akyildirim, Erdinc & Goncu, Ahmet & Hekimoglu, Alper & Nguyen, Duc Khuong & Sensoy, Ahmet, 2021.
"Statistical arbitrage: Factor investing approach,"
MPRA Paper
105766, University Library of Munich, Germany.
- Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2023. "Statistical arbitrage: factor investing approach," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(4), pages 1295-1331, December.
- Erdinc Akyildirim & Ahmet Goncu & Alper Hekimoglu & Duc Khuong Nguyen & Ahmet Sensoy, 2021. "Statistical Arbitrage: Factor Investing Approach," Working Papers 2021-003, Department of Research, Ipag Business School.
- Tadahiro Nakajima, 2019. "Expectations for Statistical Arbitrage in Energy Futures Markets," JRFM, MDPI, vol. 12(1), pages 1-12, January.
- Derek Singh & Shuzhong Zhang, 2021. "Robust Arbitrage Conditions for Financial Markets," SN Operations Research Forum, Springer, vol. 2(3), pages 1-52, September.
- Guang Zhang, 2020. "Pairs Trading with Nonlinear and Non-Gaussian State Space Models," Papers 2005.09794, arXiv.org.
- Danni Chen & Jing Cui & Yan Gao & Leilei Wu, 2017. "Pairs trading in Chinese commodity futures markets: an adaptive cointegration approach," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(5), pages 1237-1264, December.
- Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
- Derek Singh & Shuzhong Zhang, 2020. "Robust Arbitrage Conditions for Financial Markets," Papers 2004.09432, arXiv.org.
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- Fabian Waldow & Matthias Schnaubelt & Christopher Krauss & Thomas Günter Fischer, 2021. "Machine Learning in Futures Markets," JRFM, MDPI, vol. 14(3), pages 1-14, March.
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- Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016.
"Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
Cited by:
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"Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation,"
JRFM, MDPI, vol. 15(5), pages 1-23, May.
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- Michele Leonardo Bianchi & Giovanni De Luca & Giorgia Rivieccio, 2020. "CoVaR with volatility clustering, heavy tails and non-linear dependence," Papers 2009.10764, arXiv.org.
- Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
- Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
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- Michele Leonardo Bianchi & Alberto Maria Sorrentino, 2020. "Measuring CoVaR: An Empirical Comparison," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 511-528, February.
- Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
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- Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
- Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.
- Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
- Bianchi, Michele Leonardo & De Luca, Giovanni & Rivieccio, Giorgia, 2023. "Non-Gaussian models for CoVaR estimation," International Journal of Forecasting, Elsevier, vol. 39(1), pages 391-404.
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"Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation,"
JRFM, MDPI, vol. 15(5), pages 1-23, May.
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"Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction,"
International Review of Financial Analysis, Elsevier, vol. 48(C), pages 272-281.
Cited by:
- Fan, Rui & Talavera, Oleksandr & Tran, Vu, 2023.
"Information flows and the law of one price,"
International Review of Financial Analysis, Elsevier, vol. 85(C).
- Rui Fan & Oleksandr Talavera & Vu Tran, 2022. "Information flows and the law of one price," Discussion Papers 22-05, Department of Economics, University of Birmingham.
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- Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "COVID-19 and stock returns: Evidence from the Markov switching dependence approach," Research in International Business and Finance, Elsevier, vol. 64(C).
- Joseph D. Prusa & Ryan T. Sagul & Taghi M. Khoshgoftaar, 2019. "Extracting Knowledge from Technical Reports for the Valuation of West Texas Intermediate Crude Oil Futures," Information Systems Frontiers, Springer, vol. 21(1), pages 109-123, February.
- Jean-Charles Bricongne & Baptiste Meunier & Raquel Caldeira, 2024. "Should Central Banks Care About Text Mining? A Literature Review," Working papers 950, Banque de France.
- Heba Ali, 2018. "Twitter, Investor Sentiment and Capital Markets: What Do We Know?," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 10(8), pages 158-158, August.
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- Fang Wang & Marko Gacesa, 2024. "Semi-strong Efficient Market of Bitcoin and Twitter: an Analysis of Semantic Vector Spaces of Extracted Keywords and Light Gradient Boosting Machine Models," Papers 2409.15988, arXiv.org.
- Toan Luu Duc Huynh, 2023. "When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 639-661, August.
- Anila Arif & Kashif Shafique & Khuram Ahmad Khan & Shahida Haji, 2021. "Analysis of Water Policy & Sustainable Development in Pakistan," International Journal of Agriculture & Sustainable Development, 50sea, vol. 3(4), pages 87-93, November.
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- Fan, Rui & Talavera, Oleksandr & Tran, Vu, 2023.
"Information flows and the law of one price,"
International Review of Financial Analysis, Elsevier, vol. 85(C).
- Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015.
"Focusing on the worst state for robust investing,"
International Review of Financial Analysis, Elsevier, vol. 39(C), pages 19-31.
Cited by:
- Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
- Kaiqiang An & Guiyu Zhao & Jinjun Li & Jingsong Tian & Lihua Wang & Liang Xian & Chen Chen, 2023. "Best-Case Scenario Robust Portfolio: Evidence from China Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 297-322, June.
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- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
- Frank J. Fabozzi & Dennis Vink, 2015.
"The information content of three credit ratings: the case of European residential mortgage-backed securities,"
The European Journal of Finance, Taylor & Francis Journals, vol. 21(3), pages 172-194, February.
Cited by:
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- Solomon Y. Deku & Alper Kara & David Marques‐Ibanez, 2019. "Trustee reputation in securitization: When does it matter?," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 28(2), pages 61-84, May.
- Cuadros-Solas, Pedro J. & Salvador, Carlos & Suárez, Nuria, 2021. "Am I riskier if I rescue my banks? Beyond the effects of bailouts," Journal of Financial Stability, Elsevier, vol. 56(C).
- Solomon Y. Deku & Alper Kara & Artur Semeyutin, 2021. "The predictive strength of MBS yield spreads during asset bubbles," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 111-142, January.
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- Fabozzi, Frank J. & Nawas, Mike E. & Vink, Dennis, 2017. "Exploring rating shopping for european triple a senior structured finance securities," Finance Research Letters, Elsevier, vol. 20(C), pages 35-39.
- Karimov, Nodirbek & Kara, Alper & Downing, Gareth & Marqués-Ibáñez, David, 2024. "The impact of regulatory changes on rating behaviour," Working Paper Series 2920, European Central Bank.
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- Yifan Yang & Frank J. Fabozzi & Michele Leonardo Bianchi, 2015.
"Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty,"
Journal of Financial Engineering (JFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(01), pages 1-31.
Cited by:
- Erdinc Akyildirim & Alper A. Hekimoglu & Ahmet Sensoy & Frank J. Fabozzi, 2023. "Extending the Merton model with applications to credit value adjustment," Annals of Operations Research, Springer, vol. 326(1), pages 27-65, July.
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"Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads,"
Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
Cited by:
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- Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018.
"Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
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- Ayub Ahmadi & Mahdieh Tahmasebi, 2024. "Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus," Papers 2405.00473, arXiv.org.
- Fabozzi, Frank J., 2015.
"Measuring and explaining pension system risk,"
Journal of Pension Economics and Finance, Cambridge University Press, vol. 14(2), pages 161-171, April.
Cited by:
- Luca Larcher & Francis Breedon, 2020. "Discounting and the market valuation of defined benefit pensions," Working Papers 932, Queen Mary University of London, School of Economics and Finance.
- Vincenzo Russo & Rosella Giacometti & Svetlozar Rachev & Frank J. Fabozzi, 2015.
"A Three-Factor Model for Mortality Modeling,"
North American Actuarial Journal, Taylor & Francis Journals, vol. 19(2), pages 129-141, April.
Cited by:
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"Optimal pairs trading strategies in a cointegration framework,"
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"Optimal pairs trading strategies in a cointegration framework,"
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"60 Years of portfolio optimization: Practical challenges and current trends,"
European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
Cited by:
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"A bi-level programming approach for global investment strategies with financial intermediation,"
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hal-02117530, HAL.
- Benita, Francisco & López-Ramos, Francisco & Nasini, Stefano, 2019. "A bi-level programming approach for global investment strategies with financial intermediation," European Journal of Operational Research, Elsevier, vol. 274(1), pages 375-390.
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- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022.
"A meta-measure of performance related to both investors and investments characteristics,"
Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-03543398, HAL.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-02933252, HAL.
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- Nathan Lassance & Frédéric Vrins, 2019.
"Minimum Rényi entropy portfolios,"
LIDAM Reprints CORE
3062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Nathan Lassance & Frédéric Vrins, 2021. "Minimum Rényi entropy portfolios," Annals of Operations Research, Springer, vol. 299(1), pages 23-46, April.
- LASSANCE Nathan, & VRINS Frédéric,, 2019. "Minimum Rényi entropy portfolios," LIDAM Discussion Papers CORE 2019001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lassance, Nathan & Vrins, Frédéric, 2019. "Minimum Rényi entropy portfolios," LIDAM Reprints LFIN 2019009, Université catholique de Louvain, Louvain Finance (LFIN).
- Lassance, Nathan & Vrins, Frédéric, 2019. "Minimum Rényi entropy portfolios," LIDAM Discussion Papers LFIN 2019003, Université catholique de Louvain, Louvain Finance (LFIN).
- Nathan Lassance & Fr'ed'eric Vrins, 2017. "Minimum R\'enyi Entropy Portfolios," Papers 1705.05666, arXiv.org, revised Jul 2018.
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"Empirical Performance of an ESG Assets Portfolio from US Market,"
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hal-04312348, HAL.
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"Artificial intelligence in asset management,"
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- Jang Ho Kim & Woo Chang Kim & Do-Gyun Kwon & Frank J. Fabozzi, 2018. "Robust equity portfolio performance," Annals of Operations Research, Springer, vol. 266(1), pages 293-312, July.
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"Harmful Diversification: Evidence from Alternative Investments,"
ICMA Centre Discussion Papers in Finance
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- Cristiano Arbex Valle, 2024. "Portfolio optimisation: bridging the gap between theory and practice," Papers 2407.00887, arXiv.org, revised Sep 2024.
- Antonios Georgantas & Michalis Doumpos & Constantin Zopounidis, 2024. "Robust optimization approaches for portfolio selection: a comparative analysis," Annals of Operations Research, Springer, vol. 339(3), pages 1205-1221, August.
- Bernardo K. Pagnoncelli & Domingo Ramírez & Hamed Rahimian & Arturo Cifuentes, 2023. "A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 187-204, June.
- Kraft, Holger & Weiss, Farina, 2023. "Pandemic portfolio choice," European Journal of Operational Research, Elsevier, vol. 305(1), pages 451-462.
- Mei Choi Chiu & Chi Seng Pun & Hoi Ying Wong, 2017. "Big Data Challenges of High‐Dimensional Continuous‐Time Mean‐Variance Portfolio Selection and a Remedy," Risk Analysis, John Wiley & Sons, vol. 37(8), pages 1532-1549, August.
- Jinxin Wang & Zengde Deng & Taoli Zheng & Anthony Man-Cho So, 2020. "Sparse High-Order Portfolios via Proximal DCA and SCA," Papers 2008.12953, arXiv.org, revised Jun 2021.
- Francesco Catalano & Laura Nasello & Daniel Guterding, 2024. "Quantum Computing Approach to Realistic ESG-Friendly Stock Portfolios," Risks, MDPI, vol. 12(4), pages 1-20, April.
- Davide Lauria & Giorgio Consigli & Francesca Maggioni, 2022. "Optimal chance-constrained pension fund management through dynamic stochastic control," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(3), pages 967-1007, September.
- Doering, Jana & Kizys, Renatas & Juan, Angel A. & Fitó, Àngels & Polat, Onur, 2019. "Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends," Operations Research Perspectives, Elsevier, vol. 6(C).
- Alessio Brini & Daniele Tantari, 2021. "Deep Reinforcement Trading with Predictable Returns," Papers 2104.14683, arXiv.org, revised May 2023.
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- Andrew Paskaramoorthy & Terence van Zyl & Tim Gebbie, 2020. "A Framework for Online Investment Algorithms," Papers 2003.13360, arXiv.org.
- Chunhui Xu & Yinyu Ye, 2024. "Optimization of Asset Allocation and Liquidation Time in Investment Decisions with VaR as a Risk Measure," Computational Economics, Springer;Society for Computational Economics, vol. 64(1), pages 551-577, July.
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- Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024.
"Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem,"
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hal-04514343, HAL.
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- Brini, Alessio & Tantari, Daniele, 2023. "Deep reinforcement trading with predictable returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 622(C).
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- Gao, Jianjun & Xiong, Yan & Li, Duan, 2016. "Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time," European Journal of Operational Research, Elsevier, vol. 249(2), pages 647-656.
- Luis Lorenzo & Javier Arroyo, 2023. "Online risk-based portfolio allocation on subsets of crypto assets applying a prototype-based clustering algorithm," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-40, December.
- Weiping Wu & Yu Lin & Jianjun Gao & Ke Zhou, 2023. "Mean-variance hybrid portfolio optimization with quantile-based risk measure," Papers 2303.15830, arXiv.org, revised Apr 2023.
- Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
- Kaiqiang An & Guiyu Zhao & Jinjun Li & Jingsong Tian & Lihua Wang & Liang Xian & Chen Chen, 2023. "Best-Case Scenario Robust Portfolio: Evidence from China Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 297-322, June.
- Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
- Davi Michel Valladão & Álvaro Veiga & Alexandre Street, 2018. "A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 1021-1032, April.
- Platanakis, Emmanouil & Urquhart, Andrew, 2020. "Should investors include Bitcoin in their portfolios? A portfolio theory approach," The British Accounting Review, Elsevier, vol. 52(4).
- Xiaoyue Li & A. Sinem Uysal & John M. Mulvey, 2021. "Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks," Papers 2103.10813, arXiv.org.
- Villena, Marcelo J. & Reus, Lorenzo, 2016. "On the strategic behavior of large investors: A mean-variance portfolio approach," European Journal of Operational Research, Elsevier, vol. 254(2), pages 679-688.
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- Maria Teresa Medeiros Garcia & Daniel Alexandre Bourdain Santos Borrego, 2018. "Calculating the Efficient Frontier for the Portuguese Stock Market," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 24(4), pages 339-349, November.
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- Yuyun Hidayat & Titi Purwandari & Sukono & Igif Gimin Prihanto & Rizki Apriva Hidayana & Riza Andrian Ibrahim, 2023. "Mean-Value-at-Risk Portfolio Optimization Based on Risk Tolerance Preferences and Asymmetric Volatility," Mathematics, MDPI, vol. 11(23), pages 1-26, November.
- Jerome V. Healy & Andros Gregoriou & Robert Hudson, 2024. "Automated Machine Learning and Asset Pricing," Risks, MDPI, vol. 12(9), pages 1-12, September.
- Fabio Vanni & Asmerilda Hitaj & Elisa Mastrogiacomo, 2024. "Enhancing Portfolio Allocation: A Random Matrix Theory Perspective," Mathematics, MDPI, vol. 12(9), pages 1-16, May.
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- Amit Bhaya & Eugenius Kaszkurewicz & Leonardo Valente Ferreira, 2024. "A Dynamic Trading Model for Use with a One Step Ahead Optimal Strategy," Computational Economics, Springer;Society for Computational Economics, vol. 63(4), pages 1575-1608, April.
- Jingnan Chen & Gengling Dai & Ning Zhang, 2020. "An application of sparse-group lasso regularization to equity portfolio optimization and sector selection," Annals of Operations Research, Springer, vol. 284(1), pages 243-262, January.
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"Quantitative portfolio selection: using density forecasting to find consistent portfolios,"
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"Robust portfolio selection using sparse estimation of comoment tensors,"
LIDAM Discussion Papers LFIN
2019007, Université catholique de Louvain, Louvain Finance (LFIN).
- Lassance, Nathan & Vrins, Frédéric, 2020. "Robust portfolio selection using sparse estimation of comoment tensors," LIDAM Discussion Papers LFIN 2020003, Université catholique de Louvain, Louvain Finance (LFIN).
- Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
- Xidonas, Panos & Hassapis, Christis & Soulis, John & Samitas, Aristeidis, 2017. "Robust minimum variance portfolio optimization modelling under scenario uncertainty," Economic Modelling, Elsevier, vol. 64(C), pages 60-71.
- Pejman Peykani & Mojtaba Nouri & Mir Saman Pishvaee & Camelia Oprean-Stan & Emran Mohammadi, 2023. "Credibilistic Multi-Period Mean-Entropy Rolling Portfolio Optimization Problem Based on Multi-Stage Scenario Tree," Mathematics, MDPI, vol. 11(18), pages 1-23, September.
- Dawen Yan & Xiaohui Zhang & Mingzheng Wang, 2021. "A robust bank asset allocation model integrating credit-rating migration risk and capital adequacy ratio regulations," Annals of Operations Research, Springer, vol. 299(1), pages 659-710, April.
- Kamil J. Mizgier & Joseph M. Pasia, 2016. "Multiobjective optimization of credit capital allocation in financial institutions," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 24(4), pages 801-817, December.
- Razvan Oprisor & Roy Kwon, 2020. "Multi-Period Portfolio Optimization with Investor Views under Regime Switching," JRFM, MDPI, vol. 14(1), pages 1-31, December.
- Santos, André Alves Portela & Ferreira, Alexandre R., 2017.
"On the choice of covariance specifications for portfolio selection problems,"
Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
- R. Ferreira, Alexandre & A. P. Santos, Andre, 2016. "On the choice of covariance specifications for portfolio selection problems," MPRA Paper 73259, University Library of Munich, Germany.
- Ahmadi-Javid, Amir & Fallah-Tafti, Malihe, 2019. "Portfolio optimization with entropic value-at-risk," European Journal of Operational Research, Elsevier, vol. 279(1), pages 225-241.
- Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2020.
"Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 164-180.
- Hossein Rad & Rand Low & Joelle Miffre & Robert Faff, 2020. "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Post-Print hal-02868473, HAL.
- Juszczuk, Przemysław & Kaliszewski, Ignacy & Miroforidis, Janusz & Podkopaev, Dmitry, 2022. "Mean--variance portfolio selection problem: Asset reduction via nondominated sorting," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 263-272.
- Keshavarz Haddad, Gholamreza & Heidari, Hadi, 2020. "Optimal Portfolio Allocation with Price Limit Constraint," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(2), pages 123-134, April.
- Takano, Yuichi & Gotoh, Jun-ya, 2023. "Dynamic portfolio selection with linear control policies for coherent risk minimization," Operations Research Perspectives, Elsevier, vol. 10(C).
- Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
- Stanislav Anatolyev & Vladimir Pyrlik, 2021. "Shrinkage for Gaussian and t Copulas in Ultra-High Dimensions," CERGE-EI Working Papers wp699, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Johann Pfitzinger & Nico Katzke, 2019. "A constrained hierarchical risk parity algorithm with cluster-based capital allocation," Working Papers 14/2019, Stellenbosch University, Department of Economics.
- Mynbayeva, Elmira & Lamb, John D. & Zhao, Yuan, 2022. "Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it," European Journal of Operational Research, Elsevier, vol. 301(2), pages 694-707.
- Adam Butt & Gaurav Khemka & Geoffrey J. Warren, 2019. "What Dividend Imputation Means for Retirement Savers," The Economic Record, The Economic Society of Australia, vol. 95(309), pages 181-199, June.
- Leal, Marina & Ponce, Diego & Puerto, Justo, 2020. "Portfolio problems with two levels decision-makers: Optimal portfolio selection with pricing decisions on transaction costs," European Journal of Operational Research, Elsevier, vol. 284(2), pages 712-727.
- Gutierrez, Tomás & Pagnoncelli, Bernardo & Valladão, Davi & Cifuentes, Arturo, 2019. "Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes?," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 134-144.
- Frank Schuhmacher & Hendrik Kohrs & Benjamin R. Auer, 2021. "Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed," Management Science, INFORMS, vol. 67(12), pages 7812-7824, December.
- Li, Xiaoyue & Uysal, A. Sinem & Mulvey, John M., 2022. "Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1158-1176.
- Fernandes, Betina & Street, Alexandre & Fernandes, Cristiano & Valladão, Davi, 2018. "On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study," Finance Research Letters, Elsevier, vol. 27(C), pages 201-207.
- Yizun Lin & Yongxin He & Zhao-Rong Lai, 2024. "A Krasnoselskii-Mann Proximity Algorithm for Markowitz Portfolios with Adaptive Expected Return Level," Papers 2409.13608, arXiv.org, revised Nov 2024.
- Gianni Filograsso & Giacomo Tollo, 2023. "Adaptive evolutionary algorithms for portfolio selection problems," Computational Management Science, Springer, vol. 20(1), pages 1-38, December.
- Brett C. Olsen & Sanjay R. Sisodiya & Judith Swisher & Neil Fargher, 2016. "A note on assessing the relation between CEO characteristics and stock performance: Alpha Above Replacement," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 56(3), pages 787-802, September.
- Daniel Felix Ahelegbey & Paolo Giudici & Fatemeh Mojtahedi, 2022. "Crypto Asset Portfolio Selection," FinTech, MDPI, vol. 1(1), pages 1-9, February.
- Kerstin Dächert & Ria Grindel & Elisabeth Leoff & Jonas Mahnkopp & Florian Schirra & Jörg Wenzel, 2022. "Multicriteria asset allocation in practice," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(2), pages 349-373, June.
- Theo Berger & Ramazan Gençay, 2020. "Short‐run wavelet‐based covariance regimes for applied portfolio management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(4), pages 642-660, July.
- Sandra Caçador & Joana Matos Dias & Pedro Godinho, 2020. "Global minimum variance portfolios under uncertainty: a robust optimization approach," Journal of Global Optimization, Springer, vol. 76(2), pages 267-293, February.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2017. "Penalizing variances for higher dependency on factors," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 479-489, April.
- Eranda c{C}ela & Stephan Hafner & Roland Mestel & Ulrich Pferschy, 2022. "Integrating multiple sources of ordinal information in portfolio optimization," Papers 2211.00420, arXiv.org, revised Jul 2023.
- Bernardo K. Pagnoncelli & Felipe del Canto & Arturo Cifuentes, 2021. "The effect of regularization in portfolio selection problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 29(1), pages 156-176, April.
- Paulo M.M. Rodrigues & Gabriel Zsurkis, 2023.
"First passage times in portfolio optimization: a novel nonparametric approach,"
Working Papers
w202309, Banco de Portugal, Economics and Research Department.
- Zsurkis, Gabriel & Nicolau, João & Rodrigues, Paulo M.M., 2024. "First passage times in portfolio optimization: A novel nonparametric approach," European Journal of Operational Research, Elsevier, vol. 312(3), pages 1074-1085.
- Andreas Karathanasopoulos & Chia Chun Lo & Xiaorong Ma & Zhenjiang Qin, 2021. "Maintaining cost and ruin probability," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 759-793, August.
- Iwanicz-Drozdowska Małgorzata & Rogowicz Karol & Smaga Paweł, 2023. "Market-moving events and their role in portfolio optimization of generations X, Y, and Z," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 59(4), pages 371-397, December.
- Prékopa, András & Lee, Jinwook, 2018. "Risk tomography," European Journal of Operational Research, Elsevier, vol. 265(1), pages 149-168.
- Valle, C.A. & Meade, N. & Beasley, J.E., 2014. "Absolute return portfolios," Omega, Elsevier, vol. 45(C), pages 20-41.
- Titi Purwandari & Riaman & Yuyun Hidayat & Sukono & Riza Andrian Ibrahim & Rizki Apriva Hidayana, 2023. "Selecting and Weighting Mechanisms in Stock Portfolio Design Based on Clustering Algorithm and Price Movement Analysis," Mathematics, MDPI, vol. 11(19), pages 1-22, October.
- Caldeira, João F. & Santos, André A.P. & Torrent, Hudson S., 2023. "Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics," Economic Modelling, Elsevier, vol. 122(C).
- Erindi Allaj, 2020. "The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation," Computational Management Science, Springer, vol. 17(3), pages 465-492, October.
- Virginie Gabrel & Cécile Murat & Aurélie Thiele, 2018. "Portfolio optimization with pw-robustness," EURO Journal on Computational Optimization, Springer;EURO - The Association of European Operational Research Societies, vol. 6(3), pages 267-290, September.
- Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
- Kei Nakagawa & Masaya Abe & Seiichi Kuroki, 2023. "Doubly Robust Mean-CVaR Portfolio," Papers 2309.11693, arXiv.org.
- Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022. "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers 2206.02854, arXiv.org.
- Peter Nystrup & Stephen Boyd & Erik Lindström & Henrik Madsen, 2019. "Multi-period portfolio selection with drawdown control," Annals of Operations Research, Springer, vol. 282(1), pages 245-271, November.
- Mazin A.M. Al Janabi, 2021. "Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 387-415, April.
- Francesco Cesarone & Manuel L. Martino & Fabio Tardella, 2023. "Mean-Variance-VaR portfolios: MIQP formulation and performance analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 45(3), pages 1043-1069, September.
- Adrian Millea & Abbas Edalat, 2022. "Using Deep Reinforcement Learning with Hierarchical Risk Parity for Portfolio Optimization," IJFS, MDPI, vol. 11(1), pages 1-16, December.
- Chakrabarti, Deepayan, 2021. "Parameter-free robust optimization for the maximum-Sharpe portfolio problem," European Journal of Operational Research, Elsevier, vol. 293(1), pages 388-399.
- Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
- Yan Yan & Zhewen Liao & Xiaosong Chen, 2018. "Fixed-income securities: bibliometric review with network analysis," Scientometrics, Springer;Akadémiai Kiadó, vol. 116(3), pages 1615-1640, September.
- Lwin, Khin T. & Qu, Rong & MacCarthy, Bart L., 2017. "Mean-VaR portfolio optimization: A nonparametric approach," European Journal of Operational Research, Elsevier, vol. 260(2), pages 751-766.
- Thomas, Nisha Mary & Kashiramka, Smita & Yadav, Surendra Singh & Paul, Justin, 2022. "Role of emerging markets vis-à-vis frontier markets in improving portfolio diversification benefits," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 95-121.
- Xidonas, Panos & Mavrotas, George & Hassapis, Christis & Zopounidis, Constantin, 2017. "Robust multiobjective portfolio optimization: A minimax regret approach," European Journal of Operational Research, Elsevier, vol. 262(1), pages 299-305.
- Xu, Liang & Gao, Chunyan & Kou, Gang & Liu, Qinjun, 2017. "Comonotonic approximation to periodic investment problems under stochastic drift," European Journal of Operational Research, Elsevier, vol. 262(1), pages 251-261.
- Pagnoncelli, Bernardo K. & Cifuentes, Arturo & Denis, Gabriela, 2017. "A two-step hybrid investment strategy for pension funds," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 574-583.
- Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Hsin, Yi-Ting & Sheu, Her-Jiun, 2022. "Omega portfolio models with floating return threshold," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 743-758.
- Lagos, Guido & Espinoza, Daniel & Moreno, Eduardo & Vielma, Juan Pablo, 2015. "Restricted risk measures and robust optimization," European Journal of Operational Research, Elsevier, vol. 241(3), pages 771-782.
- Julio Cezar Soares Silva & Adiel Teixeira de Almeida Filho, 2023. "A systematic literature review on solution approaches for the index tracking problem in the last decade," Papers 2306.01660, arXiv.org, revised Jun 2023.
- Fereshteh Vaezi & Seyed Jafar Sadjadi & Ahmad Makui, 2019. "A portfolio selection model based on the knapsack problem under uncertainty," PLOS ONE, Public Library of Science, vol. 14(5), pages 1-19, May.
- Ilka Deluque & Ekundayo Shittu & Jonathan Deason, 2018. "Evaluating the reliability of efficient energy technology portfolios," EURO Journal on Decision Processes, Springer;EURO - The Association of European Operational Research Societies, vol. 6(1), pages 115-138, June.
- Kremer, Philipp J. & Lee, Sangkyun & Bogdan, Małgorzata & Paterlini, Sandra, 2020. "Sparse portfolio selection via the sorted ℓ1-Norm," Journal of Banking & Finance, Elsevier, vol. 110(C).
- Pérez Odeh, Rodrigo & Watts, David & Flores, Yarela, 2018. "Planning in a changing environment: Applications of portfolio optimisation to deal with risk in the electricity sector," Renewable and Sustainable Energy Reviews, Elsevier, vol. 82(P3), pages 3808-3823.
- Shicheng Hu & Danping Li & Junmin Jia & Yang Liu, 2021. "A Self-Learning Based Preference Model for Portfolio Optimization," Mathematics, MDPI, vol. 9(20), pages 1-17, October.
- Yanhong Guo & Shuai Jiang & Wenjun Zhou & Chunyu Luo & Hui Xiong, 2021. "A predictive indicator using lender composition for loan evaluation in P2P lending," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-24, December.
- Debjani Palit & Victor R. Prybutok, 2024. "A Study of Hierarchical Risk Parity in Portfolio Construction," Journal of Economic Analysis, Anser Press, vol. 3(3), pages 106-125, September.
- Teresa Garcia & Daniel Borrego, 2017. "Markowitz Efficient Frontier And Capital Market Line – Evidence From The Portuguese Stock Market," Portuguese Journal of Management Studies, ISEG, Universidade de Lisboa, vol. 22(1), pages 3-23.
- Roohnavazfar, Mina & Manerba, Daniele & De Martin, Juan Carlos & Tadei, Roberto, 2019. "Optimal paths in multi-stage stochastic decision networks," Operations Research Perspectives, Elsevier, vol. 6(C).
- Liesiö, Juuso & Salo, Ahti & Keisler, Jeffrey M. & Morton, Alec, 2021. "Portfolio decision analysis: Recent developments and future prospects," European Journal of Operational Research, Elsevier, vol. 293(3), pages 811-825.
- Patrizia Beraldi & Antonio Violi & Massimiliano Ferrara & Claudio Ciancio & Bruno Antonio Pansera, 2021. "Dealing with complex transaction costs in portfolio management," Annals of Operations Research, Springer, vol. 299(1), pages 7-22, April.
- Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014.
"Deciphering robust portfolios,"
Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
Cited by:
- Giemza Dawid, 2021. "Ranking of optimal stock portfolios determined on the basis of expected utility maximization criterion," Journal of Economics and Management, Sciendo, vol. 43(1), pages 154-178, January.
- Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
- Jang Ho Kim & Yongjae Lee & Woo Chang Kim & Frank J. Fabozzi, 2022. "Goal-based investing based on multi-stage robust portfolio optimization," Annals of Operations Research, Springer, vol. 313(2), pages 1141-1158, June.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
- Heonbae Jeon & Soonbong Lee & Hongseon Kim & Seung Bum Soh & Seongmoon Kim, 2023. "Portfolio Evaluation with the Vector Distance Based on Portfolio Composition," Mathematics, MDPI, vol. 11(1), pages 1-19, January.
- Sandra Caçador & Joana Matos Dias & Pedro Godinho, 2020. "Global minimum variance portfolios under uncertainty: a robust optimization approach," Journal of Global Optimization, Springer, vol. 76(2), pages 267-293, February.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2017. "Penalizing variances for higher dependency on factors," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 479-489, April.
- Lauren Stagnol, 2016.
"The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread,"
EconomiX Working Papers
2016-27, University of Paris Nanterre, EconomiX.
- Lauren Stagnol, 2016. "The Risk Parity Principle applied on a Corporate Bond Index using Duration Times Spread," Working Papers hal-04141582, HAL.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2014.
"Recent Developments in Robust Portfolios with a Worst-Case Approach,"
Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 103-121, April.
Cited by:
- Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty, 2021. "Is Being “Robust” Beneficial? A Perspective from the Indian Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 469-497, December.
- Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
- Jang Ho Kim & Woo Chang Kim & Do-Gyun Kwon & Frank J. Fabozzi, 2018. "Robust equity portfolio performance," Annals of Operations Research, Springer, vol. 266(1), pages 293-312, July.
- Martin Branda & Max Bucher & Michal Červinka & Alexandra Schwartz, 2018. "Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization," Computational Optimization and Applications, Springer, vol. 70(2), pages 503-530, June.
- Shashank Oberoi & Mohammed Bilal Girach & Siddhartha P. Chakrabarty, 2019. "Can robust optimization offer improved portfolio performance?: An empirical study of Indian market," Papers 1908.04962, arXiv.org.
- Eric Luxenberg & Philipp Schiele & Stephen Boyd, 2022. "Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization," Papers 2212.02570, arXiv.org, revised Jan 2024.
- Jang Ho Kim & Yongjae Lee & Woo Chang Kim & Frank J. Fabozzi, 2022. "Goal-based investing based on multi-stage robust portfolio optimization," Annals of Operations Research, Springer, vol. 313(2), pages 1141-1158, June.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
- Kaiqiang An & Guiyu Zhao & Jinjun Li & Jingsong Tian & Lihua Wang & Liang Xian & Chen Chen, 2023. "Best-Case Scenario Robust Portfolio: Evidence from China Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(2), pages 297-322, June.
- Davi Michel Valladão & Álvaro Veiga & Alexandre Street, 2018. "A Linear Stochastic Programming Model for Optimal Leveraged Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 51(4), pages 1021-1032, April.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
- Fassino, Claudia & Torrente, Maria-Laura & Uberti, Pierpaolo, 2022. "A singular value decomposition based approach to handle ill-conditioning in optimization problems with applications to portfolio theory," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).
- Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015.
"Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach,"
European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
- Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," Post-Print hal-01243408, HAL.
- Costa, Oswaldo L.V. & de Oliveira Ribeiro, Celma & Rego, Erik Eduardo & Stern, Julio Michael & Parente, Virginia & Kileber, Solange, 2017. "Robust portfolio optimization for electricity planning: An application based on the Brazilian electricity mix," Energy Economics, Elsevier, vol. 64(C), pages 158-169.
- Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
- Lorenz M. Roebers & Aras Selvi & Juan C. Vera, 2018. "Using Column Generation to Solve Extensions to the Markowitz Model," Papers 1812.00093, arXiv.org, revised Jun 2019.
- N. Meade & J. E. Beasley & C. J. Adcock, 2019.
"Quantitative portfolio selection: using density forecasting to find consistent portfolios,"
Papers
1908.08442, arXiv.org, revised Jun 2020.
- Meade, N. & Beasley, J.E. & Adcock, C.J., 2021. "Quantitative portfolio selection: Using density forecasting to find consistent portfolios," European Journal of Operational Research, Elsevier, vol. 288(3), pages 1053-1067.
- Eric Luxenberg & Philipp Schiele & Stephen Boyd, 2024. "Robust Bond Portfolio Construction via Convex–Concave Saddle Point Optimization," Journal of Optimization Theory and Applications, Springer, vol. 201(3), pages 1089-1115, June.
- Chen, Chen & Liu, Dinghao & Xian, Liang & Pan, Lin & Wang, Lihua & Yang, Min & Quan, Li, 2020. "Best-case scenario robust portfolio for energy stock market," Energy, Elsevier, vol. 213(C).
- Balter, Anne G. & Pelsser, Antoon, 2020. "Pricing and hedging in incomplete markets with model uncertainty," European Journal of Operational Research, Elsevier, vol. 282(3), pages 911-925.
- Balter, Anne G. & Mahayni, Antje & Schweizer, Nikolaus, 2021. "Time-consistency of optimal investment under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 293(2), pages 643-657.
- Gonc{c}alo Sim~oes & Mark McDonald & Stacy Williams & Daniel Fenn & Raphael Hauser, 2017. "Robust Portfolio Optimisation with Specified Competitors," Papers 1701.02958, arXiv.org.
- Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015. "Focusing on the worst state for robust investing," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 19-31.
- van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.
- F. Cong & C. W. Oosterlee, 2017. "On Robust Multi-Period Pre-Commitment And Time-Consistent Mean-Variance Portfolio Optimization," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(07), pages 1-26, November.
- Shashank Oberoi & Mohammed Bilal Girach & Siddhartha P. Chakrabarty, 2020. "Can Robust Optimization Offer Improved Portfolio Performance? An Empirical Study of Indian market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(3), pages 611-630, September.
- Mohammed Bilal Girach & Shashank Oberoi & Siddhartha P. Chakrabarty, 2019. "Is being `Robust' beneficial?: A perspective from the Indian market," Papers 1908.05002, arXiv.org.
- Benati, S. & Conde, E., 2022. "A relative robust approach on expected returns with bounded CVaR for portfolio selection," European Journal of Operational Research, Elsevier, vol. 296(1), pages 332-352.
- Kerstin Dächert & Ria Grindel & Elisabeth Leoff & Jonas Mahnkopp & Florian Schirra & Jörg Wenzel, 2022. "Multicriteria asset allocation in practice," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(2), pages 349-373, June.
- Ashrafi, Hedieh & Thiele, Aurélie C., 2021. "A study of robust portfolio optimization with European options using polyhedral uncertainty sets," Operations Research Perspectives, Elsevier, vol. 8(C).
- Shrey Jain & Siddhartha P. Chakrabarty, 2020. "Does Marginal VaR Lead to Improved Performance of Managed Portfolios: A Study of S&P BSE 100 and S&P BSE 200," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(2), pages 291-323, June.
- Kim, Jang Ho & Kim, Woo Chang & Fabozzi, Frank J., 2016. "Portfolio selection with conservative short-selling," Finance Research Letters, Elsevier, vol. 18(C), pages 363-369.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
- Fernandes, Betina & Street, Alexandre & Valladão, Davi & Fernandes, Cristiano, 2016. "An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets," European Journal of Operational Research, Elsevier, vol. 255(3), pages 961-970.
- Zhilin Kang & Zhongfei Li, 2018. "An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 87(2), pages 169-195, April.
- Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
- 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.
Cited by:
- David Stefanovits & Urs Schubiger & Mario V. Wüthrich, 2014. "Model Risk in Portfolio Optimization," Risks, MDPI, vol. 2(3), pages 1-34, August.
- 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.
Cited by:
- Oh, Gabjin & Kim, Ho-yong & Ahn, Seok-Won & Kwak, Wooseop, 2015. "Analyzing the financial crisis using the entropy density function," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 464-469.
- Erdinc Akyildirim & Alper A. Hekimoglu & Ahmet Sensoy & Frank J. Fabozzi, 2023. "Extending the Merton model with applications to credit value adjustment," Annals of Operations Research, Springer, vol. 326(1), pages 27-65, July.
- Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
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- Etelvina Stefani Chavez & Gastón Milanesi & Gabriela Pesce, 2021. "Aversión al riesgo implícita en los precios de mercado de diferentes activos financieros de Argentina," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(1), pages 1-23, Enero - M.
- 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.
Cited by:
- Lu Wei & Jianping Li & Xiaoqian Zhu, 2018. "Operational Loss Data Collection: A Literature Review," Annals of Data Science, Springer, vol. 5(3), pages 313-337, September.
- Suren Pakhchanyan, 2016. "Operational Risk Management in Financial Institutions: A Literature Review," IJFS, MDPI, vol. 4(4), pages 1-21, October.
- Griselda Dávila-Aragón & Salvador Rivas-Aceves & Francisco Ortiz-Arango, 2017. "Operational Risk Measured by Bayesian Networks with a Poisson-Gamma Joint Distribution in a Financial Firm," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 12(4), pages 351-363, Octubre-D.
- Zhou, Xiaoping & Durfee, Antonina V. & Fabozzi, Frank J., 2016. "On stability of operational risk estimates by LDA: From causes to approaches," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 266-278.
- 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.
Cited by:
- Bin Xie & Weiping Li & Nan Liang, 2021. "Pricing S&P 500 Index Options with L\'evy Jumps," Papers 2111.10033, arXiv.org, revised Nov 2021.
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- Xingchun Wang, 2020. "Analytical valuation of Asian options with counterparty risk under stochastic volatility models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 410-429, March.
- Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2020. "Research on China's financial systemic risk contagion under jump and heavy-tailed risk," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 148-159.
- Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.
- Gong, Xiaoli & Zhuang, Xintian, 2016. "Option pricing for stochastic volatility model with infinite activity Lévy jumps," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 455(C), pages 1-10.
- Kim, Jeong-Hoon & Lee, Min-Ku & Sohn, So Young, 2014. "Investment timing under hybrid stochastic and local volatility," Chaos, Solitons & Fractals, Elsevier, vol. 67(C), pages 58-72.
- Vortelinos, Dimitrios I., 2014. "Non-parametric analysis of equity arbitrage," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 199-216.
- Deng, Guohe, 2020. "Pricing perpetual American floating strike lookback option under multiscale stochastic volatility model," Chaos, Solitons & Fractals, Elsevier, vol. 141(C).
- Zaevski, Tsvetelin S. & Nedeltchev, Dragomir C., 2023. "From BASEL III to BASEL IV and beyond: Expected shortfall and expectile risk measures," International Review of Financial Analysis, Elsevier, vol. 87(C).
- Gong, Xiao-li & Zhuang, Xin-tian, 2016. "Option pricing and hedging for optimized Lévy driven stochastic volatility models," Chaos, Solitons & Fractals, Elsevier, vol. 91(C), pages 118-127.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Pricing foreign equity option under stochastic volatility tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 83-93.
- Zaevski, Tsvetelin S., 2022. "Pricing discounted American capped options," Chaos, Solitons & Fractals, Elsevier, vol. 156(C).
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- Feng, Chengxiao & Tan, Jie & Jiang, Zhenyu & Chen, Shuang, 2020. "A generalized European option pricing model with risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
- 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.
Cited by:
- Bougherara, Douadia & Piet, Laurent, 2018.
"On the role of probability weighting on WTP for crop insurance with and without yield skewness,"
Working Papers
279351, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
- Douadia Bougherara & Laurent Piet, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," Working Papers hal-01911611, HAL.
- Douadia, Bougherara & Laurent, Piet, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," Working Papers SMART 18-08, INRAE UMR SMART.
- Douadia Bougherara & Laurent Piet, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," CEE-M Working Papers hal-01947417, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro.
- Douadia Bougherara & Laurent Piet, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," Working Papers hal-01947417, HAL.
- Douadia Bougherara & Laurent Piet, 2018. "On the role of probability weighting on WTP for crop insurance with and without yield skewness," Working Papers hal-02790605, HAL.
- Frédy Valé Manuel Pokou & Jules Sadefo Kamdem & François Benhmad, 2023.
"Empirical Performance of an ESG Assets Portfolio from US Market,"
Post-Print
hal-04312348, HAL.
- Fredy Pokou & Jules Sadefo Kamdem & François Benhmad, 2024. "Empirical Performance of an ESG Assets Portfolio from US Market," Computational Economics, Springer;Society for Computational Economics, vol. 64(3), pages 1569-1638, September.
- Marie-Hélène Broihanne & Maxime Merli & Patrick Roger, 2016. "Diversification, gambling and market forces," Review of Quantitative Finance and Accounting, Springer, vol. 47(1), pages 129-157, July.
- Massimiliano Kaucic & Filippo Piccotto & Gabriele Sbaiz, 2024. "A constrained swarm optimization algorithm for large-scale long-run investments using Sharpe ratio-based performance measures," Computational Management Science, Springer, vol. 21(1), pages 1-29, June.
- Valeria V. Lakshina, 2019. "Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?," HSE Working papers WP BRP 75/FE/2019, National Research University Higher School of Economics.
- Lassance, Nathan & Vrins, Frédéric, 2023.
"Portfolio selection: A target-distribution approach,"
European Journal of Operational Research, Elsevier, vol. 310(1), pages 302-314.
- Lassance, Nathan & Vrins, Frédéric, 2023. "Portfolio selection: A target-distribution approach," LIDAM Reprints LFIN 2023004, Université catholique de Louvain, Louvain Finance (LFIN).
- Lassance, Nathan & Vrins, Frédéric, 2021. "Portfolio Selection: A Target-Distribution Approach," LIDAM Discussion Papers LFIN 2021005, Université catholique de Louvain, Louvain Finance (LFIN).
- Lakshina, Valeriya, 2020. "Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
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- Deng Xiong & Liu Yanli, 2018. "A High-Moment Trapezoidal Fuzzy Random Portfolio Model with Background Risk," Journal of Systems Science and Information, De Gruyter, vol. 6(1), pages 1-28, February.
- Khashanah, Khaldoun & Simaan, Majeed & Simaan, Yusif, 2022. "Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Ñíguez, Trino-Manuel & Paya, Ivan & Peel, David, 2016. "Pure higher-order effects in the portfolio choice model," Finance Research Letters, Elsevier, vol. 19(C), pages 255-260.
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- Linda Chamakh & Zoltan Szabo, 2021. "Keep it Tighter -- A Story on Analytical Mean Embeddings," Papers 2110.09516, arXiv.org, revised Nov 2024.
- Salo, Ahti & Doumpos, Michalis & Liesiö, Juuso & Zopounidis, Constantin, 2024. "Fifty years of portfolio optimization," European Journal of Operational Research, Elsevier, vol. 318(1), pages 1-18.
- Chamakh, Linda & Szabo, Zoltan, 2021. "Kernel minimum divergence portfolios," LSE Research Online Documents on Economics 115723, London School of Economics and Political Science, LSE Library.
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- Wang, Yihan & Goutte, Stephane & Bouri, Elie & Sokhanvar, Amin, 2024. "Climate risks and the realized higher-order moments of financial markets: Evidence from China," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 1064-1087.
- Adler Haymans MANURUNG & Fadh Fauzi HIBATULLAH & Jadongan SIJABAT, 2023. "Stock Selection Using Roy Criteria to Construct a Portfolio and the Effects of Variables on Portfolio Return," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 12(3), pages 1-2.
- Bougherara, Douadia & Piet, Laurent, 2018.
"On the role of probability weighting on WTP for crop insurance with and without yield skewness,"
Working Papers
279351, Institut National de la recherche Agronomique (INRA), Departement Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2).
- 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.
Cited by:
- Penev, Spiridon & Shevchenko, Pavel V. & Wu, Wei, 2019. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," European Journal of Operational Research, Elsevier, vol. 273(2), pages 772-784.
- Spiridon Penev & Pavel V. Shevchenko & Wei Wu, 2021. "The impact of model risk on dynamic portfolio selection under multi-period mean-standard-deviation criterion," Papers 2108.02633, arXiv.org.
- Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
- Zhao, Daping & Bai, Lin & Fang, Yong & Wang, Shouyang, 2022. "Multi‐period portfolio selection with investor views based on scenario tree," Applied Mathematics and Computation, Elsevier, vol. 418(C).
- 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.
- Pätäri, Eero & Karell, Ville & Luukka, Pasi & Yeomans, Julian S, 2018. "Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence," European Journal of Operational Research, Elsevier, vol. 265(2), pages 655-672.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
- David Quintana & Roman Denysiuk & Sandra García-Rodríguez & Antonio Gaspar-Cunha, 2017. "Portfolio implementation risk management using evolutionary multiobjective optimization," Post-Print hal-01881379, HAL.
- Xidonas, Panos & Hassapis, Christis & Soulis, John & Samitas, Aristeidis, 2017. "Robust minimum variance portfolio optimization modelling under scenario uncertainty," Economic Modelling, Elsevier, vol. 64(C), pages 60-71.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2017. "Penalizing variances for higher dependency on factors," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 479-489, April.
- Arezoo Mohammadi & Mehrzad Minnoei & Zadollah Fathi & Mohamamd Ali Keramati & Hossein Baktiari, 2022. "Optimal allocation of bank resources and risk reduction through portfolio decentralization," International Journal of Economic Sciences, European Research Center, vol. 11(2), pages 92-143, November.
- Xidonas, Panos & Mavrotas, George & Hassapis, Christis & Zopounidis, Constantin, 2017. "Robust multiobjective portfolio optimization: A minimax regret approach," European Journal of Operational Research, Elsevier, vol. 262(1), pages 299-305.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
- Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
- Sergio Ortobelli Lozza & Haim Shalit & Frank J. Fabozzi, 2013.
"Portfolio Selection Problems Consistent With Given Preference Orderings,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-38.
Cited by:
- Malavasi, Matteo & Ortobelli Lozza, Sergio & Trück, Stefan, 2021. "Second order of stochastic dominance efficiency vs mean variance efficiency," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1192-1206.
- Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2017. "On the impact of conditional expectation estimators in portfolio theory," Computational Management Science, Springer, vol. 14(4), pages 535-557, October.
- Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2020. "An optimization–diversification approach to portfolio selection," Journal of Global Optimization, Springer, vol. 76(2), pages 245-265, February.
- Ran Ji & Miguel A. Lejeune & Srinivas Y. Prasad, 2017. "Properties, formulations, and algorithms for portfolio optimization using Mean-Gini criteria," Annals of Operations Research, Springer, vol. 248(1), pages 305-343, January.
- Mohd Azdi Maasar & Diana Roman & Paresh Date, 2022. "Risk minimisation using options and risky assets," Operational Research, Springer, vol. 22(1), pages 485-506, March.
- Roberto Cervelló-Royo & Francisco Guijarro & Victor Martinez-Gomez, 2019. "Social Performance considered within the global performance of Microfinance Institutions: a new approach," Operational Research, Springer, vol. 19(3), pages 737-755, September.
- Sergio Ortobelli Lozza & Tommaso Lando & Filomena Petronio & Tomáš Tichý, 2016. "Asymptotic Multivariate Dominance: A Financial Application," Methodology and Computing in Applied Probability, Springer, vol. 18(4), pages 1097-1115, December.
- Grechuk, Bogdan & Zabarankin, Michael, 2016. "Inverse portfolio problem with coherent risk measures," European Journal of Operational Research, Elsevier, vol. 249(2), pages 740-750.
- Mohammad Mehdi Hosseinzadeh & Sergio Ortobelli Lozza & Farhad Hosseinzadeh Lotfi & Vittorio Moriggia, 2023. "Portfolio optimization with asset preselection using data envelopment analysis," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(1), pages 287-310, March.
- Fang, Yi & Post, Thierry, 2022. "Optimal portfolio choice for higher-order risk averters," Journal of Banking & Finance, Elsevier, vol. 137(C).
- 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.
Cited by:
- Jan Hanousek & Evžen Kočenda & Jan Novotný, 2016. "Shluková analýza skoků na kapitálových trzích [Cluster Analysis of Jumps on Capital Markets]," Politická ekonomie, Prague University of Economics and Business, vol. 2016(2), pages 127-144.
- Jan Hanousek & Evzen Kocenda & Jan Novotny, 2014.
"Price jumps on European stock markets,"
Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 14(1), pages 10-22, March.
- Jan Hanousek & Ev??en Ko??enda & Jan Novotn??, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
- Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
- Jan Novotn?? & Jan Hanousek & Ev??en Ko??enda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
- Stoyan Stoyanov & Svetlozar Rachev & Frank Fabozzi, 2013.
"Sensitivity of portfolio VaR and CVaR to portfolio return characteristics,"
Annals of Operations Research, Springer, vol. 205(1), pages 169-187, May.
Cited by:
- Chiang, Thomas C., 2019. "Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 264-278.
- Kun Park & Ward Whitt, 2013. "Continuous-time Markov chain models to estimate the premium for extended hedge fund lockups," Annals of Operations Research, Springer, vol. 211(1), pages 357-379, December.
- Mesrop T. Mesropyan & Vardan G. Bardakhchyan, 2022. "Hellinger distance to normal distribution as market invariant," Papers 2206.05705, arXiv.org.
- Somayyeh Lotfi & Stavros A. Zenios, 2024. "Robust mean-to-CVaR optimization under ambiguity in distributions means and covariance," Review of Managerial Science, Springer, vol. 18(7), pages 2115-2140, July.
- Asmerilda Hitaj & Lorenzo Mercuri & Edit Rroji, 2019. "Sensitivity analysis of Mixed Tempered Stable parameters with implications in portfolio optimization," Computational Management Science, Springer, vol. 16(1), pages 71-95, February.
- Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
- Young Shin Kim, 2022. "Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model," Annals of Operations Research, Springer, vol. 312(2), pages 853-881, May.
- Attila Bányai & Tibor Tatay & Gergő Thalmeiner & László Pataki, 2024. "Optimising Portfolio Risk by Involving Crypto Assets in a Volatile Macroeconomic Environment," Risks, MDPI, vol. 12(4), pages 1-21, April.
- Young Shin Kim, 2020. "Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk," Papers 2007.13972, arXiv.org, revised Sep 2020.
- Ben Ameur, Hachmi & Ftiti, Zied & Louhichi, Waël & Yousfi, Mohamed, 2024. "Do green investments improve portfolio diversification? Evidence from mean conditional value-at-risk optimization," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Young Shin Kim & Frank J. Fabozzi, 2024. "Portfolio optimization with relative tail risk," Annals of Operations Research, Springer, vol. 341(2), pages 1023-1055, October.
- Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev, 2023. "Enhancing CVaR portfolio optimisation performance with GAM factor models," Papers 2401.00188, arXiv.org.
- Liangkai Li & Jingguang Huang & Zhenxing Li & Hao Qi, 2023. "Optimized Dispatch of Regional Integrated Energy System Considering Wind Power Consumption in Low-Temperature Environment," Energies, MDPI, vol. 16(23), pages 1-19, November.
- Ardia, David & Boudt, Kris & Hartmann, Stefan & Nguyen, Giang, 2022. "Properties of the Margrabe Best-of-two strategy to tactical asset allocation," International Review of Financial Analysis, Elsevier, vol. 81(C).
- Shahrzad Faghih-Roohi & Yew-Soon Ong & Sobhan Asian & Allan N. Zhang, 2016. "Dynamic conditional value-at-risk model for routing and scheduling of hazardous material transportation networks," Annals of Operations Research, Springer, vol. 247(2), pages 715-734, December.
- David Ardia & Guido Bolliger & Kris Boudt & Jean-Philippe Gagnon-Fleury, 2017. "The impact of covariance misspecification in risk-based portfolios," Annals of Operations Research, Springer, vol. 254(1), pages 1-16, July.
- Sergio Ortobelli & Tomáš Tichý, 2015. "On the impact of semidefinite positive correlation measures in portfolio theory," Annals of Operations Research, Springer, vol. 235(1), pages 625-652, December.
- Malek, Jiri & Nguyen, Duc Khuong & Sensoy, Ahmet & Tran, Quang Van, 2023. "Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations," Finance Research Letters, Elsevier, vol. 55(PA).
- Adcock, C J & Meade, N, 2017. "Using parametric classification trees for model selection with applications to financial risk management," European Journal of Operational Research, Elsevier, vol. 259(2), pages 746-765.
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"Nearest Comoment Estimation With Unobserved Factors,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
19/970, Ghent University, Faculty of Economics and Business Administration.
- Boudt, Kris & Cornilly, Dries & Verdonck, Tim, 2020. "Nearest comoment estimation with unobserved factors," Journal of Econometrics, Elsevier, vol. 217(2), pages 381-397.
- Young Shin Kim, 2023. "Portfolio Optimization with Relative Tail Risk," Papers 2303.12209, arXiv.org, revised Mar 2023.
- Dupačová, Jitka & Kopa, Miloš, 2014. "Robustness of optimal portfolios under risk and stochastic dominance constraints," European Journal of Operational Research, Elsevier, vol. 234(2), pages 434-441.
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"CVaR sensitivity with respect to tail thickness,"
Journal of Banking & Finance, Elsevier, vol. 37(3), pages 977-988.
See citations under working paper version above.
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"Size, value, and momentum in emerging market stock returns,"
Emerging Markets Review, Elsevier, vol. 16(C), pages 46-65.
Cited by:
- Klaus Grobys & Topi Huhta-Halkola, 2019. "Combining value and momentum: evidence from the Nordic equity market," Applied Economics, Taylor & Francis Journals, vol. 51(26), pages 2872-2884, June.
- Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016.
"Applying exogenous variables and regime switching to multi-factor models on equity indices,"
Ekonomia journal, Faculty of Economic Sciences, University of Warsaw, vol. 47.
- Paweł Sakowski & Robert Ślepaczuk & Mateusz Wywiał, 2016. "Applying Exogenous Variables and Regime Switching To Multifactor Models on Equity Indices," Working Papers 2016-10, Faculty of Economic Sciences, University of Warsaw.
- Marwa Zouaoui, 2019. "Selectivity and Market Timing Ability of Fund Managers: Comparative Analysis of Islamic and Conventional HSBC Saudi Mutual Funds," IJFS, MDPI, vol. 7(3), pages 1-19, September.
- Bryan Foltice & Thomas Langer, 2015. "Profitable momentum trading strategies for individual investors," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(2), pages 85-113, May.
- Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
- Xuan Vinh Vo & Thi Tuan Anh Tran, 2021. "Higher-order comoments and asset returns: evidence from emerging equity markets," Annals of Operations Research, Springer, vol. 297(1), pages 323-340, February.
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Working Papers
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"Winners and Losers from Sovereign Debt Inflows,"
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"Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model,"
MPRA Paper
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"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.
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"Market overreaction and underreaction: tests of the directional and magnitude effects,"
Applied Financial Economics, Taylor & Francis Journals, vol. 23(18), pages 1469-1482, September.
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"Management Information, Decision Sciences, and Financial Economics : a connection,"
Econometric Institute Research Papers
2018-004/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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"A Bayesian approach to excess volatility, short-term underreaction and long-term overreaction during financial crises,"
The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 346-358.
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"Time Diversification: Perspectives From The Economic Index Of Riskiness,"
Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 13(03), pages 1-15, September.
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"Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections,"
Econometric Institute Research Papers
EI2018-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," JRFM, MDPI, vol. 11(1), pages 1-29, March.
- Olfa Chaouachi & Fatma Wyème Ben Mrad Douagi, 2014. "Overreaction Effect in the Tunisian Stock Market," Journal of Asian Business Strategy, Asian Economic and Social Society, vol. 4(11), pages 134-140.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, And Big Data: Connections," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 36-94, December.
- Aviral Kumar Tiwari & Anisul M. Islam & Md. Mohibul Islam, 2019. "Relationship between Exchange Rate and Equity Prices in an Emerging Market: A Continuous Wavelet-based Analysis for Bangladesh," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 18(2), pages 165-193, September.
- Kim-Hung Pho & Tuan-Kiet Tran & Thi Diem-Chinh Ho & Wing-Keung Wong, 2019. "Optimal Solution Techniques in Decision Sciences A Review," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 114-161, March.
- Terence Tai-Leung Chong, Bingqing Cao, Wing Keung Wong, 2017.
"A Principal Component Approach to Measuring Investor Sentiment in Hong Kong,"
Journal of Management Sciences, Geist Science, Iqra University, Faculty of Business Administration, vol. 4(2), pages 237-247, October.
- Chong, Terence Tai-Leung & Cao, Bingqing & Wong, Wing Keung, 2017. "A Principal Component Approach to Measuring Investor Sentiment in Hong Kong," MPRA Paper 77147, University Library of Munich, Germany.
- Bozok, İhsan & Özyıldırım, Süheyla, 2022. "Firm centrality and limited attention," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 483-500.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018.
"Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections,"
Tinbergen Institute Discussion Papers
18-024/III, Tinbergen Institute.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Documentos de Trabajo del ICAE 2018-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Econometric Institute Research Papers 18-024/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Ge, Xiaowen & Xue, Minggao & Cao, Ruiyi, 2024. "Do Chinese carbon-intensive stocks overreact to climate transition risk? Evidence from the COP26 news," International Review of Financial Analysis, Elsevier, vol. 94(C).
- Ganesh R & Naresh G & Thiyagarajan S, 2020. "Manifesting Overconfidence Bias and Disposition Effect in the Stock Market," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 19(3), pages 257-284, December.
- Nguyen Huu Hau & Tran Trung Tinh & Hoa Anh Tuong & Wing-Keung Wong, 2020. "Review of Matrix Theory with Applications in Education and Decision Sciences," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(1), pages 28-69, March.
- Fathi Abid & Pui Lam Leung & Mourad Mroua & Wing Keung Wong, 2014. "International Diversification Versus Domestic Diversification: Mean-Variance Portfolio Optimization and Stochastic Dominance Approaches," JRFM, MDPI, vol. 7(2), pages 1-22, May.
- Kim-Hung Pho & Thi Diem-Chinh Ho & Tuan-Kiet Tran & Wing-Keung Wong, 2019. "Moment Generating Function, Expectation And Variance Of Ubiquitous Distributions With Applications In Decision Sciences: A Review," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 65-150, June.
- Tran Thai Ha Nguyen & Massoud Moslehpour & Thi Thuy Van Vo & Wing-Keung Wong, 2020. "State Ownership and Risk-Taking Behavior: An Empirical Approach to Get Better Profitability, Investment, and Trading Strategies for Listed Corporates in Vietnam," Economies, MDPI, vol. 8(2), pages 1-21, June.
- 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.
Cited by:
- Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
- Jang Ho Kim & Woo Chang Kim & Do-Gyun Kwon & Frank J. Fabozzi, 2018. "Robust equity portfolio performance," Annals of Operations Research, Springer, vol. 266(1), pages 293-312, July.
- Xia, Siwei & Yang, Yuehan & Yang, Hu, 2023. "High-dimensional sparse portfolio selection with nonnegative constraint," Applied Mathematics and Computation, Elsevier, vol. 443(C).
- de Paulo, Wanderlei Lima & de Oliveira, Estela Mara & do Valle Costa, Oswaldo Luiz, 2016. "Enhanced index tracking optimal portfolio selection," Finance Research Letters, Elsevier, vol. 16(C), pages 93-102.
- Chiu, Wan-Yi & Jiang, Ching-Hai, 2016. "On the weight sign of the global minimum variance portfolio," Finance Research Letters, Elsevier, vol. 19(C), pages 241-246.
- 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.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
- Chen, Jingnan, 2020. "Optimal liquidation of financial derivatives," Finance Research Letters, Elsevier, vol. 34(C).
- Xidonas, Panos & Hassapis, Christis & Soulis, John & Samitas, Aristeidis, 2017. "Robust minimum variance portfolio optimization modelling under scenario uncertainty," Economic Modelling, Elsevier, vol. 64(C), pages 60-71.
- Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015. "Focusing on the worst state for robust investing," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 19-31.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2014. "Recent Developments in Robust Portfolios with a Worst-Case Approach," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 103-121, April.
- Fernandes, Betina & Street, Alexandre & Fernandes, Cristiano & Valladão, Davi, 2018. "On an adaptive Black–Litterman investment strategy using conditional fundamentalist information: A Brazilian case study," Finance Research Letters, Elsevier, vol. 27(C), pages 201-207.
- Sandra Caçador & Joana Matos Dias & Pedro Godinho, 2020. "Global minimum variance portfolios under uncertainty: a robust optimization approach," Journal of Global Optimization, Springer, vol. 76(2), pages 267-293, February.
- Xidonas, Panos & Mavrotas, George & Hassapis, Christis & Zopounidis, Constantin, 2017. "Robust multiobjective portfolio optimization: A minimax regret approach," European Journal of Operational Research, Elsevier, vol. 262(1), pages 299-305.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
- Ramesh Adhikari & Kyle J. Putnam & Humnath Panta, 2020. "Robust Optimization-Based Commodity Portfolio Performance," IJFS, MDPI, vol. 8(3), pages 1-16, September.
- Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
- 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.
Cited by:
- Staneiu Roxana-Maria, 2022. "Psychological Safety as a catalyst for Knowledge Sharing," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 16(1), pages 98-108, August.
- Woo Kim & Jang Kim & So Ahn & Frank Fabozzi, 2013.
"What do robust equity portfolio models really do?,"
Annals of Operations Research, Springer, vol. 205(1), pages 141-168, May.
Cited by:
- Antonios Georgantas & Michalis Doumpos & Constantin Zopounidis, 2024. "Robust optimization approaches for portfolio selection: a comparative analysis," Annals of Operations Research, Springer, vol. 339(3), pages 1205-1221, August.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2018. "Recent advancements in robust optimization for investment management," Annals of Operations Research, Springer, vol. 266(1), pages 183-198, July.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
- Xidonas, Panos & Hassapis, Christis & Soulis, John & Samitas, Aristeidis, 2017. "Robust minimum variance portfolio optimization modelling under scenario uncertainty," Economic Modelling, Elsevier, vol. 64(C), pages 60-71.
- A. Georgantas, 2020. "Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis," Papers 2010.13397, arXiv.org.
- Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015. "Focusing on the worst state for robust investing," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 19-31.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2014. "Recent Developments in Robust Portfolios with a Worst-Case Approach," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 103-121, April.
- Sandra Caçador & Joana Matos Dias & Pedro Godinho, 2020. "Global minimum variance portfolios under uncertainty: a robust optimization approach," Journal of Global Optimization, Springer, vol. 76(2), pages 267-293, February.
- David Ardia & Guido Bolliger & Kris Boudt & Jean-Philippe Gagnon-Fleury, 2017. "The impact of covariance misspecification in risk-based portfolios," Annals of Operations Research, Springer, vol. 254(1), pages 1-16, July.
- Xidonas, Panos & Mavrotas, George & Hassapis, Christis & Zopounidis, Constantin, 2017. "Robust multiobjective portfolio optimization: A minimax regret approach," European Journal of Operational Research, Elsevier, vol. 262(1), pages 299-305.
- Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
- Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.
- 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., vol. 15(02), pages 1-22.
Cited by:
- Takashi Kamihigashi & John Stachurski, 2014. "An Axiomatic Approach to Measuring Degree of Stochastic Dominance," Discussion Paper Series DP2014-36, Research Institute for Economics & Business Administration, Kobe University.
- Takashi Kamihigashi & John Stachurski, 2014.
"Partial Stochastic Dominance,"
Discussion Paper Series
DP2014-23, Research Institute for Economics & Business Administration, Kobe University.
- Takashi Kamihigashi & John Stachurski, 2014. "Partial Stochastic Dominance," Working Papers 2014-403, Department of Research, Ipag Business School.
- Asier Estevan & Roberto Maura & Óscar Valero, 2023. "Quasi-Metrics for Possibility Results: Intergenerational Preferences and Continuity," Mathematics, MDPI, vol. 11(2), pages 1-19, January.
- William B. Haskell & J. George Shanthikumar & Z. Max Shen, 2017. "Aspects of optimization with stochastic dominance," Annals of Operations Research, Springer, vol. 253(1), pages 247-273, June.
- Frank J. Fabozzi & Dennis Vink, 2012.
"Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities,"
European Financial Management, European Financial Management Association, vol. 18(4), pages 515-542, September.
Cited by:
- Yang, Liuyong & Wang, Rui & Chen, Zhenyi & Luo, Xingguo, 2020. "What determines the issue price of lease asset-backed securities in China?," International Review of Financial Analysis, Elsevier, vol. 72(C).
- Winnie P. H. Poon & Dorla A. Evans, 2013. "Regulation Fair Disclosure's Effect on the Information Content of Bond Rating Changes," European Financial Management, European Financial Management Association, vol. 19(4), pages 775-800, September.
- Vivian M. van Breemen & Frank J. Fabozzi & Mike Nawas & Dennis Vink, 2024. "Creditor protection and credit ratings in the US RMBS market," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 33(3), pages 267-292, August.
- Marques, Manuel O. & Pinto, João M., 2020.
"A comparative analysis of ex ante credit spreads: Structured finance versus straight debt finance,"
Journal of Corporate Finance, Elsevier, vol. 62(C).
- João Pinto & Manuel Marques & William Megginson, 2013. "A Comparative Analysis Of Ex Ante Credit Spreads: Structured Finance Versus Straight Debt Finance," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
- Roberto Liebscher & Thomas Mählmann, 2017. "Are Professional Investment Managers Skilled? Evidence from Syndicated Loan Portfolios," Management Science, INFORMS, vol. 63(6), pages 1892-1918, June.
- Solomon Y. Deku & Alper Kara & David Marques‐Ibanez, 2019. "Trustee reputation in securitization: When does it matter?," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 28(2), pages 61-84, May.
- Wang, Ling, 2019. "Measuring the effects of unconventional monetary policy on MBS spreads: A comparative study," The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 235-251.
- Frank Fabozzi & Vivian M. Breemen & Dennis Vink & Mike Nawas & Austin Gengos, 2023. "How much do Investors Rely on Credit Ratings: Empirical evidence from the U.S. and E.U. CLO primary market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 63(2), pages 221-247, April.
- Deku, Solomon Y. & Kara, Alper & Marqués-Ibáñez, David, 2019. "Do reputable issuers provide better-quality securitizations?," Working Paper Series 2236, European Central Bank.
- Hachenberg, Britta & Kiesel, Florian & Schiereck, Dirk, 2018. "Dieselgate and its expected consequences on the European auto ABS market," Economics Letters, Elsevier, vol. 171(C), pages 180-182.
- Ricardo Branco & João Pinto & Ricardo Ribeiro, 2020. "The Pricing of Bank Bonds, Sovereign Credit Risk and ECB's Asset Purchase Programmes," Working Papers de Economia (Economics Working Papers) 01, Católica Porto Business School, Universidade Católica Portuguesa.
- Deku, Solomon Y. & Kara, Alper & Marques-Ibanez, David, 2022. "Bank reputation and securitization quality: European evidence," Finance Research Letters, Elsevier, vol. 46(PB).
- Karimov, Nodirbek & Kara, Alper & Downing, Gareth & Marqués-Ibáñez, David, 2024. "The impact of regulatory changes on rating behaviour," Working Paper Series 2920, European Central Bank.
- Mählmann, Thomas, 2013. "Hedge funds, CDOs and the financial crisis: An empirical investigation of the “Magnetar trade”," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 537-548.
- 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.
Cited by:
- Hui-Ju Tsai & Yangru Wu, 2015. "Optimal portfolio choice with asset return predictability and nontradable labor income," Review of Quantitative Finance and Accounting, Springer, vol. 45(1), pages 215-249, July.
- M. Akhtaruzzaman & A.K. Banerjee & S. Boubaker & F. Moussa, 2023.
"Does Green Improve Portfolio Optimisation?,"
Post-Print
hal-04435509, HAL.
- Akhtaruzzaman, Md & Banerjee, Ameet Kumar & Boubaker, Sabri & Moussa, Faten, 2023. "Does green improve portfolio optimisation?," Energy Economics, Elsevier, vol. 124(C).
- Zhao, Lima & Huchzermeier, Arnd, 2017. "Integrated operational and financial hedging with capacity reshoring," European Journal of Operational Research, Elsevier, vol. 260(2), pages 557-570.
- Andreas Karathanasopoulos & Chia Chun Lo & Xiaorong Ma & Zhenjiang Qin, 2021. "Maintaining cost and ruin probability," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 759-793, August.
- Le, Tuan Anh & Dao, Thi Thanh Binh, 2021. "Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange," MPRA Paper 111105, University Library of Munich, Germany.
- Patrick Bielstein & Matthias X. Hanauer, 2019. "Mean-variance optimization using forward-looking return estimates," Review of Quantitative Finance and Accounting, Springer, vol. 52(3), pages 815-840, April.
- Bedi, Prateek & Nashier, Tripti, 2020. "On the investment credentials of Bitcoin: A cross-currency perspective," Research in International Business and Finance, Elsevier, vol. 51(C).
- Jimmy E. Hilliard & Jitka Hilliard, 2018. "Rebalancing versus buy and hold: theory, simulation and empirical analysis," Review of Quantitative Finance and Accounting, Springer, vol. 50(1), pages 1-32, January.
- 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.
Cited by:
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020.
"Tempered Stable Processes with Time Varying Exponential Tails,"
Papers
2006.07669, arXiv.org, revised Aug 2020.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512709, HAL.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Post-Print hal-03512709, HAL.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03018495, HAL.
- Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho, 2015. "Quanto option pricing in the presence of fat tails and asymmetric dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 512-520.
- Kim, Sung Ik, 2023. "A comparative study of firm value models: Default risk of corporate bonds," Finance Research Letters, Elsevier, vol. 56(C).
- Sung Ik Kim & Young Shin Kim, 2018. "Tempered stable structural model in pricing credit spread and credit default swap," Review of Derivatives Research, Springer, vol. 21(1), pages 119-148, April.
- Jacek Jakubowski & Mariusz Niewk{e}g{l}owski, 2013. "Risk-minimization and hedging claims on a jump-diffusion market model, Feynman-Kac Theorem and PIDE," Papers 1305.4132, arXiv.org, revised Jul 2013.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020.
"Tempered Stable Processes with Time Varying Exponential Tails,"
Papers
2006.07669, arXiv.org, revised Aug 2020.
- 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.
Cited by:
- Chen, Hua & MacMinn, Richard & Sun, Tao, 2015. "Multi-population mortality models: A factor copula approach," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 135-146.
- David Blake & Marco Morales & Hong Li & Anja Waegenaere & Bertrand Melenberg, 2017.
"Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference,"
Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 459-475, April.
- David Blake & Marco Morales, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 273-277, April.
- David Blake & Marco Morales & Hua Chen & Richard D. MacMinn & Tao Sun, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 393-415, April.
- David Blake & Marco Morales & Kenneth Q. Zhou & Johnny Siu-Hang Li, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 417-437, April.
- David Blake & Marco Morales & Jing Ai & Patrick L. Brockett & Linda L. Golden & Wei Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 319-343, April.
- David Blake & Marco Morales & Yijia Lin & Richard D. MacMinn & Ruilin Tian & Jifeng Yu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 345-365, April.
- David Blake & Marco Morales & Richard D. MacMinn & Nan Zhu, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 439-458, April.
- David Blake & Marco Morales & David Blake & Marco Morales, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 279-297, April.
- David Blake & Marco Morales & Andreas Milidonis & Maria Efthymiou, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 495-514, April.
- David Blake & Marco Morales & Richard MacMinn & Patrick Brockett, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 299-317, April.
- David Blake & Marco Morales & Wenjun Zhu & Ken Seng Tan & Chou-Wen Wang, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 477-493, April.
- David Blake & Marco Morales & Yijia Lin & Tianxiang Shi & Ayşe Arik, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 367-392, April.
- David Blake & Marco Morales & Enrico Biffis & Yijia Lin & Andreas Milidonis, 2017. "Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 84(S1), pages 515-532, April.
- Suryo Adi Rakhmawan & Tahir Mahmood & Nasir Abbas & Muhammad Riaz, 2024. "Unifying mortality forecasting model: an investigation of the COM–Poisson distribution in the GAS model for improved projections," Lifetime Data Analysis: An International Journal Devoted to Statistical Methods and Applications for Time-to-Event Data, Springer, vol. 30(4), pages 800-826, October.
- Li, Hong & Shi, Yanlin, 2021. "Forecasting mortality with international linkages: A global vector-autoregression approach," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 59-75.
- Lingbing Feng & Yanlin Shi, 2018. "Forecasting mortality rates: multivariate or univariate models?," Journal of Population Research, Springer, vol. 35(3), pages 289-318, September.
- Doukhan, P. & Pommeret, D. & Rynkiewicz, J. & Salhi, Y., 2017. "A class of random field memory models for mortality forecasting," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 97-110.
- Hassan Fallahgoul & S. M. Hashemiparast & Young Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2012.
"Approximation of Stable and Geometric Stable Distribution,"
Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 1(3), pages 1-8.
Cited by:
- Hassan A. Fallahgoul & Young S. Kim, 2014. "Elliptical Tempered Stable Distribution and Fractional Calculus," Papers 1408.3387, arXiv.org, revised Aug 2014.
- 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.
Cited by:
- 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.
- Peter Bossaerts & Shijie Huang & Nitin Yadav, 2020. "Exploiting Distributional Temporal Difference Learning to Deal with Tail Risk," Risks, MDPI, vol. 8(4), pages 1-20, October.
- Michele Bianchi & Frank Fabozzi, 2014. "Discussion of ‘on simulation and properties of the stable law’ by Devroye and James," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 23(3), pages 353-357, August.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 148-159.
- Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
- Hambuckers, Julien & Heuchenne, Cedric, 2017.
"A robust statistical approach to select adequate error distributions for financial returns,"
LIDAM Reprints ISBA
2017031, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- J. Hambuckers & C. Heuchenne, 2017. "A robust statistical approach to select adequate error distributions for financial returns," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(1), pages 137-161, January.
- Julio Mulero & Miguel A. Sordo & Marilia C. de Souza & Alfonso Suárez‐LLorens, 2017. "Two stochastic dominance criteria based on tail comparisons," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(6), pages 575-589, November.
- Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2018.
"Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models,"
Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 339-378, March.
- 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.
- Hasan Fallahgoul & Gregoire Loeper, 2021. "Modelling tail risk with tempered stable distributions: an overview," Annals of Operations Research, Springer, vol. 299(1), pages 1253-1280, April.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Pricing foreign equity option under stochastic volatility tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 83-93.
- Michele Leonardo Bianchi, 2014. "Are the log-returns of Italian open-end mutual funds normally distributed? A risk assessment perspective," Temi di discussione (Economic working papers) 957, Bank of Italy, Economic Research and International Relations Area.
- Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
- Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2012.
"A Pricing Framework for Real Estate Derivatives,"
European Financial Management, European Financial Management Association, vol. 18(5), pages 762-789, November.
Cited by:
- Dong Zou & Pu Gong, 2017. "A Lattice Framework with Smooth Convergence for Pricing Real Estate Derivatives with Stochastic Interest Rate," The Journal of Real Estate Finance and Economics, Springer, vol. 55(2), pages 242-263, August.
- Gong, Pu & Zou, Dong & Wang, Jiayue, 2018. "Pricing and simulation for real estate index options: Radial basis point interpolation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 177-188.
- Olivia S. Mitchell, 2018.
"Enhancing risk management for an aging world,"
The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(2), pages 115-136, September.
- Olivia S. Mitchell, 2018. "Enhancing risk management for an aging world," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 43(2), pages 115-136, September.
- Lionel Sopgoui, 2024. "Modeling the impact of Climate transition on real estate prices," Papers 2408.02339, arXiv.org.
- Rafal M. Wojakowski & M. Shahid Ebrahim & Aziz Jaafar & Murizah Osman Salleh, 2019. "Can Loan Valuation Adjustment (LVA) approach immunize collateralized debt from defaults?," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 28(2), pages 141-158, May.
- Badescu, Alexandru & Quaye, Enoch & Tunaru, Radu, 2022. "On non-negative equity guarantee calculations with macroeconomic variables related to house prices," Insurance: Mathematics and Economics, Elsevier, vol. 103(C), pages 119-138.
- Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2020. "A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk?," Journal of Economic Perspectives, American Economic Association, vol. 34(4), pages 121-145, Fall.
- Frontczak, Robert & Rostek, Stefan, 2015. "Modeling loss given default with stochastic collateral," Economic Modelling, Elsevier, vol. 44(C), pages 162-170.
- Michela Pelizza & Klaus R. Schenk-Hoppé, 2020. "Pricing Defaulted Italian Mortgages," JRFM, MDPI, vol. 13(2), pages 1-14, February.
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
- Gong, Pu & Dai, Jun, 2017. "Pricing real estate index options under stochastic interest rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 309-323.
- Ioannis Kyriakou & Nikos K. Nomikos & Nikos C. Papapostolou & Panos K. Pouliasis, 2016. "Affine†Structure Models and the Pricing of Energy Commodity Derivatives," European Financial Management, European Financial Management Association, vol. 22(5), pages 853-881, November.
- Stanescu, Silvia & Tunaru, Radu & Candradewi, Made Reina, 2014. "Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 177-188.
- Xubiao He & Pu Gong, 2020. "A Radial Basis Function-Generated Finite Difference Method to Evaluate Real Estate Index Options," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 999-1019, March.
- Peiwei Cao & Xubiao He, 2024. "Machine Learning Solutions for Fast Real Estate Derivatives Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 64(4), pages 2003-2032, October.
- Steven Kou & Xianhua Peng & Haowen Zhong, 2018. "Asset Pricing with Spatial Interaction," Management Science, INFORMS, vol. 64(5), pages 2083-2101, May.
- Timothy Kyng & David Pitt & Sachi Purcal & Jinhui Zhang, 2021. "Financial `metrics for comparing Australian retirement villages," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(4), pages 5581-5611, December.
- Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012.
"Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model,"
Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
See citations under working paper version above.
- Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics 44, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Yosef Bonaparte & Frank Fabozzi, 2011.
"Household search choice: theory and evidence,"
Applied Economics, Taylor & Francis Journals, vol. 43(26), pages 3835-3847.
Cited by:
- Yosef Bonaparte & Russell Cooper & Guozhong Zhu, 2011.
"Consumption Smoothing and Portfolio Rebalancing: The Effects of Adjustment Costs,"
NBER Working Papers
16957, National Bureau of Economic Research, Inc.
- Bonaparte, Yosef & Cooper, Russell & Zhu, Guozhong, 2012. "Consumption smoothing and portfolio rebalancing: The effects of adjustment costs," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 751-768.
- Yosef Bonaparte & Russell Cooper & Guozhong Zhu, 2011.
"Consumption Smoothing and Portfolio Rebalancing: The Effects of Adjustment Costs,"
NBER Working Papers
16957, National Bureau of Economic Research, Inc.
- 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.
Cited by:
- Christina Patterson, 2019. "The Matching Multiplier and the Amplification of Recessions," 2019 Meeting Papers 95, Society for Economic Dynamics.
- 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.
See citations under working paper version above.
- Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- 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.
Cited by:
- Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007.
"Theory and Inference for a Markov-Switching GARCH Model,"
Cahiers de recherche
0733, CIRPEE.
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- Luc Bauwens & Arie Preminger & Jeroen V. K. Rombouts, 2010. "Theory and inference for a Markov switching GARCH model," Econometrics Journal, Royal Economic Society, vol. 13(2), pages 218-244, July.
- Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007. "Theory and inference for a Markov switching Garch model," Cahiers de recherche 07-09, HEC Montréal, Institut d'économie appliquée.
- Luc, BAUWENS & Arie, PREMINGER & Jeroen, ROMBOUTS, 2007. "Theory and inference for a Markov switching GARCH model," Discussion Papers (ECON - Département des Sciences Economiques) 2007033, Université catholique de Louvain, Département des Sciences Economiques.
- BAUWENS, Luc & PREMINGER, Arie & ROMBOUTS, Jeroen VK, 2010. "Theory and inference for a Markov switching Garch model," LIDAM Reprints CORE 2303, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Heidari , Hassan & Refah-Kahriz, Arash & Hashemi Berenjabadi, Nayyer, 2018. "Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 5(2), pages 223-250, August.
- Monica Billio & Roberto Casarin & Anthony Osuntuyi, 2012.
"Efficient Gibbs Sampling for Markov Switching GARCH Models,"
Working Papers
2012:35, Department of Economics, University of Venice "Ca' Foscari".
- Billio, Monica & Casarin, Roberto & Osuntuyi, Anthony, 2016. "Efficient Gibbs sampling for Markov switching GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 37-57.
- Bildirici, Melike E. & Sonustun, Bahri, 2021. "Chaotic behavior in gold, silver, copper and bitcoin prices," Resources Policy, Elsevier, vol. 74(C).
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2009.
"Modelling financial high frequency data using point processes,"
LIDAM Reprints CORE
2123, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & HAUTSCH, Nikolaus, 2006. "Modelling financial high frequency data using point processes," LIDAM Discussion Papers CORE 2006080, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Luc, BAUWENS & Nikolaus, HAUTSCH, 2006. "Modelling Financial High Frequency Data Using Point Processes," Discussion Papers (ECON - Département des Sciences Economiques) 2006039, Université catholique de Louvain, Département des Sciences Economiques.
- Bauwens, Luc & Hautsch, Nikolaus, 2007. "Modelling financial high frequency data using point processes," SFB 649 Discussion Papers 2007-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Cheng Peng & Young Shin Kim & Stefan Mittnik, 2022.
"Portfolio Optimization on Multivariate Regime-Switching GARCH Model with Normal Tempered Stable Innovation,"
JRFM, MDPI, vol. 15(5), pages 1-23, May.
- Cheng Peng & Young Shin Kim & Stefan Mittnik, 2020. "Portfolio Optimization on Multivariate Regime Switching GARCH Model with Normal Tempered Stable Innovation," Papers 2009.11367, arXiv.org, revised Feb 2023.
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"Efficient Bayesian Estimation and Combination of GARCH-Type Models,"
Tinbergen Institute Discussion Papers
10-046/4, Tinbergen Institute.
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- Monica Billio & Maddalena Cavicchioli, 2013. "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
- Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
- DUFAYS, Arnaud, 2012. "Infinite-state Markov-switching for dynamic volatility and correlation models," LIDAM Discussion Papers CORE 2012043, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Melike E. Bildirici & Memet Salman & Özgür Ömer Ersin, 2022. "Nonlinear Contagion and Causality Nexus between Oil, Gold, VIX Investor Sentiment, Exchange Rate and Stock Market Returns: The MS-GARCH Copula Causality Method," Mathematics, MDPI, vol. 10(21), pages 1-16, October.
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"Specific Markov-switching behaviour for ARMA parameters,"
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hal-01821134, HAL.
- Jean-François Carpantier, 2014. "Specific Markov-switching behaviour for ARMA parameters," DEM Discussion Paper Series 14-07, Department of Economics at the University of Luxembourg.
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- Hotta, Luiz Koodi & Trucíos Maza, Carlos César & Pereira, Pedro L. Valls & Zevallos Herencia, Mauricio Henrique, 2024. "Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?," Textos para discussão 567, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Marcel Aloy & Gilles de Truchis & Gilles Dufrénot & Benjamin Keddad, 2014.
"Shift-Volatility Transmission in East Asian Equity Markets,"
AMSE Working Papers
1402, Aix-Marseille School of Economics, France, revised Mar 2014.
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- Shen, Zhiwei & Ritter, Matthias, 2015.
"Forecasting volatility of wind power production,"
SFB 649 Discussion Papers
2015-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
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- Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.
- Maddalena Cavicchioli, 2021. "Statistical inference for mixture GARCH models with financial application," Computational Statistics, Springer, vol. 36(4), pages 2615-2642, December.
- Pierre-Julien Trombe & Pierre Pinson & Henrik Madsen, 2012. "A General Probabilistic Forecasting Framework for Offshore Wind Power Fluctuations," Energies, MDPI, vol. 5(3), pages 1-37, March.
- Yanlin Shi, 2023. "Long memory and regime switching in the stochastic volatility modelling," Annals of Operations Research, Springer, vol. 320(2), pages 999-1020, January.
- Luc Bauwens & Arie Preminger & Jeroen V.K. Rombouts, 2007.
"Theory and Inference for a Markov-Switching GARCH Model,"
Cahiers de recherche
0733, CIRPEE.
- 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.
See citations under working paper version above.
- Rezania, Omid & Rachev, Svetlozar T. & Sun, Edward & Fabozzi, Frank J., 2010. "Analysis of the intraday effects of economic releases on the currency market," Working Paper Series in Economics 3, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- 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.
Cited by:
- Sebastian Just & Christoph Weber, 2012. "Strategic Behavior in the German Balancing Energy Mechanism: Incentives, Evidence, Costs and Solutions," EWL Working Papers 1204, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2012.
- Ketter, W. & Collins, J. & de Weerdt, M.M., 2016. "The 2016 Power Trading Agent Competition," ERIM Report Series Research in Management ERS-2016-002-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Tsani Fauziah Rakhmah & Yanfei Li, 2016. "A Review on Institutional Framework, Principles, and Key Elements for Integrated Electricity Market: Implications for ASEAN," Working Papers DP-2016-26, Economic Research Institute for ASEAN and East Asia (ERIA).
- Goodarzi, Shadi & Perera, H. Niles & Bunn, Derek, 2019. "The impact of renewable energy forecast errors on imbalance volumes and electricity spot prices," Energy Policy, Elsevier, vol. 134(C).
- Abate, Arega Getaneh & Riccardi, Rossana & Ruiz, Carlos, 2022. "Contract design in electricity markets with high penetration of renewables: A two-stage approach," Omega, Elsevier, vol. 111(C).
- Ketter, W. & Collins, J. & Reddy, P. & Flath, C., 2011. "The Power Trading Agent Competition," ERIM Report Series Research in Management ERS-2011-011-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Koch, Christopher & Hirth, Lion, 2019. "Short-term electricity trading for system balancing: An empirical analysis of the role of intraday trading in balancing Germany's electricity system," Renewable and Sustainable Energy Reviews, Elsevier, vol. 113(C), pages 1-1.
- Tanrisever, Fehmi & Derinkuyu, Kursad & Jongen, Geert, 2015. "Organization and functioning of liberalized electricity markets: An overview of the Dutch market," Renewable and Sustainable Energy Reviews, Elsevier, vol. 51(C), pages 1363-1374.
- Ketter, W. & Collins, J. & Reddy, P. & de Weerdt, M.M., 2012. "The 2012 Power Trading Agent Competition," ERIM Report Series Research in Management ERS-2012-010-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Ketter, W. & Collins, J. & de Weerdt, M.M., 2017. "The 2017 Power Trading Agent Competition," ERIM Report Series Research in Management ERS-2017-002-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Arega Getaneh Abate & Rossana Riccardi & Carlos Ruiz, 2022. "Contract design in electricity markets with high penetration of renewables: A two-stage approach," Papers 2201.09927, arXiv.org, revised Jun 2022.
- Ketter, W. & Collins, J. & Reddy, P. & Flath, C. & de Weerdt, M.M., 2011. "The Power Trading Agent Competition," ERIM Report Series Research in Management ERS-2011-027-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Poplavskaya, Ksenia & Lago, Jesus & de Vries, Laurens, 2020. "Effect of market design on strategic bidding behavior: Model-based analysis of European electricity balancing markets," Applied Energy, Elsevier, vol. 270(C).
- Simon Hagemann & Christoph Weber, 2013. "An Empirical Analysis of Liquidity and its Determinants in The German Intraday Market for Electricity," EWL Working Papers 1317, University of Duisburg-Essen, Chair for Management Science and Energy Economics, revised Oct 2013.
- Ketter, W. & Collins, J. & Reddy, P. & de Weerdt, M.M., 2014. "The 2014 Power Trading Agent Competition," ERIM Report Series Research in Management ERS-2014-004-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Yang, Yingkui & Solgaard, Hans Stubbe & Haider, Wolfgang, 2016. "Wind, hydro or mixed renewable energy source: Preference for electricity products when the share of renewable energy increases," Energy Policy, Elsevier, vol. 97(C), pages 521-531.
- Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
- di Cosmo, Valeria & Malaguzzi Valeri, Laura, 2012.
"The Incentive to Invest in Thermal Plants in the Presence of Wind Generation,"
Papers
WP446, Economic and Social Research Institute (ESRI).
- Di Cosmo, Valeria & Malaguzzi Valeri, Laura, 2014. "The incentive to invest in thermal plants in the presence of wind generation," Energy Economics, Elsevier, vol. 43(C), pages 306-315.
- di Cosmo, Valeria & Malaguzzi Valeri, Laura, 2014. "The Incentive to Invest in Thermal Plants in the Presence of Wind Generation," Papers RB2014/2/1, Economic and Social Research Institute (ESRI).
- Hu, Jing & Harmsen, Robert & Crijns-Graus, Wina & Worrell, Ernst & van den Broek, Machteld, 2018. "Identifying barriers to large-scale integration of variable renewable electricity into the electricity market: A literature review of market design," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P2), pages 2181-2195.
- Schwidtal, Jan Marc & Agostini, Marco & Coppo, Massimiliano & Bignucolo, Fabio & Lorenzoni, Arturo, 2023. "Optimized operation of distributed energy resources: The opportunities of value stacking for Power-to-Gas aggregated with PV," Applied Energy, Elsevier, vol. 334(C).
- Kiesel, Rüdiger & Paraschiv, Florentina, 2017.
"Econometric analysis of 15-minute intraday electricity prices,"
Energy Economics, Elsevier, vol. 64(C), pages 77-90.
- Kiesel, Ruediger & Paraschiv, Florentina, 2015. "Econometric Analysis of 15-minute Intraday Electricity Prices," Working Papers on Finance 1521, University of St. Gallen, School of Finance.
- Ketter, W. & Collins, J. & de Weerdt, M.M., 2017. "The 2018 Power Trading Agent Competition," ERIM Report Series Research in Management ERS-2017-016-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Christopher Koch & Philipp Maskos, 2020. "Passive Balancing Through Intraday Trading: Whether Interactions Between Short-term Trading and Balancing Stabilize Germany s Electricity System," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 101-112.
- Sebastian Just & Christoph Weber, 2015. "Strategic behavior in the German balancing energy mechanism: incentives, evidence, costs and solutions," Journal of Regulatory Economics, Springer, vol. 48(2), pages 218-243, October.
- Ketter, W. & Collins, J. & Reddy, P. & de Weerdt, M.M., 2013. "The 2013 Power Trading Agent Competition," ERIM Report Series Research in Management ERS-2013-006-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Dockner, Engelbert J. & Kucsera, Dénes & Rammerstorfer, Margarethe, 2013. "Investment, firm value, and risk for a system operator balancing energy grids," Energy Economics, Elsevier, vol. 37(C), pages 182-192.
- Rahimiyan, Morteza & Morales, Juan M. & Conejo, Antonio J., 2011. "Evaluating alternative offering strategies for wind producers in a pool," Applied Energy, Elsevier, vol. 88(12), pages 4918-4926.
- Pape, Christian & Hagemann, Simon & Weber, Christoph, 2016. "Are fundamentals enough? Explaining price variations in the German day-ahead and intraday power market," Energy Economics, Elsevier, vol. 54(C), pages 376-387.
- Eicke, Anselm & Ruhnau, Oliver & Hirth, Lion, 2021. "Electricity balancing as a market equilibrium: An instrument-based estimation of supply and demand for imbalance energy," Energy Economics, Elsevier, vol. 102(C).
- Gro Klaeboe & Anders Lund Eriksrud & Stein-Erik Fleten, 2013. "Benchmarking time series based forecasting models for electricity balancing market prices," Working Papers 2013-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Gandhi, Oktoviano & Zhang, Wenjie & Kumar, Dhivya Sampath & Rodríguez-Gallegos, Carlos D. & Yagli, Gokhan Mert & Yang, Dazhi & Reindl, Thomas & Srinivasan, Dipti, 2024. "The value of solar forecasts and the cost of their errors: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 189(PB).
- Ketter, W. & Collins, J. & Reddy, P. & de Weerdt, M.M., 2015. "The 2015 Power Trading Agent Competition," ERIM Report Series Research in Management ERS-2015-001-LIS, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Tobias Nigbur, 2011.
"Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(4), pages 477-478, December.
Cited by:
- Young Shin Kim, 2021. "Sample Path Generation of the Stochastic Volatility CGMY Process and Its Application to Path-Dependent Option Pricing," JRFM, MDPI, vol. 14(2), pages 1-18, February.
- 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.
- Jaehyung Choi, 2021. "Maximum Drawdown, Recovery, and Momentum," JRFM, MDPI, vol. 14(11), pages 1-25, November.
- Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
- Hassan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi, 2016. "Elliptical tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 16(7), pages 1069-1087, July.
- 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.
Cited by:
- Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
- Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018.
"Longevity risk and capital markets: The 2015–16 update,"
Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
- David Blake & Nicole El Karoui & Stéphane Loisel & Richard Macminn, 2018. "Longevity risk and capital markets: The 2015–16 update," Post-Print hal-01995778, HAL.
- Apicella, Giovanna & Dacorogna, Michel M, 2016. "A General framework for modelling mortality to better estimate its relationship with interest rate risks," MPRA Paper 75788, University Library of Munich, Germany.
- Fung, Man Chung & Ignatieva, Katja & Sherris, Michael, 2014. "Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 103-115.
- Ankush Agarwal & Christian-Oliver Ewald & Yongjie Wang, 2019.
"Hedging longevity risk in defined contribution pension schemes,"
Papers
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- Lang, Korbinian & Auer, Benjamin R., 2020. "The economic and financial properties of crude oil: A review," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
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"Regresión del cuantil aplicada al modelo de redes neuronales artificiales,"
Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 62-109, July.
- Sergio Focardi & Frank Fabozzi, 2009.
"Black swans and white eagles: on mathematics and finance,"
Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 379-394, July.
Cited by:
- Kerem Uğurlu & Tomasz Brzeczek, 2023. "Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 31(4), pages 1043-1060, December.
- 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.
Cited by:
- Ali Saeb, 2022. "Stock Prices as Janardan Galton Watson Process," Papers 2208.08496, arXiv.org.
- Wei Sun & Svetlozar Rachev & Frank J. Fabozzi, 2009.
"A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions,"
European Financial Management, European Financial Management Association, vol. 15(2), pages 340-361, March.
Cited by:
- Yi-Ting Chen & Edward W. Sun & Yi-Bing Lin, 2019. "Coherent quality management for big data systems: a dynamic approach for stochastic time consistency," Annals of Operations Research, Springer, vol. 277(1), pages 3-32, June.
- Batten, Jonathan A. & Kinateder, Harald & Wagner, Niklas, 2014. "Multifractality and value-at-risk forecasting of exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 71-81.
- Lin, Edward M.H. & Sun, Edward W. & Yu, Min-Teh, 2020. "Behavioral data-driven analysis with Bayesian method for risk management of financial services," International Journal of Production Economics, Elsevier, vol. 228(C).
- Bertrand Groslambert & Devraj Basu & Wan Ni Lai, 2019. "Is tail risk the missing link between institutions and risk?," Economics Bulletin, AccessEcon, vol. 39(2), pages 1435-1448.
- Saeed Shaker-Akhtekhane & Solmaz Poorabbas, 2023. "Value-at-Risk Estimation Using an Interpolated Distribution of Financial Returns Series," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(1), pages 1-6.
- Edward W. Sun & Yu-Jen Wang & Min-Teh Yu, 2018. "Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 627-652, August.
- Yi-Ting Chen & Edward W. Sun & Min-Teh Yu, 2018. "Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 653-684, August.
- Chen Yi-Ting & Sun Edward W. & Yu Min-Teh, 2015. "Improving model performance with the integrated wavelet denoising method," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 445-467, September.
- Andrés GarcÃa Mirantes & Javier Población & Gregorio Serna, 2012. "The Stochastic Seasonal Behaviour of Natural Gas Prices," European Financial Management, European Financial Management Association, vol. 18(3), pages 410-443, June.
- Sebastian Kring & Svetlozar T. Rachev & Markus Höchstötter & Frank J. Fabozzi & Michele Leonardo Bianchi, 2009.
"Multi-tail generalized elliptical distributions for asset returns,"
Econometrics Journal, Royal Economic Society, vol. 12(2), pages 272-291, July.
Cited by:
- Gian Luca Tassinari & Michele Leonardo Bianchi, 2014. "Calibrating The Smile With Multivariate Time-Changed Brownian Motion And The Esscher Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-34.
- Frahm, Gabriel & Jaekel, Uwe, 2010. "A generalization of Tyler's M-estimators to the case of incomplete data," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 374-393, February.
- Michele Leonardo Bianchi & Gian Luca Tassinari, 2018. "Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform," Papers 1805.05584, arXiv.org, revised May 2018.
- Simon Hediger & Jeffrey Näf & Marc S. Paolella & Paweł Polak, 2023. "Heterogeneous tail generalized common factor modeling," Digital Finance, Springer, vol. 5(2), pages 389-420, June.
- Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.
- Hediger, Simon & Näf, Jeffrey, 2024. "Combining the MGHyp distribution with nonlinear shrinkage in modeling financial asset returns," Journal of Empirical Finance, Elsevier, vol. 77(C).
- Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
- 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.
Cited by:
- Syed Abul, Basher & Salem, Nechi & Hui, Zhu, 2014. "Dependence patterns across Gulf Arab stock markets: a copula approach," MPRA Paper 56566, University Library of Munich, Germany.
- Jian Zhou & Yanmin Gao, 2012. "Tail Dependence in International Real Estate Securities Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 128-151, June.
- Chen, Songjiao & Wilson, William W. & Larsen, Ryan A. & Dahl, Bruce L., 2013.
"Investing in Agriculture as an Asset Class,"
Agribusiness & Applied Economics Report
147053, North Dakota State University, Department of Agribusiness and Applied Economics.
- Songjiao Chen & William W. Wilson & Ryan Larsen & Bruce Dahl, 2015. "Investing in Agriculture as an Asset Class," Agribusiness, John Wiley & Sons, Ltd., vol. 31(3), pages 353-371, June.
- Wan-Ni Lai & Yi-Ting Chen & Edward W. Sun, 2021. "Comonotonicity and low volatility effect," Annals of Operations Research, Springer, vol. 299(1), pages 1057-1099, April.
- Reboredo, Juan C. & Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu, 2015. "An analysis of dependence between Central and Eastern European stock markets," Economic Systems, Elsevier, vol. 39(3), pages 474-490.
- Reboredo, Juan C., 2012. "Modelling oil price and exchange rate co-movements," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 419-440.
- Miralles-Quirós, José Luis & Daza-Izquierdo, Julio, 2015. "Do DOW returns really influence the intraday Spanish stock market behavior?," Research in International Business and Finance, Elsevier, vol. 33(C), pages 99-126.
- Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
- Zhu, Hui-Ming & Li, Rong & Li, Sufang, 2014. "Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 208-223.
- Almira Biglova & Sergio Ortobelli & Frank J Fabozzi, 2014. "Portfolio selection in the presence of systemic risk," Journal of Asset Management, Palgrave Macmillan, vol. 15(5), pages 285-299, October.
- Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017.
"Exploiting Spillovers to Forecast Crashes,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(8), pages 936-955, December.
- Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Exploiting Spillovers to forecast Crashes," Tinbergen Institute Discussion Papers 15-118/III, Tinbergen Institute.
- Edward W. Sun & Yu-Jen Wang & Min-Teh Yu, 2018. "Integrated Portfolio Risk Measure: Estimation and Asymptotics of Multivariate Geometric Quantiles," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 627-652, August.
- Boubaker, Heni & Sghaier, Nadia, 2013. "Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 361-377.
- Anubha Goel & Aparna Mehra, 2019. "Analyzing Contagion Effect in Markets During Financial Crisis Using Stochastic Autoregressive Canonical Vine Model," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 921-950, March.
- Dong, Zhiliang & An, Haizhong & Liu, Sen & Li, Zhengyang & Yuan, Meng, 2020. "Research on the time-varying network structure evolution of the stock indices of the BRICS countries based on fluctuation correlation," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 63-74.
- Chen, Mei-Ping & Chen, Wen-Yi & Tseng, Tseng-Chan, 2017. "Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets: Evidence from the continuous wavelet analyses," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 484-498.
- Han, Yingying & Gong, Pu & Zhou, Xiang, 2016. "Correlations and risk contagion between mixed assets and mixed-asset portfolio VaR measurements in a dynamic view: An application based on time varying copula models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 940-953.
- Reboredo, Juan C., 2011. "How do crude oil prices co-move?: A copula approach," Energy Economics, Elsevier, vol. 33(5), pages 948-955, September.
- Reboredo, Juan C., 2012. "Do food and oil prices co-move?," Energy Policy, Elsevier, vol. 49(C), pages 456-467.
- Lee, Chien-Chiang & Chang, Chi-Hung & Chen, Mei-Ping, 2015. "Industry co-movements of American depository receipts: Evidences from the copula approaches," Economic Modelling, Elsevier, vol. 46(C), pages 301-314.
- Songjiao Chen & William Wilson & Ryan Larsen & Bruce Dahl, 2016. "Risk Management for Grain Processors and “Copulas”," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 64(2), pages 365-382, June.
- Albulescu, Claudiu Tiberiu & Aubin, Christian & Goyeau, Daniel & Tiwari, Aviral Kumar, 2018. "Extreme co-movements and dependencies among major international exchange rates: A copula approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 69(C), pages 56-69.
- Mokni, Khaled & Mansouri, Faysal, 2017. "Conditional dependence between international stock markets: A long memory GARCH-copula model approach," Journal of Multinational Financial Management, Elsevier, vol. 42, pages 116-131.
- Heni Boubaker & Nadia Sghaier, 2015. "On the Dynamic Dependence between US and other Developed Stock Markets: An Extreme-value Time-varying Copula Approach," Bankers, Markets & Investors, ESKA Publishing, issue 136-137, pages 80-93, May-June.
- Rajan Sruthi & Santhakumar Shijin, 2020. "Investigating liquidity constraints as a channel of contagion: a regime switching approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 6(1), pages 1-21, December.
- Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme-value time-varying copula approach," Working Papers 2014-281, Department of Research, Ipag Business School.
- Tiwari, Aviral Kumar & Adewuyi, Adeolu O. & Albulescu, Claudiu T. & Wohar, Mark E., 2020. "Empirical evidence of extreme dependence and contagion risk between main cryptocurrencies," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
- Heni Boubaker & Nadia Sghaier, 2014. "On the dynamic dependence between US and other developed stock markets: An extreme," Working Papers 2014-94, Department of Research, Ipag Business School.
- 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.
Cited by:
- Malavasi, Matteo & Ortobelli Lozza, Sergio & Trück, Stefan, 2021. "Second order of stochastic dominance efficiency vs mean variance efficiency," European Journal of Operational Research, Elsevier, vol. 290(3), pages 1192-1206.
- Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2017. "On the impact of conditional expectation estimators in portfolio theory," Computational Management Science, Springer, vol. 14(4), pages 535-557, October.
- Raymond H. Chan & Ephraim Clark & Xu Guo & Wing-Keung Wong, 2020. "New development on the third-order stochastic dominance for risk-averse and risk-seeking investors with application in risk management," Risk Management, Palgrave Macmillan, vol. 22(2), pages 108-132, June.
- Iosif Pinelis, 2013. "An optimal three-way stable and monotonic spectrum of bounds on quantiles: a spectrum of coherent measures of financial risk and economic inequality," Papers 1310.6025, arXiv.org.
- Ran Ji & Miguel A. Lejeune & Srinivas Y. Prasad, 2017. "Properties, formulations, and algorithms for portfolio optimization using Mean-Gini criteria," Annals of Operations Research, Springer, vol. 248(1), pages 305-343, January.
- Sergio Ortobelli Lozza & Tommaso Lando & Filomena Petronio & Tomáš Tichý, 2016. "Asymptotic Multivariate Dominance: A Financial Application," Methodology and Computing in Applied Probability, Springer, vol. 18(4), pages 1097-1115, December.
- Iosif Pinelis, 2014. "An Optimal Three-Way Stable and Monotonic Spectrum of Bounds on Quantiles: A Spectrum of Coherent Measures of Financial Risk and Economic Inequality," Risks, MDPI, vol. 2(3), pages 1-44, September.
- Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý, 2015. "Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(1), pages 3-16.
- Alain Ruttiens, 2013. "Portfolio Risk Measures: The Time’s Arrow Matters," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 407-424, March.
- 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.
Cited by:
- Bedendo, Mascia & Campolongo, Francesca & Joossens, Elisabeth & Saita, Francesco, 2010. "Pricing multiasset equity options: How relevant is the dependence function?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 788-801, April.
- Zinna, Gabriele, 2013. "Sovereign default risk premia: Evidence from the default swap market," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 15-35.
- Andrew Carverhill & Dan Luo, 2020. "Pricing and integration of credit default swap index tranches," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 503-526, April.
- Pierre Rostan & Alexandra Rostan & François-Éric Racicot, 2020. "Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 1-35, January.
- Hayette Gatfaoui, 2010.
"Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market,"
Post-Print
hal-00565525, HAL.
- Hayette Gatfaoui, 2010. "Investigating the dependence structure between credit default swap spreads and the U.S. financial market," Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
- Conghui Hu & Xun Zhang & Qiuming Gao, 2015. "Synthetic CDO pricing: the perspective of risk integration," Applied Economics, Taylor & Francis Journals, vol. 47(15), pages 1574-1587, March.
- 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.
Cited by:
- Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
- Ballestra, Luca Vincenzo & Pacelli, Graziella, 2014. "Valuing risky debt: A new model combining structural information with the reduced-form approach," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 261-271.
- Chen, Ren-Raw & Cheng, Xiaolin & Fabozzi, Frank J. & Liu, Bo, 2008.
"An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(1), pages 123-160, March.
Cited by:
- Yiuman Tse & John K. Wald, 2013. "Insured Uncovered Interest Parity," Working Papers 0172fin, College of Business, University of Texas at San Antonio.
- Kiwoong Byun & Baeho Kim & Dong Hwan Oh, 2023. "Default Clustering Risk Premium and its Cross-Market Asset Pricing Implications," Finance and Economics Discussion Series 2023-055, Board of Governors of the Federal Reserve System (U.S.).
- Marco Realdon, 2007. "A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Pres," Discussion Papers 07/25, Department of Economics, University of York.
- Michele Leonardo Bianchi, 2012. "An empirical comparison of alternative credit default swap pricing models," Temi di discussione (Economic working papers) 882, Bank of Italy, Economic Research and International Relations Area.
- Nicole Thorne Jenkins & Michael D. Kimbrough & Juan Wang, 2016. "The extent of informational efficiency in the credit default swap market: evidence from post-earnings announcement returns," Review of Quantitative Finance and Accounting, Springer, vol. 46(4), pages 725-761, May.
- Bedendo, Mascia & Campolongo, Francesca & Joossens, Elisabeth & Saita, Francesco, 2010. "Pricing multiasset equity options: How relevant is the dependence function?," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 788-801, April.
- Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
- Weber, Matthias & Duffy, John & Schram, Arthur, 2024. "Regulation and the demand for credit default swaps in experimental bond markets," European Economic Review, Elsevier, vol. 165(C).
- Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney.
- Michael R King, 2009. "Time to buy or just buying time? The market reaction to bank rescue packages," BIS Working Papers 288, Bank for International Settlements.
- Yalin Gündüz & Marliese Uhrig-Homburg, 2014.
"Does modeling framework matter? A comparative study of structural and reduced-form models,"
Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
- Gündüz, Yalin & Uhrig-Homburg, Marliese, 2011. "Does modeling framework matter? A comparative study of structural and reduced-form models," Discussion Paper Series 2: Banking and Financial Studies 2011,05, Deutsche Bundesbank.
- Damiano Brigo & Mirela Predescu & Agostino Capponi, 2010. "Credit Default Swaps Liquidity modeling: A survey," Papers 1003.0889, arXiv.org, revised Mar 2010.
- Enrico Laghi & Michele Di Marcantonio & Eugenio D'Amico, 2014. "Estimating credit default swap spreads using accounting data, market quotes and credit ratings: the European Banks Case," FINANCIAL REPORTING, FrancoAngeli Editore, vol. 2014(2-3-4), pages 59-81.
- Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014. "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 87-104.
- Marco Realdon & Cheng Qin Shi, 2010. "'Extended black' sovereign credit default swap pricing model," Applied Economics Letters, Taylor & Francis Journals, vol. 17(12), pages 1133-1137.
- Madan, Dilip B., 2014. "Modeling and monitoring risk acceptability in markets: The case of the credit default swap market," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 63-73.
- Samson Assefa, 2007. "Pricing of Defaultable Securities in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 202, Quantitative Finance Research Centre, University of Technology, Sydney.
- Tse, Yiuman & Wald, John K., 2013. "Insured uncovered interest parity," Finance Research Letters, Elsevier, vol. 10(4), pages 175-183.
- Michele Bianchi & Frank Fabozzi, 2015. "Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads," Computational Economics, Springer;Society for Computational Economics, vol. 46(2), pages 243-273, August.
- Monfort, A. & Renne, J.-P. & Roussellet, G., 2014.
"A Quadratic Kalman Filter,"
Working papers
486, Banque de France.
- Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2015. "A Quadratic Kalman Filter," Journal of Econometrics, Elsevier, vol. 187(1), pages 43-56.
- Shin Ichi Aihara & Arunabha Bagchi, 2010. "Identification Of Affine Term Structures From Yield Curve Data," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 13(02), pages 259-283.
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014.
"Nonlinear Kalman Filtering in Affine Term Structure Models,"
Management Science, INFORMS, vol. 60(9), pages 2248-2268, September.
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2014. "Nonlinear Kalman Filtering in Affine Term Structure Models," Cahiers de recherche 1404, CIRPEE.
- Peter Christoffersen & Christian Dorion & Kris Jacobs & Lotfi Karoui, 2012. "Nonlinear Kalman Filtering in Affine Term Structure Models," CREATES Research Papers 2012-49, Department of Economics and Business Economics, Aarhus University.
- Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2011. "Enhancing credit default swap valuation with meshfree methods," European Journal of Operational Research, Elsevier, vol. 214(3), pages 805-813, November.
- Chiarella, Carl & Fanelli, Viviana & Musti, Silvana, 2011.
"Modelling the evolution of credit spreads using the Cox process within the HJM framework: A CDS option pricing model,"
European Journal of Operational Research, Elsevier, vol. 208(2), pages 95-108, January.
- Carl Chiarella & Viviana Fanelli & Silvana Musti, 2009. "Modelling the Evolution of Credit Spreads Using the Cox Process Within the HJM Framework A CDS Option Pricing Model," Research Paper Series 255, Quantitative Finance Research Centre, University of Technology, Sydney.
- Carl Chiarella & Viviana Fanelli & Silvana Musti, 2008. "Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model," Research Paper Series 232, Quantitative Finance Research Centre, University of Technology, Sydney.
- Alessandro Andreoli & Luca Vincenzo Ballestra & Graziella Pacelli, 2018. "Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach," Computational Economics, Springer;Society for Computational Economics, vol. 51(3), pages 379-406, March.
- Chen, Ren-Raw & Cheng, Xiaolin & Liu, Bo, 2008. "Estimation and evaluation of the term structure of credit default swaps: An empirical study," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 339-349, December.
- 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.
Cited by:
- Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2019. "Financial systemic risk measurement based on causal network connectedness analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 290-307.
- Marcel Wollschlager & Rudi Schafer, 2015. "Impact of non-stationarity on estimating and modeling empirical copulas of daily stock returns," Papers 1506.08054, arXiv.org.
- Krämer, Walter & van Kampen, Maarten, 2011. "A simple nonparametric test for structural change in joint tail probabilities," Economics Letters, Elsevier, vol. 110(3), pages 245-247, March.
- Miralles-Quirós, José Luis & Daza-Izquierdo, Julio, 2015. "Do DOW returns really influence the intraday Spanish stock market behavior?," Research in International Business and Finance, Elsevier, vol. 33(C), pages 99-126.
- Luca Riccetti, 2013. "A copula–GARCH model for macro asset allocation of a portfolio with commodities," Empirical Economics, Springer, vol. 44(3), pages 1315-1336, June.
- Almira Biglova & Sergio Ortobelli & Frank J Fabozzi, 2014. "Portfolio selection in the presence of systemic risk," Journal of Asset Management, Palgrave Macmillan, vol. 15(5), pages 285-299, October.
- Allen, David & Lizieri, Colin & Satchell, Stephen, 2020. "A comparison of non-Gaussian VaR estimation and portfolio construction techniques," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 356-368.
- Huang, Hung-Hsi & Lin, Shin-Hung & Wang, Ching-Ping & Chiu, Chia-Yung, 2014. "Adjusting MV-efficient portfolio frontier bias for skewed and non-mesokurtic returns," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 59-83.
- Dong, Zhiliang & An, Haizhong & Liu, Sen & Li, Zhengyang & Yuan, Meng, 2020. "Research on the time-varying network structure evolution of the stock indices of the BRICS countries based on fluctuation correlation," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 63-74.
- Desislava Chetalova & Marcel Wollschlager & Rudi Schafer, 2015. "Dependence structure of market states," Papers 1503.09004, arXiv.org, revised Jul 2015.
- Stoyan Stoyanov & Borjana Racheva-Iotova & Svetlozar Rachev & Frank Fabozzi, 2010. "Stochastic models for risk estimation in volatile markets: a survey," Annals of Operations Research, Springer, vol. 176(1), pages 293-309, April.
- 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.
- Indranil Ghosh & Dalton Watts & Subrata Chakraborty, 2022. "Modeling Bivariate Dependency in Insurance Data via Copula: A Brief Study," JRFM, MDPI, vol. 15(8), pages 1-20, July.
- Chen, Mei-Ping & Chen, Wen-Yi & Tseng, Tseng-Chan, 2017. "Co-movements of returns in the health care sectors from the US, UK, and Germany stock markets: Evidence from the continuous wavelet analyses," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 484-498.
- Sak, Halis & Başoğlu, İsmail, 2017. "Efficient randomized quasi-Monte Carlo methods for portfolio market risk," Insurance: Mathematics and Economics, Elsevier, vol. 76(C), pages 87-94.
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"Financial market models with Lévy processes and time-varying volatility,"
Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1363-1378, July.
Cited by:
- Kurosaki Tetsuo & Kim Young Shin, 2019. "Foster-Hart optimization for currency portfolios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 23(2), pages 1-15, April.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020.
"Tempered Stable Processes with Time Varying Exponential Tails,"
Papers
2006.07669, arXiv.org, revised Aug 2020.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512709, HAL.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Post-Print hal-03512709, HAL.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03018495, HAL.
- Yanlin Shi & Lingbing Feng & Tong Fu, 2020. "Markov Regime-Switching in-Mean Model with Tempered Stable Distribution," Computational Economics, Springer;Society for Computational Economics, vol. 55(4), pages 1275-1299, April.
- M A Sánchez-Granero & J E Trinidad-Segovia & J Clara-Rahola & A M Puertas & F J De las Nieves, 2017. "A model for foreign exchange markets based on glassy Brownian systems," PLOS ONE, Public Library of Science, vol. 12(12), pages 1-22, December.
- Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011.
"CVaR sensitivity with respect to tail thickness,"
Working Paper Series in Economics
29, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- 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.
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- Abhinav Anand & Tiantian Li & Tetsuo Kurosaki & Young Shin Kim, 2017. "The equity risk posed by the too-big-to-fail banks: a Foster–Hart estimation," Annals of Operations Research, Springer, vol. 253(1), pages 21-41, June.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "American option valuation under time changed tempered stable Lévy processes," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 466(C), pages 57-68.
- 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.
- Young Shin Kim & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Mitov, Ivan & Fabozzi, Frank J., 2010. "Time series analysis for financial market meltdowns," Working Paper Series in Economics 2, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Broda, Simon A. & Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013.
"Stable mixture GARCH models,"
Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
- Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
- 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.
- Kim, Young Shin & Lee, Jaesung & Mittnik, Stefan & Park, Jiho, 2015. "Quanto option pricing in the presence of fat tails and asymmetric dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 512-520.
- Almira Biglova & Sergio Ortobelli & Frank J Fabozzi, 2014. "Portfolio selection in the presence of systemic risk," Journal of Asset Management, Palgrave Macmillan, vol. 15(5), pages 285-299, October.
- Fajardo, José & Farias, Aquiles, 2010. "Derivative pricing using multivariate affine generalized hyperbolic distributions," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1607-1617, July.
- 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.
- Gong, Xiaoli & Zhuang, Xintian, 2017. "Measuring financial risk and portfolio reversion with time changed tempered stable Lévy processes," The North American Journal of Economics and Finance, Elsevier, vol. 40(C), pages 148-159.
- Mahdi Ghaemi Asl & Hamid Reza Tavakkoli & Muhammad Mahdi Rashidi, 2021. "Sector-by-sector analysis of dependence dynamics between global large-cap companies and infectious diseases: A time-varying copula approach in EBOV and COVID-19 episodes," PLOS ONE, Public Library of Science, vol. 16(11), pages 1-25, November.
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- 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.
- Kim, Young Shin & Rachev, Svetlozar T. & Bianchi, Michele Leonardo & Fabozzi, Frank J., 2011. "Tempered stable and tempered infinitely divisible GARCH models," Working Paper Series in Economics 28, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Christophe Schinckus & Çınla Akdere, 2015. "Towards a New Way of Teaching Statistics in Economics: The Case for Econophysics," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 4(3), pages 89-108, September.
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- Stoyan Stoyanov & Borjana Racheva-Iotova & Svetlozar Rachev & Frank Fabozzi, 2010. "Stochastic models for risk estimation in volatile markets: a survey," Annals of Operations Research, Springer, vol. 176(1), pages 293-309, April.
- Lingbing Feng & Yanlin Shi, 2017. "A simulation study on the distributions of disturbances in the GARCH model," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1355503-135, January.
- 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.
- 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.
- López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
- Bianchi, Michele Leonardo & Rachev, Svetlozar T. & Kim, Young Shin & Fabozzi, Frank J., 2011. "Tempered infinitely divisible distributions and processes," Working Paper Series in Economics 26, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
- Edit Rroji & Lorenzo Mercuri, 2014.
"Mixed Tempered Stable distribution,"
Papers
1405.7603, arXiv.org.
- Edit Rroji & Lorenzo Mercuri, 2015. "Mixed tempered stable distribution," Quantitative Finance, Taylor & Francis Journals, vol. 15(9), pages 1559-1569, September.
- Venelina Nikolova & Juan E. Trinidad Segovia & Manuel Fernández-Martínez & Miguel Angel Sánchez-Granero, 2020. "A Novel Methodology to Calculate the Probability of Volatility Clusters in Financial Series: An Application to Cryptocurrency Markets," Mathematics, MDPI, vol. 8(8), pages 1-15, July.
- Asmerilda Hitaj & Friedrich Hubalek & Lorenzo Mercuri & Edit Rroji, 2016. "Multivariate Mixed Tempered Stable Distribution," Papers 1609.00926, arXiv.org, revised Oct 2016.
- Young Shin Kim & Hyangju Kim & Jaehyung Choi, 2023. "Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models," Papers 2303.08760, arXiv.org.
- Hernández, Juan Antonio & Benito, Rosa Marı´a & Losada, Juan Carlos, 2012. "An adaptive stochastic model for financial markets," Chaos, Solitons & Fractals, Elsevier, vol. 45(6), pages 899-908.
- Hasan A. Fallahgoul & Young S. Kim & Frank J. Fabozzi & Jiho Park, 2019. "Quanto Option Pricing with Lévy Models," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1279-1308, March.
- Feng Lingbing & Shi Yanlin, 2020. "Markov regime-switching autoregressive model with tempered stable distribution: simulation evidence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(1), pages 1-27, February.
- Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
- Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
- Tong Liu & Yanlin Shi, 2022. "Innovation of the Component GARCH Model: Simulation Evidence and Application on the Chinese Stock Market," Mathematics, MDPI, vol. 10(11), pages 1-18, June.
- Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2019. "A novel approach to detect volatility clusters in financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 535(C).
- 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.
Cited by:
- Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2017. "On the impact of conditional expectation estimators in portfolio theory," Computational Management Science, Springer, vol. 14(4), pages 535-557, October.
- David Neděla & Sergio Ortobelli & Tomáš Tichý, 2024. "Mean–variance vs trend–risk portfolio selection," Review of Managerial Science, Springer, vol. 18(7), pages 2047-2078, July.
- Chen, Zhiping & Wang, Yi, 2008. "Two-sided coherent risk measures and their application in realistic portfolio optimization," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2667-2673, December.
- Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2020. "An optimization–diversification approach to portfolio selection," Journal of Global Optimization, Springer, vol. 76(2), pages 245-265, February.
- Behnam Malakooti & Mohamed Komaki & Camelia Al-Najjar, 2021. "Basic Geometric Dispersion Theory of Decision Making Under Risk: Asymmetric Risk Relativity, New Predictions of Empirical Behaviors, and Risk Triad," Decision Analysis, INFORMS, vol. 18(1), pages 41-77, March.
- Noureddine Kouaissah & Sergio Ortobelli Lozza & Ikram Jebabli, 2022. "Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 833-859, October.
- Almira Biglova & Sergio Ortobelli & Frank J Fabozzi, 2014. "Portfolio selection in the presence of systemic risk," Journal of Asset Management, Palgrave Macmillan, vol. 15(5), pages 285-299, October.
- Ran Ji & Miguel A. Lejeune & Srinivas Y. Prasad, 2017. "Properties, formulations, and algorithms for portfolio optimization using Mean-Gini criteria," Annals of Operations Research, Springer, vol. 248(1), pages 305-343, January.
- Vijverberg, Chu-Ping C. & Vijverberg, Wim P.M. & Taşpınar, Süleyman, 2016. "Linking Tukey’s legacy to financial risk measurement," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 595-615.
- Michael Stein & Svetlozar T Rachev, 2011. "Style-neutral funds of funds: Diversification or deadweight?," Journal of Asset Management, Palgrave Macmillan, vol. 11(6), pages 417-434, February.
- Gabriele Torri & Rosella Giacometti & Darinka Dentcheva & Svetlozar T. Rachev & W. Brent Lindquist, 2023. "ESG-coherent risk measures for sustainable investing," Papers 2309.05866, arXiv.org.
- Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
- Hyungbin Park, 2021. "Modified Mean-Variance Risk Measures for Long-Term Portfolios," Mathematics, MDPI, vol. 9(2), pages 1-23, January.
- Marco Corazza & Giovanni Fasano & Riccardo Gusso, 2011. "Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem," Working Papers 2011_10, Department of Economics, University of Venice "Ca' Foscari".
- Weidong Lin & Abderrahim Taamouti, 2023.
"Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach,"
Working Papers
202310, University of Liverpool, Department of Economics.
- Lin, Weidong & Taamouti, Abderrahim, 2024. "Portfolio selection under non-gaussianity and systemic risk: A machine learning based forecasting approach," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1179-1188.
- Ra'ul Torres & Rosa E. Lillo & Henry Laniado, 2015. "A Directional Multivariate Value at Risk," Papers 1502.00908, arXiv.org.
- Maria-Laura Torrente & Pierpaolo Uberti, 2024. "Risk-adjusted geometric diversified portfolios," Quality & Quantity: International Journal of Methodology, Springer, vol. 58(1), pages 35-55, February.
- Rosella Giacometti & Sergio Ortobelli & Tomáš Tichý, 2015. "Portfolio Selection with Uncertainty Measures Consistent with Additive Shifts," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(1), pages 3-16.
- Sergio Ortobelli & Tomáš Tichý, 2015. "On the impact of semidefinite positive correlation measures in portfolio theory," Annals of Operations Research, Springer, vol. 235(1), pages 625-652, December.
- Sergio Ortobelli & Sebastiano Vitali & Marco Cassader & Tomáš Tichý, 2018. "Portfolio selection strategy for fixed income markets with immunization on average," Annals of Operations Research, Springer, vol. 260(1), pages 395-415, January.
- Gao, Huan & Mamon, Rogemar & Liu, Xiaoming, 2017. "Risk measurement of a guaranteed annuity option under a stochastic modelling framework," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 132(C), pages 100-119.
- Torres, Raúl & Lillo, Rosa E. & Laniado, Henry, 2015. "A directional multivariate value at risk," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 111-123.
- Dipankar Mondal & N. Selvaraju, 2020. "Upside Beta Ratio: A Performance Measure For Potential-Seeking Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-26, April.
- Weidong Lin & Jose Olmo & Abderrahim Taamouti, 2022. "Portfolio Selection Under Systemic Risk," Working Papers 202208, University of Liverpool, Department of Economics.
- Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2019. "On the use of conditional expectation in portfolio selection problems," Annals of Operations Research, Springer, vol. 274(1), pages 501-530, March.
- Brito, Irene, 2020. "A decision model based on expected utility, entropy and variance," Applied Mathematics and Computation, Elsevier, vol. 379(C).
- Bazovkin, Pavel, 2014. "Geometrical framework for robust portfolio optimization," Discussion Papers in Econometrics and Statistics 01/14, University of Cologne, Institute of Econometrics and Statistics.
- Alain Ruttiens, 2013. "Portfolio Risk Measures: The Time’s Arrow Matters," Computational Economics, Springer;Society for Computational Economics, vol. 41(3), pages 407-424, March.
- Amita Sharma & Sebastian Utz & Aparna Mehra, 2017. "Omega-CVaR portfolio optimization and its worst case analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(2), pages 505-539, March.
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- John M. Mulvey & Koray D. Simsek & Zhuojuan Zhang & Frank J. Fabozzi & William R. Pauling, 2008.
"OR PRACTICE---Assisting Defined-Benefit Pension Plans,"
Operations Research, INFORMS, vol. 56(5), pages 1066-1078, October.
Cited by:
- Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
- Černý, Aleš & Melicherčík, Igor, 2020.
"Simple explicit formula for near-optimal stochastic lifestyling,"
European Journal of Operational Research, Elsevier, vol. 284(2), pages 769-778.
- Alev{s} v{C}ern'y & Igor Melicherv{c}'ik, 2018. "Simple Explicit Formula for Near-Optimal Stochastic Lifestyling," Papers 1801.00980, arXiv.org, revised Dec 2019.
- Agnieszka Karolina Konicz & David Pisinger & Alex Weissensteiner, 2016. "Optimal retirement planning with a focus on single and joint life annuities," Quantitative Finance, Taylor & Francis Journals, vol. 16(2), pages 275-295, February.
- Sebastiano Vitali & Vittorio Moriggia & Miloš Kopa, 2017. "Optimal pension fund composition for an Italian private pension plan sponsor," Computational Management Science, Springer, vol. 14(1), pages 135-160, January.
- Sebastiano Vitali & Vittorio Moriggia, 2021. "Pension fund management with investment certificates and stochastic dominance," Annals of Operations Research, Springer, vol. 299(1), pages 273-292, April.
- Gerrard, Russell & Hiabu, Munir & Kyriakou, Ioannis & Nielsen, Jens Perch, 2019. "Communication and personal selection of pension saver’s financial risk," European Journal of Operational Research, Elsevier, vol. 274(3), pages 1102-1111.
- Willem Klein Haneveld & Matthijs Streutker & Maarten Vlerk, 2010. "An ALM model for pension funds using integrated chance constraints," Annals of Operations Research, Springer, vol. 177(1), pages 47-62, June.
- Moriggia, Vittorio & Kopa, Miloš & Vitali, Sebastiano, 2019. "Pension fund management with hedging derivatives, stochastic dominance and nodal contamination," Omega, Elsevier, vol. 87(C), pages 127-141.
- John M Mulvey & Woo Chang Kim & Yi Ma, 2010. "Duration-enhancing overlay strategies for defined benefit pension plans," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 136-162, June.
- 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.
Cited by:
- Vasileios Siakoulis & Ioannis Venetis, 2015. "On inter-arrival times of bond market extreme events. An application to seven European markets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 717-741, October.
- Jeffrey R. Black & Pankaj K. Jain & Wei Sun, 2023. "Trade-time clustering," Review of Quantitative Finance and Accounting, Springer, vol. 60(3), pages 1209-1242, April.
- Sun, Edward W. & Meinl, Thomas, 2012. "A new wavelet-based denoising algorithm for high-frequency financial data mining," European Journal of Operational Research, Elsevier, vol. 217(3), pages 589-599.
- F. Comte & L. Coutin & E. Renault, 2012. "Affine fractional stochastic volatility models," Annals of Finance, Springer, vol. 8(2), pages 337-378, May.
- Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008.
"Scaling in the distribution of intertrade durations of Chinese stocks,"
Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.
- Zhi-Qiang Jiang & Wei Chen & Wei-Xing Zhou, 2008. "Scaling in the distribution of intertrade durations of Chinese stocks," Papers 0804.3431, arXiv.org, revised Apr 2008.
- Xing, Jieli & Zhang, Yongjie & Chu, Gang & Pan, Qi & Zhang, Xiaotao, 2021. "Detection and reconstruction of catastrophic breaks of high-frequency financial data with local linear scaling approximation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 561(C).
- Pilar Iglesias & Jaime San Martín & Soledad Torres & Frederi Viens, 2011. "Option pricing under a Gamma-modulated diffusion process," Annals of Finance, Springer, vol. 7(2), pages 199-219, May.
- Chiranjit Dutta & Kara Karpman & Sumanta Basu & Nalini Ravishanker, 2023. "Review of Statistical Approaches for Modeling High-Frequency Trading Data," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 85(1), pages 1-48, May.
- Jan Beran & Yuanhua Feng & Sucharita Ghosh, 2015. "Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models," Statistical Papers, Springer, vol. 56(2), pages 431-451, May.
- Marcin Wątorek & Jarosław Kwapień & Stanisław Drożdż, 2022. "Multifractal Cross-Correlations of Bitcoin and Ether Trading Characteristics in the Post-COVID-19 Time," Future Internet, MDPI, vol. 14(7), pages 1-15, July.
- Mariano González-Sánchez & Eva M. Ibáñez Jiménez & Ana I. Segovia San Juan, 2021. "Market and Liquidity Risks Using Transaction-by-Transaction Information," Mathematics, MDPI, vol. 9(14), pages 1-14, July.
- Siakoulis, Vasilios, 2015. "Modeling bank default intensity in the USA using autoregressive duration models," MPRA Paper 64526, University Library of Munich, Germany.
- 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.
- Marcin Wk{a}torek & Jaros{l}aw Kwapie'n & Stanis{l}aw Dro.zd.z, 2022. "Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time," Papers 2208.01445, arXiv.org.
- 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.
Cited by:
- Min Zhu & David Philpotts & Maxwell J Stevenson, 2012. "The benefits of tree-based models for stock selection," Journal of Asset Management, Palgrave Macmillan, vol. 13(6), pages 437-448, December.
- Tamer Boyaci, & Caner Canyakmaz, & Francis de Véricourt,, 2020. "Human and machine: The impact of machine input on decision-making under cognitive limitations," ESMT Research Working Papers ESMT-20-02, ESMT European School of Management and Technology.
- Miguel, António F. & Chen, Yihao, 2021. "Do machines beat humans? Evidence from mutual fund performance persistence," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Oliver Williams & Stephen Satchell, 2011. "Social welfare issues of financial literacy and their implications for regulation," Journal of Regulatory Economics, Springer, vol. 40(1), pages 1-40, August.
- Katharina Schwaiger & Cormac Lucas & Gautam Mitra, 2010. "Alternative decision models for liability-driven investment," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 178-193, June.
- Sergio M. Focardi & Frank J. Fabozzi, 2013. "Factor Uniqueness In The S&P 500 Universe: Can Proprietary Factors Exist?," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-20.
- 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.
Cited by:
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"Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns,"
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Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 129-132, February.
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MPRA Paper
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LSE Research Online Documents on Economics
117539, London School of Economics and Political Science, LSE Library.
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"Agrega valor el modelo Black-Litterman en portafolios del Mercado Integrado Latinoamericano (MILA)?,"
Documentos de Trabajo de Valor Público
16960, Universidad EAFIT.
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- Susana Luna-Ramírez & Diego A. Agudelo, 2017. "Agrega valor el modelo Black-Litterman en portafolios del Mercado Integrado Latinoamericano (MILA)?," Documentos de Trabajo de Valor Público 16959, Universidad EAFIT.
- Luna-Ramirez, Susana & Agudelo, Diego A., 2019. "¿Agrega Valor el Modelo Black-Litterman en Portafolios del Mercado Integrado Latinoamericano (MILA)? Evaluación Empírica 2008-2016 || Does the Black-Litterman Model Add Value in Portfolios of the Inte," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 27(1), pages 55-73, June.
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"Stable mixture GARCH models,"
Journal of Econometrics, Elsevier, vol. 172(2), pages 292-306.
- Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
- Rosella Giacometti & Domenico Mignacca, 2010. "Using the Black and Litterman framework for stress test analysis in asset management," Journal of Asset Management, Palgrave Macmillan, vol. 11(4), pages 286-297, October.
- Abootaleb Shirvani, 2020. "Stock Returns and Roughness Extreme Variations: A New Model for Monitoring 2008 Market Crash and 2015 Flash Crash," Applied Economics and Finance, Redfame publishing, vol. 7(3), pages 78-95, May.
- Peng W. He & Andrew Grant & Joel Fabre, 2013. "Economic value of analyst recommendations in Australia: an application of the Black–Litterman asset allocation model," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 53(2), pages 441-470, June.
- Kolm, Petter & Ritter, Gordon, 2017. "On the Bayesian interpretation of Black–Litterman," European Journal of Operational Research, Elsevier, vol. 258(2), pages 564-572.
- Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017.
"The dynamic Black–Litterman approach to asset allocation,"
European Journal of Operational Research, Elsevier, vol. 259(3), pages 1085-1096.
- Harris, Richard D F & Stoja, Evarist & Tan, Linzhi, 2016. "The dynamic Black-Litterman approach to asset allocation," Bank of England working papers 596, Bank of England.
- Palczewski, Andrzej & Palczewski, Jan, 2019. "Black–Litterman model for continuous distributions," European Journal of Operational Research, Elsevier, vol. 273(2), pages 708-720.
- Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
- Fuhrer, Adrian & Hock, Thorsten, 2023. "Uncertainty in the Black–Litterman model: Empirical estimation of the equilibrium," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 251-275.
- Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, vol. 4(2), pages 1-28, May.
- Humberto Valencia Herrera, 2011. "Value at Risk and Return from the Use of Bayesian Methods for Stress Testing in a World Asset Allocation and the 2008-2009 Crisis," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 5(1), pages 33-49.
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- Flori, Andrea, 2019. "News and subjective beliefs: A Bayesian approach to Bitcoin investments," Research in International Business and Finance, Elsevier, vol. 50(C), pages 336-356.
- Dimitris Bertsimas & Vishal Gupta & Ioannis Ch. Paschalidis, 2012. "Inverse Optimization: A New Perspective on the Black-Litterman Model," Operations Research, INFORMS, vol. 60(6), pages 1389-1403, December.
- Yugu Xiao & Emiliano A. Valdez, 2015. "A Black-Litterman asset allocation model under Elliptical distributions," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 509-519, March.
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"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.
Cited by:
- Thomas Lagner & Dodozu Knyphausen‐Aufseß, 2012. "Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(3), pages 157-202, August.
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
- 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.
Cited by:
- Yi-Ting Chen & Edward W. Sun & Yi-Bing Lin, 2020. "Machine learning with parallel neural networks for analyzing and forecasting electricity demand," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 569-597, August.
- Amir Safari, 2014. "An e–E-insensitive support vector regression machine," Computational Statistics, Springer, vol. 29(6), pages 1447-1468, December.
- Yi-Ting Chen & Edward W. Sun & Yi-Bing Lin, 2019. "Coherent quality management for big data systems: a dynamic approach for stochastic time consistency," Annals of Operations Research, Springer, vol. 277(1), pages 3-32, June.
- Yi-Ting Chen & Wan-Ni Lai & Edward W. Sun, 2019. "Jump Detection and Noise Separation by a Singular Wavelet Method for Predictive Analytics of High-Frequency Data," Computational Economics, Springer;Society for Computational Economics, vol. 54(2), pages 809-844, August.
- Sun, Edward W. & Meinl, Thomas, 2012. "A new wavelet-based denoising algorithm for high-frequency financial data mining," European Journal of Operational Research, Elsevier, vol. 217(3), pages 589-599.
- Sobolev, Daphne, 2017. "The effect of price volatility on judgmental forecasts: The correlated response model," International Journal of Forecasting, Elsevier, vol. 33(3), pages 605-617.
- Rohde, Johannes & Sibbertsen, Philipp, 2014. "Credit Risk Modeling under Conditional Volatility," Hannover Economic Papers (HEP) dp-528, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- 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.
- Meinl Thomas & Sun Edward W., 2012. "A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-24, September.
- Trinidad Segovia, J.E. & Fernández-Martínez, M. & Sánchez-Granero, M.A., 2012. "A note on geometric method-based procedures to calculate the Hurst exponent," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(6), pages 2209-2214.
- Yi-Ting Chen & Edward W. Sun & Min-Teh Yu, 2018. "Risk Assessment with Wavelet Feature Engineering for High-Frequency Portfolio Trading," Computational Economics, Springer;Society for Computational Economics, vol. 52(2), pages 653-684, August.
- Shalini, Velappan & Prasanna, Krishna, 2016. "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, vol. 53(C), pages 40-57.
- Chen Yi-Ting & Sun Edward W. & Yu Min-Teh, 2015. "Improving model performance with the integrated wavelet denoising method," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 445-467, September.
- Daphne Sobolev & Nigel Harvey, 2016. "Assessing Risk in Graphically Presented Financial Series," Risk Analysis, John Wiley & Sons, vol. 36(12), pages 2216-2232, December.
- 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.
- 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.
- Wesley Phoa & Sergio Focardi & Frank Fabozzi, 2007.
"How do conflicting theories about financial markets coexist?,"
Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 29(3), pages 363-391.
Cited by:
- Sergio Focardi & Frank Fabozzi, 2009. "Black swans and white eagles: on mathematics and finance," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 379-394, July.
- 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.
Cited by:
- Dror Parnes, 2015. "Dynamic risk model for CMO with credit tranching," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-15, December.
- Poulsen, Rolf & Rasmussen, Kourosh Marjani, 2008. "Financial Giffen goods: Examples and counterexamples," European Journal of Operational Research, Elsevier, vol. 191(2), pages 572-576, December.
- 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.
Cited by:
- Min Zhu & David Philpotts & Maxwell J Stevenson, 2012. "The benefits of tree-based models for stock selection," Journal of Asset Management, Palgrave Macmillan, vol. 13(6), pages 437-448, December.
- Radović Milica & Radukić Snežana & Njegomir Vladimir, 2018. "The Application of the Markowitz’s Model in Efficient Portfolio Forming on the Capital Market in the Republic of Serbia," Economic Themes, Sciendo, vol. 56(1), pages 17-34, April.
- James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 235-261, April.
- Panos Xidonas & Mike Tsionas & Constantin Zopounidis, 2018.
"On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH,"
Post-Print
hal-02880066, HAL.
- Panos Xidonas & Mike Tsionas & Constantin Zopounidis, 2020. "On mutual funds-of-ETFs asset allocation with rebalancing: sample covariance versus EWMA and GARCH," Annals of Operations Research, Springer, vol. 284(1), pages 469-482, January.
- Allen, David & Lizieri, Colin & Satchell, Stephen, 2020. "A comparison of non-Gaussian VaR estimation and portfolio construction techniques," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 356-368.
- Woodside-Oriakhi, M. & Lucas, C. & Beasley, J.E., 2013. "Portfolio rebalancing with an investment horizon and transaction costs," Omega, Elsevier, vol. 41(2), pages 406-420.
- Constantin Zopounidis & Michael Doumpos, 2013. "Multicriteria decision systems for financial problems," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(2), pages 241-261, July.
- Miguel, António F. & Chen, Yihao, 2021. "Do machines beat humans? Evidence from mutual fund performance persistence," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Thomas, Nisha Mary & Kashiramka, Smita & Yadav, Surendra Singh & Paul, Justin, 2022. "Role of emerging markets vis-à-vis frontier markets in improving portfolio diversification benefits," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 95-121.
- Katharina Schwaiger & Cormac Lucas & Gautam Mitra, 2010. "Alternative decision models for liability-driven investment," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 178-193, June.
- Katarzyna Kubiszewska & Marcin Potrykus, 2020. "Balkan Stock Exchanges – Consideration of the Length of the Estimation Window in Similar Markets," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1047-1067.
- David Allen & Stephen Satchell & Colin Lizieri, 2024. "Quantifying the non-Gaussian gain," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 1-18, February.
- 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.
Cited by:
- Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2017. "On the impact of conditional expectation estimators in portfolio theory," Computational Management Science, Springer, vol. 14(4), pages 535-557, October.
- Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers 1908.05419, arXiv.org.
- Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2020. "An optimization–diversification approach to portfolio selection," Journal of Global Optimization, Springer, vol. 76(2), pages 245-265, February.
- Cesarone, Francesco & Lampariello, Lorenzo & Sagratella, Simone, 2019. "A risk-gain dominance maximization approach to enhanced index tracking," Finance Research Letters, Elsevier, vol. 29(C), pages 231-238.
- Maria-Teresa Bosch-Badia & Joan Montllor-Serrats & Maria-Antonia Tarrazon-Rodon, 2017. "Analysing assets’ performance inside a portfolio: From crossed beta to the net risk premium ratio," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1270251-127, January.
- Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
- Noureddine Kouaissah & Sergio Ortobelli Lozza & Ikram Jebabli, 2022. "Portfolio Selection Using Multivariate Semiparametric Estimators and a Copula PCA-Based Approach," Computational Economics, Springer;Society for Computational Economics, vol. 60(3), pages 833-859, October.
- Ran Ji & Miguel A. Lejeune & Srinivas Y. Prasad, 2017. "Properties, formulations, and algorithms for portfolio optimization using Mean-Gini criteria," Annals of Operations Research, Springer, vol. 248(1), pages 305-343, January.
- Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2022. "Pareto efficient buy and hold investment strategies under order book linked constraints," Annals of Operations Research, Springer, vol. 311(2), pages 945-965, April.
- Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
- Kouaissah, Noureddine, 2023. "Robust reward-risk performance measures with weakly second-order stochastic dominance constraints," The Quarterly Review of Economics and Finance, Elsevier, vol. 88(C), pages 53-62.
- Balbás, Beatriz & Balbás, Raquel, 2016. "Must an optimal buy and hold strategy contain any derivative?," IC3JM - Estudios = Working Papers 23912, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM).
- Maziar Sahamkhadam, 2021. "Dynamic copula-based expectile portfolios," Journal of Asset Management, Palgrave Macmillan, vol. 22(3), pages 209-223, May.
- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
- Kouaissah, Noureddine, 2021. "Using multivariate stochastic dominance to enhance portfolio selection and warn of financial crises," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 480-493.
- Duran, Orencio & Johnston, Robert J. & Kirwan, Matthew L. & Leroux, Anke D. & Martin, Vance L., 2019.
"Coastal Dynamics and Adaptation to Uncertain Sea Level Rise: Optimal Portfolios for Salt Marsh Migration,"
2019 Conference (63rd), February 12-15, 2019, Melbourne, Australia
285075, Australian Agricultural and Resource Economics Society (AARES).
- Vinent, Orencio Duran & Johnston, Robert J. & Kirwan, Matthew L. & Leroux, Anke D. & Martin, Vance L., 2019. "Coastal dynamics and adaptation to uncertain sea level rise: Optimal portfolios for salt marsh migration," Journal of Environmental Economics and Management, Elsevier, vol. 98(C).
- Krastyu Georgiev & Young Kim & Stoyan Stoyanov, 2015. "Periodic portfolio revision with transaction costs," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 81(3), pages 337-359, June.
- Frank Fabozzi & Dashan Huang & Guofu Zhou, 2010. "Robust portfolios: contributions from operations research and finance," Annals of Operations Research, Springer, vol. 176(1), pages 191-220, April.
- Burbano-Figueroa, Oscar & Sierra-Monroy, Alexandra & David-Hinestroza, Adriana & Whitney, Cory & Borgemeister, Christian & Luedeling, Eike, 2022. "Farm-planning under risk: An application of decision analysis and portfolio theory for the assessment of crop diversification strategies in horticultural systems," Agricultural Systems, Elsevier, vol. 199(C).
- Sahamkhadam, Maziar & Stephan, Andreas & Östermark, Ralf, 2022. "Copula-based Black–Litterman portfolio optimization," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1055-1070.
- Hanke, Michael & Penev, Spiridon, 2018. "Comparing large-sample maximum Sharpe ratios and incremental variable testing," European Journal of Operational Research, Elsevier, vol. 265(2), pages 571-579.
- Michael Senescall & Rand Kwong Yew Low, 2024. "Quantitative Portfolio Management: Review and Outlook," Mathematics, MDPI, vol. 12(18), pages 1-25, September.
- Maller, Ross & Roberts, Steven & Tourky, Rabee, 2016. "The large-sample distribution of the maximum Sharpe ratio with and without short sales," Journal of Econometrics, Elsevier, vol. 194(1), pages 138-152.
- Thomas Trier Bjerring & Kourosh Marjani Rasmussen & Alex Weissensteiner, 2018. "Portfolio selection under supply chain predictability," Computational Management Science, Springer, vol. 15(2), pages 139-159, June.
- Bosch-Badia, Maria Teresa & Montllor-Serrats, Joan & Tarrazon-Rodon, Maria-Antonia, 2014. "Unveiling the embedded coherence in divergent performance rankings," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 154-165.
- Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, November.
- Sergio Ortobelli & Sebastiano Vitali & Marco Cassader & Tomáš Tichý, 2018. "Portfolio selection strategy for fixed income markets with immunization on average," Annals of Operations Research, Springer, vol. 260(1), pages 395-415, January.
- Sergio Ortobelli & Noureddine Kouaissah & Tomáš Tichý, 2019. "On the use of conditional expectation in portfolio selection problems," Annals of Operations Research, Springer, vol. 274(1), pages 501-530, March.
- Víctor M. Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, "undated". "Portfolios in the Ibex 35 index: Alternative methods to the traditional framework, a comparative with the naive diversification in a pre- and post- crisis context," Documentos de Trabajo del ICAE 2015-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Jun 2015.
- Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017. "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers 201702, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.
- Amita Sharma & Sebastian Utz & Aparna Mehra, 2017. "Omega-CVaR portfolio optimization and its worst case analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(2), pages 505-539, March.
- Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.
- 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.
Cited by:
- Balaban, Ercan & Ozgen, Tolga & Girgin, Mehmet Sencer, 2018. "Distributional characteristics of interday stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 508(C), pages 280-288.
- Imad Moosa & Sulaiman Al-Abduljader, 2010. "A test of the news model of stock price determination in an emerging market: the case of Kuwait," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 397-405.
- Xuan Vinh Vo & Kevin Daly, 2008. "Volatility amongst firms in the Dow Jones Eurostoxx50 Index," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 569-582.
- Lin Mi & Allan Hodgson, 2018. "Real estate's information and volatility links with stock, bond and money markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 465-491, November.
- Denise R. Osborn & Christos S. Savva & Len Gill, 2008.
"Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(3), pages 307-325, Summer.
- Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Economics Discussion Paper Series 0629, Economics, The University of Manchester.
- Christos S. Savva & Denise R. Osborn & Len Gill, 2006. "Periodic Dynamic Conditional Correlations between Stock Markets in Europe and the US," Centre for Growth and Business Cycle Research Discussion Paper Series 77, Economics, The University of Manchester.
- Alpha Basweti Kenyatta & Antony Ngunyi & Anthony Gichuhi Waititu, 2020. "News Classification using Support Vector Machine to Model and Forecast Volatility," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(1), pages 1-1.
- JingJing (Justine) Wang & John S. Croucher, 2021. "Information linkages among National, NSW, VIC, and QLD real estate markets in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(2), pages 3207-3234, June.
- Neharika Sobti, 2018. "Domestic intermarket linkages: measuring dynamic return and volatility connectedness among Indian financial markets," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 45(4), pages 325-344, December.
- Balaban, Ercan & Ozgen, Tolga & Karidis, Socrates, 2018. "Intraday and interday distribution of stock returns and their asymmetric conditional volatility: Firm-level evidence," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 905-915.
- Roland Fuss & Ferdinand Mager & Holger Wohlenberg & Lu Zhao, 2011. "The impact of macroeconomic announcements on implied volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 21(21), pages 1571-1580.
- 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.
Cited by:
- Alex YiHou Huang, 2012. "Volatility forecasting by quantile regression," Applied Economics, Taylor & Francis Journals, vol. 44(4), pages 423-433, February.
- 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.
Cited by:
- Jose Gutierrez, 2016. "Reversal of 3‐day losers and continuation of 3‐day winners on the NASDAQ," Review of Financial Economics, John Wiley & Sons, vol. 30(1), pages 68-73, September.
- Lindaas, Knut F. & Simlai, Prodosh, 2014. "The value premium, aggregate risk innovations, and average stock returns," Finance Research Letters, Elsevier, vol. 11(3), pages 303-317.
- Mbengue, Mohamed Lamine & Ndiaye, Bara & Sy, Oumar, 2023. "Which factors explain African stock returns?," Finance Research Letters, Elsevier, vol. 54(C).
- Takahiro Komatsu & Naoki Makimoto, 2015. "Dynamic Investment Strategy with Factor Models Under Regime Switches," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(2), pages 209-237, May.
- Mehmet Balcilar & Riza Demirer & Festus V. Bekun, 2021. "Flexible Time-Varying Betas in a Novel Mixture Innovation Factor Model with Latent Threshold," Mathematics, MDPI, vol. 9(8), pages 1-20, April.
- Bing Xiao, 2023. "The Size Effect and the Value Effect in the American Stock Market," Post-Print hal-04194510, HAL.
- Gutierrez, Jose, 2016. "Reversal of 3-day losers and continuation of 3-day winners on the NASDAQ," Review of Financial Economics, Elsevier, vol. 30(C), pages 68-73.
- Peltomäki, Jarkko & Äijö, Janne, 2015. "Cross-sectional anomalies and volatility risk in different economic and market cycles," Finance Research Letters, Elsevier, vol. 12(C), pages 17-22.
- Chen, An-Sing & Yang, Wayne, 2016. "Echo effects and the returns from 52-week high strategies," Finance Research Letters, Elsevier, vol. 16(C), pages 38-46.
- Johan Knif & James W. Kolari & Gregory Koutmos & Seppo Pynnönen, 2019. "Measuring the relative return contribution of risk factors," Journal of Asset Management, Palgrave Macmillan, vol. 20(4), pages 263-272, July.
- Haga, Jesper, 2015. "Intermediate-term momentum and credit rating," Finance Research Letters, Elsevier, vol. 15(C), pages 59-67.
- Muhammad Abubakr Naeem & Mudassar Hasan & Muhammad Arif & Syed Jawad Hussain Shahzad, 2020. "Can Bitcoin Glitter More Than Gold for Investment Styles?," SAGE Open, , vol. 10(2), pages 21582440209, May.
- 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.
Cited by:
- Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, December.
- Marzia De Donno & Riccardo Donati & Gino Favero & Paola Modesti, 2019. "Risk estimation for short-term financial data through pooling of stable fits," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(4), pages 447-470, December.
- Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fabozzi, Frank J. & Focardi, Sergio M. & Jonas, Caroline L., 2005.
"Market experience with modeling for defined-benefit pension funds: evidence from four countries,"
Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(3), pages 313-327, November.
Cited by:
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"Forecasting of dependence, market, and investment risks of a global index portfolio,"
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"Portfolio Selection Under Non-Gaussianity And Systemic Risk: A Machine Learning Based Forecasting Approach,"
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"Differential Evolution and Combinatorial Search for Constrained Index Tracking,"
Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance)
0016, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
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"Modeling Volatility for the Chinese Equity Markets,"
Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 79-92, May.
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"An Option-Theoretic Prepayment Model For Mortgages And Mortgage-Backed Securities,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 7(08), pages 949-978.
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"Optimal Mortgage Refinancing: A Closed-Form Solution,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 591-622, June.
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- Sumit Agarwal & John C Driscoll & David Laibson, 2008. "Optimal Mortgage Refinancing: A Closed Form Solution," Levine's Working Paper Archive 122247000000002021, David K. Levine.
- Sumit Agarwal & John C. Driscoll & David I. Laibson, 2013. "Optimal Mortgage Refinancing: A Closed‐Form Solution," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(4), pages 591-622, June.
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Review of Quantitative Finance and Accounting, Springer, vol. 15(1), pages 81-97, July.
Cited by:
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Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 14(5), pages 646-667, May.
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"Rise and fall of calendar anomalies over a century,"
The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 181-205.
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"Performance persistence of pension fund managers,"
LSE Research Online Documents on Economics
24942, London School of Economics and Political Science, LSE Library.
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MPRA Paper
71479, University Library of Munich, Germany, revised 2010.
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Working Papers
w201814, Banco de Portugal, Economics and Research Department.
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"Irrational fads, short-term memory emulation, and asset predictability,"
Review of Financial Economics, Elsevier, vol. 22(4), pages 213-219.
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"Factor Models as "Explanatory UniÖers" versus "Explanatory Ideals" of Empirical Regularities of Stock Returns,"
MPRA Paper
122254, University Library of Munich, Germany.
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"Direction-of-change forecasting using a volatility-based recurrent neural network,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 407-417.
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- Fredj Jawadi & Wael Louhichi & Abdoulkarim Idi Cheffou & Hachmi Ben Ameur, 2019. "Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model," Annals of Operations Research, Springer, vol. 281(1), pages 275-295, October.
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"Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter,"
Monash Econometrics and Business Statistics Working Papers
9/03, Monash University, Department of Econometrics and Business Statistics.
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"A wavelet-based assessment of market risk: The emerging markets case,"
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Chapters
- Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019.
"A Portfolio Selection Analysis with Non-Gaussian Models,"
World Scientific Book Chapters, in: HANDBOOK OF HEAVY-TAILED DISTRIBUTIONS IN ASSET MANAGEMENT AND RISK MANAGEMENT, chapter 10, pages 433-461,
World Scientific Publishing Co. Pte. Ltd..
Cited by:
- José Antonio Climent Hernández & Gabino Sánchez Arzate & Ambrosio Ortiz Ramírez, 2021. "Portafolios ?-estables del G20: Evidencia empírica con Markowitz, Tobin y CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(4), pages 1-28, Octubre -.
Books
- Michele Leonardo Bianchi & Stoyan V Stoyanov & Gian Luca Tassinari & Frank J Fabozzi & Sergio M Focardi, 2019.
"Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management,"
World Scientific Books,
World Scientific Publishing Co. Pte. Ltd., number 11118, December.
Cited by:
- José Antonio Climent Hernández & Gabino Sánchez Arzate & Ambrosio Ortiz Ramírez, 2021. "Portafolios ?-estables del G20: Evidencia empírica con Markowitz, Tobin y CAPM," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(4), pages 1-28, Octubre -.
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- Michele Leonardo Bianchi, 2023. "Assessing and forecasting the market risk of bank securities holdings: a data-driven approach," Risk Management, Palgrave Macmillan, vol. 25(4), pages 1-23, December.
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