Browsing All of EconStor by Author Fabozzi, Frank J.
Showing results 1 to 13 of 13
| Year of Publication | Title | Author(s) |
| 2010 | Time series analysis for financial market meltdowns | Young Shin Kim; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Mitov, Ivan; Fabozzi, Frank J. |
| 2010 | Bayesian inference for hedge funds with stable distribution of returns | Güner, Biliana; Rachev, Svetlozar T.; Edelman, Daniel; Fabozzi, Frank J. |
| 2010 | Analysis of the intraday effects of economic releases on the currency market | Rezania, Omid; Rachev, Svetlozar T.; Sun, Edward; Fabozzi, Frank J. |
| 2011 | CVaR sensitivity with respect to tail thickness | Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J. |
| 2011 | A profit model for spread trading with an application to energy futures | Kanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J. |
| 2011 | Tempered infinitely divisible distributions and processes | Bianchi, Michele Leonardo; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J. |
| 2011 | Fat-tailed models for risk estimation | Stoyanov, Stoyan V.; Rachev, Svetlozar T.; Racheva-Iotova, Boryana; Fabozzi, Frank J. |
| 2011 | Tempered stable and tempered infinitely divisible GARCH models | Kim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J. |
| 2012 | Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model | Kim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico |
| 2012 | Option pricing with regime switching tempered stable processes | Lin, Zuodong; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J. |
| 2018 | Active loan trading | Fabozzi, Frank J.; Klingler, Sven; Mølgaard, Pia; Nielsen, Mads Stenbo |
| 2020 | Option pricing incorporating factor dynamics in complete markets | Hu, Yuan; Shirvani, Abootaleb; Lindquist, W. Brent; Fabozzi, Frank J.; Račev, Svetlozar T. |
| 2022 | Intensified competition and the impact on credit ratings in the RMBS market | van Breemen, Vivian; Fabozzi, Frank J.; Vink, Dennis |
