Browsing All of EconStor by Author Fabozzi, Frank J.

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Showing results 1 to 11 of 11
Year of PublicationTitleAuthor(s)
2010 Bayesian inference for hedge funds with stable distribution of returnsGüner, Biliana; Rachev, Svetlozar T.; Edelman, Daniel; Fabozzi, Frank J.
2010 Time series analysis for financial market meltdownsYoung Shin Kim; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Mitov, Ivan; Fabozzi, Frank J.
2010 Analysis of the intraday effects of economic releases on the currency marketRezania, Omid; Rachev, Svetlozar T.; Sun, Edward; Fabozzi, Frank J.
2011 CVaR sensitivity with respect to tail thicknessStoyanov, Stoyan V.; Rachev, Svetlozar T.; Fabozzi, Frank J.
2011 A profit model for spread trading with an application to energy futuresKanamura, Takashi; Rachev, Svetlozar T.; Fabozzi, Frank J.
2011 Tempered infinitely divisible distributions and processesBianchi, Michele Leonardo; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J.
2011 Tempered stable and tempered infinitely divisible GARCH modelsKim, Young Shin; Rachev, Svetlozar T.; Bianchi, Michele Leonardo; Fabozzi, Frank J.
2011 Fat-tailed models for risk estimationStoyanov, Stoyan V.; Rachev, Svetlozar T.; Racheva-Iotova, Boryana; Fabozzi, Frank J.
2012 Option pricing with regime switching tempered stable processesLin, Zuodong; Rachev, Svetlozar T.; Kim, Young Shin; Fabozzi, Frank J.
2012 Measuring financial risk and portfolio optimization with a non-Gaussian multivariate modelKim, Young Shin; Giacometti, Rosella; Rachev, Svetlozar T.; Fabozzi, Frank J.; Mignacca, Domenico
2018 Active loan tradingFabozzi, Frank J.; Klingler, Sven; Mølgaard, Pia; Nielsen, Mads Stenbo