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~isPartOf:"Journal of banking & finance"
~isPartOf:"Journal of economic dynamics & control"
~language:"bos"
~language:"eng"
~person:"Fabozzi, Frank J."
~type_genre:"Article in journal"
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Portfolio selection
6
Portfolio-Management
6
Option pricing theory
5
Optionspreistheorie
5
Theorie
5
Theory
5
ARCH model
3
ARCH-Modell
3
Risikomaß
3
Risk measure
3
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Article in journal
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14
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Bosnian
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Fabozzi, Frank J.
Moshirian, Fariborz
44
Hasan, Iftekhar
37
Berger, Allen N.
31
Saunders, Anthony
28
Hommes, Cars H.
27
Kort, Peter M.
27
Faff, Robert W.
21
Turnovsky, Stephen J.
18
Chiarella, Carl
16
Cumming, Douglas J.
16
Dawid, Herbert
16
Fiordelisi, Franco
16
Prokopczuk, Marcel
16
Arifovic, Jasmina
15
Branger, Nicole
15
Fraser, Donald R.
15
Gallegati, Mauro
15
Kolari, James W.
15
Delēs, Manthos D.
14
Farmer, J. Doyne
14
He, Xue-zhong
14
Kollmann, Robert
14
Molyneux, Philip
14
Norden, Lars
14
Ongena, Steven
14
Shackleton, Mark B.
14
Beck, Thorsten
13
Chen, Sheng-syan
13
Den Haan, Wouter J.
13
Duan, Jin-Chuan
13
Duygun, Meryem
13
Elyasiani, Elyas
13
Feichtinger, Gustav
13
Judd, Kenneth L.
13
Lobo, Gerald J.
13
Tsionas, Efthymios G.
13
Tuinstra, Jan
13
Anufriev, Mikhail
12
Hughes Hallett, Andrew
12
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Journal of banking & finance
Journal of economic dynamics & control
The journal of portfolio management : JPM
34
The journal of portfolio management : a publication of Institutional Investor
29
The journal of fixed income
21
International journal of theoretical and applied finance
12
Applied economics
11
European journal of operational research : EJOR
9
Finance research letters
9
The journal of fixed income : JFI
9
Applied financial economics
7
Computational economics
6
International review of financial analysis
6
Economics letters
5
Journal of international money and finance
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
The journal of asset management : a major new, international quarterly journal for the financial community
5
The journal of derivatives : JOD
5
The journal of derivatives : the official publication of the International Association of Financial Engineers
5
European financial management : the journal of the European Financial Management Association
4
The journal of asset management
4
The journal of structured finance
4
Advances in futures and options research : a research annual
3
Annals of operations research
3
Applied economics letters
3
Applied financial economics letters
3
Insurance / Mathematics & economics
3
Journal / The Capco Institute : journal of financial transformation
3
Review of quantitative finance and accounting
3
The journal of financial research
3
Annals of economics and finance
2
Annals of finance
2
Applied mathematical finance
2
Emerging markets review
2
Energy economics
2
Financial analysts' journal : FAJ
2
Financial markets, institutions & instruments
2
Journal of empirical finance
2
Journal of financial and quantitative analysis : JFQA
2
Journal of pension economics and finance
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ECONIS (ZBW)
14
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1
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14
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date (oldest first)
1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
Local volatility and the recovery rate of credit default swaps
Jansen, Jeroen
;
Das, Sanjiv R.
;
Fabozzi, Frank J.
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 1-29
Persistent link: https://www.econbiz.de/10011974230
Saved in:
3
Macroeconomic variable selection for creditor recovery rates
Nazemi, Abdolreza
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
89
(
2018
),
pp. 14-25
Persistent link: https://www.econbiz.de/10011963062
Saved in:
4
A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Focardi, Sergio M.
;
Fabozzi, Frank J.
;
Mitov, Ivan K.
- In:
Journal of banking & finance
65
(
2016
),
pp. 134-155
Persistent link: https://www.econbiz.de/10011634338
Saved in:
5
On stability of operational risk estimates by LDA : from causes to approaches
Zhou, Xiaoping
;
Durfee, Antonina V.
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
68
(
2016
),
pp. 266-278
Persistent link: https://www.econbiz.de/10011634840
Saved in:
6
Deciphering robust portfolios
Kim, Woo Chang
;
Kim, Jang Ho
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
45
(
2014
),
pp. 1-8
Persistent link: https://www.econbiz.de/10010466688
Saved in:
7
Extracting market information from equity options with exponential Lévy processes
Fabozzi, Frank J.
;
Leccadito, Arturo
;
Tunaru, Radu S.
- In:
Journal of economic dynamics & control
38
(
2014
),
pp. 125-141
Persistent link: https://www.econbiz.de/10010387852
Saved in:
8
CVaR sensitivty with respect to tail thickness
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
37
(
2013
)
3
,
pp. 977-988
Persistent link: https://www.econbiz.de/10009708724
Saved in:
9
Time series analysis for financial market meltdowns
Kim, Young Shin
;
Račev, Svetlozar T.
;
Bianchi, Michele …
- In:
Journal of banking & finance
35
(
2011
)
8
,
pp. 1879-1891
Persistent link: https://www.econbiz.de/10009247416
Saved in:
10
Tempered stable and tempered infinitely divisible GARCH models
Kim, Young Shin
;
Račev, Svetlozar T.
;
Bianchi, Michele …
- In:
Journal of banking & finance
34
(
2010
)
9
,
pp. 2096-2109
Persistent link: https://www.econbiz.de/10008732109
Saved in:
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