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~language:"bos"
~language:"eng"
~person:"Fabozzi, Frank J."
~subject:"Asset-backed securities"
~subject:"Stochastischer Prozess"
~subject:"Volatility"
~type_genre:"Article in journal"
~type_genre:"Aufsatz im Buch"
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Asset-backed securities
Stochastischer Prozess
Volatility
Theorie
135
Theory
135
Portfolio selection
111
Portfolio-Management
111
USA
60
United States
60
Option pricing theory
47
Optionspreistheorie
47
CAPM
34
Derivat
33
Derivative
33
Capital income
30
Kapitaleinkommen
30
Volatilität
29
Asset-Backed Securities
28
Credit risk
28
Kreditrisiko
28
Anleihe
26
Bond
26
Risk management
26
Statistical distribution
26
Statistische Verteilung
26
Stochastic process
26
Risikomanagement
25
Yield curve
22
Zinsstruktur
22
Estimation
21
Schätzung
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Hypothek
19
Mortgage
19
Risiko
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Risikomaß
19
Risikoprämie
19
Risk
19
Risk measure
19
Risk premium
19
Börsenkurs
17
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73
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56
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9
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Handbook
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Handbuch
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Fabozzi, Frank J.
Gupta, Rangan
157
Bouri, Elie
89
Ma, Feng
87
McAleer, Michael
81
Bahmani-Oskooee, Mohsen
76
Hammoudeh, Shawkat
65
Tiwari, Aviral Kumar
59
Bollerslev, Tim
55
Kang, Sang Hoon
53
McMillan, David G.
49
Mensi, Walid
48
Wohar, Mark E.
48
Andersen, Torben
45
Xuan Vinh Vo
45
Caporale, Guglielmo Maria
44
Kumar, Dilip
44
Wang, Yudong
44
Pierdzioch, Christian
42
Escudero, Laureano F.
40
Zhang, Yaojie
40
Carr, Peter
39
Gil-Alaña, Luis A.
39
Corbet, Shaen
38
Demirer, Rıza
38
Benth, Fred Espen
37
Chevallier, Julien
37
Wei, Yu
37
Wong, Wing Keung
37
Balcilar, Mehmet
36
Hegerty, Scott W.
36
Salisu, Afees A.
36
Yoon, Seong-min
36
Roubaud, David
35
Brooks, Robert
34
Lucey, Brian M.
34
Todorov, Viktor
34
Ji, Qiang
33
Liang, Chao
33
Madan, Dilip B.
33
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International journal of theoretical and applied finance
6
The journal of fixed income
5
Computational economics
4
Applied financial economics
3
Finance research letters
3
Financial markets and instruments
3
International review of financial analysis
3
Investment management and financial management
3
The handbook of mortgage-backed securities
3
The journal of portfolio management : JPM
3
Valuation, financial modeling, and quantitative tools
3
European financial management : the journal of the European Financial Management Association
2
Journal of economic dynamics & control
2
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
2
The handbook of fixed income securities
2
The journal of structured finance
2
Annals of economics and finance
1
Annals of operations research
1
Annals of operations research ; volume 275, numbers 2 (April 2019)
1
Applied economics
1
Econometric reviews
1
Econometric theory
1
Economics letters
1
Emerging markets review
1
Insurance / Mathematics & economics
1
International journal of theoretical and applied finance : IJTAF
1
Journal of economics & business
1
Journal of financial intermediation
1
Journal of financial services research
1
Journal of international money and finance
1
Journal of risk
1
Review of derivatives research
1
Review of finance : journal of the European Finance Association
1
Risk management decisions and value under uncertainty
1
The European journal of finance
1
The handbook of European structured financial products
1
The handbook of municipal bonds
1
The journal of derivatives : the official publication of the International Association of Financial Engineers
1
The journal of fixed income : JFI
1
The journal of portfolio management : a publication of Institutional Investor
1
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ECONIS (ZBW)
74
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1
How much do investors rely on credit ratings : empirical evidence from the U.S. and E.U. CLO primary market
Fabozzi, Frank J.
;
Breemen, Vivian van
;
Vink, Dennis
; …
- In:
Journal of financial services research
63
(
2023
)
2
,
pp. 221-247
Persistent link: https://www.econbiz.de/10014258846
Saved in:
2
Editors' introduction to the 2022 special issue on novel risks and sources of volatility : identification and measurement challenges for portfolio management
Fabozzi, Frank J.
;
Karagozoglu, Ahmet K.
- In:
The journal of portfolio management : JPM
48
(
2022
)
10
,
pp. 1-5
Persistent link: https://www.econbiz.de/10014232132
Saved in:
3
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
4
Option pricing in an investment risk-return setting
Stoyanov, Stoyan V.
;
Račev, Svetlozar T.
;
Shirvani, …
- In:
Applied economics
54
(
2022
)
14
,
pp. 1625-1638
Persistent link: https://www.econbiz.de/10012875529
Saved in:
5
Portfolio volatility spillover
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
International journal of theoretical and applied …
25
(
2022
)
4/5
,
pp. 1-39
Persistent link: https://www.econbiz.de/10013371157
Saved in:
6
Primer on agency mortgage-backed securities specified pools and their convexity profiles
Schultz, Glenn M.
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
31
(
2022
)
4
,
pp. 33-49
Persistent link: https://www.econbiz.de/10014231339
Saved in:
7
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Akyildirim, Erdinc
;
Fabozzi, Frank J.
;
Goncu, Ahmet
; …
- In:
Risk management decisions and value under uncertainty
,
(pp. 1357-1371)
.
2022
Persistent link: https://www.econbiz.de/10013342121
Saved in:
8
Active loan trading
Fabozzi, Frank J.
;
Klingler, Sven
;
Mølgaard, Pia
; …
- In:
Journal of financial intermediation
46
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012818064
Saved in:
9
Editors' introduction to the special issue on novel risks and sources of volatility : identification and measurement challenges for portfolio management
Fabozzi, Frank J.
;
Karagozoglu, Ahmet K.
- In:
The journal of portfolio management : JPM
47
(
2021
)
9
,
pp. 1-4
Persistent link: https://www.econbiz.de/10012613454
Saved in:
10
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
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