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Index-exciting CAViaR : a new empirical time-varying risk model
Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24
Persistent link: https://www.econbiz.de/10009514126
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Detecting bubbles in the US and UK real estate markets
Fabozzi, Frank J.; Kynigakis, Iason; Panopulu, Aikaterinē - In: The journal of real estate finance and economics 60 (2020) 4, pp. 469-513
Persistent link: https://www.econbiz.de/10012226693
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How fat are the tails of equity market indices?
Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
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The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki; Lee, Yongjae; Kim, Jang Ho; Kim, Woo Chang; … - In: Quantitative finance 22 (2022) 10, pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
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A lifetime allocation with human capital : implications for target date fund
Ha, Seokkeun; Fabozzi, Frank J. - In: The journal of asset management : a major new, … 23 (2022) 5, pp. 365-375
Persistent link: https://www.econbiz.de/10013392028
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Transition to clean technology
Acemoglu, Daron; Akcigit, Ufuk; Hanley, Douglas; Kerr, … - 2014
Persistent link: https://www.econbiz.de/10010467588
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Testing the forecasting ability of multi-factor models on non-US interbank rates
Tunaru, Diana; Fabozzi, Francesco A.; Fabozzi, Frank J. - In: The journal of fixed income : JFI 31 (2021) 2, pp. 7-33
Persistent link: https://www.econbiz.de/10012656054
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Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Beck, Alexander; Kim, Young Shin; Račev, Svetlozar T.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 167-177
Persistent link: https://www.econbiz.de/10009739605
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A complete model for pricing coco bonds
Milanov, Krasimir; Kunčev, Ognjan I.; Fabozzi, Frank J. - In: The journal of fixed income 29 (2020) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
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A flexible approach to estimate the equity premium
Bonaparte, Yosef; Fabozzi, Frank J. - In: Applied economics 49 (2017) 59, pp. 5940-5950
Persistent link: https://www.econbiz.de/10011845875