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Robust solutions to the life-cycle consumption problem
Reus, Lorenzo; Fabozzi, Frank J. - In: Computational economics 57 (2021) 2, pp. 481-499
Persistent link: https://www.econbiz.de/10012486926
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Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
Russo, Vincenzo; Lagasio, Valentina; Brogi, Marina; … - In: Annals of finance 16 (2020) 1, pp. 141-157
Persistent link: https://www.econbiz.de/10012495982
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Equity premium puzzle or faulty economic modelling?
Shirvani, Abootaleb; Stoyanov, Stoyan V.; Fabozzi, Frank J. - In: Review of quantitative finance and accounting 56 (2021) 4, pp. 1329-1342
Persistent link: https://www.econbiz.de/10012549795
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From ad hoc bond-risk measures to variance-covariance forecasts
Jong, Marielle de; Fabozzi, Frank J. - In: The journal of fixed income : JFI 30 (2021) 4, pp. 6-16
Persistent link: https://www.econbiz.de/10012517176
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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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Autoregressive models for matrix-valued time series
Chen, Rong; Xiao, Han; Yang, Dan - In: Journal of econometrics 222 (2021) 1,2, pp. 539-560
Persistent link: https://www.econbiz.de/10012619734
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Modeling local trends with regime shifting models with time-varying probabilities
Focardi, Sergio M.; Fabozzi, Frank J.; Mazza, Davide - In: International review of financial analysis 66 (2019), pp. 1-11
Persistent link: https://www.econbiz.de/10012208942
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Optimal international technology cooperation for the low-carbon transformation
Schultes, Anselm Johannes; Leimbach, Marian; Luderer, … - In: Climate policy 18 (2018) 9, pp. 1165-1176
Persistent link: https://www.econbiz.de/10012263829
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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
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The battle of the factors : macroeconomic variables or investor sentiment?
Mascio, David A.; Molyboga, Marat; Fabozzi, Frank J. - In: Journal of forecasting 42 (2023) 8, pp. 2280-2291
Persistent link: https://www.econbiz.de/10014432891