Narrow search
Showing 41 - 50 of 117
Cover Image
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
Cover Image
Intertemporal defaulted bond recoveries prediction via machine learning
Nazemi, Abdolreza; Baumann, Friedrich; Fabozzi, Frank J. - In: European journal of operational research : EJOR 297 (2022) 3, pp. 1162-1177
Persistent link: https://www.econbiz.de/10013263044
Cover Image
Estimating latent asset-pricing factors
Lettau, Martin; Pelger, Markus - In: Journal of econometrics 218 (2020) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10012482858
Cover Image
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
Cover Image
Modelling regional patterns of inefficiency : a Bayesian approach to geoadditive panel stochastic frontier analysis with an application to cereal production in England and Wales
Klein, Nadja; Herwartz, Helmut; Kneib, Thomas - In: Journal of econometrics 214 (2020) 2, pp. 513-539
Persistent link: https://www.econbiz.de/10012439076
Cover Image
Threshold factor models for high-dimensional time series
Liu, Xialu; Chen, Rong - In: Journal of econometrics 216 (2020) 1, pp. 53-70
Persistent link: https://www.econbiz.de/10012439636
Cover Image
A 30-year perspective on property derivatives : what can be done to tame property price risk?
Fabozzi, Frank J.; Shiller, Robert J.; Tunaru, Radu - In: The journal of economic perspectives : EP ; a journal … 34 (2020) 4, pp. 121-145
Persistent link: https://www.econbiz.de/10012440266
Cover Image
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
Cover Image
Mean-variance optimization for asset allocation
Kim, Jang Ho; Lee, Yongjae; Kim, Woo Chang; Fabozzi, … - In: The journal of portfolio management : JPM 47 (2021) 5, pp. 24-40
Persistent link: https://www.econbiz.de/10012503361
Cover Image
Risk parity : the democratization of risk in asset allocation
Fabozzi, Francesco A.; Simonian, Joseph; Fabozzi, Frank J. - In: The journal of portfolio management : JPM 47 (2021) 5, pp. 41-50
Persistent link: https://www.econbiz.de/10012503362