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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

Calibrating the Italian smile with time-varying volatility and heavy-tailed models

Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378

Persistent link: https://www.econbiz.de/10011963681

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

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

Quantile-based inference for tempered stable distributions

Fallahgoul, Hasan A.; Veredas, David; Fabozzi, Frank J. - In: Computational economics 53 (2019) 1, pp. 51-83

Persistent link: https://www.econbiz.de/10012134536

Quantitative equity investing : techniques and strategies

Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010

portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz … FINANCE -- CAUSALITY -- SUMMARY -- Chapter 4: Common Pitfalls in Financial Modeling -- THEORY AND ENGINEERING -- ENGINEERING …

Persistent link: https://www.econbiz.de/10012683140

Equity style allocation : a nonparametric approach

Subbiah, Mohan; Fabozzi, Frank J. - In: The journal of asset management 17 (2016) 3, pp. 141-164

Persistent link: https://www.econbiz.de/10011485142

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

An alternative approach for portfolio performance evaluation : enabling fund evaluation relative to peer group via Malkiel’s monkey

Lee, Yongjae; Kwon, Do-Gyun; Kim, Woo Chang; Fabozzi, … - In: Applied economics 50 (2018) 40, pp. 4318-4327

Persistent link: https://www.econbiz.de/10012060850

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

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