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Financial markets with no riskless (safe) asset
Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-24
Persistent link: https://www.econbiz.de/10011787424
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Female babies and risk-aversion : causal evidence from hospital wards
Pogrebna, Ganna; Oswald, Andrew J.; Haig, David - In: Journal of health economics 58 (2018), pp. 10-17
Persistent link: https://www.econbiz.de/10011999257
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Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
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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
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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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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
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Using the right implied volatility quotes in times of low interest rates : an empirical analysis across different currencies
Patel, Jinal; Russo, Vincenzo; Fabozzi, Frank J. - In: Finance research letters 25 (2018), pp. 196-201
Persistent link: https://www.econbiz.de/10012003522
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Market implied volatilities for defaultable bonds
Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. - 2019
Persistent link: https://www.econbiz.de/10012008749
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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
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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