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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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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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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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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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Carry strategies and the US dollar risk of US and global bonds
Konstantinov, Gueorgui; Fabozzi, Frank J. - In: The journal of fixed income : JFI 30 (2021) 3, pp. 26-46
Persistent link: https://www.econbiz.de/10012423026