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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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The role of jump dynamics in the risk-return relationship
Arshanapalli, Bala Gangadhar; Fabozzi, Frank J.; … - In: International review of financial analysis 29 (2013), pp. 212-218
Persistent link: https://www.econbiz.de/10010244955
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Option pricing under stochastic volatility and tempered stable Lévy jumps
Zaevski, Tsvetelin S.; Kim, Young Shin; Fabozzi, Frank J. - In: International review of financial analysis 31 (2014), pp. 101-108
Persistent link: https://www.econbiz.de/10010461532
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Focusing on the worst state for robust investing
Kim, Woo Chang; Kim, Jang Ho; Mulvey, John M.; Fabozzi, … - In: International review of financial analysis 39 (2015), pp. 19-31
Persistent link: https://www.econbiz.de/10011573045
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Trade the tweet : social media text mining and sparse matrix factorization for stock market prediction
Sun, Andrew; Lachanski, Michael; Fabozzi, Frank J. - In: International review of financial analysis 48 (2016), pp. 272-281
Persistent link: https://www.econbiz.de/10011624520
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Hedge fund allocation : evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques
Subbiah, Mohan; Fabozzi, Frank J. - In: International review of financial analysis 45 (2016), pp. 189-201
Persistent link: https://www.econbiz.de/10011581970
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The role of jump dynamics in the risk–return relationship
Arshanapalli, Bala; Fabozzi, Frank J.; Nelson, William - In: International review of financial analysis 29 (2013), pp. 212-218
Persistent link: https://www.econbiz.de/10010168923