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Bond markets, analysis, and strategies

Fabozzi, Frank J. - 2010 - 7. ed., Pearson international ed.

Persistent link: https://www.econbiz.de/10003768362

Foundations of financial markets and institutions

Fabozzi, Frank J. - 2010 - 4th ed.

Persistent link: https://www.econbiz.de/10003782016

Bond markets, analysis, and strategies

Fabozzi, Frank J. - 2007 - 6. ed.

Persistent link: https://www.econbiz.de/10003278926

Foundations of financial markets and institutions

Fabozzi, Frank J.; Modigliani, Franco; Ferri, Michael G. - 1998 - 2. ed., internat. ed.

Persistent link: https://www.econbiz.de/10008729694

An empirical examination of the return distribution characteristics of agency mortgage pass-through securities

Fabozzi, Frank J.; Racheva-Iotova, Borjana; Stoyanov, … - In: Applied financial economics 16 (2006) 15, pp. 1085-1094

Persistent link: https://www.econbiz.de/10003385567

Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model

Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012

In this paper, we propose a multivariate market model with returns assumed to follow a multivariate normal tempered stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable subordinator, is consistent with two stylized facts...