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

Leonardo Bianchi, Michele; Fabozzi, Frank J.; Račev, … - 2014

Persistent link: https://www.econbiz.de/10010414284

Analysis of the intraday effects of economic releases on the currency market

Sun, Edward W.; Rezania, Omid; Račev, Svetlozar T.; … - In: Journal of international money and finance 30 (2011) 4, pp. 692-707

Persistent link: https://www.econbiz.de/10009268786

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

Modeling volatility for the Chinese equity markets

Fabozzi, Frank J.; Tunaru, Radu; Wu, Tony - In: Annals of economics and finance 5 (2004) 1, pp. 79-92

Persistent link: https://www.econbiz.de/10002155277

Multi-factor equity risk models

Fabozzi, Frank J.; Jones, Frank Joseph; Vardharaj, Raman - In: The theory and practice of investment management, (pp. 343-372). 2002

Persistent link: https://www.econbiz.de/10001730001

Measuring and forecasting yield volatility

Fabozzi, Frank J.; Lee, Wai - In: Interest rate, term structure, and valuation modeling, (pp. 187-212). 2002

Persistent link: https://www.econbiz.de/10001734175

Stochastic Models for Risk Estimation in Volatile Markets : A Survey

Stoyanov, Stoyan V. - 2010

Portfolio risk estimation in volatile markets requires employing fat-tailed models for financial returns combined with copula functions to capture asymmetries in dependence and an appropriate downside risk measure. In this survey, we discuss how these three essential components can be combined...

Persistent link: https://www.econbiz.de/10013134877

Size, Value, and Momentum in Emerging Market Stock Returns

Cakici, Nusret - 2012

In this paper, we examine value and momentum effects in 18 emerging stock markets. Using stock level data from January 1990 to December 2011, we find strong evidence for the value effect in all emerging markets and the momentum effect for all but Eastern Europe. We investigate size patterns in...

Persistent link: https://www.econbiz.de/10013105856

Stability Tests for Alphas and Betas Over Bull and Bear Market Conditions

Fabozzi, Frank J. - 2019

Monthly returns are used to estimate the single-index market model (SIMM). Binary variables are used to determine if the alpha intercept and beta slope coefficients are stable through alternating bull markets and bear markets. The results suggest that some investment analysts have fallen into...

Persistent link: https://www.econbiz.de/10012904378

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Bianchi, Michele Leonardo - 2014

In this paper we consider several time-varying volatility and/or heavy-tailed models to explain the dynamics of return … time series and to fit the volatility smile for exchange-traded options where the underlying is the main ‘Borsa Italiana … of the implied volatility for numerous strikes and maturities during the highly volatile period from April 1, 2007 (prior …

Persistent link: https://www.econbiz.de/10013056568