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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

Quanto option pricing with Lévy models

Fallahgoul, Hasan A.; Kim, Young Shin; Fabozzi, Frank J.; … - In: Computational economics 53 (2019) 3, pp. 1279-1308

Persistent link: https://www.econbiz.de/10012135131

Local volatility and the recovery rate of credit default swaps

Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29

Persistent link: https://www.econbiz.de/10011974230

Effects of spot market short-sale constraints on index futures trading

Fabozzi, Frank J.; Karagozoglu, Ahmet K.; Wang, Na - In: Review of finance : journal of the European Finance … 21 (2017) 5, pp. 1975-2005

Persistent link: https://www.econbiz.de/10011804673

Modeling the Time-Varying Risk Premium Using a Mixed GARCH and Jump Diffusion Model

Arshanapalli, Bala; Fabozzi, Frank J.; Nelson, William - 2011

In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk-return relationship in the U.S. stock returns. The results suggest a statistically significant relationship between the risk and the return if the risk measure includes components...

Persistent link: https://www.econbiz.de/10014179686