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Time series analysis for financial market meltdowns
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - 2010
There appears to be a consensus that the recent instability in global financial markets may be attributable in part to the failure of financial modeling. More specifically, current risk models have failed to properly assess the risks associated with large adverse stock price behavior. In this...
Persistent link: https://www.econbiz.de/10008653556
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Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Beck, Alexander; Kim, Young Shin; Račev, Svetlozar T.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 17 (2013) 2, pp. 167-177
Persistent link: https://www.econbiz.de/10009739605
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The geometry of the world of currency volatilities
Konstantinov, Gueorgui; Fabozzi, Frank J. - In: Computational economics 60 (2022) 1, pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
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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
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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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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
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Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo; Račev, Svetlozar T.; … - In: Computational economics 51 (2018) 3, pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
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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
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as … “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii …) The Volatility Puzzle. We offer resolutions of those objections within the rational finance. We do not claim that those …
Persistent link: https://www.econbiz.de/10012842392