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How fat are the tails of equity market indices?
Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
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Size, value, and momentum in emerging market stock returns
Cakici, Nusret; Fabozzi, Frank J.; Tan, Sinan - In: Emerging markets review 16 (2013), pp. 46-65
Persistent link: https://www.econbiz.de/10010243168
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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
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Stochastic models for risk estimation in volatile markets : a survey
Stoyanov, Stoyan V.; Racheva-Iotova, Borjana; Račev, … - 2010
Persistent link: https://www.econbiz.de/10003964894
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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 … how these three essential components can be combined together in a Monte Carlo based framework for risk estimation and … larger than a predefined Value-at-Risk level. We consider in some detail the AVaR calculation and estimation and investigate …
Persistent link: https://www.econbiz.de/10013134877
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Sin stock returns
Fabozzi, Frank J.; Ma, K. C.; Oliphant, Becky J. - In: The journal of portfolio management : a publication of … 35 (2008/09) 1, pp. 82-94
Persistent link: https://www.econbiz.de/10009520480
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Bayesian inference for hedge funds with stable, distribution of returns
Güner, Biliana; Račev, Svetlozar T.; Edelmanz, Daniel; … - 2010
Recently, a body of academic literature has focused on the area of stable distributions and their application potential for improving our understanding of the risk of hedge funds. At the same time, research has sprung up that applies standard Bayesian methods to hedge fund evaluation. Little or...
Persistent link: https://www.econbiz.de/10008653564
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Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model
Kim, Young Shin; Giacometti, Rosella; Račev, Svetlozar T. - 2012
stable distribution. This distribution, defined by a mixture of the multivariate normal distribution and the tempered stable … ; marginal contribution ; fat-tailed distribution ; multivariate normal tempered stable distribution …
Persistent link: https://www.econbiz.de/10009576319
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Equity style allocation : a nonparametric approach
Subbiah, Mohan; Fabozzi, Frank J. - In: The journal of asset management 17 (2016) 3, pp. 141-164
Persistent link: https://www.econbiz.de/10011485142
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Can we predict stock market crashes?
Focardi, Sergio M.; Fabozzi, Frank J. - In: The journal of portfolio management : a publication of … 40 (2014), pp. 183-195
Persistent link: https://www.econbiz.de/10011509826