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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

A series of GARCH models are investigated for the volatility of the Chinese equity data from the Shenzhen and Shanghai markets. There has been empirical evidence of volatility clustering, contrary to findings in previous studies. Each market contains different GARCH models which fit well. The...

Persistent link: https://www.econbiz.de/10009150922

An improved method for pricing and hedging long dated American options

Fabozzi, Frank J.; Paletta, Tommaso; Stanescu, Silvia; … - In: European journal of operational research : EJOR 254 (2016) 2, pp. 656-666

Persistent link: https://www.econbiz.de/10011509024

Detecting bubbles in the US and UK real estate markets

Fabozzi, Frank J.; Kynigakis, Iason; Panopulu, Aikaterinē - In: The journal of real estate finance and economics 60 (2020) 4, pp. 469-513

Persistent link: https://www.econbiz.de/10012226693

An improved least squares Monte Carlo valuation method based on heteroscedasticity

Fabozzi, Frank J.; Paletta, Tommaso; Tunaru, Radu - In: European journal of operational research : EJOR 263 (2017) 2, pp. 698-706

Persistent link: https://www.econbiz.de/10011794017

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

Commercial real estate risk management with derivatives

Fabozzi, Frank J.; Stanescu, Silvia; Tunaru, Radu - In: The journal of portfolio management : a publication of … 39 (2013) 5, pp. 111-119

Persistent link: https://www.econbiz.de/10010209637

Chinese equity market and the efficient frontier

Tunaru, Radu; Fabozzi, Frank J.; Wu, Tony - In: Applied financial economics letters 2 (2006) 2, pp. 87-94

Persistent link: https://www.econbiz.de/10003302471

Discrete variable chain graphical modelling for assessing the effects of fund managers' characteristics on incentives satisfaction and size of returns

Fabozzi, Frank J.; Masood, Omar; Tunaru, Radu - In: The European journal of finance 13 (2007) 3/4, pp. 269-282

Persistent link: https://www.econbiz.de/10003550356

On some inconsistencies in modeling credit portfolio products

Fabozzi, Frank J.; Tunaru, Radu - In: International journal of theoretical and applied finance 10 (2007) 8, pp. 1305-1321

Persistent link: https://www.econbiz.de/10003632081

Evolution of real estate derivatives and their pricing

Fabozzi, Frank J.; Shiller, Robert J.; Tunaru, Radu - In: The journal of derivatives : the official publication … 26 (2019) 3, pp. 7-21

Persistent link: https://www.econbiz.de/10012306146