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Asset prices with locally constrained-entropy recursive multiple-priors utility
Sbuelz, Alessandro; Trojani, Fabio - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3695-3717
Persistent link: https://www.econbiz.de/10003781001
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Estimating and predicting multivariate volatility thresholds in global stock markets
Audrino, Francesco; Trojani, Fabio - In: Journal of applied econometrics 21 (2006) 3, pp. 345-369
Persistent link: https://www.econbiz.de/10003316303
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Learning and asset prices under ambiguous information
Leippold, Markus; Trojani, Fabio; Vanini, Paolo - In: The review of financial studies 21 (2008) 6, pp. 2565-2597
Persistent link: https://www.econbiz.de/10003805077
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Ambiguity aversion and the term structure of interest rates
Gagliardini, Patrick; Porchia, Paolo; Trojani, Fabio - In: The review of financial studies 22 (2009) 10, pp. 4157-4188
Persistent link: https://www.econbiz.de/10003887015
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Infinitesimal robustness for diffusions
Vecchia, Davide la; Trojani, Fabio - In: Journal of the American Statistical Association : JASA 105 (2010) 490, pp. 703-712
Persistent link: https://www.econbiz.de/10008736857
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Accurate short-term yield curve forecasting using functional gradient descent
Audrino, Francesco; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 591-623
Persistent link: https://www.econbiz.de/10003570734
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Correlation risk and optimal portfolio choice
Buraschi, Andrea; Porchia, Paolo; Trojani, Fabio - In: The journal of finance : the journal of the American … 65 (2010) 1, pp. 393-420
Persistent link: https://www.econbiz.de/10003923946
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A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco; Trojani, Fabio - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 138-149
Persistent link: https://www.econbiz.de/10009159099
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Robust subsampling
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of econometrics 167 (2012) 1, pp. 197-210
Persistent link: https://www.econbiz.de/10009551425
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When there is no place to hide : correlation risk and the cross-section of hedge fund returns
Buraschi, Andrea; Kosowski, Robert L.; Trojani, Fabio - In: The review of financial studies 27 (2014) 2, pp. 581-616
Persistent link: https://www.econbiz.de/10010357870