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A new approach for using Lévy processes for determining high-frequency value-at-risk predictions

Sun, Wei; Račev, Svetlozar T.; Fabozzi, Frank J. - In: European financial management : the journal of the … 15 (2009) 2, pp. 340-361

Persistent link: https://www.econbiz.de/10003824799

Orderings and probability functionals consistent with preferences

Ortobelli, Sergio; Račev, Svetlozar T.; Shalit, Haim; … - In: Applied mathematical finance 16 (2009) 1/2, pp. 81-102

Persistent link: https://www.econbiz.de/10003847149

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

Persistent link: https://www.econbiz.de/10003886215

Monetary policy and interest rate factors

Buetow, Gerald W.; Fabozzi, Frank J.; Henderson, Brian J. - In: The journal of fixed income 19 (2009/10) 2, pp. 63-70

Persistent link: https://www.econbiz.de/10003893446

An empirical analysis of the CDX index and its tranches

Fabozzi, Frank J.; Wang, Yi-Chen; Yeh, Shih-kuo; Chen, … - In: Applied economics letters 16 (2009) 13/15, pp. 1425-1431

Persistent link: https://www.econbiz.de/10003894301

Quantitative equity investing : techniques and strategies

Fabozzi, Frank J.; Focardi, Sergio M.; Kolm, Petter N. - 2010

Persistent link: https://www.econbiz.de/10003898661

CAViaR-based forecast for oil price risk

Huang, Dashan; Yu, Baimin; Fabozzi, Frank J.; … - In: Energy economics 31 (2009) 4, pp. 511-518

Persistent link: https://www.econbiz.de/10003867799

How do conflicting theories about financial markets coexist?

Phoa, Wesley; Focardi, Sergio M.; Fabozzi, Frank J. - In: Journal of post-Keynesian economics : JPKE 29 (2007) 3, pp. 363-391

Persistent link: https://www.econbiz.de/10003462601

Exploring the components of credit risk in credit default swaps

Fabozzi, Frank J.; Cheng, Xiaolin; Chen, Ren-Raw - In: Finance research letters 4 (2007) 1, pp. 10-18

Persistent link: https://www.econbiz.de/10003442040

Sources of credit risk : evidence from credit default swaps

Chen, Ren-Raw; Fabozzi, Frank J.; Pan, Ging-Ging; … - In: The journal of fixed income 16 (2006) 3, pp. 7-21

Persistent link: https://www.econbiz.de/10003422016