Access Statistics for Frank J. Fabozzi

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Set of Financial Instruments 0 0 1 12 1 2 4 54
A profit model for spread trading with an application to energy futures 0 1 2 302 2 5 12 810
Analysis of the intraday effects of economic releases on the currency market 0 0 1 67 5 6 7 183
Another Look at the Ho-Lee Bond Option Pricing Model 0 0 0 10 3 5 9 41
Bayesian inference for hedge funds with stable distribution of returns 0 0 0 66 5 12 13 180
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 1 1 64 3 9 10 184
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing 0 1 1 44 0 3 7 79
CVaR sensitivity with respect to tail thickness 0 0 0 47 6 7 10 132
Calibrating the Italian smile with time-varying volatility and heavy-tailed models 0 0 0 31 5 5 6 100
Enhancing Binomial and Trinomial Equity Option Pricing Models 0 0 0 11 0 1 1 29
Fat-tailed models for risk estimation 0 1 1 112 2 4 7 185
Financial market with no riskless (safe) asset 0 1 2 21 4 8 13 41
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 0 0 0 92 5 8 13 292
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion 0 0 0 10 1 2 3 44
Multiple Subordinated Modeling of Asset Returns 0 0 1 11 2 3 9 52
Option Pricing with Greed and Fear Factor: The Rational Finance Approach 0 0 0 28 3 3 5 68
Option pricing for Informed Traders 0 0 0 12 10 11 14 47
Option pricing with regime switching tempered stable processes 0 0 0 9 3 5 11 54
Pricing Derivatives in Hermite Markets 0 0 0 5 3 3 6 31
Pricing derivatives in Hermite markets 0 0 0 7 3 4 7 27
Technical Review Panel for the Pension Insurance Modeling System (PIMS) 0 0 1 16 3 8 10 85
Tempered infinitely divisible distributions and processes 0 0 0 27 8 11 13 172
Tempered stable Ornstein-Uhlenbeck processes: a practical view 0 0 1 63 2 6 10 197
Tempered stable and tempered infinitely divisible GARCH models 0 0 1 57 2 7 10 191
The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads 0 1 2 57 3 9 16 192
Time series analysis for financial market meltdowns 1 1 1 131 4 7 8 265
Total Working Papers 1 7 16 1,312 88 154 234 3,735

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
60 Years of portfolio optimization: Practical challenges and current trends 7 16 61 1,223 35 65 166 2,524
A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions 0 0 0 47 2 3 4 124
A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit 0 0 0 17 3 4 5 68
A Pricing Framework for Real Estate Derivatives 1 2 4 55 7 13 18 112
A Three-Factor Model for Mortality Modeling 0 0 0 1 1 2 4 13
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates 0 0 0 16 1 1 2 111
A flexible approach to estimate the equity premium 0 0 0 3 0 1 3 19
A methodology for index tracking based on time-series clustering 1 1 1 76 4 6 7 189
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence 0 0 0 86 5 5 7 207
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance 0 5 17 457 7 24 47 1,096
A new method for generating approximation algorithms for financial mathematics applications 0 0 0 3 3 3 3 27
A note on the association between systematic risk and common stock and bond rating classifications 0 0 0 29 0 2 2 115
A risk-based evaluation of the free-trader option 0 0 0 27 0 1 1 65
AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES 7 9 14 38 15 24 35 118
An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors 0 1 6 107 2 5 14 237
An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey 0 0 1 1 0 1 6 25
An empirical analysis of the CDX index and its tranches 0 0 0 64 1 2 3 183
An empirical examination of the return distribution characteristics of agency mortgage pass-through securities 0 0 0 34 1 2 2 162
An improved least squares Monte Carlo valuation method based on heteroscedasticity 0 0 0 43 3 6 8 137
An improved method for pricing and hedging long dated American options 1 1 1 9 2 4 7 49
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve 0 0 0 27 0 1 2 115
Analysis of the intraday effects of economic releases on the currency market 0 0 0 27 2 7 10 144
Approximation of Stable and Geometric Stable Distribution 0 0 0 5 3 4 10 51
Approximation of aggregate and extremal losses within the very heavy tails framework 0 0 0 4 0 1 2 58
Approximation of skewed and leptokurtic return distributions 0 0 1 45 5 6 8 201
BARRIER OPTION PRICING BY BRANCHING PROCESSES 0 0 1 6 1 1 5 29
Balancing energy strategies in electricity portfolio management 0 0 1 67 6 9 12 216
Bayesian estimation of truncated data with applications to operational risk measurement 0 0 0 5 1 1 1 50
Beta as a Random Coefficient 0 0 2 149 0 2 6 344
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty 0 0 0 5 1 2 3 38
Black swans and white eagles: on mathematics and finance 0 0 0 7 2 3 4 26
CAViaR-based forecast for oil price risk 1 1 1 94 1 4 4 347
CVaR sensitivity with respect to tail thickness 0 0 0 14 1 2 2 69
Calibrating affine stochastic mortality models using term assurance premiums 0 0 0 28 1 4 4 126
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models 0 0 0 2 6 6 7 28
Composition of robust equity portfolios 0 0 0 22 4 6 7 86
Computational aspects of portfolio risk estimation in volatile markets: a survey 0 0 1 13 2 4 9 68
Construction of probability metrics on classes of investors 0 0 0 15 0 0 2 75
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments 0 0 1 27 9 17 24 148
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY 0 0 1 8 6 6 9 45
Deciphering robust portfolios 0 0 2 25 1 4 7 88
Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns 0 0 0 10 3 4 6 122
Discussion of ‘on simulation and properties of the stable law’ by Devroye and James 0 0 0 7 1 2 3 31
Diversification versus optimality: is there really a diversification puzzle? 0 0 0 10 4 4 7 49
Does the corporate bond market overvalue bonds of sin companies? 0 0 3 27 3 5 13 101
Effective Capital Gains Tax Rates: A Reply 0 0 0 0 0 3 6 16
Effectiveness of developed and emerging market FX options in active currency risk management 0 0 6 43 4 6 21 157
Effects of Spot Market Short-Sale Constraints on Index Futures Trading 0 0 0 3 1 2 6 40
Elliptical tempered stable distribution 0 0 0 2 3 3 3 16
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange 0 0 0 22 3 4 4 197
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data 1 2 4 126 2 6 11 303
Enhancing binomial and trinomial equity option pricing models 0 1 3 21 2 7 13 85
Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence 1 4 9 83 18 27 50 333
Equity Manager Selection and Performance 0 0 0 166 0 0 1 337
Equity style allocation: A nonparametric approach 0 0 0 9 3 7 10 54
Estimating risk-neutral density with parametric models in interest rate markets 0 0 4 56 1 5 10 249
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios 0 0 0 1 0 1 2 14
Exploring rating shopping for european triple a senior structured finance securities 0 0 0 1 0 0 1 38
Exploring the components of credit risk in credit default swaps 0 0 0 294 2 4 5 688
Explosive rents: The real estate market dynamics in exuberance 0 0 0 20 4 7 12 90
Extracting market information from equity options with exponential Lévy processes 0 0 1 21 5 9 16 110
FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? 0 0 1 2 5 6 11 30
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET 0 0 0 9 3 5 11 68
Factor decomposition of the Eurozone sovereign CDS spreads 0 1 1 35 5 10 12 112
Financial market models with Lévy processes and time-varying volatility 0 0 2 143 2 4 11 391
Focusing on the worst state for robust investing 0 0 0 7 0 0 1 61
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration 0 0 0 41 4 4 6 227
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns 0 0 0 32 6 9 13 114
Fuzzy decision fusion approach for loss-given-default modeling 0 0 0 20 4 9 9 79
Generalized Functional Form for Mutual Fund Returns 0 0 0 2 1 4 6 23
Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques 0 0 1 24 3 6 9 105
Holiday Trading in Futures Markets 0 0 1 88 2 8 13 324
Household search choice: theory and evidence 0 0 0 11 4 4 8 107
How do conflicting theories about financial markets coexist? 0 0 0 38 3 4 8 221
How fat are the tails of equity market indices? 0 0 0 7 2 2 2 32
Improving corporate bond recovery rate prediction using multi-factor support vector regressions 0 0 3 44 0 4 13 142
Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model 0 0 0 102 1 2 5 266
Intensity-based framework for surrender modeling in life insurance 0 0 3 31 5 8 16 114
International corporate finance: Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp 0 0 0 97 3 7 8 398
Introduction to special issue: studies in mathematical and empirical finance 1 1 1 1 1 1 2 9
Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads 0 0 0 12 2 2 7 51
Is food consumption a good proxy for nondurable consumption? 0 0 0 10 1 2 4 90
Liability Index Fund: The Liability Beta Portfolio 0 0 0 0 3 7 12 207
Local volatility and the recovery rate of credit default swaps 0 0 0 7 4 8 8 56
Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities 0 0 0 7 3 5 8 40
MCMC-based estimation of Markov Switching ARMA-GARCH models 1 1 5 79 1 2 9 298
METRIZATION OF STOCHASTIC DOMINANCE RULES 0 0 0 5 1 2 5 23
Macroeconomic news effects on conditional volatilities in the bond and stock markets 0 0 0 93 1 2 3 271
Macroeconomic variable selection for creditor recovery rates 0 0 4 79 4 6 13 262
Market experience with modeling for defined-benefit pension funds: evidence from four countries 0 0 1 81 0 1 5 190
Market implied volatilities for defaultable bonds 0 2 2 7 2 5 6 35
Market overreaction and underreaction: tests of the directional and magnitude effects 0 0 0 30 3 3 5 102
Mathematical Programming in American Companies: A Sample Survey 0 0 0 0 0 0 1 6
Mathematical programming models to determine civil service salaries 0 0 0 13 0 1 3 44
Measuring and explaining pension system risk* 0 0 1 18 1 3 5 88
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 0 0 0 4 2 4 11 47
Modeling Volatility for the Chinese Equity Markets 0 0 0 42 5 7 10 254
Momentum strategies based on reward-risk stock selection criteria 0 1 5 149 4 9 18 506
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion 1 1 2 9 7 12 19 75
Multi-tail generalized elliptical distributions for asset returns 0 0 0 40 4 8 8 228
Multiperiod conditional valuation of barrier options with incomplete information 0 0 0 2 3 4 4 16
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market 0 1 2 260 3 6 12 712
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination 0 1 1 156 1 4 6 387
Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time 0 0 0 2 0 3 5 32
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS 0 0 0 4 3 3 4 13
OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH 0 0 0 0 1 2 2 20
OR PRACTICE---Assisting Defined-Benefit Pension Plans 1 1 1 5 2 5 8 47
On risk management problems related to a coherence property 0 0 0 5 0 1 4 36
On stability of operational risk estimates by LDA: From causes to approaches 0 1 1 8 5 8 9 62
On the challenges in quantitative equity management 0 0 1 79 2 3 8 184
Optimal Financial Portfolios 1 1 2 78 6 9 17 259
Optimal corporate strategy under uncertainty 0 0 0 17 2 2 8 109
Option pricing and hedging under a stochastic volatility Lévy process model 0 0 0 27 4 6 7 114
Option pricing under stochastic volatility and tempered stable Lévy jumps 0 1 1 42 4 10 15 150
Option pricing with time-changed L�vy processes 0 0 0 15 2 5 8 69
Orderings and Probability Functionals Consistent with Preferences 0 0 0 16 1 3 5 64
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS 0 0 0 3 5 7 7 24
Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence 0 0 0 0 3 3 3 174
Penalizing variances for higher dependency on factors 0 0 0 5 0 1 3 16
Portfolio revision under mean-variance and mean-CVaR with transaction costs 0 0 1 41 3 5 10 153
Portfolio selection under distributional uncertainty: A relative robust CVaR approach 0 0 0 61 6 9 10 240
Portfolio selection with conservative short-selling 0 0 2 13 3 6 11 75
Portfolio selection with uncertain exit time: A robust CVaR approach 0 0 0 55 1 6 8 165
Predictability dynamics of emerging sovereign CDS markets 0 0 0 11 5 10 15 76
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions 0 0 0 32 0 1 2 144
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models 0 0 0 68 3 4 5 305
Property Derivatives for Managing European Real†Estate Risk 0 0 1 2 5 7 11 17
Quantile-Based Inference for Tempered Stable Distributions 0 1 1 11 4 9 9 45
Quanto Option Pricing with Lévy Models 0 0 1 14 5 7 10 62
RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL 0 0 1 13 1 4 8 54
Recent Developments in Robust Portfolios with a Worst-Case Approach 0 0 0 20 7 9 14 69
Recent advancements in robust optimization for investment management 0 1 5 54 8 14 25 151
Relative deviation metrics and the problem of strategy replication 1 1 1 14 2 3 3 151
Risk management and dynamic portfolio selection with stable Paretian distributions 0 0 1 35 3 3 6 162
Robust equity portfolio performance 0 0 1 17 1 2 11 92
Robust portfolios that do not tilt factor exposure 0 0 2 20 0 1 4 59
Robust portfolios: contributions from operations research and finance 0 1 5 22 3 8 21 105
Savings selectivity bias, subjective expectations and stock market participation 0 0 0 11 0 0 2 53
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics 0 0 0 7 3 4 7 61
Sentiment indices and their forecasting ability 1 1 2 16 1 4 7 44
Size, value, and momentum in emerging market stock returns 0 1 3 160 6 9 29 725
Skillful hiding: evaluating hedge fund managers’ performance based on what they hide 0 0 0 4 4 6 8 27
Smooth monotone covariance for elliptical distributions and applications in finance 0 0 0 4 0 2 2 26
Stability Tests for Alphas and Betas over Bull and Bear Market Conditions 1 1 1 313 2 3 10 702
Stability of mutual fund systematic risk statistics 0 0 0 41 1 1 1 153
Stable distributions in the Black-Litterman approach to asset allocation 0 0 0 181 2 3 7 450
State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments 0 0 0 22 1 6 7 89
Stochastic models for risk estimation in volatile markets: a survey 0 0 0 2 1 3 3 55
Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering 0 0 1 24 3 3 7 80
Svetlozar, T. Rachev, John S.J. Hsu, B.S. Bagasheva and F.J. Fabozzi, Bayesian Methods in Finance, John Wiley and Sons, USA (2008) ISBN 978-0-471-92083-0 (hardcover), $95, 329 pages 0 0 0 31 0 0 1 120
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY 0 0 2 8 1 2 7 41
Taxation of Capital Gains With Deferred Realization 0 0 0 4 2 2 3 19
Tempered stable and tempered infinitely divisible GARCH models 0 0 0 25 4 5 9 121
The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model 0 0 0 13 1 1 1 45
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation 0 0 1 222 2 4 7 649
The Over-the-Counter Market and New York Stock Exchange Trading Halts 0 0 0 0 1 2 4 408
The Reasonable Effectiveness of Mathematics in Economics 0 0 0 18 2 5 11 50
The Timeline Estimation of Bubbles: The Case of Real Estate 0 0 1 20 2 4 7 78
The information content of three credit ratings: the case of European residential mortgage-backed securities 0 0 1 8 1 5 8 48
The new issues puzzle: evidence from non-US firms 0 0 0 9 1 2 3 31
The role of jump dynamics in the risk–return relationship 0 0 0 6 3 3 6 56
The value, size, and momentum spread during distressed economic periods 0 1 2 106 2 6 10 236
Time series analysis for financial market meltdowns 1 1 1 38 6 10 14 184
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction 0 1 3 83 3 8 16 245
Trends in quantitative equity management: survey results 0 0 1 178 2 4 7 383
Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies 0 0 2 19 2 3 9 65
Valuation of Safe Harbor Tax Benefit Transfer Leases 0 0 0 22 2 2 2 159
WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS 0 0 0 1 3 5 6 21
What do robust equity portfolio models really do? 0 0 0 10 1 3 5 44
Total Journal Articles 29 66 231 8,105 477 869 1,550 26,740
3 registered items for which data could not be found

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Capital Markets: Institutions, Instruments, and Risk Management, Fifth Edition 0 0 0 0 6 22 71 765
Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management 0 0 7 74 3 5 20 205
Total Books 0 0 7 74 9 27 91 970

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Portfolio Selection Analysis with Non-Gaussian Models 0 0 2 34 0 1 6 98
Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions 0 0 0 19 1 1 2 47
Extreme Value Theory 0 0 0 55 0 3 6 174
Implied Volatility Smile with Non-Gaussian Processes 0 0 0 8 1 2 4 43
Introduction 0 0 0 6 0 0 1 18
Multivariate Time-Changed Brownian Motion 0 0 3 20 3 3 6 60
Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method 0 0 0 9 0 1 3 47
Random Variables 0 0 1 12 1 2 5 30
Stochastic Processes with Jumps 0 0 0 5 2 2 4 32
Tempered Stable Distributions 0 0 0 21 1 2 4 58
The Class of Stable Distributions 0 0 0 4 1 1 2 18
The Generalized Hyperbolic Distribution 0 1 1 17 2 3 6 55
Total Chapters 0 1 7 210 12 21 49 680

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Statistics updated 2026-02-12