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 0 11 1 1 2 50
A profit model for spread trading with an application to energy futures 0 0 4 300 0 2 11 798
Analysis of the intraday effects of economic releases on the currency market 0 0 1 66 1 1 2 176
Another Look at the Ho-Lee Bond Option Pricing Model 0 0 0 10 0 0 0 32
Bayesian inference for hedge funds with stable distribution of returns 0 0 0 66 0 0 0 167
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 0 1 63 0 1 4 174
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing 0 0 0 43 0 0 2 72
CVaR sensitivity with respect to tail thickness 0 0 0 47 0 0 1 122
Calibrating the Italian smile with time-varying volatility and heavy-tailed models 0 0 0 31 0 0 4 94
Enhancing Binomial and Trinomial Equity Option Pricing Models 0 1 3 11 0 1 3 28
Fat-tailed models for risk estimation 0 1 1 111 1 3 4 178
Financial market with no riskless (safe) asset 0 0 0 19 1 2 3 28
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 0 0 0 92 0 0 2 279
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion 1 1 1 10 1 1 2 41
Multiple Subordinated Modeling of Asset Returns 0 1 1 10 0 2 3 43
Option Pricing with Greed and Fear Factor: The Rational Finance Approach 0 1 2 28 0 2 4 63
Option pricing for Informed Traders 0 1 1 12 0 2 2 33
Option pricing with regime switching tempered stable processes 0 0 0 9 0 0 2 43
Pricing Derivatives in Hermite Markets 0 0 0 5 0 0 3 25
Pricing derivatives in Hermite markets 0 0 0 7 0 1 2 20
Technical Review Panel for the Pension Insurance Modeling System (PIMS) 0 0 0 15 0 1 4 75
Tempered infinitely divisible distributions and processes 0 0 1 27 0 0 1 159
Tempered stable Ornstein-Uhlenbeck processes: a practical view 0 0 0 62 0 1 2 187
Tempered stable and tempered infinitely divisible GARCH models 0 1 1 56 0 1 3 181
The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads 0 0 2 55 0 2 8 176
Time series analysis for financial market meltdowns 0 0 1 130 0 1 3 257
Total Working Papers 1 7 20 1,296 5 25 77 3,501


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 6 21 83 1,162 10 36 196 2,358
A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions 0 0 0 47 0 0 0 120
A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit 0 0 0 17 0 1 4 63
A Pricing Framework for Real Estate Derivatives 0 0 8 51 1 1 12 94
A Three-Factor Model for Mortality Modeling 0 0 0 1 0 0 0 9
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates 0 0 0 16 0 0 2 109
A flexible approach to estimate the equity premium 0 0 0 3 0 0 0 16
A methodology for index tracking based on time-series clustering 0 0 6 75 3 5 13 182
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence 0 0 1 86 0 0 3 200
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance 1 6 19 440 3 12 37 1,049
A new method for generating approximation algorithms for financial mathematics applications 0 0 0 3 0 0 0 24
A note on the association between systematic risk and common stock and bond rating classifications 0 0 1 29 0 0 1 113
A risk-based evaluation of the free-trader option 0 0 0 27 0 0 0 64
AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES 1 1 5 24 1 2 18 83
An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors 0 0 2 101 0 1 5 223
An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey 0 0 0 0 0 0 0 19
An empirical analysis of the CDX index and its tranches 0 0 2 64 0 0 4 180
An empirical examination of the return distribution characteristics of agency mortgage pass-through securities 0 0 0 34 0 0 0 160
An improved least squares Monte Carlo valuation method based on heteroscedasticity 1 1 3 43 3 3 9 129
An improved method for pricing and hedging long dated American options 0 0 0 8 0 0 0 42
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve 0 0 0 27 0 0 0 113
Analysis of the intraday effects of economic releases on the currency market 0 0 2 27 0 0 5 134
Approximation of Stable and Geometric Stable Distribution 0 0 0 5 0 1 1 41
Approximation of aggregate and extremal losses within the very heavy tails framework 0 0 0 4 0 0 0 56
Approximation of skewed and leptokurtic return distributions 0 0 0 44 0 0 0 193
BARRIER OPTION PRICING BY BRANCHING PROCESSES 0 0 0 5 0 0 0 24
Balancing energy strategies in electricity portfolio management 0 0 0 66 0 1 2 204
Bayesian estimation of truncated data with applications to operational risk measurement 0 0 0 5 0 1 4 49
Beta as a Random Coefficient 0 0 1 147 0 1 9 338
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty 0 1 1 5 0 2 5 35
Black swans and white eagles: on mathematics and finance 0 0 1 7 0 0 2 22
CAViaR-based forecast for oil price risk 0 0 1 93 0 0 3 343
CVaR sensitivity with respect to tail thickness 0 0 0 14 0 0 1 67
Calibrating affine stochastic mortality models using term assurance premiums 0 1 1 28 0 1 2 122
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models 0 0 0 2 0 0 1 21
Composition of robust equity portfolios 0 0 0 22 0 0 0 79
Computational aspects of portfolio risk estimation in volatile markets: a survey 0 0 0 12 0 0 0 59
Construction of probability metrics on classes of investors 0 0 0 15 0 0 0 73
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments 0 0 0 26 0 1 3 124
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY 0 0 0 7 0 1 2 36
Deciphering robust portfolios 0 0 1 23 1 1 4 81
Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns 0 0 0 10 0 0 1 116
Discussion of ‘on simulation and properties of the stable law’ by Devroye and James 0 0 0 7 0 0 0 28
Diversification versus optimality: is there really a diversification puzzle? 0 0 1 10 0 0 2 42
Does the corporate bond market overvalue bonds of sin companies? 0 1 1 24 0 1 2 88
Effective Capital Gains Tax Rates: A Reply 0 0 0 0 0 0 0 10
Effectiveness of developed and emerging market FX options in active currency risk management 0 0 4 37 1 1 13 136
Effects of Spot Market Short-Sale Constraints on Index Futures Trading 0 0 0 3 0 0 0 34
Elliptical tempered stable distribution 0 0 0 2 0 0 1 13
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange 0 0 0 22 0 0 2 193
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data 0 0 3 122 1 1 6 292
Enhancing binomial and trinomial equity option pricing models 0 0 1 18 1 2 12 72
Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence 0 1 7 74 2 4 23 283
Equity Manager Selection and Performance 0 0 0 166 0 1 2 336
Equity style allocation: A nonparametric approach 0 0 1 9 0 0 1 44
Estimating risk-neutral density with parametric models in interest rate markets 0 1 3 52 5 9 21 239
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios 0 0 0 1 0 0 0 12
Exploring rating shopping for european triple a senior structured finance securities 0 0 0 1 0 0 0 37
Exploring the components of credit risk in credit default swaps 0 0 6 294 1 3 11 683
Explosive rents: The real estate market dynamics in exuberance 0 0 0 20 0 1 2 78
Extracting market information from equity options with exponential Lévy processes 0 0 1 20 0 2 5 94
FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? 0 0 0 1 1 1 1 19
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET 0 0 1 9 0 2 7 57
Factor decomposition of the Eurozone sovereign CDS spreads 0 0 1 34 0 0 4 100
Financial market models with Lévy processes and time-varying volatility 0 0 1 141 0 0 4 380
Focusing on the worst state for robust investing 0 0 0 7 0 0 1 60
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration 0 0 0 41 0 0 2 221
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns 0 0 0 32 0 0 2 101
Fuzzy decision fusion approach for loss-given-default modeling 0 0 1 20 2 3 5 70
Generalized Functional Form for Mutual Fund Returns 0 0 0 2 0 0 0 17
Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques 0 1 1 23 0 1 5 96
Holiday Trading in Futures Markets 0 0 3 87 1 3 8 311
Household search choice: theory and evidence 0 0 0 11 0 0 0 99
How do conflicting theories about financial markets coexist? 0 0 0 38 0 0 0 213
How fat are the tails of equity market indices? 0 0 1 7 0 0 1 30
Improving corporate bond recovery rate prediction using multi-factor support vector regressions 0 1 2 41 0 2 10 129
Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model 0 0 0 102 0 1 3 261
Intensity-based framework for surrender modeling in life insurance 0 0 0 28 2 2 7 98
International corporate finance: Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp 0 0 1 97 0 0 1 390
Introduction to special issue: studies in mathematical and empirical finance 0 0 0 0 0 0 0 7
Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads 0 0 0 12 0 1 1 44
Is food consumption a good proxy for nondurable consumption? 0 0 0 10 0 0 0 86
Liability Index Fund: The Liability Beta Portfolio 0 0 0 0 1 8 14 195
Local volatility and the recovery rate of credit default swaps 0 0 1 7 0 0 2 48
Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities 0 1 2 7 0 2 3 32
MCMC-based estimation of Markov Switching ARMA-GARCH models 0 0 3 74 0 0 5 289
METRIZATION OF STOCHASTIC DOMINANCE RULES 0 0 0 5 0 0 0 18
Macroeconomic news effects on conditional volatilities in the bond and stock markets 0 0 0 93 0 0 0 268
Macroeconomic variable selection for creditor recovery rates 0 3 9 75 5 15 31 249
Market experience with modeling for defined-benefit pension funds: evidence from four countries 0 0 0 80 0 0 2 185
Market implied volatilities for defaultable bonds 0 0 0 5 0 0 2 29
Market overreaction and underreaction: tests of the directional and magnitude effects 0 0 0 30 0 0 0 97
Mathematical Programming in American Companies: A Sample Survey 0 0 0 0 0 0 0 5
Mathematical programming models to determine civil service salaries 0 0 0 13 0 0 0 41
Measuring and explaining pension system risk* 0 0 0 17 0 0 1 83
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 0 0 1 4 0 0 4 36
Modeling Volatility for the Chinese Equity Markets 0 0 0 42 0 1 2 244
Momentum strategies based on reward-risk stock selection criteria 0 1 2 144 1 3 11 488
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion 0 0 2 7 0 0 8 56
Multi-tail generalized elliptical distributions for asset returns 0 0 0 40 0 1 1 220
Multiperiod conditional valuation of barrier options with incomplete information 0 0 0 2 0 0 0 12
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market 0 0 1 258 0 1 5 700
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination 0 0 0 155 0 0 0 381
Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time 0 0 0 2 0 0 0 27
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS 0 0 1 4 0 0 1 9
OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH 0 0 0 0 0 0 0 18
OR PRACTICE---Assisting Defined-Benefit Pension Plans 0 0 1 4 0 0 1 39
On risk management problems related to a coherence property 0 0 0 5 0 0 0 32
On stability of operational risk estimates by LDA: From causes to approaches 0 0 0 7 0 0 0 53
On the challenges in quantitative equity management 0 0 0 78 0 0 0 176
Optimal Financial Portfolios 0 0 3 76 0 0 5 242
Optimal corporate strategy under uncertainty 0 0 0 17 0 0 1 101
Option pricing and hedging under a stochastic volatility Lévy process model 0 0 0 27 0 0 1 107
Option pricing under stochastic volatility and tempered stable Lévy jumps 0 0 0 41 0 0 3 135
Option pricing with time-changed L�vy processes 0 0 0 15 1 1 1 61
Orderings and Probability Functionals Consistent with Preferences 0 0 0 16 0 1 1 59
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS 0 0 0 3 1 1 3 17
Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence 0 0 0 0 0 1 1 171
Penalizing variances for higher dependency on factors 0 0 0 5 0 0 0 13
Portfolio revision under mean-variance and mean-CVaR with transaction costs 0 0 1 40 0 1 6 143
Portfolio selection under distributional uncertainty: A relative robust CVaR approach 0 0 0 61 0 0 2 230
Portfolio selection with conservative short-selling 0 0 0 11 0 0 3 64
Portfolio selection with uncertain exit time: A robust CVaR approach 0 0 0 55 0 0 1 157
Predictability dynamics of emerging sovereign CDS markets 0 0 1 11 0 0 3 61
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions 0 0 0 32 0 0 0 142
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models 0 0 0 68 0 0 1 300
Property Derivatives for Managing European Real†Estate Risk 0 0 0 1 0 0 1 6
Quantile-Based Inference for Tempered Stable Distributions 0 0 0 10 0 0 1 36
Quanto Option Pricing with Lévy Models 0 0 2 13 0 0 4 52
RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL 0 0 2 12 0 0 3 46
Recent Developments in Robust Portfolios with a Worst-Case Approach 0 0 5 20 0 3 9 55
Recent advancements in robust optimization for investment management 0 0 3 49 1 3 12 126
Relative deviation metrics and the problem of strategy replication 0 0 0 13 0 0 2 148
Risk management and dynamic portfolio selection with stable Paretian distributions 0 0 0 34 0 0 2 156
Robust equity portfolio performance 0 0 1 16 0 2 5 81
Robust portfolios that do not tilt factor exposure 0 0 2 18 2 2 5 55
Robust portfolios: contributions from operations research and finance 0 0 1 17 0 0 4 84
Savings selectivity bias, subjective expectations and stock market participation 0 0 0 11 0 0 0 51
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics 0 0 0 7 0 0 3 54
Sentiment indices and their forecasting ability 0 0 2 14 1 1 3 37
Size, value, and momentum in emerging market stock returns 1 1 2 157 3 4 18 696
Skillful hiding: evaluating hedge fund managers’ performance based on what they hide 0 0 0 4 0 0 2 19
Smooth monotone covariance for elliptical distributions and applications in finance 0 0 0 4 0 0 1 24
Stability Tests for Alphas and Betas over Bull and Bear Market Conditions 0 0 1 312 0 1 3 692
Stability of mutual fund systematic risk statistics 0 0 1 41 0 0 1 152
Stable distributions in the Black-Litterman approach to asset allocation 0 0 1 181 0 1 4 443
State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments 0 0 1 22 0 0 1 82
Stochastic models for risk estimation in volatile markets: a survey 0 0 0 2 0 0 1 52
Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering 0 0 0 23 0 0 3 73
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 1 1 31 0 1 1 119
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY 0 0 2 6 1 1 9 34
Taxation of Capital Gains With Deferred Realization 0 0 1 4 0 0 1 16
Tempered stable and tempered infinitely divisible GARCH models 0 0 1 25 1 3 5 112
The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model 0 0 0 13 0 0 1 44
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation 1 1 2 221 1 1 6 642
The Over-the-Counter Market and New York Stock Exchange Trading Halts 0 0 0 0 0 1 1 404
The Reasonable Effectiveness of Mathematics in Economics 0 1 3 18 0 3 8 39
The Timeline Estimation of Bubbles: The Case of Real Estate 1 1 3 19 1 2 5 71
The information content of three credit ratings: the case of European residential mortgage-backed securities 0 0 0 7 0 0 0 40
The new issues puzzle: evidence from non-US firms 0 0 0 9 0 0 0 28
The role of jump dynamics in the risk–return relationship 0 0 0 6 0 0 1 50
The value, size, and momentum spread during distressed economic periods 0 0 0 104 0 0 0 226
Time series analysis for financial market meltdowns 0 0 1 37 0 1 6 170
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction 0 0 1 80 0 0 9 229
Trends in quantitative equity management: survey results 0 0 0 177 1 1 3 376
Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies 0 0 0 17 0 2 4 56
Valuation of Safe Harbor Tax Benefit Transfer Leases 0 0 0 22 0 0 0 157
WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS 0 0 0 1 0 0 0 15
What do robust equity portfolio models really do? 1 1 1 10 1 2 3 39
Total Journal Articles 13 47 246 7,874 61 183 790 25,190
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 4 16 92 694
Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management 2 4 15 67 2 4 24 185
Total Books 2 4 15 67 6 20 116 879


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 3 32 0 0 4 92
Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions 0 0 0 19 0 0 0 45
Extreme Value Theory 0 0 6 55 1 1 13 168
Implied Volatility Smile with Non-Gaussian Processes 0 0 0 8 0 0 1 39
Introduction 0 0 1 6 0 0 2 17
Multivariate Time-Changed Brownian Motion 0 0 0 17 0 0 4 54
Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method 0 0 0 9 0 0 1 44
Random Variables 1 1 2 11 1 1 2 25
Stochastic Processes with Jumps 0 0 0 5 0 0 3 28
Tempered Stable Distributions 0 1 4 21 1 3 6 54
The Class of Stable Distributions 0 0 0 4 0 0 1 16
The Generalized Hyperbolic Distribution 0 0 2 16 0 1 3 49
Total Chapters 1 2 18 203 3 6 40 631


Statistics updated 2025-02-05