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 0 0 4 54
A profit model for spread trading with an application to energy futures 0 0 1 302 4 8 18 818
Analysis of the intraday effects of economic releases on the currency market 0 0 0 67 2 2 8 185
Another Look at the Ho-Lee Bond Option Pricing Model 0 1 1 11 2 5 13 46
Bayesian inference for hedge funds with stable distribution of returns 0 0 0 66 2 5 18 185
Behavioral Finance -- Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle: The Rational Finance Approach 0 0 1 64 2 5 15 189
Behavioral Finance Option Pricing Formulas Consistent with Rational Dynamic Asset Pricing 0 0 1 44 0 0 7 79
CVaR sensitivity with respect to tail thickness 0 0 0 47 1 5 13 137
Calibrating the Italian smile with time-varying volatility and heavy-tailed models 0 0 0 31 2 3 8 103
Enhancing Binomial and Trinomial Equity Option Pricing Models 0 0 0 11 2 6 7 35
Fat-tailed models for risk estimation 0 0 1 112 3 9 15 194
Financial market with no riskless (safe) asset 0 0 2 21 1 1 14 42
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 0 0 0 92 0 7 18 299
Multi-Purpose Binomial Model: Fitting all Moments to the Underlying Geometric Brownian Motion 0 0 0 10 2 5 8 49
Multiple Subordinated Modeling of Asset Returns 0 0 1 11 3 4 10 56
Option Pricing with Greed and Fear Factor: The Rational Finance Approach 0 0 0 28 2 4 8 72
Option pricing for Informed Traders 0 0 0 12 4 5 19 52
Option pricing with regime switching tempered stable processes 0 0 0 9 2 2 10 56
Pricing Derivatives in Hermite Markets 0 0 0 5 1 3 8 34
Pricing derivatives in Hermite markets 0 0 0 7 1 1 6 28
Technical Review Panel for the Pension Insurance Modeling System (PIMS) 0 0 0 16 2 4 13 89
Tempered infinitely divisible distributions and processes 0 0 0 27 2 4 17 176
Tempered stable Ornstein-Uhlenbeck processes: a practical view 0 0 0 63 0 2 9 199
Tempered stable and tempered infinitely divisible GARCH models 0 0 1 57 5 14 24 205
The ICA-based Factor Decomposition of the Eurozone Sovereign CDS Spreads 1 1 3 58 2 13 28 205
Time series analysis for financial market meltdowns 0 0 1 131 4 6 14 271
Total Working Papers 1 2 14 1,314 51 123 332 3,858

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 8 20 64 1,243 21 47 175 2,571
A New Approach for Using Lévy Processes for Determining High‐Frequency Value‐at‐Risk Predictions 0 0 0 47 1 2 5 126
A Note on the Discriminatory Effects of Monetary Policy and the Use of Trade Credit 0 0 0 17 2 2 6 70
A Pricing Framework for Real Estate Derivatives 0 2 4 57 3 9 25 121
A Three-Factor Model for Mortality Modeling 0 0 0 1 0 0 3 13
A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates 0 1 1 17 2 3 5 114
A flexible approach to estimate the equity premium 0 0 0 3 1 1 3 20
A methodology for index tracking based on time-series clustering 0 0 1 76 1 1 8 190
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence 0 0 0 86 1 4 10 211
A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance 2 3 14 460 10 18 56 1,114
A new method for generating approximation algorithms for financial mathematics applications 0 0 0 3 3 3 6 30
A note on the association between systematic risk and common stock and bond rating classifications 0 0 0 29 1 1 3 116
A risk-based evaluation of the free-trader option 0 0 0 27 3 6 7 71
AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES 1 6 17 44 7 16 45 134
An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors 0 0 2 107 1 2 12 239
An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey 0 0 0 1 1 2 6 27
An empirical analysis of the CDX index and its tranches 0 0 0 64 2 4 7 187
An empirical examination of the return distribution characteristics of agency mortgage pass-through securities 0 0 0 34 2 2 4 164
An improved least squares Monte Carlo valuation method based on heteroscedasticity 0 0 0 43 2 4 11 141
An improved method for pricing and hedging long dated American options 0 0 1 9 3 4 10 53
An optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve 0 0 0 27 0 0 1 115
Analysis of the intraday effects of economic releases on the currency market 0 0 0 27 5 8 18 152
Approximation of Stable and Geometric Stable Distribution 0 0 0 5 2 2 7 53
Approximation of aggregate and extremal losses within the very heavy tails framework 0 0 0 4 1 2 4 60
Approximation of skewed and leptokurtic return distributions 0 0 0 45 4 5 12 206
BARRIER OPTION PRICING BY BRANCHING PROCESSES 0 0 1 6 1 2 5 31
Balancing energy strategies in electricity portfolio management 0 0 1 67 0 0 12 216
Bayesian estimation of truncated data with applications to operational risk measurement 0 0 0 5 2 2 3 52
Beta as a Random Coefficient 0 0 0 149 0 1 4 345
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty 0 0 0 5 2 3 6 41
Black swans and white eagles: on mathematics and finance 0 0 0 7 2 3 6 29
CAViaR-based forecast for oil price risk 0 0 1 94 3 7 11 354
CVaR sensitivity with respect to tail thickness 0 0 0 14 1 1 3 70
Calibrating affine stochastic mortality models using term assurance premiums 0 0 0 28 1 3 7 129
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models 0 0 0 2 0 1 8 29
Composition of robust equity portfolios 0 0 0 22 3 6 13 92
Computational aspects of portfolio risk estimation in volatile markets: a survey 0 0 1 13 0 0 7 68
Construction of probability metrics on classes of investors 0 0 0 15 3 4 6 79
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments 0 0 0 27 3 6 27 154
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY 0 0 1 8 3 3 11 48
Deciphering robust portfolios 0 0 2 25 7 9 16 97
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 5 122
Discussion of ‘on simulation and properties of the stable law’ by Devroye and James 0 0 0 7 0 0 3 31
Diversification versus optimality: is there really a diversification puzzle? 0 0 0 10 1 6 12 55
Does the corporate bond market overvalue bonds of sin companies? 0 0 2 27 3 3 15 104
Effective Capital Gains Tax Rates: A Reply 0 0 0 0 0 1 6 17
Effectiveness of developed and emerging market FX options in active currency risk management 0 1 2 44 2 4 16 161
Effects of Spot Market Short-Sale Constraints on Index Futures Trading 0 0 0 3 1 2 7 42
Elliptical tempered stable distribution 0 0 0 2 0 0 3 16
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange 0 0 0 22 1 6 10 203
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data 0 0 3 126 3 9 17 312
Enhancing binomial and trinomial equity option pricing models 0 0 3 21 3 7 19 92
Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence 0 2 10 85 4 22 64 355
Equity Manager Selection and Performance 0 0 0 166 3 5 5 342
Equity style allocation: A nonparametric approach 0 0 0 9 3 3 12 57
Estimating risk-neutral density with parametric models in interest rate markets 0 0 2 56 4 5 13 254
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios 0 1 1 2 2 4 5 18
Exploring rating shopping for european triple a senior structured finance securities 0 0 0 1 1 1 2 39
Exploring the components of credit risk in credit default swaps 0 0 0 294 0 5 10 693
Explosive rents: The real estate market dynamics in exuberance 0 0 0 20 4 4 14 94
Extracting market information from equity options with exponential Lévy processes 0 0 1 21 2 4 17 114
FACTOR UNIQUENESS IN THE S&P 500 UNIVERSE: CAN PROPRIETARY FACTORS EXIST? 0 0 0 2 2 4 13 34
FINANCIAL MARKETS WITH NO RISKLESS (SAFE) ASSET 0 0 0 9 2 3 12 71
Factor decomposition of the Eurozone sovereign CDS spreads 0 0 1 35 7 9 21 121
Financial market models with Lévy processes and time-varying volatility 0 0 1 143 1 4 13 395
Focusing on the worst state for robust investing 0 0 0 7 2 2 2 63
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration 0 0 0 41 3 3 9 230
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 13 114
Fuzzy decision fusion approach for loss-given-default modeling 0 0 0 20 3 4 13 83
Generalized Functional Form for Mutual Fund Returns 0 0 0 2 1 3 9 26
Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques 0 1 1 25 8 11 19 116
Holiday Trading in Futures Markets 0 0 1 88 5 8 21 332
Household search choice: theory and evidence 0 0 0 11 1 1 9 108
How do conflicting theories about financial markets coexist? 0 0 0 38 4 4 11 225
How fat are the tails of equity market indices? 0 0 0 7 0 0 2 32
Improving corporate bond recovery rate prediction using multi-factor support vector regressions 1 1 4 45 4 5 18 147
Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model 0 0 0 102 1 3 8 269
Intensity-based framework for surrender modeling in life insurance 1 1 3 32 7 8 21 122
International corporate finance: Mark R. Eaker, Frank J. Fabozzi, and Dwight Grant, Fort Worth, TX: Dryden Press, 1996, 588 pp 0 0 0 97 1 2 10 400
Introduction to special issue: studies in mathematical and empirical finance 0 0 1 1 1 1 3 10
Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads 1 2 2 14 2 5 10 56
Is food consumption a good proxy for nondurable consumption? 0 0 0 10 1 1 3 91
Liability Index Fund: The Liability Beta Portfolio 0 0 0 0 2 4 12 211
Local volatility and the recovery rate of credit default swaps 0 0 0 7 3 4 12 60
Looking Beyond Credit Ratings: Factors Investors Consider In Pricing European Asset†Backed Securities 0 0 0 7 3 3 10 43
MCMC-based estimation of Markov Switching ARMA-GARCH models 0 1 4 80 2 5 12 303
METRIZATION OF STOCHASTIC DOMINANCE RULES 0 0 0 5 2 3 6 26
Macroeconomic news effects on conditional volatilities in the bond and stock markets 0 1 1 94 1 4 7 275
Macroeconomic variable selection for creditor recovery rates 0 0 3 79 5 7 19 269
Market experience with modeling for defined-benefit pension funds: evidence from four countries 0 0 1 81 2 4 9 194
Market implied volatilities for defaultable bonds 0 0 2 7 0 2 8 37
Market overreaction and underreaction: tests of the directional and magnitude effects 0 0 0 30 0 1 6 103
Mathematical Programming in American Companies: A Sample Survey 0 0 0 0 0 0 0 6
Mathematical programming models to determine civil service salaries 0 0 0 13 1 1 4 45
Measuring and explaining pension system risk* 0 1 2 19 2 3 8 91
Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model 0 0 0 4 2 3 11 50
Modeling Volatility for the Chinese Equity Markets 0 0 0 42 5 6 16 260
Momentum strategies based on reward-risk stock selection criteria 0 0 3 149 0 3 18 509
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion 0 0 2 9 8 9 27 84
Multi-tail generalized elliptical distributions for asset returns 0 0 0 40 1 2 10 230
Multiperiod conditional valuation of barrier options with incomplete information 0 0 0 2 1 2 6 18
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market 0 0 2 260 5 6 16 718
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination 0 0 1 156 1 2 8 389
Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time 0 0 0 2 4 5 9 37
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS 0 0 0 4 2 3 6 16
OPTIMUM CORPORATE LEVERAGE WITH RISKY DEBT: A DEMAND APPROACH 0 0 0 0 4 4 6 24
OR PRACTICE---Assisting Defined-Benefit Pension Plans 0 0 1 5 1 2 8 49
On risk management problems related to a coherence property 0 0 0 5 0 0 3 36
On stability of operational risk estimates by LDA: From causes to approaches 0 0 1 8 2 4 13 66
On the challenges in quantitative equity management 0 0 0 79 2 2 9 186
Optimal Financial Portfolios 0 0 2 78 1 2 15 261
Optimal corporate strategy under uncertainty 0 1 1 18 2 3 10 112
Option pricing and hedging under a stochastic volatility Lévy process model 0 0 0 27 2 3 10 117
Option pricing under stochastic volatility and tempered stable Lévy jumps 0 0 1 42 2 4 16 154
Option pricing with time-changed L�vy processes 0 0 0 15 1 2 10 71
Orderings and Probability Functionals Consistent with Preferences 0 0 0 16 3 3 7 67
PORTFOLIO SELECTION PROBLEMS CONSISTENT WITH GIVEN PREFERENCE ORDERINGS 0 0 0 3 1 2 9 26
Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence 0 0 0 0 1 1 4 175
Penalizing variances for higher dependency on factors 0 0 0 5 0 0 3 16
Portfolio revision under mean-variance and mean-CVaR with transaction costs 0 1 2 42 3 5 14 158
Portfolio selection under distributional uncertainty: A relative robust CVaR approach 1 1 1 62 2 4 14 244
Portfolio selection with conservative short-selling 1 1 2 14 5 10 18 85
Portfolio selection with uncertain exit time: A robust CVaR approach 0 1 1 56 3 5 13 170
Predictability dynamics of emerging sovereign CDS markets 0 0 0 11 2 3 17 79
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions 0 0 0 32 1 2 4 146
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models 0 0 0 68 2 6 10 311
Property Derivatives for Managing European Real†Estate Risk 0 0 1 2 3 5 15 22
Quantile-Based Inference for Tempered Stable Distributions 0 0 1 11 3 7 16 52
Quanto Option Pricing with Lévy Models 0 0 1 14 3 3 13 65
RIDING WITH THE FOUR HORSEMEN AND THE MULTIVARIATE NORMAL TEMPERED STABLE MODEL 0 0 1 13 2 2 10 56
Recent Developments in Robust Portfolios with a Worst-Case Approach 0 0 0 20 0 10 24 79
Recent advancements in robust optimization for investment management 1 1 3 55 2 4 25 155
Relative deviation metrics and the problem of strategy replication 0 0 1 14 0 0 3 151
Risk management and dynamic portfolio selection with stable Paretian distributions 0 0 0 35 1 3 8 165
Robust equity portfolio performance 0 0 1 17 2 3 12 95
Robust portfolios that do not tilt factor exposure 0 0 0 20 1 1 3 60
Robust portfolios: contributions from operations research and finance 0 1 5 23 2 4 22 109
Savings selectivity bias, subjective expectations and stock market participation 0 0 0 11 3 4 6 57
Sensitivity of portfolio VaR and CVaR to portfolio return characteristics 0 0 0 7 0 3 9 64
Sentiment indices and their forecasting ability 1 1 2 17 3 3 9 47
Size, value, and momentum in emerging market stock returns 0 1 2 161 8 17 42 742
Skillful hiding: evaluating hedge fund managers’ performance based on what they hide 0 0 0 4 8 9 16 36
Smooth monotone covariance for elliptical distributions and applications in finance 0 0 0 4 1 3 5 29
Stability Tests for Alphas and Betas over Bull and Bear Market Conditions 0 0 1 313 2 4 9 706
Stability of mutual fund systematic risk statistics 0 0 0 41 2 4 5 157
Stable distributions in the Black-Litterman approach to asset allocation 1 1 1 182 3 3 7 453
State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments 0 0 0 22 0 2 8 91
Stochastic models for risk estimation in volatile markets: a survey 0 0 0 2 0 3 6 58
Svetlozar T. Rachev, Young Shin Kim, Michele L. Bianchi, Frank J. Fabozzi: Financial models with Lévy processes and volatility clustering 0 0 1 24 2 4 11 84
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 1 3 4 123
THE PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY 0 0 1 8 1 2 7 43
Taxation of Capital Gains With Deferred Realization 0 0 0 4 1 1 3 20
Tempered stable and tempered infinitely divisible GARCH models 0 0 0 25 1 2 11 123
The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model 0 0 0 13 1 1 2 46
The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation 0 0 1 222 0 2 9 651
The Over-the-Counter Market and New York Stock Exchange Trading Halts 0 0 0 0 2 2 5 410
The Reasonable Effectiveness of Mathematics in Economics 0 0 0 18 2 2 10 52
The Timeline Estimation of Bubbles: The Case of Real Estate 0 0 0 20 1 1 6 79
The information content of three credit ratings: the case of European residential mortgage-backed securities 0 0 0 8 1 1 8 49
The new issues puzzle: evidence from non-US firms 0 0 0 9 2 2 4 33
The role of jump dynamics in the risk–return relationship 0 0 0 6 0 1 7 57
The value, size, and momentum spread during distressed economic periods 0 0 2 106 2 2 11 238
Time series analysis for financial market meltdowns 0 0 1 38 2 2 15 186
Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction 0 0 3 83 1 5 19 250
Trends in quantitative equity management: survey results 0 0 1 178 2 5 12 388
Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies 0 0 2 19 1 3 12 68
Valuation of Safe Harbor Tax Benefit Transfer Leases 0 0 0 22 0 1 3 160
WHY IRA AND KEOGH PLANS SHOULD AVOID GROWTH STOCKS 0 0 0 1 2 2 8 23
What do robust equity portfolio models really do? 0 0 0 10 1 1 6 45
Total Journal Articles 19 54 214 8,159 370 662 1,988 27,402
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 16 41 96 806
Handbook of Heavy-Tailed Distributions in Asset Management and Risk Management 0 0 3 74 3 3 16 208
Total Books 0 0 3 74 19 44 112 1,014

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 0 34 2 2 3 100
Application of Extreme Value Theory to Estimate Tail Thickness for Asset Return Distributions 0 0 0 19 2 2 4 49
Extreme Value Theory 0 0 0 55 4 5 10 179
Implied Volatility Smile with Non-Gaussian Processes 0 0 0 8 1 1 4 44
Introduction 1 1 1 7 2 4 4 22
Multivariate Time-Changed Brownian Motion 0 1 2 21 6 7 11 67
Multivariate Time-Changed Brownian Motion: The Expectation–Maximization Estimation Method 0 0 0 9 2 2 3 49
Random Variables 1 1 1 13 2 2 6 32
Stochastic Processes with Jumps 0 0 0 5 1 1 3 33
Tempered Stable Distributions 0 0 0 21 1 1 5 59
The Class of Stable Distributions 0 0 0 4 1 2 3 20
The Generalized Hyperbolic Distribution 0 0 1 17 3 5 10 60
Total Chapters 2 3 5 213 27 34 66 714

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Statistics updated 2026-05-06