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0000 0001 2135 7840
Fabozzi, F. J.
Fabozzi, Frank J.
Fabozzi, Frank Joseph,
Фабоцци, Фрэнк Дж
ファボッツィ, フランク J
writer of accompanying material
Bachner, Alfred W.
Bianchi, Michele Leonardo
Briley, James E
Choi, Jongmoo Jay
City University of New York
Coggin, T Daniel
Coggin, T. Daniel
Fabozzi, F. J.
Fabozzi, Frank J
Fabozzi, Frank J et al
Fabozzi, Frank J.
Fabozzi, Frank J. (1948-)
Fabozzi, T. Dessa
Feldstein, Sylvan G.
Focardi, Sergio M.
Francis, Jack C
Francis, Jack C.
Francis, Jack Clark
Groupe EDHEC (École de Hautes Études Commerciales du Nord)
Groupe EDHEC (École de Hautes Études Commerciales du Nord) / Département Comptabilité, Droit, Finance et Économie
Groupe EDHEC (École de Hautes Études Commerciales du Nord) / EDHEC-Risk
JONAS, CAROLINE L.
Kalotay, Andrew J.
KIM, YOUNG SHIN
Lee, Cheng F.
Leonardo Bianchi, Michele
Ma, Christopher K
Mann, Steven V
MITOV, GEORGI K.
Peterson Drake, Pamela (1954-)
Rachev, S. T.
RACHEV, SVETLOZAR T.
Shin Kim, Young
Stoyanov, S. V.
STOYANOV, STOYAN V.
Sun, Edward W.
Thurston, Thom B.
West, Richard R.
Analysis of the intraday effects of economic releases on the currency market
Approximation of aggregate and extremal losses within the very heavy tails framework
Approximation of skewed and leptokurtic return distributions
autoregressive conditional duration model of credit-risk contagion, An
Balancing energy strategies in electricity portfolio management
BARRIER OPTION PRICING BY BRANCHING PROCESSES
Bayesian inference for hedge funds with stable distribution of returns
Beta as a Random Coefficient
Bond markets, analysis and strategies
Calibrating affine stochastic mortality models using term assurance premiums
CAViaR-based forecast for oil price risk
Chinese equity market and the efficient frontier
Collateralized Debt Obligations and Credit Risk Transfer
COMMENT ON “WEAK CONVERGENCE TO A MATRIX STOCHASTIC INTEGRAL WITH STABLE PROCESSES”
Computing VAR and AVaR in Infinitely Divisible Distributions
Construction of probability metrics on classes of investors
CVaR sensitivity with respect to tail thickness
Demand for education in production
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers' Characteristics on Incentives Satisfaction and Size of Returns
Discretionary Wealth Approach to Investment Policy, A
Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model, The
Empirical Analyses of Industry Stock Index Return Distributions for the Taiwan Stock Exchange
empirical analysis of the CDX index and its tranches, An
empirical examination of the return distribution characteristics of agency mortgage pass-through securities, An
Equity Manager Selection and Performance.
Estimating risk-neutral density with parametric models in interest rate markets
Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors, An
Exploring the components of credit risk in credit default swaps
Fat-tailed models for risk estimation
Financial market models with Lévy processes and time-varying volatility
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns
Generalized Functional Form for Mutual Fund Returns
Holiday Trading in Futures Markets.
Household search choice: theory and evidence
How do conflicting theories about financial markets coexist?
Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model
Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation., The
Is food consumption a good proxy for nondurable consumption?
Liability Index Fund: The Liability Beta Portfolio
Macroeconomic news effects on conditional volatilities in the bond and stock markets
Market experience with modeling for defined-benefit pension funds: evidence from four countries
Market Uncertainty and the Least-Cost Offering Method of Public Utility Debt: A Note.
Mathematical programming models to determine civil service salaries
MCMC-based estimation of Markov Switching ARMA-GARCH models
methodology for index tracking based on time-series clustering, A
METRIZATION OF STOCHASTIC DOMINANCE RULES
Modeling Volatility for the Chinese Equity Markets
Momentum strategies based on reward-risk stock selection criteria
Multi-tail generalized elliptical distributions for asset returns
Multivariate Skewed Student's t Copula in the Analysis of Nonlinear and Asymmetric Dependence in the German Equity Market
Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination.
Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time
New Approach for Using Lévy Processes for Determining High-Frequency Value-at-Risk Predictions, A
new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence, A
Non-U.S. Asset-Backed Securities: Spread Determinants and Over-Reliance on Credit Ratings
note on the association between systematic risk and common stock and bond rating classifications, A
Note on Unsuccessful Tender Offers and Stockholder Returns., A
On risk management problems related to a coherence property
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
On the challenges in quantitative equity management
optimal design of collateralized mortgage obligation with PAC-companion structure using dynamic cash reserve, An
Optimal Financial Portfolios
Optimal mortgage refinancing: application of bond valuation tools to household risk management
Optimum Corporate Leverage with Risky Debt: A Demand Approach
Option pricing and hedging under a stochastic volatility Lévy process model
Orderings and Probability Functionals Consistent with Preferences
Over-the-Counter Market and New York Stock Exchange Trading Halts., The
Partial Elasticities of Factor Substitution Based on the CES Production Function: Some Empirical Evidence.
Portfolio selection under distributional uncertainty: A relative robust CVaR approach
Portfolio selection with uncertain exit time: A robust CVaR approach
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
Pricing of credit default index swap tranches with one-factor heavy-tailed copula models
profit model for spread trading with an application to energy futures, A
PROPER USE OF RISK MEASURES IN PORTFOLIO THEORY, THE
Property Derivatives for Managing European Real-Estate Risk
Refunding efficiency: a generalized approach
Relative deviation metrics and the problem of strategy replication
risk-based evaluation of the free-trader option, A
Risk management and dynamic portfolio selection with stable Paretian distributions
Savings selectivity bias, subjective expectations and stock market participation
Securitization: The Tool of Financial Transformation
Stability of mutual fund systematic risk statistics
Stability Tests for Alphas and Betas over Bull and Bear Market Conditions.
Stable distributions in the Black-Litterman approach to asset allocation
State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments
Structured Finance Market, The : An Investor's Perspective
Tempered infinitely divisible distributions and processes
Tempered stable and tempered infinitely divisible GARCH models
Time series analysis for financial market meltdowns
Trends in quantitative equity management: survey results
Valuation of Safe Harbor Tax Benefit Transfer Leases.
value, size, and momentum spread during distressed economic periods, The
Contributed to or performed:
FINANCIAL ANALYSTS JOURNAL
Microfilm edition (1 reel)--Positive; filmed by University Microfilms
Thesis (Ph. D.)--City University of New York