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A flexible approach to estimate the equity premium

Author(s) :
Yosef Bonaparte, Frank J. Fabozzi
Applied Economics, Volume 49, 2017 - Issue 59

How fat are the tails of equity market indices?

Author(s) :
Stoyan Stoyanov, Lixia Loh, Frank J. Fabozzi
International Journal of Finance & EconomicsVolume 22, Issue 3, July 2017 - pp 181-200

The Value of Convexity: A Theoretical and Empirical Investigation

Author(s) :
Riccardo Rebonato, Vladislav Putyatin
Quantitative Finance, July 2017

Calibrating short interest rate models in negative rate environments

Author(s) :
In this paper, different calibration approaches for short-term interest rate models are explored in a negative interest rate environment. Russo and...

Skillful hiding: evaluating hedge fund managers’ performance based on what they hide

Author(s) :
Rama Malladi, Frank J. Fabozzi
Applied Economics, Volume 49, 2017 - Issue 7, February 2017

Who Are the Value and Growth Investors?

Author(s) :
Sebastien Betermier, Laurent E. Calvet, Paolo Sodini
Journal of Finance, Volume 72, Issue 1, February 2017, pp5-46.

CDS Implied Credit Ratings

Author(s) :
Jeroen Jansen, Frank J. Fabozzi
The Journal of Fixed Income, Spring 2017, Vol. 26, No. 4: pp. 25-52

Equal-Weighted Strategy: Why it Outperforms Value-Weighted Strategies? Theory and Evidence

Author(s) :
Rama Malladi, Frank J. Fabozzi
Journal of Asset Management, May 2017, Volume 18, Issue 3, pp 188-208

Robust Factor-Based Investing

Author(s) :
Jang HoKim, Woo Chang Kim, Frank J. Fabozzi
The Journal of Portfolio Management, Special Issue 2017, Vol. 43, No. 5: pp. 157-164, March 2017

Penalizing variances for higher dependency on factprs

Author(s) :
Jang Ho Kim, Woo Chang Kim, Frank J. Fabozzi, PhD
Quantitative Finance, March 2017

Volatility Wisdom of Social Media Crowds

Author(s) :
Ahmet K. Karagozoglu, Frank J. Fabozzi
The Journal of Portfolio Management, Winter 2017, Vol. 43, No. 2: pp. 136-151

Predictability dynamics of emerging sovereign CDS markets

Author(s) :
Ahmet Sensoy, Frank J. Fabozzi, Veysel Eralsan
Economics Letters, Volume 161, December 2017, Pages 5-9

Explosive rents: The real estate market dynamics in exuberance

Author(s) :
Frank J. Fabozzi, Keli Xao
The Quarterly Review of Economics and Finance, Volume 66, November 2017, Pages 100-107 

Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios

Author(s) :
Yosef Bonaparte, Frank J. Fabozzi
Applied Economics Letters, Volume 24, 2017 - Issue 13, Spring 2017

Commodity Markets, Long-Run Predictability, and Intertemporal Pricing

Author(s) :
Adrian Fernandez-Perez,, Ana-Maria Fuertes, Joelle Miffre
Review of Finance, Volume 21, Issue 3, 1 May 2017, Pages 1159-1188

An Examinination of the Impact of the EU Ban on Naked Purchases of Sovereign Credit Default Swaps

Author(s) :
Jean-Christophe Meyfredi, Dominic O'Kane
Bankers, Markets & Investors, N.147 - Mars Avril 2017

Exploring rating shopping for european triple a senior structured finance securities

Author(s) :
Frank J. Fabozzi, Mike E. Nawas, Dennis Vink
Finance Research Letters, Volume 20, February 2017, Pages 35-39

Intensity-based framework for surrender modeling in life insurance

Author(s) :
Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi
Insurance: Mathematics and Economics, Volume 72, January 2017, Pages 189-196

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Author(s) :
Laurent E. Calvet, Adlai J. Fisher, Liuren Wu
Journal of Financial and Quantitative Analysis, January 2017

On the Estimation of the SABR Model's Beta Parameter

Author(s) :
Mengfei Zhang, Frank J. Fabozzi
The Journal of Derivatives, Fall 2016, Vol. 24, No. 1: pp. 48-57