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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 factors

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 Examination 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

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

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management

Author(s) :
Robert F. Engle, Sergio M. Focardi, Frank J. Fabozzi
Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp94-106.

Best Practices in Research for Quantitative Equity Strategies

Author(s) :
Joseph A. Cerniglia, Frank J. Fabozzi, Petter N. Kolm
Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp135-143., May 2016

Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model

Author(s) :
The Journal of Fixed Income, Vol. 27, No. 2: pp. 30-36, September 2017

Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction

Author(s) :
Andrew Sun, Michael Lachansky, Frank J. Fabozzi
International Review of Financial Analysis, December 2016

Kinetic Component Analysis

Author(s) :
Riccardo Rebonato, PhD
Journal of Investing, Vol. 25 Issue 3 pp. 142 - 154, Fall 2016

An improved method for pricing and hedging long dated American options

Author(s) :
Frank J.Fabozzi, TommasoPaletta, SilviaStanescu, RaduTunaru
European Journal of Operational Research, Volume 254, Issue 2, 16 October 2016, Pages 656-666

Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion

Author(s) :
Y.S. Kim, Stoyan Stoyanov, Svetlozar Rachev, Frank J. Fabozzi
Economics Letters, Volume 145, pp225-229, August 2016.