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Thisse, Jacques-François
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ECONIS (ZBW)
79
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1
What difference do new factor models make in portfolio allocation?
Fabozzi, Frank J.
;
Huang, Dashan
;
Jiang, Fuwei
;
Wang, Jiexun
- In:
Journal of international money and finance
140
(
2024
),
pp. 1-20
Persistent link: https://www.econbiz.de/10014451422
Saved in:
2
The battle of the factors : macroeconomic variables or investor sentiment?
Mascio, David A.
;
Molyboga, Marat
;
Fabozzi, Frank J.
- In:
Journal of forecasting
42
(
2023
)
8
,
pp. 2280-2291
Persistent link: https://www.econbiz.de/10014432891
Saved in:
3
A comparison of multi-factor term structure models for interbank rates
Fabozzi, Frank J.
;
Fabozzi, Francesco A.
;
Tunaru, Diana
- In:
Review of quantitative finance and accounting
61
(
2023
)
1
,
pp. 323-356
Persistent link: https://www.econbiz.de/10014342033
Saved in:
4
Editor's introduction for the 2023 special issue on multi-asset strategies and asset allocation
Fabozzi, Frank J.
- In:
The journal of portfolio management : JPM
49
(
2023
)
4
,
pp. 1-3
Persistent link: https://www.econbiz.de/10014232240
Saved in:
5
Primer on agency mortgage-backed securities specified pools and their convexity profiles
Schultz, Glenn M.
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
31
(
2022
)
4
,
pp. 33-49
Persistent link: https://www.econbiz.de/10014231339
Saved in:
6
The geometry of the world of currency volatilities
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
Computational economics
60
(
2022
)
1
,
pp. 125-145
Persistent link: https://www.econbiz.de/10013262502
Saved in:
7
Intertemporal defaulted bond recoveries prediction via machine learning
Nazemi, Abdolreza
;
Baumann, Friedrich
;
Fabozzi, Frank J.
- In:
European journal of operational research : EJOR
297
(
2022
)
3
,
pp. 1162-1177
Persistent link: https://www.econbiz.de/10013263044
Saved in:
8
A primer on hedging with stock index futures
Fabozzi, Frank J.
;
Fabozzi, Francesco A.
- In:
The journal of derivatives : JOD
29
(
2022
)
4
,
pp. 39-60
Persistent link: https://www.econbiz.de/10014231046
Saved in:
9
Goal-based investing based on multi-stage robust portfolio optimization
Kim, Jang Ho
;
Lee, Yongjae
;
Kim, Woo Chang
;
Fabozzi, …
- In:
Risk management decisions and value under uncertainty
,
(pp. 1141-1158)
.
2022
Persistent link: https://www.econbiz.de/10013342094
Saved in:
10
The economic theory of qualitative green growth
Fabozzi, Frank J.
;
Focardi, Sergio M.
;
Ponta, Linda
; …
- In:
Structural change and economic dynamics : SC+ED
61
(
2022
),
pp. 242-254
Persistent link: https://www.econbiz.de/10013393407
Saved in:
11
Carry strategies and the US dollar risk of US and global bonds
Konstantinov, Gueorgui
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
30
(
2021
)
3
,
pp. 26-46
Persistent link: https://www.econbiz.de/10012423026
Saved in:
12
A unified theory of cities
Thisse, Jacques-François
;
Turner, Matthew A.
;
Ushchev, …
-
2021
Persistent link: https://www.econbiz.de/10012602282
Saved in:
13
Mean-variance optimization for asset allocation
Kim, Jang Ho
;
Lee, Yongjae
;
Kim, Woo Chang
;
Fabozzi, …
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 24-40
Persistent link: https://www.econbiz.de/10012503361
Saved in:
14
Risk parity : the democratization of risk in asset allocation
Fabozzi, Francesco A.
;
Simonian, Joseph
;
Fabozzi, Frank J.
- In:
The journal of portfolio management : JPM
47
(
2021
)
5
,
pp. 41-50
Persistent link: https://www.econbiz.de/10012503362
Saved in:
15
Robust solutions to the life-cycle consumption problem
Reus, Lorenzo
;
Fabozzi, Frank J.
- In:
Computational economics
57
(
2021
)
2
,
pp. 481-499
Persistent link: https://www.econbiz.de/10012486926
Saved in:
16
Equity premium puzzle or faulty economic modelling?
Shirvani, Abootaleb
;
Stoyanov, Stoyan V.
;
Fabozzi, Frank J.
- In:
Review of quantitative finance and accounting
56
(
2021
)
4
,
pp. 1329-1342
Persistent link: https://www.econbiz.de/10012549795
Saved in:
17
From ad hoc bond-risk measures to variance-covariance forecasts
Jong, Marielle de
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
30
(
2021
)
4
,
pp. 6-16
Persistent link: https://www.econbiz.de/10012517176
Saved in:
18
Testing the forecasting ability of multi-factor models on non-US interbank rates
Tunaru, Diana
;
Fabozzi, Francesco A.
;
Fabozzi, Frank J.
- In:
The journal of fixed income : JFI
31
(
2021
)
2
,
pp. 7-33
Persistent link: https://www.econbiz.de/10012656054
Saved in:
19
Stability and sustainability of urban systems under commuting and transportation costs
Takayama, Yuki
;
Ikeda, Kiyohiro
;
Thisse, Jacques-François
-
2020
Persistent link: https://www.econbiz.de/10012216651
Saved in:
20
Detecting bubbles in the US and UK real estate markets
Fabozzi, Frank J.
;
Kynigakis, Iason
;
Panopulu, Aikaterinē
- In:
The journal of real estate finance and economics
60
(
2020
)
4
,
pp. 469-513
Persistent link: https://www.econbiz.de/10012226693
Saved in:
21
A complete model for pricing coco bonds
Milanov, Krasimir
;
Kunčev, Ognjan I.
;
Fabozzi, Frank J.
- In:
The journal of fixed income
29
(
2020
)
3
,
pp. 53-67
Persistent link: https://www.econbiz.de/10012253567
Saved in:
22
Stability and sustainability of urban systems under commuting and transportation costs
Takayama, Yuki
;
Ikeda, Kiyohiro
;
Thisse, Jacques-François
- In:
Regional science & urban economics
84
(
2020
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012534730
Saved in:
23
Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
Russo, Vincenzo
;
Lagasio, Valentina
;
Brogi, Marina
; …
- In:
Annals of finance
16
(
2020
)
1
,
pp. 141-157
Persistent link: https://www.econbiz.de/10012495982
Saved in:
24
A 30-year perspective on property derivatives : what can be done to tame property price risk?
Fabozzi, Frank J.
;
Shiller, Robert J.
;
Tunaru, Radu
- In:
The journal of economic perspectives : EP ; a journal …
34
(
2020
)
4
,
pp. 121-145
Persistent link: https://www.econbiz.de/10012440266
Saved in:
25
New economic geography and the city
Gaigné, Carl
;
Thisse, Jacques-François
-
2019
Persistent link: https://www.econbiz.de/10012131007
Saved in:
26
Quantile-based inference for tempered stable distributions
Fallahgoul, Hasan A.
;
Veredas, David
;
Fabozzi, Frank J.
- In:
Computational economics
53
(
2019
)
1
,
pp. 51-83
Persistent link: https://www.econbiz.de/10012134536
Saved in:
27
On the economics of science parks
Liang, Wen-Jung
;
Mai, Zhaocheng
;
Thisse, Jacques-François
-
2019
Persistent link: https://www.econbiz.de/10012125511
Saved in:
28
How do trade and communication costs shape the spatial organization of firms?
Gokan, Toshitaka
;
Kichko, Sergey
;
Thisse, Jacques-François
-
2019
Persistent link: https://www.econbiz.de/10012197825
Saved in:
29
About the origin of cities
Palma, André de
;
Papageorgiou, Yorgos Y.
;
Thisse, …
- In:
Journal of urban economics
111
(
2019
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012307798
Saved in:
30
How do trade and communication costs shape the spatial organization of firms?
Gokan, Toshitaka
;
Kichko, Sergey
;
Thisse, Jacques-François
- In:
Journal of urban economics
113
(
2019
),
pp. 1-17
Persistent link: https://www.econbiz.de/10012308646
Saved in:
31
Modeling local trends with regime shifting models with time-varying probabilities
Focardi, Sergio M.
;
Fabozzi, Frank J.
;
Mazza, Davide
- In:
International review of financial analysis
66
(
2019
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012208942
Saved in:
32
An alternative approach for portfolio performance evaluation : enabling fund evaluation relative to peer group via Malkiel’s monkey
Lee, Yongjae
;
Kwon, Do-Gyun
;
Kim, Woo Chang
;
Fabozzi, …
- In:
Applied economics
50
(
2018
)
40
,
pp. 4318-4327
Persistent link: https://www.econbiz.de/10012060850
Saved in:
33
Diversification versus optimality : is there really a diversification puzzle?
Ortobelli Lozza, Sergio
;
Wong, Wing Keung
;
Fabozzi, Frank J.
- In:
Applied economics
50
(
2018
)
43
,
pp. 4671-4693
Persistent link: https://www.econbiz.de/10012061607
Saved in:
34
Recent advancements in robust optimization for investment management
Kim, Jang Ho
;
Kim, Woo Chang
;
Fabozzi, Frank J.
- In:
Analytical models for financial modeling and risk management
,
(pp. 183-198)
.
2018
Persistent link: https://www.econbiz.de/10011897168
Saved in:
35
Macroeconomic variable selection for creditor recovery rates
Nazemi, Abdolreza
;
Fabozzi, Frank J.
- In:
Journal of banking & finance
89
(
2018
),
pp. 14-25
Persistent link: https://www.econbiz.de/10011963062
Saved in:
36
Equal-weighted strategy : why it outperforms value-weighted strategies? Theory and evidence
Malladi, Rama
;
Fabozzi, Frank J.
- In:
The journal of asset management
18
(
2017
)
3
,
pp. 188-208
Persistent link: https://www.econbiz.de/10011704214
Saved in:
37
Cournot, Bertrand or Chamberlin : toward a reconciliation
Parenti, Mathieu
;
Sidorov, Alexander V.
;
Thisse, …
- In:
International journal of economic theory
13
(
2017
)
1
,
pp. 29-45
Persistent link: https://www.econbiz.de/10011660235
Saved in:
38
Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios
Bonaparte, Yosef
;
Fabozzi, Frank J.
- In:
Applied economics letters
24
(
2017
)
13/15
,
pp. 923-927
Persistent link: https://www.econbiz.de/10011714413
Saved in:
39
A flexible approach to estimate the equity premium
Bonaparte, Yosef
;
Fabozzi, Frank J.
- In:
Applied economics
49
(
2017
)
59
,
pp. 5940-5950
Persistent link: https://www.econbiz.de/10011845875
Saved in:
40
Equity style allocation : a nonparametric approach
Subbiah, Mohan
;
Fabozzi, Frank J.
- In:
The journal of asset management
17
(
2016
)
3
,
pp. 141-164
Persistent link: https://www.econbiz.de/10011485142
Saved in:
41
Riding with the four horsemen and the multivariate normal tempered stable model
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
; …
- In:
International journal of theoretical and applied finance
19
(
2016
)
4
,
pp. 1-28
Persistent link: https://www.econbiz.de/10011523819
Saved in:
42
Portfolio selection with conservative short-selling
Kim, Jang Ho
;
Kim, Woo Chang
;
Fabozzi, Frank J.
- In:
Finance research letters
18
(
2016
),
pp. 363-369
Persistent link: https://www.econbiz.de/10011657303
Saved in:
43
A new approach to statistical arbitrage : strategies based on dynamic factor models of prices and their performance
Focardi, Sergio M.
;
Fabozzi, Frank J.
;
Mitov, Ivan K.
- In:
Journal of banking & finance
65
(
2016
),
pp. 134-155
Persistent link: https://www.econbiz.de/10011634338
Saved in:
44
How to make the metropolitan area work? : neither big government, nor laissez-faire
Gaigné, Carl
;
Riou, Stéphane
;
Thisse, Jacques-François
- In:
Journal of public economics
134
(
2016
),
pp. 100-113
Persistent link: https://www.econbiz.de/10011654177
Saved in:
45
Do we go shopping downtown or in the 'burbs?
Ushchev, Philip
;
Sloev, Igor
;
Thisse, Jacques-François
- In:
Journal of urban economics
85
(
2015
),
pp. 1-15
Persistent link: https://www.econbiz.de/10011563142
Saved in:
46
Technological progress and economic geography
Tabuchi, Takatoshi
;
Thisse, Jacques-François
;
Zhu, Xiwei
-
2014
Persistent link: https://www.econbiz.de/10010363350
Saved in:
47
Toward a theory of monopolisitic competition
Parenti, Mathieu
;
Ushchev, Philip
;
Thisse, Jacques-François
-
2014
Persistent link: https://www.econbiz.de/10010381935
Saved in:
48
How to make the metropolitan area work? : neither big government, nor laissez-faire
Gaigné, Carl
;
Riou, Stéphane
;
Thisse, Jacques-François
-
2013
Persistent link: https://www.econbiz.de/10009767352
Saved in:
49
Do we shopping downtown or the 'burbs? : why not both?
Ushchev, Philip
;
Sloev, Igor
;
Thisse, Jacques-François
-
2013
Persistent link: https://www.econbiz.de/10010188673
Saved in:
50
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Beck, Alexander
;
Kim, Young Shin
;
Račev, Svetlozar T.
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
2
,
pp. 167-177
Persistent link: https://www.econbiz.de/10009739605
Saved in:
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