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~language:"ces"
~language:"eng"
~person:"Fabozzi, Frank J."
~subject:"Risikomaß"
~subject:"Statistical distribution"
~type_genre:"Article in journal"
~type_genre:"Article"
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Risikomaß
Statistical distribution
Theorie
83
Theory
83
Portfolio selection
77
Portfolio-Management
77
USA
38
United States
38
Option pricing theory
35
Optionspreistheorie
35
CAPM
27
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27
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27
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24
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24
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24
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18
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Czech
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Fabozzi, Frank J.
Nadarajah, Saralees
33
Wang, Ruodu
28
Račev, Svetlozar T.
27
Hammoudeh, Shawkat
23
McAleer, Michael
21
Righi, Marcelo Brutti
21
Härdle, Wolfgang
19
Landsman, Zinoviy
17
Madan, Dilip B.
17
Perote, Javier
17
Kim, Young Shin
16
Mensi, Walid
16
Paolella, Marc S.
16
Guillén, Montserrat
15
Peng, Liang
15
Sarabia Alzaga, José Maria
15
Uryasev, Stan
15
Boonen, Tim J.
14
Furman, Edward
14
Gómez-Déniz, Emilio
14
Mao, Tiantian
14
Rosazza Gianin, Emanuela
14
Tan, Ken Seng
14
Weiß, Gregor
14
Cheung, Ka Chun
13
Embrechts, Paul
13
Gupta, Rangan
13
Janabi, Mazin A. M. al
13
Kang, Sang Hoon
13
Satchell, Stephen
13
Taylor, James W.
13
Tiwari, Aviral Kumar
13
Vanduffel, Steven
13
Wied, Dominik
13
Asimit, Alexandru V.
12
Bali, Turan G.
12
Cai, Jun
12
Calderín-Ojeda, Enrique
12
Daníelsson, Jón
12
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Journal of banking & finance
3
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
3
Applied financial economics
2
Computational economics
2
International journal of theoretical and applied finance
2
Journal of economic dynamics & control
2
Review of quantitative finance and accounting
2
Annals of economics and finance
1
Annals of finance
1
Annals of operations research
1
Econometric reviews
1
Economics letters
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Energy economics
1
European financial management : the journal of the European Financial Management Association
1
International journal of finance & economics : IJFE
1
Journal of economics & business
1
Journal of empirical finance
1
Journal of statistical and econometric methods
1
The econometrics journal
1
The journal of alternative investments : JAI
1
The journal of asset management
1
The journal of portfolio management : a publication of Institutional Investor
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ECONIS (ZBW)
32
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1
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
Hu, Yuan
;
Lindquist, W. Brent
;
Račev, Svetlozar T.
; …
- In:
Journal of economic dynamics & control
137
(
2022
),
pp. 1-20
Persistent link: https://www.econbiz.de/10013464578
Saved in:
2
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:
3
Modeling price dynamics, optimal portfolios, and option valuation for cryptoassets
Hu, Yuan
;
Lindquist, W. Brent
;
Fabozzi, Frank J.
- In:
The journal of alternative investments : JAI
24
(
2021
)
1
,
pp. 75-93
Persistent link: https://www.econbiz.de/10012613090
Saved in:
4
Multiple subordinated modeling of asset returns : implications for option pricing
Shirvani, Abootaleb
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Econometric reviews
40
(
2021
)
3
,
pp. 290-319
Persistent link: https://www.econbiz.de/10012515600
Saved in:
5
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:
6
Calibrating the Italian smile with time-varying volatility and heavy-tailed models
Bianchi, Michele Leonardo
;
Račev, Svetlozar T.
; …
- In:
Computational economics
51
(
2018
)
3
,
pp. 339-378
Persistent link: https://www.econbiz.de/10011963681
Saved in:
7
How fat are the tails of equity market indices?
Stoyanov, Stoyan V.
;
Loh, Lixia
;
Fabozzi, Frank J.
- In:
International journal of finance & economics : IJFE
22
(
2017
)
3
,
pp. 181-200
Persistent link: https://www.econbiz.de/10011960289
Saved in:
8
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:
9
Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments
Kim, Woo Chang
;
Fabozzi, Frank J.
;
Cheridito, Patrick
; …
- In:
Economics letters
122
(
2014
)
2
,
pp. 154-158
Persistent link: https://www.econbiz.de/10010395223
Saved in:
10
Portfolio selection in the presence of systemic risk
Biglova, Almira
;
Ortobelli, Sergio
;
Fabozzi, Frank J.
- In:
The journal of asset management
15
(
2014
)
5
,
pp. 285-299
Persistent link: https://www.econbiz.de/10010476238
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