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~language:"eng"
~person:"Fabozzi, Frank J."
~subject:"ARCH-Modell"
~subject:"Schätzung"
~type_genre:"Article in journal"
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ARCH-Modell
Schätzung
Theorie
83
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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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Fabozzi, Frank J.
Gupta, Rangan
198
Bahmani-Oskooee, Mohsen
159
Gil-Alaña, Luis A.
128
Caporale, Guglielmo Maria
102
Chang, Tsangyao
99
Tiwari, Aviral Kumar
95
Wohar, Mark E.
86
Apergēs, Nikolaos
84
Ma, Feng
78
Narayan, Paresh Kumar
78
McAleer, Michael
77
Lee, Chien-chiang
68
McMillan, David G.
68
Serletis, Apostolos
68
Zaremba, Adam
63
Hsing, Yu
62
Belke, Ansgar
61
Hammoudeh, Shawkat
60
Kumbhakar, Subal
57
Shahbaz, Muhammad
57
Xuan Vinh Vo
56
Balcilar, Mehmet
55
Bouri, Elie
54
Su, Chi-Wei
54
Pierdzioch, Christian
53
Herwartz, Helmut
52
Wagner, Joachim
50
Wang, Yudong
49
Kang, Sang Hoon
48
Egger, Peter
47
Hamori, Shigeyuki
47
Moosa, Imad A.
47
Holmes, Mark J.
44
Zhang, Yaojie
44
Brooks, Robert
43
Kutan, Ali Mustafa
42
Payne, James E.
42
Salisu, Afees A.
42
Tsionas, Efthymios G.
41
Jawadi, Fredj
40
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
5
Journal of banking & finance
3
The journal of fixed income
3
Applied economics
2
Computational economics
2
International review of financial analysis
2
Annals of economics and finance
1
Annals of operations research
1
Emerging markets review
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
European financial management : the journal of the European Financial Management Association
1
International journal of finance & economics : IJFE
1
Journal of financial and quantitative analysis : JFQA
1
Journal of international money and finance
1
Quantitative finance
1
Review of quantitative finance and accounting
1
The journal of fixed income : JFI
1
The journal of portfolio management : a publication of Institutional Investor
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The journal of real estate finance and economics
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ECONIS (ZBW)
30
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1
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:
2
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki
;
Lee, Yongjae
;
Kim, Jang Ho
;
Kim, Woo Chang
; …
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1893-1903
Persistent link: https://www.econbiz.de/10013367960
Saved in:
3
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:
4
Learning for infinitely divisible GARCH models in option pricing
Zhu, Fumin
;
Bianchi, Michele Leonardo
;
Kim, Young Shin
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
25
(
2021
)
3
,
pp. 35-62
Persistent link: https://www.econbiz.de/10012594154
Saved in:
5
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:
6
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:
7
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:
8
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:
9
Bond portfolio optimization in the presence of duration constraints
Deguest, Romain
;
Fabozzi, Frank J.
;
Martellini, Lionel
; …
- In:
The journal of fixed income
28
(
2018
)
1
,
pp. 6-26
Persistent link: https://www.econbiz.de/10011905566
Saved in:
10
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
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