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Price calibration and hedging...
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Fabozzi, Frank J.
101
Rachev, Svetlozar T.
41
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16
Fabozzi, Frank
14
Huang, Dashan
11
Stoyanov, Stoyan V.
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Goodman, Laurie S.
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Fukushima, Masao
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Lucas, Douglas J.
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Papenbrock, Jochen
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Kim, Young Shin
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Ortobelli, Sergio
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Mittnik, Stefan
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The journal of portfolio management : a publication of Institutional Investor
20
The journal of fixed income
9
Applied financial economics
8
Journal of banking & finance
7
The journal of finance : the journal of the American Finance Association
7
Annals of operations research
5
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Energy economics
4
European journal of operational research : EJOR
4
Financial analysts' journal : FAJ
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Investment management and financial innovations
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Journal of empirical finance
4
Mathematical methods of operations research
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Risiko-Manager
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The journal of structured finance
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Applied economics
3
Economics letters
3
European financial management : the journal of the European Financial Management Association
3
Journal / The Capco Institute : journal of financial transformation
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Journal of economic dynamics & control
3
Applied mathematical finance
2
Econometric theory
2
Insurance / Mathematics & economics
2
International journal of theoretical and applied finance
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Review of quantitative finance and accounting
2
Risk : managing risk in the world's financial markets
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The European journal of finance
2
The journal of credit risk : published quarterly by Incisive Media
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Allgemeines statistisches Archiv : AStA ; journal of the German Statistical Society
1
Applied economics letters
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Die Bank : Zeitschrift für Bankpolitik und Praxis
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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Finance research letters
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Institutional investor
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Institutional investor / International edition
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International review of financial analysis
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Journal of econometrics
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Journal of international money and finance
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BASE
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Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
Papenbrock, Jochen
;
Rachev, Svetlozar
;
Hochstotter, Markus
- In:
Applied financial economics
19
(
2009
)
16-18
,
pp. 1401-1416
Persistent link: https://www.econbiz.de/10008320854
Saved in:
2
Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions
Papenbrock, Jochen
;
Rachev, Svetlozar
;
Hochstotter, Markus
- In:
Applied financial economics
19
(
2009
)
17
,
pp. 1401-1416
Persistent link: https://www.econbiz.de/10008284197
Saved in:
3
Orderings and Probability Functionals Consistent with Preferences
Ortobelli, Sergio
;
Rachev, Svetlozar
;
Shalit, Haim
; …
- In:
Applied mathematical finance
16
(
2009
)
1
,
pp. 81
Persistent link: https://www.econbiz.de/10008211949
Saved in:
4
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Beck, Alexander
;
Kim, Young Shin Aaron
;
Rachev, Svetlozar
; …
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
17
(
2013
)
2
,
pp. 167-177
Persistent link: https://www.econbiz.de/10010118266
Saved in:
5
Orderings and Probability Functionals Consistent with Preferences
Ortobelli, Sergio
;
Rachev, Svetlozar
;
Shalit, Haim
; …
- In:
Applied mathematical finance
16
(
2009
)
1-2
,
pp. 81-102
Persistent link: https://www.econbiz.de/10008311800
Saved in:
6
MCMC-based estimation of Markov Switching ARMA-GARCH models
Henneke, Jan
;
Rachev, Svetlozar
;
Fabozzi, Frank
; …
- In:
Applied economics
43
(
2011
)
3
,
pp. 259-272
Persistent link: https://www.econbiz.de/10008813103
Saved in:
7
Momentum strategies based on reward–risk stock selection criteria
Rachev, Svetlozar
;
Jašić, Teo
;
Stoyanov, Stoyan
; …
- In:
Journal of banking & finance
31
(
2007
)
8
,
pp. 2325-2346
Persistent link: https://www.econbiz.de/10007757881
Saved in:
8
Fractals or I.I.D.: Evidence of long-range dependence and heavy tailedness from modeling German equity market returns
Sun, Wei
;
Rachev, Svetlozar
;
Fabozzi, Frank J.
- In:
Journal of economics and business
59
(
2007
)
6
,
pp. 575
Persistent link: https://www.econbiz.de/10007859708
Saved in:
9
A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence
Sun, Wei
;
Rachev, Svetlozar
;
Fabozzi, Frank J.
;
Kalev, …
- In:
Empirical economics : a journal of the Institute for …
36
(
2009
)
1
,
pp. 201
Persistent link: https://www.econbiz.de/10008170141
Saved in:
10
Calibrating affine stochastic mortality models using term assurance premiums
Russo, Vincenzo
;
Giacometti, Rosella
;
Ortobelli, Sergio
; …
- In:
Insurance / Mathematics & economics
49
(
2011
)
1
,
pp. 53-61
Persistent link: https://www.econbiz.de/10009132998
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