Frank J Fabozzi 3

Finance · 2002–2018

A researcher in the Science corpus: 35 papers; trusts 51 researchers and is trusted by 8 researchers here, as inferred from the citation graph.

Subfields

• Finance — 140 citations into it; #4,210 of 10,518 by trust here, #1,744 by citations
• Economics and Econometrics — 87 citations into it; #10,092 of 23,481 by trust here, #5,925 by citations
• Management Science and Operations Research — 57 citations into it
• Accounting — 21 citations into it
• Statistics and Probability — 21 citations into it
• Demography — 12 citations into it
• Economics & Operations Research — 9 citations into it
• Ocean Engineering — 7 citations into it

Whom Frank J Fabozzi 3 trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Svetlozar T. Rachev
2. J. Rosínski
3. Wim Schoutens
4. Eugene F. Fama
5. Stefan Mittnik
6. Peter P. Carr
7. L. Laloux
8. Robert F. Engle
9. Feng Li
10. Young Shin Kim

Who trusts Frank J Fabozzi 3 overall

1. Rustam Ibragimov
2. Shimon Awerbuch
3. Rangan Gupta
4. Hua Liang
5. Svetlozar T. Rachev
6. Young Shin Kim
7. M. Wohar
8. Virginie Gabrel
9. Dimitris J. Bertsimas
10. Vishwamitra Oreea

Papers from Frank J Fabozzi 3's perspective

Ordered by how strongly the researchers Frank J Fabozzi 3 trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. The Pricing of Options and Corporate Liabilities
3. Tempering stable processes
4. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
5. The Fine Structure of Asset Retums : An Empirical Investigation '
6. Financial Modelling with Jump Processes
7. Portfolio Selection
8. Financial Modelling with Jump Processes
9. Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
10. A Closed-Form GARCH Option Valuation Model

Their papers

• Tempered Infinitely Divisible Distributions and Processes (2011) — 61 citations
• Sin Stock Returns (2008) — 259 citations
• Financial market models with Lévy processes and time-varying volatility. (2008) — 106 citations
• Composite Goodness-of-Fit Tests for Left-Truncated Loss Samples (2015) — 57 citations
• The Legacy of Modern Portfolio Theory (2002) — 366 citations
• Financial Models with Levy Processes and Volatility Clustering (2011) — 172 citations
• Operational Risk: A Guide to Basel II Capital Requirements, Models, and Analysis (2007) — 234 citations
• A new approach to modeling co-movement of international equity markets: evidence of unconditional copula-based simulation of tail dependence (2009) — 62 citations
• Macroeconomic variable selection for creditor recovery rates (2018) — 51 citations
• Sin Stocks Revisited: Resolving the Sin Stock Anomaly (2017) — 116 citations
• Best Practices in Research for Quantitative Equity Strategies (2016)
• Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application (2016) — 134 citations
• The basics of financial econometrics : tools, concepts, and asset management applications (2014) — 191 citations
• 60 Years of portfolio optimization: Practical challenges and current trends (2014) — 579 citations
• The Methods of Distances in the Theory of Probability and Statistics (2013) — 196 citations
• Size, value, and momentum in emerging market stock returns (2013) — 308 citations
• Forecasting Stock Returns (2012) — 306 citations
• MCMC-based estimation of Markov Switching ARMA–GARCH models (2011) — 82 citations
• The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation (2011) — 157 citations
• Fat-Tailed Models for Risk Estimation (2011) — 67 citations