Academic Publications

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Explosive rents: The real estate market dynamics in exuberance

Author(s) :
Frank J. Fabozzi, Keli Xao
The Quarterly Review of Economics and Finance, Volume 66, November 2017, Pages 100-107  The interaction of the trading behavior of market...

Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios

Author(s) :
Yosef Bonaparte, Frank J. Fabozzi
Applied Economics Letters, Volume 24, 2017 - Issue 13, Spring 2017 This article estimates the elasticity of intertemporal substitution using...

Commodity Markets, Long-Run Predictability, and Intertemporal Pricing

Author(s) :
Adrian Fernandez-Perez,, Ana-Maria Fuertes, Joelle Miffre
Review of Finance, Volume 21, Issue 3, 1 May 2017, Pages 1159-1188 This article shows that commodity portfolios that capture the backwardation and...

An Examination of the Impact of the EU Ban on Naked Purchases of Sovereign Credit Default Swaps

Author(s) :
Jean-Christophe Meyfredi, Dominic O'Kane
Bankers, Markets & Investors, N.147 - Mars Avril 2017 We examine the impact of the November 2012 EU ban on the naked purchasing of EU...

Exploring rating shopping for european triple a senior structured finance securities

Author(s) :
Frank J. Fabozzi, Mike E. Nawas, Dennis Vink
Finance Research Letters, Volume 20, February 2017, Pages 35-39 In much of the research with respect to the use of credit ratings, the notion of...

Intensity-based framework for surrender modeling in life insurance

Author(s) :
Vincenzo Russo, Rosella Giacometti, Frank J. Fabozzi
Insurance: Mathematics and Economics, Volume 72, January 2017, Pages 189-196 In this paper, we propose an intensity-based framework for surrender...

On the Estimation of the SABR Model's Beta Parameter

Author(s) :
Mengfei Zhang, Frank J. Fabozzi
The Journal of Derivatives, Fall 2016, Vol. 24, No. 1: pp. 48-57 The stochastic-alpha-beta-rho (SABR) model has become the dominant interest rate...

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management

Author(s) :
Robert F. Engle, Sergio M. Focardi, Frank J. Fabozzi
Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp94-106. In this article, the authors provide a nontechnical...

Best Practices in Research for Quantitative Equity Strategies

Author(s) :
Joseph A. Cerniglia, Frank J. Fabozzi, Petter N. Kolm
Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp135-143., May 2016 The authors examine the research process and...

Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model

Author(s) :
Vincenzo RussoFrank J. Fabozzi
The Journal of Fixed Income, Vol. 27, No. 2: pp. 30-36, September 2017 In this article, we propose an alternative approach for pricing bond...

Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction

Author(s) :
Andrew Sun, Michael Lachansky, Frank J. Fabozzi
International Review of Financial Analysis, December 2016 We investigate the potential use of textual information from user-generated microblogs...

Kinetic Component Analysis

Author(s) :
Riccardo Rebonato, PhD
Journal of Investing, Vol. 25 Issue 3 pp. 142 - 154, Fall 2016 The authors introduce kinetic component analysis (KCA), a state-space application...

An improved method for pricing and hedging long dated American options

Author(s) :
Frank J.Fabozzi, TommasoPaletta, SilviaStanescu, RaduTunaru
European Journal of Operational Research, Volume 254, Issue 2, 16 October 2016, Pages 656-666 The majority of quasi-analytic pricing methods for...

Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion

Author(s) :
Y.S. Kim, Stoyan Stoyanov, Svetlozar Rachev, Frank J. Fabozzi
Economics Letters, Volume 145, pp225-229, August 2016 We construct a binomial tree model fitting all moments to the approximated geometric...

Portfolio selection with conservative short-selling

Author(s) :
Jang HoKim, Woo ChangKim, Frank J.Fabozzi
Finance Research Letters, Volume 18, August 2016, Pages 363-369 Mean-variance analysis is considered the foundation of portfolio selection. Among...

The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis

Author(s) :
Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov
Journal of Monetary Economics, Volume 81, August 2016, Pages 25-43 In a production economy with trade in financial markets motivated by the desire...

Is idiosyncratic volatility priced in commodity futures markets?

Author(s) :
Adrian Fernandez-Perez, Ana-Maria Fuertes, Joelle Miffre
International Review of Financial Analysis, Volume 46, pp219-226, July 2016.

Factor decomposition of the Eurozone sovereign CDS spreads

Author(s) :
Frank J. Fabozzi, Rosella Giacometti, Naoshi Tsuchida
Journal of International Money and Finance, Volume 65, July 2016, pp1-23.

On stability of operational risk estimates by LDA: From causes to approaches

Author(s) :
Xiaoping Zhou, Antonina V. Durfee, Frank J. Fabozzi
Journal of Banking and Finance, Volume 68, July 2016, pp266-287 The stability of estimates is critical when applying advanced measurement...

Riding with the Four Horsemen and the Multivariate Normal Tempered Stable Model

Author(s) :
Michele Leonardo Bianchi, Gian Luca Tassinari, Frank J. Fabozzi
International Journal of Theoretical and Applied Finance, Volume 4, Issue 04, June 2016 In this paper, we study a model that captures four...