Frank Fabozzi

Professor

Main contributions

Structural Change and Economic Dynamics (2022), Journal of Economic Dynamics and Control (2022), The Journal of Alternative Investments (2020 ; 2021 ; 2022), The Journal of Portfolio Management (2013 ; 2014 ; 2015 ; 2016 ; 2017 ; 2019 ; 2020 ; 2021 ; 2022), European Journal of Operational Research (2014 ; 2016 ; 2017 ; 2022), Applied Financial Economics (2022), International Journal of Forecasting (2022), Journal of Financial Intermediation (2021), Econometric Reviews (2020), The Journal of Derivatives (2020 ; 2021), Journal of Economics Perspectives (2020), The Journal of Real Estate Finance and Economics (2020), Annals of Finance (2020), Review of Financial Economics (2019 ; 2021), Journal of Forecasting (2019), Real Estate Economics (2019), Quarterly Review of Economics and Finance (2017), Communications in Statistics - Simulation and Computation (2017), Review of Finance (2017), International Journal of Finance & Economics (2017 ; 2021), Journal of International Money and Finance (2016 ; 2019 ; 2021), Journal of Derivatives (2015 ; 2016 ; 2018 ; 2019 ; 2020), Journal of Financial Research (2015), Computational Economics (2015 ; 2019), North American Actuarial Journal (2015), Journal of Financial Engineering (2015), Journal of Pension Economics and Finance (2015), Journal of Asset Management (2014 ; 2016 ; 2017 ; 2020 ; 2021), Journal of Statistical Theory and Practice (2014), Journal of Banking & Finance (2014 ; 2016), Journal of Optimization and Applications (2014), Economics Letters (2014 ; 2017), Journal of Economic Dynamics & Control (2014), International Review of Financial Analysis (2013 ; 2014 ; 2015 ; 2016 ; 2019), Applied Economics (2013 ; 2015 ; 2016 ; 2017 ; 2018 ; 2019), International Journal of Theoretical and Applied Finance (2012 ; 2013 ; 2016 ; 2019 ; 2020), Finance Research Letters (2013 ; 2019), Emerging Markets Review (2013), Studies in Nonlinear Dynamics & Econometrics (2013 ; 2021), Annals of Operations Research (2012 ; 2013 ; 2018 ; 2019 ; 2021), European Financial Management (2012), Review of Quantitative Finance and Accounting (2012 ; 2021), Quantitative Finance (2012 ; 2014 ; 2015), The Journal of Fixed Income (2012 ; 2013 ; 2014 ; 2016 ; 2017 ; 2018 ; 2020 ; 2021 ; 2022), Review of Derivatives Research (2012)

Discipline: Finance
Faculty: Data Science, Economics & Finance
Expertise: Analyse des titres à revenu fixe, Gestion des placements et financement structuré

Publications of Frank Fabozzi

02.10.2015 - Article in a peer reviewed journal

In search of cash-flow pricing

Frank Fabozzi, K.C. Chen, K.C. Ma, Jessica West
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Journal of Financial Research, Volume 38, December 2015, Pages 511 - 527


30.09.2015 - Article in a peer reviewed journal

Full vs Quasi MLE for ARMA-GARCH Models With Infinitely Divisible Innovations

Frank Fabozzi, Jimmie Goode Jimmie, Kim Young Shin
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Applied Economics, Volume 47, September 2015, Pages 5147 - 5158


01.09.2015 - Article in a peer reviewed journal

Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations

Jimmie Goode Jimmie, Kim Young Shin, Frank Fabozzi
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Applied Economics, September 2015


27.08.2015 - Article in a non peer reviewed journal

New Horizons and Familiar Landscapes: New Capital Sources Confront Shifting Real Estate Fundamentals

Frank Fabozzi, Clayton Jim, Giliberto Michael, Gordon Jacques, Liang Youguo, Mackinnon Greg, Mansour Asieh
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Journal of Portfolio Managaement, Volume 41, October 2015, Pages 11 - 20


15.07.2015 - Article in a peer reviewed journal

Investigating the Performance of Non-Gaussian Stochastic Intensity

Frank Fabozzi, Bianchi Michelle
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Computational Economics, Volume 46, July 2015, Pages 243 - 273