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Frank J. Fabozzi

Global rank #2756 96%

Institution: Groupe EDHEC (École de Hautes Études Commerciales du Nord)

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://www.frankfabozzi.com

First Publication: 1977

Most Recent: 2019

RePEc ID: pfa323 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 5.36 0.00 7.46
All Time 0.00 5.53 18.00 0.00 33.33

Publication Statistics

Raw Publications 43
Coauthorship-Adjusted Count 32.21

Publications (43)

Year Article Journal Tier Authors
2019 Effectiveness of developed and emerging market FX options in active currency risk management Journal of International Money and Finance B 2
2018 Macroeconomic variable selection for creditor recovery rates Journal of Banking & Finance B 2
2018 Local volatility and the recovery rate of credit default swaps Journal of Economic Dynamics and Control B 3
2018 Diversification versus optimality: is there really a diversification puzzle? Applied Economics C 4
2018 An alternative approach for portfolio performance evaluation: enabling fund evaluation relative to peer group via Malkiel’s monkey Applied Economics C 4
2017 Predictability dynamics of emerging sovereign CDS markets Economics Letters C 3
2017 Effects of Spot Market Short-Sale Constraints on Index Futures Trading Review of Finance B 3
2017 A flexible approach to estimate the equity premium Applied Economics C 2
2017 Skillful hiding: evaluating hedge fund managers’ performance based on what they hide Applied Economics C 2
2016 On stability of operational risk estimates by LDA: From causes to approaches Journal of Banking & Finance B 3
2016 Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion Economics Letters C 4
2016 Factor decomposition of the Eurozone sovereign CDS spreads Journal of International Money and Finance B 3
2016 A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance Journal of Banking & Finance B 3
2014 Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments Economics Letters C 4
2014 Extracting market information from equity options with exponential Lévy processes Journal of Economic Dynamics and Control B 3
2014 Deciphering robust portfolios Journal of Banking & Finance B 3
2013 CVaR sensitivity with respect to tail thickness Journal of Banking & Finance B 3
2013 Optimal corporate strategy under uncertainty Applied Economics C 3
2011 MCMC-based estimation of Markov Switching ARMA-GARCH models Applied Economics C 4
2011 Household search choice: theory and evidence Applied Economics C 2
2011 Is food consumption a good proxy for nondurable consumption? Economics Letters C 2
2011 Balancing energy strategies in electricity portfolio management Energy Economics A 3
2011 Time series analysis for financial market meltdowns Journal of Banking & Finance B 5
2011 Analysis of the intraday effects of economic releases on the currency market Journal of International Money and Finance B 4
2010 Tempered stable and tempered infinitely divisible GARCH models Journal of Banking & Finance B 4
2009 Construction of probability metrics on classes of investors Economics Letters C 3
2009 CAViaR-based forecast for oil price risk Energy Economics A 4
2009 Svetlozar, T. Rachev, John S.J. Hsu, B.S. Bagasheva and F.J. Fabozzi , Bayesian Methods in Finance, John Wiley and Sons, USA (2008) ISBN 978-0-471-92083-0 (hardcover), $95, 329 pages. International Journal of Forecasting B 1
2008 Portfolio selection with uncertain exit time: A robust CVaR approach Journal of Economic Dynamics and Control B 4
2008 Financial market models with Lévy processes and time-varying volatility Journal of Banking & Finance B 4
2008 Relative deviation metrics and the problem of strategy replication Journal of Banking & Finance B 4
2008 An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors Journal of Financial and Quantitative Analysis B 4
2007 Momentum strategies based on reward-risk stock selection criteria Journal of Banking & Finance B 4
1994 Holiday Trading in Futures Markets. Journal of Finance A 3
1993 The Investment Performance of U.S. Equity Pension Fund Managers: An Empirical Investigation. Journal of Finance A 3
1986 State Taxes and Reserve Requirements as Major Determinants of Yield Spreads among Money Market Instruments Journal of Financial and Quantitative Analysis B 2
1983 Valuation of Safe Harbor Tax Benefit Transfer Leases. Journal of Finance A 2
1981 Negotiated versus Competitive Underwritings of Public Utility Bonds: Just One More Time Journal of Financial and Quantitative Analysis B 2
1980 Generalized Functional Form for Mutual Fund Returns Journal of Financial and Quantitative Analysis B 3
1979 Mutual Fund Systematic Risk for Bull and Bear Markets: An Empirical Examination. Journal of Finance A 2
1979 The Effects of Changing Macroeconomic Conditions on the Parameters of the Single Index Market Model Journal of Financial and Quantitative Analysis B 2
1978 Beta as a Random Coefficient Journal of Financial and Quantitative Analysis B 2
1977 Stability Tests for Alphas and Betas over Bull and Bear Market Conditions. Journal of Finance A 2