Prof. Frank J. Fabozzi

EDHEC Business School, France

Email: FABOZZI321@aol.com

Qualifications

1972  Ph.D., City University of New York

Publications (Selected)

1. Vygantas Paulauskas, Svetlozar Rachev, and Frank J. Fabozzi, “Comment on  ‘Weak Convergence to a Matrix Stochastic Integral with Stable Processes’.”  Econometric Theory (preprint published online)
2. Young Shin Kim, Svetlozar T. Rachev, Michele Leonardo Bianchi, Ivan Mitov, and Frank J. Fabozzi, “Time Series  Analysis for Financial Market Meltdowns,” Journal of Banking and Finance, Vol. 35 (2011), pp. 1879-1891.
3. 3.Sergio Ortobelli, Svetlozar Rachev, and Frank J. Fabozzi, “Risk Management and Dynamic Portfolio Selection with   Stable Paretian Distributions.” Journal of Empirical Finance, Vol 17, Issue 2 (March 2010), pp. 195-211.
4. Young Shin Kim, Svetlozar T. Rachev, Michele Bianchi, and Frank J. Fabozzi, “Tempered Stable and Tempered Infinitely  Divisible GARCH.” Journal of Banking and Finance. Vol. 34, No. 9 (2010), pp. 2096-2109.
5. Dashan Huang, Baimin Yu, Zu Lu, Sergio Focardi, Frank J. Fabozzi, and Masao Fukushima, “Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model.” Studies in Nonlinear Dynamics and Econometrics, Vol. 14, No. 2, Article 1.
6. Sebastian Kring, Svetlozar T. Rachev,  Hoechstotter, Frank J. Fabozzi, and Michele Bianchi, “Multi-Tail Elliptical Distributions.” The Econometrics Journal, Vol. 12, Issue 2 (July 2009), pp. 272-291.
7. John Mulvey, Koray Simsek, Zhoujuan Zhang, Frank J. Fabozzi, and Bill Pauling, “Assisting Underfunded U.S. Pension Plans.” Operations Research, Vol. 56  (September-October 2008), pp. 1066-1078.
8. Ren-Raw Chen, Xiaolin Cheng, Frank J. Fabozzi and Bo Liu, "An Explicit, Multi‑Factor Credit Default Swap Pricing Model with Correlated Factors.” Journal of Financial and Quantitative Analysis, Vol. 43, No. 1 (March 2008), pp. 123-160.
9. Dashan Huang, Shu-Shang Zhu, Frank J. Fabozzi, and Masao Fukushima “Robust CVaR Approach to Portfolio Selection with Uncertain Exit Time.” Journal of Economic Dynamics & Control, Vol. 32, No. 2  (February 2008), pp. 594-623.
10. Michele Bianchi, Svetlozar T. Rachev, Young Shim Kim, and Frank J. Fabozzi, "Tempered Infinitely Divisible Distributions and Processes." SIAM: Theory of  Probability and its Applications, Vol. 55, No.1 (2010), pp. 59-86.