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:

Publications of Frank Fabozzi

01.12.2023 - Article in a peer reviewed journal

The battle of the factors: Macroeconomic variables or investor sentiment?

Frank Fabozzi, Mascio David, Marat Molyboga
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Journal of Forecasting, Volume 42, December 2023, Pages 2280 - 2291


01.07.2023 - Article in a peer reviewed journal

Extending the Mertonmodel with applications to credit value adjustment

Erdinc Akyildirim, Alper A. Hekimoglu, Ahmet Sensoy, Frank Fabozzi
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Annals of Operations Research, July 2023


01.06.2023 - Article in a peer reviewed journal

Identifying household finance heterogeneity via deep clustering

Yoontae Hwang, Yongjae Lee, Frank Fabozzi
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Annals of Operations Research, June 2023


01.05.2023 - Article in a peer reviewed journal

Intensified Competition and The Impact on Credit Ratings in the RMBS market

Vivian M. van Breemen, Dennis Vink, Frank Fabozzi
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Financial markets, institutions and instruments, Volume 32, May 2023


01.04.2023 - Article in a peer reviewed journal

How much do Investors Rely on Credit Ratings: Empirical evidence from the U.S. and E.U. CLO primary market

Vivian M. van Breemen, Dennis Vink, Mike Nawas, Austin Gengos, Frank Fabozzi
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Journal of Financial Services Research, April 2023