Fabio Trojani
http://usi.to/e6w
Publications
Journal Article (16)
- Gagliardini P., Porchia P., Trojani F. (2008) Ambiguity Aversion and the Term Structure of Interest Rates, Review of Financial Studies
- Audrino F., Trojani F. (2006) Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets, Journal of Applied Econometrics 21, No. 3, 345-369.
- Mancini L., Ronchetti E., Trojani F. (2005) Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models, Journal of the American Statistical Association, Vol. 100, 628-641
- Gagliardini P., Trojani F., Urga G. (2005) Robust GMM Tests for Structural Breaks, Journal of Econometrics, 129, 139-182
- Leippold M., Trojani F., Vanini P. (2004) A Geometric Approach To Multiperiod Mean Variance Optimization of Assets and Liabilities, Journal of Economic Dynamics and Control, Volume 28, p. 1079-1113
- Ortelli C., Trojani F. (2004) Robust Efficient Method of Moments, Journal of Econometrics, forthcoming
- Trojani F., VANINI P. (2004) Robustness and Ambiguity Aversion in General Equilibrium, Review of Finance, 2:279-324
- Trojani F., VANINI P., Vignola L. (2003) A Note on the Three-Portfolios Matching Problem, European Financial Management Journal, 9 (1)
- Leippold M., Trojani F., Vanini P. (2003) Efficient Portfolios with Endogenous Liabilities, Submitted Annals of Operations Research, 2nd round
- Dell Aquila R., Ronchetti E., Trojani F. (2003) Robust GMM Analysis of Models for the Short Rate Process, Journal of Empirical Finance, Vol. 10, pp. 373-397
- Trojani F., VANINI P. (2002) A Note on Robustness in Merton´s Model of Intertemporal Consumption and Portfolio Choice, Journal of Economic Dynamics and Control, 26 (3):423-435
- Trojani F., VANINI P. (2002) Perturbative Solutions of Hamilton Jacobi Bellman Equations in Robust Decision Making, Submitted Mathematical Finance
- Ronchetti E., Trojani F. (2001) Robust Inference with GMM Estimators, Journal of Econometrics, 101:37-69
- Barone Adesi G., Gagliardini P., Trojani F. (2001) Short-Term Volatility Timing Reduces Downside Risk, International Journal of Finance, 13, Nr. 2, 1794-1825
- Audrino F., Trojani F., Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent, Journal of Financial Econometrics
- La Vecchia D., Trojani F., Infinitesimal Robustness for Diffusions, Journal of American Statistical Association
Book chapter (2)
- Ortelli C., Trojani F. (2003) Robust Efficient Method of Moments Estimation. Theory and Applications of Recent Robust Methods, M. Hubert, G. Pison, A. Struyf and S. Van Aelst eds., Series: Statistics for Industry and Technology, Birkhauser, Basel
- Trojani F., VANINI P. (2002) A Review of Perturbative Approaches for Robust Optimal Portfolio Problems. Computational Methods in Decision-Making, Economics and Finance\', Kluwer Applied Optimization Series
Working paper (5)
- La Vecchia D., Ronchetti E., Trojani F. (2009) Higher--Order Robustness
- Piatti A., Trojani F., Zaffalon M. (2006) Learning from Quasi Perfect Observations under Prior Ignorance
- Piatti A., Zaffalon M., Trojani F., Hutter M. (2006) Learning under Prior Ignorance
- Mancini L., Trojani F. (2004) Robust Volatility Estimation for VaR Predictions
- Ferretti R., Trojani F. (2003) Existence and Regularity of Optimal Policies in Partial Equilibrium Economies
Conference proceedings (2)
- Leippold M., Trojani F., Vanini P. (2002) Optimization of Assets and Liabilities. Proceedings of the International Scientific School 'Modelling and Analysis of Safety, Risk and Quality in Complex Systems', Saint-Petersburg, Russian Foundation of Fundamental Research
- Trojani F. (2001) Robust Statistical Analysis of Financial Models for the Short Term Rate. Bulletin of the International Statistical Institute, 53rd ISI Session Proceedings
Report in scientific conference (8)
- Trojani F. (2003) Equilibrium Impact of Value at Risk Regulation. International Workshop on Risk and Regulation, Collegium Budapest, Budapest
- Trojani F. (2003) Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets. Econometric Symposium on New Frontiers in Financial Volatility Modelling, Florence
- Trojani F. (2003) Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. Annual Meeting of the European Finance Association, Glasgow
- Trojani F. (2003) Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. CEPR/Studienzentrum Gerzensee European Summer Symposium in Financial Markets, Gerzensee, Switzerland
- Trojani F. (2003) Model Uncertainty, Bond Pricing and the non-Robustness of Affine Term Structures. European Mathematical Society Conference on Applied Mathematics and Applications of Mathematics
- Trojani F. (2003) Robust Efficient Method of Moments. International Workshop on Econometric Time Series Analysis - Methods and Applications, University of Linz, Austria
- Trojani F. (2003) Robust Efficient Method of Moments Estimation. International Conference on Robust Statistics, Antwerp
- Trojani F. (2003) Saddlepoint Approximations and Test Statistics for Accurate Finite Sample GMM Inference in overidentified Moment Conditions Models. European Meeting of the Econometric Society, Stockholm
