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Research Proposal for PhD Advisory Committee, Behavioral Economics Program, University of Trento
16 references·0 citing·45 second hop
Research Proposal for PhD Advisory Committee, Behavioral Economics Program, University of Trento (2011)Research Proposal for PhD Advisory Commit…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Theory of games and economic behavior (2019)Theory of games and economic …Save More Tomorrow™: Using Behavioral Economics to Increase Employee Saving (2004)Save More Tomorrow™: Using Be…Libertarian Paternalism Is Not an Oxymoron (2003)Libertarian Paternalism Is No…On the coherence of expected shortfall (2002)On the coherence of expected …Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices (2000)Drift Independent Volatility …Coherent Measures of Risk (1999)Coherent Measures of RiskGolden Eggs and Hyperbolic Discounting (1997)Golden Eggs and Hyperbolic Di…Generalized Expected Utility Theory. The Rank-Dependent Model (1996)Generalized Expected Utility …Pricing Derivatives on Financial Securities Subject to Credit Risk (1995)Pricing Derivatives on Financ…Estimating Variance From High, Low and Closing Prices (1991)Estimating Variance From High…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …The Extreme Value Method for Estimating the Variance of the Rate of Return (1980)The Extreme Value Method for …On the Estimation of Security Price Volatilities from Historical Data (1980)On the Estimation of Security…On Second-Best National Saving and Game-Equilibrium Growth (1968)On Second-Best National Savin…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing when underlying stock returns are discontinuous (1976)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)An Economic Theory of Self-Control (1981)THE BEHAVIORAL LIFE‐CYCLE HYPOTHESIS (1988)Advances in prospect theory: Cumulative representation of uncertainty (1992)Psychology and Economics: Evidence from the Field (2009)On the psychology of poverty (2014)The Economic Importance of Financial Literacy: Theory and Evidence (2014)Myopia and Inconsistency in Dynamic Utility Maximization (1973)Specious reward: A behavioral theory of impulsiveness and impulse control. (1975)Anomalies in Intertemporal Choice: Evidence and an Interpretation (1992)Time Discounting and Time Preference: A Critical Review (2002)Implications of rational inattention (2003)Does Culture Affect Economic Outcomes? (2006)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Spectral measures of risk: A coherent representation of subjective risk aversion (2002)Lectures on Stochastic Programming: Modeling and Theory (2009)Quantitative Risk Management (2011)Risk, Ambiguity, and the Savage Axioms (1961)Judgment under Uncertainty: Heuristics and Biases (1975)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)Theory of Financial Decision Making. (1988)Forecasting Volatility in Financial Markets: A Review (2003)Does Algorithmic Trading Improve Liquidity? (2011)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)
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References

  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 2019Theory of games and economic behavior16,630 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1997Golden Eggs and Hyperbolic Discounting6,117 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2004Save More Tomorrow™: Using Behavioral Economics to Increase Employee Saving2,490 cited
  • 1980The Extreme Value Method for Estimating the Variance of the Rate of Return1,946 cited
  • 1995Pricing Derivatives on Financial Securities Subject to Credit Risk1,934 cited
  • 2002On the coherence of expected shortfall1,596 cited
  • 1980On the Estimation of Security Price Volatilities from Historical Data1,538 cited
  • 1968On Second-Best National Saving and Game-Equilibrium Growth1,450 cited
  • 2003Libertarian Paternalism Is Not an Oxymoron1,340 cited
  • 1991Estimating Variance From High, Low and Closing Prices617 cited
  • 1996Generalized Expected Utility Theory. The Rank-Dependent Model478 cited

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Drift Independent Volatility Estimation Based on High, Low, Open, and Close Prices
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