← All authors Radu Tunaru University of Sussex (from arXiv:2010.08113, 2020) · ORCID · OpenAlex
59 papers in scope · 59 published · 1 on the econ.EM arXiv · 968 citations · h-index 18 (over the papers listed here)
Papers (1 of 59)
Portfolio selection and risk sharing via risk budgeting
published 2025 · Insurance Mathematics and Economics
with Vali Asimit, Wing Fung Chong, Feng Zhou
Testing green finance portfolio performance
published 2025 · Journal of the Operational Research Society · 2 citations
with Enoch Quaye, Diana Tunaru
Green-adjusted share prices: A comparison between standard investors and investors with green preferences
published 2024 · Journal of Financial Stability · 3 citations
with Enoch Quaye, Diana Tunaru
MIDAS and dividend growth predictability: Revisiting the excess volatility puzzle
published 2024 · The Journal of Financial Research · 1 citations
with Enoch Quaye, Nikolaos Voukelatos
The timing of voluntary delisting
published 2024 · Journal of Financial Economics · 16 citations · first circulated 2019
with Alcino Azevedo, Gönül Çolak, Izidin El Kalak
published 2024 · Journal of Financial Econometrics · 3 citations · first circulated 2020
Herding behavior and systemic risk in global stock markets
published 2023 · Journal of Empirical Finance · 49 citations · first circulated 2021
with Iftekhar Hasan, Davide Vioto
Options-based systemic risk, financial distress, and macroeconomic downturns
published 2023 · Journal of Financial Markets · 16 citations · first circulated 2020
with Mattia Bevilacqua, Davide Vioto
The Interconnectedness between Green Finance Indexes and Other Important Financial Variables
published 2022 · The Journal of Portfolio Management · 4 citations
A Bayesian View on Autocallable Pricing and Risk Management
published 2022 · The Journal of Derivatives · 4 citations
with Tommaso Paletta
On non-negative equity guarantee calculations with macroeconomic variables related to house prices
published 2022 · Insurance Mathematics and Economics · 6 citations · first circulated 2021
with Alexandru Badescu, Enoch Quaye
Equity Portfolio Trading with Volatility and Dividend Derivatives
published 2021 · The Journal of Derivatives
Risk spillovers and interconnectedness between systemically important institutions
published 2021 · Journal of Financial Stability · 69 citations · first circulated 2020
with Alin Marius Andrieş, Steven Ongena, Nicu Sprincean
The stock implied volatility and the implied dividend volatility
published 2021 · Journal of Economic Dynamics and Control · 6 citations
with Enoch Quaye
Asymmetric Network Connectedness of Fears
published 2020 · The Review of Economics and Statistics · 46 citations · first circulated 2018
The SKEW index: Extracting what has been left
published 2020 · Journal of Financial Stability · 29 citations
with Mattia Bevilacqua
A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk?
published 2020 · The Journal of Economic Perspectives · 16 citations
Herding by corporates in the US and the Eurozone through different market conditions
published 2020 · Journal of International Money and Finance · 50 citations
with Meryem Duygun, Davide Vioto
A cost-benefit analysis of capital requirements adjusted for model risk
published 2020 · Journal of Corporate Finance · 9 citations
with Walter Farkas, Fulvia Fringuellotti
Evolution of Real Estate Derivatives and Their Pricing
published 2019 · The Journal of Derivatives · 5 citations
Detecting Bubbles in the US and UK Real Estate Markets
published 2019 · The Journal of Real Estate Finance and Economics · 30 citations
The determinants of the model-free positive and negative volatilities
published 2018 · Journal of International Money and Finance · 15 citations
with Mattia Bevilacqua, David Morelli
Commercial Real Estate Derivatives: The End or the Beginning?
published 2017 · The Journal of Portfolio Management · 5 citations
Parameter estimation risk in asset pricing and risk management: A Bayesian approach
published 2017 · International Review of Financial Analysis · 18 citations
with Teng Zheng
Dividend derivatives
published 2017 · Quantitative Finance · 11 citations · first circulated 2014
An improved least squares Monte Carlo valuation method based on heteroscedasticity
published 2017 · European Journal of Operational Research · 29 citations
Real-Estate Derivatives: From Econometrics to Financial Engineering
published 2017 · OUP Catalogue · 2 citations
no link
A factor model for joint default probabilities. Pricing of CDS, index swaps and index tranches
published 2016 · Insurance Mathematics and Economics · 3 citations
with Catalin Cantia
Pricing and hedging basket options with exact moment matching
published 2016 · Insurance Mathematics and Economics · 11 citations · first circulated 2013
with Arturo Leccadito, Tommaso Paletta
An improved method for pricing and hedging long dated American options
published 2016 · European Journal of Operational Research · 11 citations · first circulated 2014
Trading strategies with implied forward credit default swap spreads
published 2015 · Journal of Banking & Finance · 6 citations
Multiperiod conditional valuation of barrier options with incomplete information
published 2015 · Quantitative Finance
Model Risk In Financial Markets: From Financial Engineering To Risk Management
published 2015 · World Scientific Books
Value at Risk and Expected Shortfall Improved Calculation Based on the Power Transformation Method
published 2014 · The Journal of Derivatives · 1 citations
with Arturo Leccadito, Pietro Toscano
Practical Applications of Commercial Real Estate Risk Management with Derivatives
published 2014 · Practical Applications
Forward–futures price differences in the UK commercial property market: Arbitrage and marking-to-model explanations
published 2014 · International Review of Financial Analysis · 3 citations
with Silvia Stanescu, Made Reina Candradewi
Extracting market information from equity options with exponential Lévy processes
published 2013 · Journal of Economic Dynamics and Control · 10 citations
Commercial Real Estate Risk Management with Derivatives
published 2013 · The Journal of Portfolio Management · 13 citations
HERMITE BINOMIAL TREES: A NOVEL TECHNIQUE FOR DERIVATIVES PRICING
published 2012 · International Journal of Theoretical and Applied Finance · 10 citations
with Arturo Leccadito, Pietro Toscano
Commercial Real‐Estate Inventory and Theory of Storage
published 2012 · Journal of Futures Markets · 9 citations
with Hélyette Geman
A Pricing Framework for Real Estate Derivatives
published 2011 · European Financial Management · 39 citations
A new method for generating approximation algorithms for financial mathematics applications
published 2011 · Quantitative Finance
Valuations of Soccer Players from Statistical Performance Data
published 2010 · Journal of Quantitative Analysis in Sports · 25 citations
with Howard Viney
Property Derivatives for Managing European Real‐Estate Risk
published 2009 · European Financial Management · 58 citations
Hedging Real Estate Risk
published 2009 · The Journal of Portfolio Management · 35 citations
Estimating risk-neutral density with parametric models in interest rate markets
published 2009 · Quantitative Finance · 19 citations
The credit rating process and estimation of transition probabilities: A Bayesian approach
published 2008 · Journal of Empirical Finance · 74 citations
with Cătălina Ştefănescu, Stuart M. Turnbull
ON SOME INCONSISTENCIES IN MODELING CREDIT PORTFOLIO PRODUCTS
published 2007 · International Journal of Theoretical and Applied Finance · 1 citations
Discrete Variable Chain Graphical Modelling for Assessing the Effects of Fund Managers’ Characteristics on Incentives Satisfaction and Size of Returns
published 2006 · European Journal of Finance · 3 citations
Financial Engineering Applications of Forward Start Options for Structured Products with Capital Protection
published 2006 · The journal of structured finance · 1 citations
with Brian A. Eales
Chinese equity market and the efficient frontier
published 2006 · Applied Financial Economics Letters · 9 citations
On risk management problems related to a coherence property
published 2006 · Quantitative Finance · 7 citations
Portfolio selection under VaR constraints
published 2005 · Computational Management Science · 7 citations
with Kostas Giannopoulos, Ephraim Clark
An option pricing framework for valuation of football players
published 2005 · Review of Financial Economics · 58 citations
with Ephraïm Clark, Howard Viney
Coherent risk measures under filtered historical simulation
published 2004 · Journal of Banking & Finance · 57 citations
with Kostas Giannopoulos
Modeling Volatility for the Chinese Equity Markets
published 2004 · Annals of economics and finance · 26 citations
no link
Quantification of political risk with multiple dependent sources
published 2003 · Journal of Economics and Finance · 20 citations
with Ephraim Clark, Ephraïm Clark
Models of Association Versus Causal Models for Contingency Tables
published 2001 · Journal of the Royal Statistical Society Series D (The Statistician) · 8 citations
Graphical association models for road accident characteristics
published 2000 · IMA Journal of Management Mathematics
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).