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Abootaleb Shirvani

Texas Tech University (from arXiv:2501.15793, 2025) · ORCID · OpenAlex

23 papers in scope · 21 published · 3 on the econ.EM arXiv · 94 citations · h-index 6 (over the papers listed here)

Related authors

The 20 authors closest to this one in our weighted citation graph, most related first.

  1. Frank J. Fabozzi
  2. Svetlozar T. Rachev
  3. Ayush Jha
  4. Ali Jaffri
  5. Iliyan Georgiev
  6. Giuseppe Cavaliere
  7. Edoardo Zanelli
  8. Anders Rahbek
  9. H. Peter Boswijk
  10. Tengyuan Liang
  11. Sanjog Misra
  12. Yang Zu
  13. Luca Fanelli
  14. Giovanni Angelini
  15. Max H. Farrell
  16. Jun Yu
  17. Vadim Gorin
  18. Anna Bykhovskaya
  19. Arkadiusz Szydłowski
  20. Marco Mazzali

Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md.

Papers

(3 of 23)

Downside-Sensitive Portfolio Optimization and Risk Overlays for Real Estate Securities
published2026 · Journal of risk and financial management
with Dilmi C. W. Hettiachchi-Halpe-Kankanamalage, Nicholas Appiah, Svetlozar T. Rachev, W. Brent Lindquist, Frank J. Fabozzi
Journal of risk and financial management
Comparing Higher-Order Co-Moment Functionals with Conditional Tail Risk Measures
published2026 · Journal of risk and financial management
with Mahshid Fahandezhsadi
Journal of risk and financial management
Option-Implied Zero-Coupon Yields: Unifying Bond and Equity Markets
published2026 · Journal of risk and financial management · first circulated 2025
with Ting-Jung Lee, W. Brent Lindquist, Svetlozar T. Rachev
Journal of risk and financial management
Performance and Risk Analytics of Asian Exchange-Traded Funds
published2026 · Journal of risk and financial management · 1 citations · first circulated 2025
with Bhathiya Divelgama, Nancy Asare Nyarko, Naa Sackley Dromo Aryee, Svetlozar T. Rachev
Journal of risk and financial management
Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation
working paper2025 · arXiv
with Ayush Jha, Ali Jaffri, Svetlozar T. Rachev, Frank J. Fabozzi, Ali M. Jaffri
Paper profile arXiv arXiv:2505.12198
Beyond the bid–ask: strategic insights into spread prediction and the global mid-price phenomenon
published2025 · Econometric Reviews · first circulated 2024
with Yifan He, Barret Pengyuan Shao, Svetlozar T. Rachev, Frank J. Fabozzi
Econometric Reviews
Optimizing Portfolios with Pakistan-Exposed Exchange-Traded Funds: Risk and Performance Insight
published2025 · Journal of risk and financial management · 3 citations
with Ali M. Jaffri, Ayush Jha, Svetlozar T. Rachev, Frank J. Fabozzi
Journal of risk and financial management
Risk-Adjusted Performance of Random Forest Models in High-Frequency Trading
published2025 · Journal of risk and financial management · 11 citations · first circulated 2024
with Aman Deep, Chris Monico, Svetlozar T. Rachev, Frank J. Fabozzi, Akash Deep
Journal of risk and financial management
Advancing Portfolio Optimization: Adaptive Minimum-Variance Portfolios and Minimum Risk Rate Frameworks
working paper2025 · arXiv · 1 citations
with Ayush Jha, Ali Jaffri, Svetlozar T. Rachev, Frank J. Fabozzi, Ali M. Jaffri
Paper profile arXiv arXiv:2501.15793
Beyond the Traditional VIX: A Novel Approach to Identifying Uncertainty Shocks in Financial Markets
published2024 · Journal of risk and financial management · 2 citations
with Ayush Jha, Svetlozar T. Rachev, Frank J. Fabozzi
Paper profile Journal of risk and financial management arXiv:2411.02804
A rational finance explanation of the stock predictability puzzle
published2024 · Review of Financial Economics
with Svetlozar T. Rachev, Frank J. Fabozzi
Review of Financial Economics
Bitcoin Volatility and Intrinsic Time Using Double-Subordinated Lévy Processes
published2024 · Risks · 6 citations · first circulated 2021
with Stefan Mittnik, W. Brent Lindquist, Svetlozar T. Rachev
Risks
The Financial Market of Indices of Socioeconomic Well-Being
published2024 · Journal of risk and financial management · 4 citations
with Thilini V. Mahanama, Svetlozar T. Rachev, Frank J. Fabozzi
Journal of risk and financial management
Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis
published2022 · Journal of Economic Dynamics and Control · 10 citations · first circulated 2021
with Yuan Hu, W. Brent Lindquist, Svetlozar T. Rachev, Frank J. Fabozzi
Journal of Economic Dynamics and Control
Option pricing in an investment risk-return setting
published2021 · Applied Economics · 1 citations · first circulated 2019
with Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi, Young Shin Kim
Applied Economics
A Natural Disasters Index
published2021 · Environmental Economics and Policy Studies
with Thilini V. Mahanama, Svetlozar Rachev
Environmental Economics and Policy Studies
Option Pricing with Greed and Fear Factor: The Rational Finance Approach
published2021 · The Journal of Derivatives · 5 citations · first circulated 2017
with Frank J. Fabozzi, Boryana Racheva-Iotova, Svetlozar T. Rachev
The Journal of Derivatives
Global Index on Financial Losses Due to Crime in the United States
published2021 · Journal of risk and financial management
with Thilini V. Mahanama, Svetlozar T. Rachev
Journal of risk and financial management
Option Pricing Incorporating Factor Dynamics in Complete Markets
published2020 · Journal of risk and financial management · 12 citations
with Yuan Hu, W. Brent Lindquist, Frank J. Fabozzi, Svetlozar T. Rachev
Journal of risk and financial management
OPTION PRICING IN MARKETS WITH INFORMED TRADERS
published2020 · International Journal of Theoretical and Applied Finance · 12 citations · first circulated 2017
with Yuan Hu, Stoyan V. Stoyanov, Young Shin Kim, Frank J. Fabozzi, Svetlozar T. Rachev, Yong Shin Kim
International Journal of Theoretical and Applied Finance
Multiple subordinated modeling of asset returns: Implications for option pricing
published2020 · Econometric Reviews · 14 citations · first circulated 2019
with Svetlozar T. Rachev, Frank J. Fabozzi
Econometric Reviews
Stock Returns and Roughness Extreme Variations: A New Model for Monitoring 2008 Market Crash and 2015 Flash Crash
published2020 · Applied Economics and Finance · 10 citations
Applied Economics and Finance
Equity Premium Puzzle or Faulty Economic Modelling?
published2020 · Review of Quantitative Finance and Accounting · 2 citations
with Stoyan V. Stoyanov, Frank J. Fabozzi, Svetlozar T. Rachev
Review of Quantitative Finance and Accounting

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.