Fordham University            The Jesuit University of New York
 


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ERICK W. RENGIFO
Assistant Professor
Department of Economics
Fordham University

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[ PUBLICATIONS]  [WORKING PAPERS]  [WORK IN PROGRESS]


PUBLICATIONS


•Illusionary Finance and Trading  behavior, The ICFAI Journal of Behavioral Finance, 2005, vol II, No 3, 49-62 (with Malika Hamadi and Diego Salzman).  
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•Multivariate Autoregressive Modeling of Time Series Count Data Using Copulas. Journal of Empirical Finance, 2007, vol (14) issue 4, pp. 564-583.
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•Multivariate Reduced Rank Regression in non-Gaussian Contexts, Using Copulas. Journal of Computational Statistics and Data Analysis, 2008, vol (52) issue 6, pp. 2931-2944.
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WORKING PAPERS

•Dynamic Optimal Portfolio Selection in a VaR Framework, CORE discussion paper 57/2004 (With Jeroen Rombouts).
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•Trading Activity and Liquidity Supply in a Pure Limit Order Market: An Empirical Analysis using a Multivariate Count Data Model. CORE Working Paper 58/2004 (With Jaochim Grammig and Andreas Heinen).
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•Intra-daily FX Optimal Dynamic Portfolio Allocation, CORE discussion paper 10/2006 (With Luc Bauwens and Walid Ben Omrane).
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•How Investors Face Financial Risk: Loss Aversion and Wealth Allocation, Darmstadt University Working paper No 180/2007 (With Emanuela Trifan).
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•How Investors Face Financial Risk (II): Loss Aversion and Wealth Allocation with a Twofold Utility, Darmstadt University Working paper No 181/2007 (With Emanuela Trifan).
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WORK IN PROGRESS

•Contingent Claims Theory of Limit Order Markets: an Empirical Application
(with Bruce Lehman and Andreas Heinen
).


•Single Index Models Applied to Reduced Rank Regression in non-Gaussian Contexts, Using Copulas (with Andreas Heinen and Leopold Simar).

•Dollarization: An Investement Signal (with Emre Ozsoz and Dominick Salvatore).
[Draft]

•The impact of Dollarization on Financial Deepening (with Emre Ozsoz and Emanuela Trifan).
[Draft]

•Commonalities is Credit Risk Swaps Spreads and Asset Returns (with Caitlin Greatrex and Andreas Heinen).

•Commonalities is Credit Risk Swaps Spreads and Asset Returns (with Caitlin Greatrex and Andreas Heinen).

•Readings in Micro-Development: Growing Inclusive Markets (with Ronald Mendoza).

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Last updated on May 6, 2008.



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