Research

• An L-Moment Approach for Portfolio Choice under Non-Expected Utility, (w/Loriano Mancini and Stoyan Stoyanov)
  [Journal of Financial Econometrics: published version] [SSRN] 

• Asymptotic Properties of ReLU FFN Sieve Estimators, (w/Frank J. Fabozzi, Vincentius Franstianto, and Grégoire Loeper)
  [Forthcoming at the Studies in Nonlinear Dynamics & Econometrics] [SSRN] [SNDS: published version] [Replication Code]

• Asset Pricing with Neural Networks: Significance Tests, (w/Vincentius Franstianto and Xin Lin), Journal of Econometrics, 238 (1) 2024.
  [JoE: published version] [SSRN] [Replication Code]

• Risk Premia and Lévy Jumps: Theory and Evidence, (w/Julien Hugonnier and Loriano Mancini), Journal of Financial Econometrics, 21 (3) (2023) 810–851. [JFEc: published version].[SSRN]

• Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data, Journal of Financial Data Science.

  • Featured in: [riaIntel]. [Monash Lens] . [ausbiz] . [medianet]

• Modeling Tail Risk with Tempered Stable Distributions: An Overview, (w/Gregoire Loeper),  Annals of Operations Research, (2021).

• Quanto Option Pricing with Lévy Models, (w/Frank J. Fabozzi, Young S. Kim and Jiho Park), Computational Economics, (2018).

• Quantile-based Inference for Univariate Tempered Stable Distributions, (w/David Veredas and Frank J. Fabozzi) Computational Economics, (2017). 

• Elliptical Tempered Stable Distribution, (w/Y. S. Kim and Frank J. Fabozzi),  Quantitative Finance, (2016). 

Fallahgoul, H., Hashemiparast, S. M., Fabozzi, F. J., Klebanov, L., Analytical-numeric formulas for the pdf of multivariate stable and geo-stable distribution, Journal of Statistical Theory and Practice, 8, 260-282 (2014).       

Fallahgoul, H. A., S. M. Hashemiparast, F. J. Fabozzi, Y. S. Kim, Multivariate stable distributions and generating densities, Applied Mathematics Letters, 26(3), 324-329 (2013).

Fallahgoul, H. A., S. M. Hashemiparast, Analytic approximation of time-fractional diffusion-wave equation based on connection of fractional and ordinary calculus, Journal of Computation Analysis and Applications, 15(8), 1430-1443, (2013).             

Fallahgoul, H. A., S. M. Hashemiparast, Y. S. Kim, S. T. Rachev, F. J. Fabozzi, Approximation of stable and geometric stable distributions, Journal of Statistical and Econometric Methods, 1(3) 97-123 (2012).  

Hashemiparast, S. M., M. Sabzevari, Fallahgoul, H. A., Using crooked lines for the higher accuracy system of integral equations, Journal of Applied Mathematics & Informatics, 29(1-2), 145-159, (2011).  

S. M. Hashemiparast, M. Sabzevari, Fallahgoul, H. A., Improving the solution of nonlinear volterra integral equations using rationalized Haar s-functions, Vietnam Journal of Mathematics, 39(2), 145-157 (2011).

Fallahgoul, H. A., B. Noorbakhsh, Optimized method for improving the numerical solution of integral equations, International Mathematical Forum, Vol. 6, no. 7, 339 - 347, ( 2011).      

Hashemiparast, S. M., Fallahgoul, H. A., Modifies Gauss quadrature for ill-posed integral transform, International Journal of Mathematics and Computation, Vol.3, no. D11, 1-13, ( 2011).         

Hashemiparast, S. M., Fallahgoul, H. A., Approximation of fractional derivative via Gauss integration, Annali dell'Università di Ferrara, 57(1), 67-87, (2011).  

Hashemiparast, S. M., Fallahgoul, H. A., Approximation of Laplace transform of fractional derivatives via Clenshaw-Curtis integration, International Journal of Computer Mathematics, 86(1), 1224-1238, (2011).  

Who Influences whom? Behavior Contagion among Investors (w/Xin Lin)
[SSRN]

Time-changed Lévy processes and option pricing: a critical comment, (w/Kihun Nam)
[SSRN]