FinA
Financial Analytics Research Group
 

Journals

  1. Harmantzis, F., L. Miao, and Y. Chien , Empirical Study of Value-at-Risk and Expected Shortfall Models with Heavy Tails, Journal of Risk Finance, 7, 2 (2006): 117 - 135.
  2. Goldman, I., P. Dubovski, and F. Harmantzis, A Markov Model for Stocks with Small and Medium Market Capitalization, Financial Letters, Volume 3, Issue 4, August 2005.

Working Papers

  1. Harmantzis, F., and L. Miao , On the Impact of Heavy-Tailed Returns to Popular Risk Measures: Evidence from Global Indices.
  2. Grody, A., F. Harmantzis, and G. Kaple, Operational Risk and Reference Data: Exploring Costs, Capital Requirements and Risk Mitigation.
  3. Harmantzis, F., and V. P. Tanguturi, Key Determinants of R&D Expenditures in the US Telecommunications Equipment Industry.
  4. Harmantzis, F., and J. Nakahara, Evidence of Perstistence in London Interbank Offer Rate.
  5. Harmantzis, F., B. Song, and L. Miao, Optimal Investment Decision: A Project-level Empirical Test.

Conferences/Workshops/Meetings/Symposia

2007

  1. Financial Management Association International (FMA) European Conference,Barcelona, Spain

2006

  1. Financial Management Association International (FMA) European Conference, Stockholm, Sweden
  2. IAMOT (International Association for Management of Technology), Beijing, China
  3. SIAM Conference on Financial Mathematics and Engineering (FM&E), Boston, MA
  4. Forth World Congress Bachelier Finance Society 2006 (BFS2006), Tokyo, Japan

2005

  1. Quantitative Methods in Finance Conference (QMF), Sydney, Australia
  2. SAMSI Workshop on Financial Mathematics, Statistics and Econometrics, Research Triangle Park, NC , USA
  3. Rutgers-Stevens Workshop on Optimization of Stochastic Systems, NJ, USA
  4. Symposium on Advances in Financial Forecasting (AFF), Loutraki, Greece
  5. INFORMS Applied Probability Conference, Ottawa, Canada

2004

  1. INFORMS Applied Probability Conference, Beijing, China

2002

  1. Annual INFORMS Meeting, San Jose, CA

Magazines

  1. Harmantzis, F., Operational Risk Management. ORMS Today, 30(1), 2003.