Journal Articles
Allaj, E. (2025). No-Arbitrage Valuation of Contingent Claims Depending on an Untradeable Asset. Applied Stochastic Models in Business and Industry, 41(2), e70007.
Allaj, E. (2025). Integrated volatility estimation: the case of observed noise variables. Journal of the Korean Statistical Society, 54(1), 20-43.
Allaj, E., Mancino, M. E., & Sanfelici, S. (2024). Identifying the number of latent factors of stochastic volatility models. Decisions in Economics and Finance, 1-32.
Allaj, E., & Sanfelici, S. (2023). Early Warning Systems for identifying financial instability. International Journal of Forecasting, 39(4), 1777-1803.
Allaj, E., & Mancino, M. E. (2021). On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?. Communications in Statistics-Simulation and Computation, 50(12), 4413-4441.
Allaj, E. (2021). Measuring variability and association for categorical data. Fuzzy Sets and Systems, 421, 29-43.
Allaj, E. (2020). The Black–Litterman model and views from a reverse optimization procedure: An out-of-sample performance evaluation. Computational Management Science, 17(3), 465-492.
Allaj, E. (2018). Two simple measures of variability for categorical data. Journal of applied statistics, 45(8), 1497-1516.
Allaj, E. (2017). Implicit transaction costs and the fundamental theorems of asset pricing. International Journal of Theoretical and Applied Finance, 20(04), 1750024.
Allaj, E. (2017). Risk measuring under liquidity risk. Applied Mathematical Finance, 24(3), 246-279.
Allaj, E. (2013). The Black–Litterman model: a consistent estimation of the parameter tau. Financial Markets and Portfolio Management, 27, 217-251.