Hasan Fallahgoul

Monash University

Clayton Campus

Victoria, 3800

Australia

http://www.hfallahgoul.com

Monash University

Clayton Campus

Victoria, 3800

Australia

http://www.hfallahgoul.com

SCHOLARLY PAPERS

14

DOWNLOADS
Rank 41,926

SSRN RANKINGS

Top 41,926

in Total Papers Downloads

2,351

SSRN CITATIONS

9

CROSSREF CITATIONS

1

Scholarly Papers (14)

Actions:
Email selected abstracts
1.

An L-Moment Approach for Portfolio Choice under Non-Expected Utility

Swiss Finance Institute Research Paper No. 18-65, 31st Australasian Finance and Banking Conference 2018, Proceedings of Paris December 2019 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 80 Posted: 30 Jul 2018 Last Revised: 17 Jul 2023
Hasan Fallahgoul, Hasan Fallahgoul, Loriano Mancini and Stoyan V. Stoyanov
Monash UniversityMonash University, Università della Svizzera italiana (USI Lugano) and Charles Schwab
Downloads 357 (163,684)
Citation 1

Abstract:

Loading...

choice under uncertainty, optimal portfolios, generalized disappointment aversion, L-moments

2.

Asymptotic Properties of ReLU FFN Sieve Estimators

Number of pages: 62 Posted: 27 Dec 2019 Last Revised: 12 Aug 2024
Frank J. Fabozzi, Hasan Fallahgoul, Hasan Fallahgoul, Vincentius Franstianto and Gregoire Loeper
Johns Hopkins University - Carey Business School, Monash UniversityMonash University, Monash University and BNP Paribas
Downloads 352 (166,154)
Citation 2

Abstract:

Loading...

Deep Learning, Neural Networks, Sieve Estimators, Consistency JEL classification: C1, C5

3.

Investor Disagreement: The Secret Fuel Behind Stock Price Jumps

Number of pages: 84 Posted: 22 Nov 2022 Last Revised: 24 Apr 2024
Hasan Fallahgoul, Hasan Fallahgoul and Xin Lin
Monash UniversityMonash University and Monash University - School of Mathematics
Downloads 350 (167,189)

Abstract:

Loading...

Investor Disagreement; News; Jumps; Hawkes Processes

4.

Risk Premia and Lévy Jumps: Theory and Evidence

Swiss Finance Institute Research Paper No. 19-49
Number of pages: 53 Posted: 12 Feb 2019 Last Revised: 23 May 2021
Hasan Fallahgoul, Hasan Fallahgoul, Julien Hugonnier and Loriano Mancini
Monash UniversityMonash University, Centre for Economic Policy Research (CEPR) and Università della Svizzera italiana (USI Lugano)
Downloads 297 (199,145)
Citation 3

Abstract:

Loading...

Lévy jumps, time changes, tempered stable law, time series, option pricing

5.

Who Influences Whom? Behavior Contagion among Investors

Number of pages: 99 Posted: 15 Jan 2021 Last Revised: 02 Sep 2022
Hasan Fallahgoul, Hasan Fallahgoul and Xin Lin
Monash UniversityMonash University and Monash University - School of Mathematics
Downloads 266 (222,963)

Abstract:

Loading...

Sentiment; Jumps; Hawkes Processes; Behaviour Contagion; Herding/dispersing; Information Cascades

6.

Asset Pricing with Neural Networks: Significance Tests

Journal of Econometrics, Forthcoming
Number of pages: 94 Posted: 22 Jul 2021 Last Revised: 29 Aug 2023
Hasan Fallahgoul, Hasan Fallahgoul, Vincentius Franstianto and Xin Lin
Monash UniversityMonash University, Monash University and Monash University - School of Mathematics
Downloads 239 (247,834)
Citation 3

Abstract:

Loading...

Asset Pricing; Risk Premium; Neural Networks; Variable Significant Test

7.

Quantile-Based Inference for Tempered Stable Distributions

Number of pages: 25 Posted: 20 Jun 2015 Last Revised: 12 Jul 2016
Hasan Fallahgoul, Hasan Fallahgoul, David Veredas and Frank J. Fabozzi
Monash UniversityMonash University, Vlerick Business School and Johns Hopkins University - Carey Business School
Downloads 181 (320,542)
Citation 2

Abstract:

Loading...

heavy tailed distribution, tempered stable distribution, method of simulated quantiles

8.

Modeling Tail Risk with Tempered Stable Distributions: An Overview

Number of pages: 50 Posted: 03 Dec 2018
Hasan Fallahgoul, Hasan Fallahgoul and Gregoire Loeper
Monash UniversityMonash University and BNP Paribas
Downloads 118 (453,487)

Abstract:

Loading...

tail risk, stable distribution, tempered stable distribution, Lévy processes

9.

Time-changed Lévy processes and option pricing: a critical comment

Number of pages: 56 Posted: 18 Aug 2018 Last Revised: 11 Aug 2020
Hasan Fallahgoul, Hasan Fallahgoul and Kihun Nam
Monash UniversityMonash University and Monash University
Downloads 100 (511,313)

Abstract:

Loading...

Jumps, Time Changes, Business Time

10.

Semi-Analytic Asymptotic Distribution for Integrated Conditional Moment Tests

Number of pages: 23 Posted: 26 Nov 2019 Last Revised: 12 Feb 2024
Stoyan V. Stoyanov, Hasan Fallahgoul and Hasan Fallahgoul
Charles Schwab and Monash UniversityMonash University
Downloads 73 (618,355)

Abstract:

Loading...

model adequacy, non-linear models

11.

The Social Signal and News Media

Number of pages: 50
Hasan Fallahgoul, Hasan Fallahgoul, Xin Lin and Farshid Vahid
Monash UniversityMonash University, Monash University - School of Mathematics and Monash University - Department of Econometrics and Business Statistics
Downloads 18

Abstract:

Loading...

Social media, News media, Social Finance, Connectedness

12.

Inside the Mind of Investors During the COVID-19 Pandemic: Evidence from the StockTwits Data

Forthcoming, Journal of Financial Data Science
Posted: 24 Apr 2020 Last Revised: 11 Nov 2020
Hasan Fallahgoul and Hasan Fallahgoul
Monash UniversityMonash University

Abstract:

Loading...

Sentiment, Disagreement, Stock Market, COVID-19 Pandemic

13.

Online Appendix to: Quanto Option Pricing with Lévy Models

Posted: 10 Jul 2016 Last Revised: 02 Apr 2018
Hasan Fallahgoul, Hasan Fallahgoul, Young Shin Kim, Frank J. Fabozzi and Jiho Park
Monash UniversityMonash University, College of Business, Stony Brook University, Johns Hopkins University - Carey Business School and State University of New York, SUNY at Stony Brook University, College of Business

Abstract:

Loading...

Quanto option pricing, L'evy process, stable and tempered stable process, subordinator

14.

Quanto Option Pricing with Lévy Models

Posted: 20 Jun 2016 Last Revised: 02 Apr 2018
Hasan Fallahgoul, Hasan Fallahgoul, Young Shin Kim, Frank J. Fabozzi and Jiho Park
Monash UniversityMonash University, College of Business, Stony Brook University, Johns Hopkins University - Carey Business School and State University of New York, SUNY at Stony Brook University, College of Business

Abstract:

Loading...

Quanto option pricing, L'evy process, stable and tempered stable process, subordinator