Erick W. Rengifo

Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

Assistant Professor

United States

  • Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

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    • Tel: 0017188174061
    • Fax: 0017188173518
SCHOLARLY PAPERS

33

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6,327

TOTAL CITATIONS
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Top 31,591

in Total Papers Citations

37

Scholarly Papers (33)

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1.

A Model to Improve the Estimation of Baseline Retail Sales

Downloads 1,128 (40,857)

A Model to Improve the Estimation of Baseline Retail Sales

Journal of CENTRUM Cathedra, Vol. 4, Issue 1, pp. 10-26, 2011
Number of pages: 17 Posted: 11 Apr 2011 Last Revised: 20 Dec 2014
Kurt Jetta and Erick W. Rengifo
TABS Group and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 1,128 (40,215)

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dynamic linear models, multiple structural change model, consumer packaged goods, marketing, sales, promotions, baseline sales

A Model to Improve the Estimation of Baseline Retail Sales

Posted: 19 Jan 2011
Erick W. Rengifo and Kurt Jetta
Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and TABS Group

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dynamic linear models, multiple structural change model, consumer packaged goods, marketing, sales, promotions, baseline sales

2.

Illusionary Finance and Trading Behavior

CORE Discussion Paper No. 2005/4
Number of pages: 21 Posted: 01 Mar 2006
Malika Hamadi, Erick W. Rengifo and Diego A. Salzman
Surrey Business School, Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and The Research Laboratory for Behavioral Finance
Downloads 494 (121,327)

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Illusionary Finance, Behavioral Finance, Evolutionary Finance, Neuroeconomics

3.

Deposit Dollarization and its Impact on Financial Deepening in the Developing World

Fordham University Department of Economics Discussion Paper No. 2010-08
Number of pages: 30 Posted: 22 Sep 2010
Erick W. Rengifo, Eduardo J. Court and Emre Ozsoz
Fordham University - Department of Economics - Center for International Policy Studies (CIPS), Pontifical Catholic University of Peru - CENTRUM and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 437 (140,615)
Citation 1

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Dollarization, Financial Development, Financial Deepening

4.

Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model

CORE Discussion Paper No. 2004/58, EFA 2005 Moscow Meetings Paper
Number of pages: 45 Posted: 06 Mar 2005
Joachim Grammig, Andréas Heinen and Erick W. Rengifo
University of Tübingen, University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 437 (140,615)
Citation 6

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Market microstructure, Liquidity, Trading activity, Multivariate count process

5.

Dynamic Optimal Portfolio Selection in a VAR Framework

CORE Discussion Paper No. 2004/57
Number of pages: 32 Posted: 19 Feb 2006
Erick W. Rengifo and J. V. K. Rombouts
Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and HEC Montreal
Downloads 421 (146,802)
Citation 6

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Portfolio Selection, Value-at-Risk, Skewed-t distribution, Weighted Maximum Likelihood

6.

FinTech, Fractional Trading and the Order Book Dynamics: A Study of US Equities Markets

Number of pages: 26 Posted: 31 Oct 2022 Last Revised: 05 Mar 2025
Janhavi Shankar Tripathi and Erick W. Rengifo
St. Bonaventure University and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 332 (191,143)

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fintech, fractional trading, order book dynamics, investor behavior, risk aversion.

7.

How Investors Face Financial Risk Loss Aversion and Wealth Allocation

Downloads 328 (194,229)
Citation 6

How Investors Face Financial Risk Loss Aversion and Wealth Allocation

Fordham University Department of Economics Discussion Paper No. 2008-01
Number of pages: 51 Posted: 27 Feb 2008
Erick W. Rengifo and Emanuela Trifan
Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and Catholic University of Leuven, Center for Operation Research and Econometrics (CORE)
Downloads 199 (319,764)
Citation 6

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Prospect theory, myopic loss aversion, Value-at-Risk, portfolio evaluation, capital allocation

How Investors Face Financial Risk: Loss Aversion and Wealth Allocation

Journal of CENTRUM Cathedra, Vol. 3, Issue 1, pp. 41-59, 2010
Number of pages: 19 Posted: 13 Apr 2010 Last Revised: 12 Mar 2012
Erick W. Rengifo and Emanuela Trifan
Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and Catholic University of Leuven, Center for Operation Research and Econometrics (CORE)
Downloads 129 (463,384)

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Prospect Theory, Myopic Loss Aversion, Value-at-Risk, Portfolio Evaluation, Capital Allocation

8.

Regime Identification in Limit Order Books

Number of pages: 49 Posted: 01 Dec 2012 Last Revised: 21 Nov 2017
Rossen Trendafilov and Erick W. Rengifo
St. Thomas Aquinas College - Business School and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 294 (217,497)

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Market microstructure, Information regimes, Limit order books, Wavelets, Wavelet multi-resolution analysis

9.

Investors Facing Risk: Loss Aversion and Wealth Allocation Between Risky and Risk-Free Assets

Number of pages: 56 Posted: 23 Feb 2007
Erick W. Rengifo and Emanuela Trifan
Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and Catholic University of Leuven, Center for Operation Research and Econometrics (CORE)
Downloads 283 (226,380)
Citation 2

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prospect theory, loss aversion, capital allocation, Value-at-Risk, portfolio evaluation

10.

Intra-Daily FX Optimal Portfolio Allocation

CORE Discussion Paper No. 2006/10
Number of pages: 28 Posted: 10 Jul 2006
Luc Bauwens, Walid Ben Omrane and Erick W. Rengifo
Université catholique de Louvain, Brock University - Department of Finance, Operations and Information Systems (FOIS) and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 281 (228,049)
Citation 2

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Optimal portfolio selection, Value-at-Risk, GARCH models, Foreign exchange markets

11.

A Theory of Retailer Price Promotion Using Economic Foundations: It's All Incremental

Fordham University Schools of Business Research Paper No. 2540570
Number of pages: 46 Posted: 21 Dec 2014
Kurt Jetta and Erick W. Rengifo
TABS Group and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 238 (269,370)
Citation 1

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Microeconomics, Consumer Demand Theory, Consumer Packaged Goods

12.

Multivariate Reduced Rank Regression in Non-Gaussian Contexts, Using Copulas

CORE Discussion Paper No. 2004/32
Number of pages: 14 Posted: 31 Mar 2007
Andréas Heinen and Erick W. Rengifo
University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 201 (316,407)

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multivariate dispersion model, multivariate statistical analysis, canonical correlations, principal component analsysis

13.

Dollarization as an Investment Signal in Developing Countries: The Case of Croatia, Czech Republic, Peru, Slovak Republic and Turkey

Fordham University Department of Economics Discussion Paper No. 2008-16
Number of pages: 27 Posted: 23 Sep 2008
Dominick Salvatore, Erick W. Rengifo and Emre Ozsoz
Fordham University - Department of Economics, Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 173 (362,470)
Citation 1

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Central Bank Intervention, Foreign Exchange Rates, Dollarization, Ordered Probit

14.

Government Intervention and the CDS Market: A Look at the Market's Response to Policy Announcements During the 2007-2009 Financial Crisis

Journal of Applied Finance (Formerly Financial Practice and Education), Vol. 22, No. 1, 2012
Number of pages: 13 Posted: 17 Nov 2015
Caitlin Ann Greatrex and Erick W. Rengifo
Fordham University - Department of Economics and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 156 (396,393)

Abstract:

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15.

Investors Facing Risk II: Loss Aversion and Wealth Allocation When Utility is Derived from Consumption and Narrowly Framed Financial Investments

Number of pages: 47 Posted: 23 Feb 2007
Erick W. Rengifo and Emanuela Trifan
Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and Catholic University of Leuven, Center for Operation Research and Econometrics (CORE)
Downloads 140 (432,594)

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prospect theory, Value-at-Risk, loss aversion, expected utility, non-expected utility

16.

The Impact of Fractional Trading on Risk Aversion for Non-professional Investors

Finance Research Letters, Vol. 52, No. 103547, 2023
Number of pages: 49 Posted: 19 Sep 2022 Last Revised: 11 Oct 2023
Janhavi Shankar Tripathi and Erick W. Rengifo
St. Bonaventure University and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 139 (437,543)
Citation 8

Abstract:

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fintech, fractional trading, household finance, investor behavior, portfolio theory, risk aversion.

17.

Cross-Sectional Determinants of Bank Performance under Deposit Dollarization

Fordham University Department of Economics Discussion Paper No. 2010-07
Number of pages: 23 Posted: 12 Sep 2010 Last Revised: 14 Jun 2011
Erick W. Rengifo, Ali M. Kutan and Emre Ozsoz
Fordham University - Department of Economics - Center for International Policy Studies (CIPS), Southern Illinois University at Edwardsville and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 133 (450,655)
Citation 2

Abstract:

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Dollarization, bank performance, bank profitability

18.

Foreign Currency Lending and Banking System Stability - New Evidence from Turkey

Number of pages: 28 Posted: 14 Dec 2012
Ali M. Kutan, Emre Ozsoz and Erick W. Rengifo
Southern Illinois University at Edwardsville, Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 125 (473,199)

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Dollarization, bank performance, banking system stability

19.

Options and Central Banks Currency Market Intervention: The Case of Colombia

Number of pages: 36 Posted: 11 Sep 2014
Helena Keefe and Erick W. Rengifo
Fordham University - Department of Economics and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 123 (479,232)
Citation 1

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Exchange Rates, Intervention, Foreign Exchange Markets, Currency Options, International Reserves, International Finance

20.

What Determines Return Risks for Bank Equities in Turkey?

Fordham University Economics Department Discussion Paper Series, 2013
Number of pages: 12 Posted: 06 Sep 2013
Emre Ozsoz, Erick W. Rengifo and Mustapha A. Akinkunmi
Fordham University - Department of Economics - Center for International Policy Studies (CIPS), Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and Brickfield Road Associates Limited
Downloads 115 (504,419)

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commercial banks, Turkish Banks, equity risk

21.

Cloud Computing for MATLAB and R Users

Number of pages: 116 Posted: 27 Nov 2017
Michael Gallagher, Erick W. Rengifo and Rossen Trendafilov
St. Bonaventure University, Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and St. Thomas Aquinas College - Business School
Downloads 114 (507,720)

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Cloud computing, Amazon Web Services, S3, EC2, Virtual Computing Instance, Linux R, MATLAB

22.

Investors Facing Risk: Prospect Theory and Non-Expected Utility in Portfolio Selection

Number of pages: 50 Posted: 21 Sep 2013
Erick W. Rengifo, Emanuela Trifan and Rossen Trendafilov
Fordham University - Department of Economics - Center for International Policy Studies (CIPS), Bayerngas Energy and St. Thomas Aquinas College - Business School
Downloads 113 (511,023)

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VaR, Non-Professional Investor, Prospect Theory, Non-Expected Utility

23.

The Individually Acceptable Loss (IAL)

Downloads 78 (649,716)

The Individually Acceptable Loss (IAL)

Number of pages: 22 Posted: 19 Sep 2013
Erick W. Rengifo, Emanuela Trifan and Rossen Trendafilov
Fordham University - Department of Economics - Center for International Policy Studies (CIPS), Bayerngas Energy and St. Thomas Aquinas College - Business School
Downloads 78 (659,131)

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market risk, prospect theory, loss aversion, capital allocation, Value-at-Risk

The Individually Acceptable Loss (IAL)

Posted: 05 Mar 2007
Erick W. Rengifo and Emanuela Trifan
Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and Catholic University of Leuven, Center for Operation Research and Econometrics (CORE)

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market risk, prospect theory,loss aversion, capital allocation, Value-at-Risk

24.

The Impact of Earnings Announcements Before and After Regular Market Hours on Asset Price Dynamics in the FinTech Era

Journal of Risk and Financial Management 18 (2), 75
Number of pages: 37 Posted: 08 Jan 2025 Last Revised: 20 Feb 2025
Janhavi Shankar Tripathi and Erick W. Rengifo
St. Bonaventure University and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 44 (858,307)
Citation 1

Abstract:

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fintech, earnings announcement, asset price dynamics, order book dynamics, investor behavior

25.

Cloud Computing for MATLAB and R Users: Part IV – How to Use MATLAB in the Cloud

The IUP Journal of Computer Sciences, Vol. XIII, No. 3, July 2019, pp. 57-72
Posted: 04 Aug 2020
Michael Gallagher, Erick W. Rengifo and Rossen Trendafilov
St. Bonaventure University, Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and St. Thomas Aquinas College

Abstract:

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Cloud computing, Amazon Web Services (AWS), S3, Elastic Compute Cloud (EC2), Virtual computing instance, Linux R, MATLAB

26.

Cloud Computing for MATLAB and R Users: Part II – Transferring Data and Cloud Storage

The IUP Journal of Computer Sciences, Vol. XIII, No. 2, April 2019, pp. 7-31
Posted: 24 Oct 2019
Michael Gallagher, Erick W. Rengifo and Rossen Trendafilov
St. Bonaventure University, Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and St. Thomas Aquinas College

Abstract:

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Cloud computing, Amazon Web Services (AWS), S3, Elastic Compute Cloud (EC2), Virtual computing instance, Linux R, MATLAB

27.

Cloud Computing for MATLAB and R Users: Part III – Multicore Virtual Machine Parallel Computing Environment

The IUP Journal of Computer Sciences, Vol. XIII, No. 2, April 2019, pp. 31-67
Posted: 23 Oct 2019
Michael Gallagher, Erick W. Rengifo and Rossen Trendafilov
St. Bonaventure University, Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and St. Thomas Aquinas College

Abstract:

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Cloud computing, Amazon Web Services (AWS), S3, Elastic Compute Cloud (EC2), Virtual computing instance, Linux R, MATLAB

28.

Cloud Computing for MATLAB and R Users: Part I – Creation of Virtual Computing Instance Using Amazon Web Services

The IUP Journal of Computer Sciences, Vol. XIII, No. 1, January 2019, pp. 38-69
Posted: 13 Jun 2019
Michael Gallagher, Erick W. Rengifo and Rossen Trendafilov
St. Bonaventure University, Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and St. Thomas Aquinas College

Abstract:

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Cloud computing, Amazon Web Services (AWS), S3, Elastic Compute Cloud (EC2), Virtual computing instance, Linux R, MATLAB

29.

Chapter 23: Behavioral Portfolio Theory and Investment Management

Investor Behavior: The Psychology of Financial Planning and Investing. H. Kent Baker and Victor Ricciardi, editors, 421-438, Hoboken, NJ: John Wiley & Sons, Inc. , 2014.
Posted: 31 May 2014
Erick W. Rengifo, Rossen Trendafilov and Emanuela Trifan
Fordham University - Department of Economics - Center for International Policy Studies (CIPS), St. Thomas Aquinas College - Business School and Bayerngas Energy

Abstract:

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Mental accounting, loss aversion, prospect theory, security-potential/aspiration theory, behavioral portfolio theory, behavioral asset pricing model, behavioral finance, financial psychology, behavioural finance, behavioral economics, behavioural economics

30.

Government Intervention and the CDS Market: A Look at the Market’s Response to Policy Announcements During the 2007-2009 Financial Crisis

Journal of Applied Finance, Spring/Summer 2012, Volume 22, Issue 1, pp. 43-55
Posted: 29 Jul 2012
Caitlin Ann Greatrex and Erick W. Rengifo
Fordham University - Department of Economics and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

Abstract:

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Government intervention, financial crisis, Credit default swaps, credit risk

31.

Deposit Dollarization as an Investment Signal in Transition Economies: The Cases of Croatia, the Czech Republic, and Slovakia

Emerging Markets Finance and Trade, Vol. 46, No. 4, 2010
Posted: 31 Oct 2010
Emre Ozsoz, Erick W. Rengifo and Dominick Salvatore
Fordham University - Department of Economics - Center for International Policy Studies (CIPS), Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and Fordham University - Department of Economics

Abstract:

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deposit dollarization, direct central bank intervention, foreign exchange rates, probit and ordered probit models

32.

Mulivariate Reduced Rank Regression in Non-Gaussian Contexts, Using Copulas

CORE Discussion Paper 2004/32
Posted: 04 Jan 2005
Andréas Heinen and Erick W. Rengifo
University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

Abstract:

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multivariate dispersion model, multivariate statistical analysis

33.

Multivariate Modelling of Time Series Count Data: An Autoregressive Conditional Poisson Model

CORE Discussion Paper No. 2003/25
Posted: 03 Jan 2005
Andréas Heinen and Erick W. Rengifo
University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

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count data, time series, copula, market microstructure.