Erick W. Rengifo

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

Assistant Professor

United States

SCHOLARLY PAPERS

25

DOWNLOADS
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3,545

CITATIONS
Rank 30,769

SSRN RANKINGS

Top 30,769

in Total Papers Citations

7

Scholarly Papers (25)

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 474 (45,204)

Abstract:

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

Abstract:

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

2.

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 371 (60,462)
Citation 2

Abstract:

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

3.

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
Eberhard Karls Universitaet Tübingen, University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 361 (60,462)
Citation 1

Abstract:

Market microstructure, Liquidity, Trading activity, Multivariate count process

4.

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 349 (62,222)
Citation 1

Abstract:

Dollarization, Financial Development, Financial Deepening

5.

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
University of Luxembourg - Luxembourg School of Finance, Fordham University - Department of Economics - Center for International Policy Studies (CIPS) and The Research Laboratory for Behavioral Finance
Downloads 341 (57,756)
Citation 1

Abstract:

Illusionary Finance, Behavioral Finance, Evolutionary Finance, Neuroeconomics

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 140 (164,989)
Citation 1

Abstract:

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 92 (225,588)
Citation 1

Abstract:

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

7.

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 192 (120,596)
Citation 1

Abstract:

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

8.

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 176 (124,008)

Abstract:

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

9.

Regime Identification in Limit Order Books

Number of pages: 49 Posted: 01 Dec 2012 Last Revised: 12 Apr 2013
Rossen Trendafilov and Erick W. Rengifo
affiliation not provided to SSRN and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 148 (135,749)

Abstract:

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

10.

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 97 (208,982)

Abstract:

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

11.

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 95 (214,710)

Abstract:

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

12.

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 89 (211,808)

Abstract:

Dollarization, bank performance, bank profitability

13.

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 74 (189,197)

Abstract:

Microeconomics, Consumer Demand Theory, Consumer Packaged Goods

14.

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 68 (257,873)

Abstract:

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

15.

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 51 (277,150)

Abstract:

Dollarization, bank performance, banking system stability

16.

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 affiliation not provided to SSRN
Downloads 45 (286,464)

Abstract:

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

17.

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

Number of pages: 36 Posted: 11 Sep 2014
Helena Glebocki Keefe and Erick W. Rengifo
Fordham University - Department of Economics and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 36 (255,836)

Abstract:

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

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 affiliation not provided to SSRN
Downloads 31 (383,331)

Abstract:

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)

Abstract:

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

19.

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 14 (430,211)

Abstract:

commercial banks, Turkish Banks, equity risk

20.

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 0 (425,078)

Abstract:

21.

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), affiliation not provided to SSRN and Bayerngas Energy

Abstract:

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

22.

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:

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

23.

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:

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

24.

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:

multivariate dispersion model, multivariate statistical analysis

25.

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)

Abstract:

count data, time series, copula, market microstructure.