Ivilina Popova

Texas State University - San Marcos

Associate Professor

601 University Drive

San Marcos, TX 78666-4616

United States

http://www.business.txstate.edu/users/ip12/

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 17,119

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Top 17,119

in Total Papers Downloads

3,058

SSRN CITATIONS
Rank 23,535

SSRN RANKINGS

Top 23,535

in Total Papers Citations

5

CROSSREF CITATIONS

31

Scholarly Papers (13)

1.

A Clinical Study of the Probability of Default for Global Financial Firms Affected by the Subprime Mortgage Crisis

Number of pages: 51 Posted: 11 Aug 2005 Last Revised: 02 Oct 2009
Antonio Camara, Ivilina Popova and Betty J. Simkins
Oklahoma State University, Stillwater - College of Business Administration, Texas State University - San Marcos and Oklahoma State University - Stillwater - Department of Finance
Downloads 713 (38,263)
Citation 2

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bankruptcy risk, default probability, sub-prime mortgage crisis, option valuation, ratings, z-score, financial distress

2.

Efficient Fund of Hedge Funds Construction Under Downside Risk Measures

Journal of Banking and Finance, Forthcoming
Number of pages: 23 Posted: 04 May 2006
David Morton, Ivilina Popova and Elmira Popova
University of Texas at Austin - College of Engineering, Texas State University - San Marcos and University of Texas at Austin
Downloads 692 (39,853)

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Portfolio choice, expected regret, hedge funds, fund of funds, portfolio optimization, Monte Carlo simulation

3.

Optimal Hedge Fund Allocation with Asymmetric Preferences and Distributions

Number of pages: 45 Posted: 04 May 2006
Ivilina Popova, Elmira Popova, David Morton and Jot Yau
Texas State University - San Marcos, University of Texas at Austin, University of Texas at Austin - College of Engineering and Seattle University
Downloads 402 (79,024)
Citation 6

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4.

Optimizing Benchmark-Based Portfolios with Hedge Funds

Number of pages: 41 Posted: 24 May 2007
Ivilina Popova, Elmira Popova, David Morton and Jot Yau
Texas State University - San Marcos, University of Texas at Austin, University of Texas at Austin - College of Engineering and Seattle University
Downloads 334 (97,741)

Abstract:

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5.

Bayesian Forecasting of Prepayment Rates for Individual Pools of Mortgages

Number of pages: 31 Posted: 20 Mar 2008 Last Revised: 22 May 2012
Ivilina Popova, Elmira Popova and Edward George
Texas State University - San Marcos, University of Texas at Austin and University of Pennsylvania - Statistics Department
Downloads 316 (104,005)
Citation 1

Abstract:

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Mortgage Prepayment Rates, Mortgage Backed Securities Pricing, Gibbs Sampling

6.

Volatility Forecasting and Liquidity: Evidence from Individual Stocks

Number of pages: 30 Posted: 24 May 2008
Peter A. Brous, Ufuk Ince and Ivilina Popova
Seattle University, University of Washington, Bothell - Business and Texas State University - San Marcos
Downloads 238 (139,820)
Citation 1

Abstract:

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Volatility forecasting, Options, Liquidity

7.

Higher-Order Moments of Fundamentals: A Literature Review

Number of pages: 35 Posted: 28 Mar 2017 Last Revised: 19 Aug 2017
Yuecheng Jia, Ivilina Popova and Betty J. Simkins
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, Texas State University - San Marcos and Oklahoma State University - Stillwater - Department of Finance
Downloads 158 (203,015)

Abstract:

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Fundamental Higher-Order Moments, Granular Hypothesis, Network Origin

8.

Asset Allocation with Subsistence: The Role of Returns' Higher Moments

Number of pages: 33 Posted: 04 Dec 2009
David Morton and Ivilina Popova
University of Texas at Austin - College of Engineering and Texas State University - San Marcos
Downloads 79 (332,326)
Citation 1

Abstract:

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Hedge funds, Portfolio risk, Portfolio optimization, Asset allocation, Utility func

9.

Optimizing Benchmark-Based Utility Functions

Bulletin of the Czech Econometrics Society, Vol. 10, No. 18, May 2003
Number of pages: 23 Posted: 08 May 2006
Ivilina Popova, David Morton and Elmira Popova
Texas State University - San Marcos, University of Texas at Austin - College of Engineering and University of Texas at Austin
Downloads 66 (367,221)

Abstract:

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10.

Robust Estimation of Conditional Risk Measures for Crude Oil and Natural Gas Futures Prices in the Presence of Outliers

Number of pages: 51 Posted: 14 Feb 2018 Last Revised: 09 Mar 2019
Joe Wayne Byers, Ivilina Popova and Betty J. Simkins
Oklahoma State University Spears School of Business Department of Finance, Texas State University - San Marcos and Oklahoma State University - Stillwater - Department of Finance
Downloads 60 (385,374)

Abstract:

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Value at Risk, Conditional Value at Risk, Outlier Detection, Risk Capital

11.

Second and Higher Moments of Fundamentals: A Literature Review

European Financial Management, Vol. 26, Issue 1, pp. 216-237, 2020
Number of pages: 22 Posted: 19 May 2020
Central University of Finance and Economics (CUFE) - Chinese Academy of Finance and Development, Texas State University - San Marcos, Oklahoma State University and Oklahoma State University
Downloads 0 (720,935)
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fundamental higher moments, fundamental second moments, granular network, non‐Gaussian shocks, time‐varying volatility

12.

Estimation of Performance and Execution Time Effect on High Frequency Statistical Arbitrage Strategies

Posted: 21 May 2019
Elmira Popova and Ivilina Popova
University of Texas at Austin and Texas State University - San Marcos

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statistical arbitrage, algorithmic trading, slippage

13.

Trading in the Presence of Cointegration

Posted: 23 Oct 2007
Alexander Galenko, Elmira Popova and Ivilina Popova
The University of Texas at Austin, University of Texas at Austin and Texas State University - San Marcos

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