Carol Alexander : Citation Profile

Are you Carol Alexander?

University of Sussex

16

H index

24

i10 index

954

Citations

RESEARCH PRODUCTION:

44

Articles

58

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1992 - 2022). See details.
   Cites by year: 31
   Journals where Carol Alexander has often published
   Relations with other researchers
   Recent citing documents: 158.    Total self citations: 33 (3.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal264
   Updated: 2023-03-02    RAS profile: 2021-12-22    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Choi, Jaehyuk (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Carol Alexander.

Is cited by:

Haas, Markus (14)

Chevallier, Julien (11)

Gil-Alana, Luis (11)

Mittnik, Stefan (9)

Torro, Hipolit (8)

MORANA, CLAUDIO (7)

GUPTA, RANGAN (7)

Ielpo, Florian (7)

Gray, David (7)

Avino, Davide (7)

Kouretas, Georgios (5)

Cites to:

Engle, Robert (42)

Bollerslev, Tim (41)

Carr, Peter (27)

Skiadopoulos, George (26)

Christoffersen, Peter (26)

Cao, Charles (24)

Chen, Zhiwu (24)

Bauwens, Luc (21)

Wu, Liuren (19)

merton, robert (15)

Smith, Daniel (14)

Main data

Where Carol Alexander has published?

Journals with more than one article published# docs
Journal of Banking & Finance6
Quantitative Finance5
Journal of Futures Markets4
International Review of Financial Analysis3
European Journal of Operational Research2
Oxford Bulletin of Economics and Statistics2

Working Papers Series with more than one paper published# docs
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading44
Papers / arXiv.org13

Recent works citing Carol Alexander (2022 and 2021)

YearTitle of citing document
2022Costs of Futures Hedging in Corn and Soybean Markets. (2021). , Shi. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:313311.

Full description at Econpapers || Download paper

2022Exponentiated Cubic Transmuted Weibull Distribution: Properties and Application. (2022). , Gayawan ; Komolafe, A. In: Academic Journal of Applied Mathematical Sciences. RePEc:arp:ajoams:2021:p:1-11.

Full description at Econpapers || Download paper

2021An analytical perturbative solution to the Merton Garman model using symmetries. (2019). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Papers. RePEc:arx:papers:1909.01413.

Full description at Econpapers || Download paper

2021Hedging with Neural Networks. (2020). Wang, Weiguan ; Ruf, Johannes. In: Papers. RePEc:arx:papers:2004.08891.

Full description at Econpapers || Download paper

2021Liquidation, Leverage and Optimal Margin in Bitcoin Futures Markets. (2021). Wang, Tianyi ; Yu, Mei ; Cheng, Zhiyong ; Deng, Jun. In: Papers. RePEc:arx:papers:2102.04591.

Full description at Econpapers || Download paper

2021Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets. (2021). Shestopaloff, Alexander Y ; Howison, Sam ; Cucuringu, Mihai ; Albers, Jakob. In: Papers. RePEc:arx:papers:2108.09750.

Full description at Econpapers || Download paper

2022Hedging Cryptocurrency Options. (2021). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Papers. RePEc:arx:papers:2112.06807.

Full description at Econpapers || Download paper

2021Compensatory model for quantile estimation and application to VaR. (2021). Yang, Shuzhen. In: Papers. RePEc:arx:papers:2112.07278.

Full description at Econpapers || Download paper

2022Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure. (2022). Mizrach, Bruce. In: Papers. RePEc:arx:papers:2201.01392.

Full description at Econpapers || Download paper

2022Stochastic Local Volatility models and the Wei-Norman factorization method. (2022). Orlando, Giuseppe ; Guerrero, Julio. In: Papers. RePEc:arx:papers:2201.11241.

Full description at Econpapers || Download paper

2022Hedging option books using neural-SDE market models. (2022). Wang, Sheng ; Reisinger, Christoph ; Cohen, Samuel N. In: Papers. RePEc:arx:papers:2205.15991.

Full description at Econpapers || Download paper

2022Anatomy of a Stablecoins failure: the Terra-Luna case. (2022). Aste, Tomaso ; Wang, Yuanrong ; Vidal-Tom, David ; Briola, Antonio. In: Papers. RePEc:arx:papers:2207.13914.

Full description at Econpapers || Download paper

2022A primer on perpetuals. (2022). Lorig, Matthew ; Evans, Alex ; Chitra, Tarun ; Angeris, Guillermo. In: Papers. RePEc:arx:papers:2209.03307.

Full description at Econpapers || Download paper

2022Rethinking Generalized Beta Family of Distributions. (2022). Serota, R A ; Liu, Jiong. In: Papers. RePEc:arx:papers:2209.05225.

Full description at Econpapers || Download paper

2023Fundamentals of Perpetual Futures. (2022). von Wachter, Victor ; Ross, Omri ; Manela, Asaf ; He, Songrun. In: Papers. RePEc:arx:papers:2212.06888.

Full description at Econpapers || Download paper

2021Risk Analysis of China Stock Market During Economic Downturns–Based on GARCH-VaR and Wavelet Transformation Approaches. (2021). Tang, Zijie ; Li, Lei ; Cui, Yiwen. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2021:p:322-336.

Full description at Econpapers || Download paper

2021Efficiency of Tanzanias foreign exchange market. (2021). Kazungu, Khatibu ; Epaphra, Manamba. In: African Development Review. RePEc:bla:afrdev:v:33:y:2021:i:2:p:368-381.

Full description at Econpapers || Download paper

2022Administrative Division Adjustment and Housing Price Comovement: Evidence from City?County Mergers in China. (2022). Sun, Weizeng ; Zhang, Mingang. In: China & World Economy. RePEc:bla:chinae:v:30:y:2022:i:4:p:149-173.

Full description at Econpapers || Download paper

2021WHERE DO WE STAND IN CRYPTOCURRENCIES ECONOMIC RESEARCH? A SURVEY BASED ON HYBRID ANALYSIS. (2021). Fernandez Bariviera, Aurelio ; Meredizsola, Ignasi. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:35:y:2021:i:2:p:377-407.

Full description at Econpapers || Download paper

2022Revisiting the determinants of house prices in China’s megacities: Cross?sectional heterogeneity, interdependencies and spillovers. (2022). Ou, Zhirong ; Liu, Chunping ; ChunpingLiu, . In: Manchester School. RePEc:bla:manchs:v:90:y:2022:i:3:p:255-277.

Full description at Econpapers || Download paper

2021Valuing Real Options in the Volatile Real World. (2021). Wang, Tianyang ; Dyer, James S ; Harikae, Seiji. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:1:p:171-189.

Full description at Econpapers || Download paper

2022Investigating the Efficiency of Bitcoin Futures in Price Discovery. (2022). Agarwal, Gaurav ; Sharma, Dinesh Kumar ; Gupta, Prashant. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-12.

Full description at Econpapers || Download paper

2021The Bitcoin gold correlation puzzle. (2021). Hoang, Lai ; Baur, Dirk G. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001052.

Full description at Econpapers || Download paper

2021Effect of introducing Bitcoin futures on the underlying Bitcoin market efficiency: A multifractal analysis. (2021). Lv, Dayong ; Meng, LU ; Ruan, Qingsong. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:153:y:2021:i:p1:s0960077921009309.

Full description at Econpapers || Download paper

2021The role of the leverage effect in the price discovery process of credit markets. (2021). Zimmermann, Paul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302013.

Full description at Econpapers || Download paper

2021Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. (2021). Yang, Nian ; Wan, Xiangwei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100018x.

Full description at Econpapers || Download paper

2021Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?. (2021). Ishida, Ryo ; Hattori, Takahiro. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302096.

Full description at Econpapers || Download paper

2021Skew index: Descriptive analysis, predictive power, and short-term forecast. (2021). Mora-Valencia, Andrés ; Vanegas, Esteban ; Rodriguez-Raga, Santiago . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302370.

Full description at Econpapers || Download paper

2021A truly global crisis? Evidence from contagion dependence across international REIT markets. (2021). Cheng, I-Shan ; Wu, Chu-Hua ; Huang, Meichi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000942.

Full description at Econpapers || Download paper

2022Robust drivers of Bitcoin price movements: An extreme bounds analysis. (2022). , Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s106294082200078x.

Full description at Econpapers || Download paper

2021Diffusion copulas: Identification and estimation. (2021). Kristensen, Dennis ; Hadri, Kaddour ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:616-643.

Full description at Econpapers || Download paper

2021Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo. (2021). Clements, Adam ; Drovandi, Christopher ; Li, Dan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:22-46.

Full description at Econpapers || Download paper

2022Is normal backwardation normal? Valuing financial futures with a local index-rate covariance. (2022). ZIMMERMANN, Paul ; Raimbourg, Philippe. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:351-367.

Full description at Econpapers || Download paper

2022Targeting Kollo skewness with random orthogonal matrix simulation. (2022). Wei, Wei ; Meng, Xiaochun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:1:p:362-376.

Full description at Econpapers || Download paper

2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

Full description at Econpapers || Download paper

2021Tracking performance of VIX futures ETPs. (2021). Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:103-117.

Full description at Econpapers || Download paper

2021The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349.

Full description at Econpapers || Download paper

2021The impact of COVID-19 pandemic on transmission of monetary policy to financial markets. (2021). Han, Liyan ; Wei, Xiaoyun. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s105752192100048x.

Full description at Econpapers || Download paper

2021Unskilled fund managers: Replicating active fund performance with few ETFs. (2021). De-Losso, Rodrigo ; Bueno, Rodrigo ; Cavalcante-Filho, Elias ; Moraes, Fernando. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s105752192100226x.

Full description at Econpapers || Download paper

2022We dont need no fancy hedges! Or do we?. (2022). Power, Gabriel J ; Vedenov, Dmitry. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000357.

Full description at Econpapers || Download paper

2022Which cryptocurrency data sources should scholars use?. (2022). Vidal-Tomas, David. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000369.

Full description at Econpapers || Download paper

2022Market co-movement between credit default swap curves and option volatility surfaces. (2022). Shi, Yukun ; Stasinakis, Charalampos ; Xu, Yaofei ; Yan, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001533.

Full description at Econpapers || Download paper

2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137.

Full description at Econpapers || Download paper

2021Does the Financial Leverage Effect Depend on Volatility Regimes?. (2021). Kim, Jaeho ; Chon, Sora. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320301872.

Full description at Econpapers || Download paper

2021One model is not enough: Heterogeneity in cryptocurrencies’ multifractal profiles. (2021). Fernandez Bariviera, Aurelio. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612320303925.

Full description at Econpapers || Download paper

2021Price volatilities of bitcoin futures. (2021). Guo, Zi-Yi. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321001033.

Full description at Econpapers || Download paper

2022Risk management of Bitcoin futures with GARCH models. (2022). Guo, Zi-Yi. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002671.

Full description at Econpapers || Download paper

2022Low-volatility strategies for highly liquid cryptocurrencies. (2022). Mostowfi, Mehdi ; Kaya, Orun. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004116.

Full description at Econpapers || Download paper

2022Under the hood of the Ethereum blockchain. (2022). Urquhart, Andrew. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005651.

Full description at Econpapers || Download paper

2022When Tether says “JUMP!” Bitcoin asks “How low?”. (2022). Duc, Toan Luu ; Grobys, Klaus. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005778.

Full description at Econpapers || Download paper

2022Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices. (2022). Yarovaya, Larisa ; Gozgor, Giray ; Elsayed, Ahmed H. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000551.

Full description at Econpapers || Download paper

2022Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence. (2022). Pati, Pratap Chandra. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003117.

Full description at Econpapers || Download paper

2021Measuring changes in credit risk: The case of CDS event studies. (2021). Betzer, Andre ; Andres, Christian ; Doumet, Markus. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000454.

Full description at Econpapers || Download paper

2021Cross-commodity hedging for illiquid futures: Evidence from Chinas base metal futures market. (2021). Tongurai, Jittima ; Chen, Xiangyu. In: Global Finance Journal. RePEc:eee:glofin:v:49:y:2021:i:c:s1044028321000508.

Full description at Econpapers || Download paper

2021Optimal annuity demand for general expected utility agents. (2021). Levante, Lucia ; de Gennaro, Luca ; Bernard, Carole. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pa:p:70-79.

Full description at Econpapers || Download paper

2021Does blockchain patent-development influence Bitcoin risk?. (2021). Corbet, Shaen ; Oxley, Les ; Hou, Yang ; Hu, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301475.

Full description at Econpapers || Download paper

2021Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536.

Full description at Econpapers || Download paper

2021Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies. (2021). Mishra, Tapas ; Zhang, Zhuang ; Yarovaya, Larisa ; Luo, DI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000810.

Full description at Econpapers || Download paper

2021Cyber-attacks, spillovers and contagion in the cryptocurrency markets. (2021). Caporale, Guglielmo Maria ; Spagnolo, Nicola ; Kang, Woo-Young. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000172.

Full description at Econpapers || Download paper

2021The effects of a “black swan” event (COVID-19) on herding behavior in cryptocurrency markets. (2021). Matkovskyy, Roman ; Jalan, Akanksha ; Yarovaya, Larisa. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121000408.

Full description at Econpapers || Download paper

2021Volatility models for cryptocurrencies and applications in the options market. (2021). Hao, Wenyan ; Chi, Yeguang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001359.

Full description at Econpapers || Download paper

2022Portfolio risk and stress across the business cycle. (2022). Chakraborty, Sandip ; Kakani, Ram Kumar ; Sampath, Aravind. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000993.

Full description at Econpapers || Download paper

2022Forecasting cryptocurrency volatility. (2022). Grassi, Stefano ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:878-894.

Full description at Econpapers || Download paper

2021Who is the center of local currency Asian government bond markets?. (2021). Tsukuda, Yoshihiko ; Shimada, Junji ; Miyakoshi, Tatsuyoshi. In: Japan and the World Economy. RePEc:eee:japwor:v:59:y:2021:i:c:s0922142521000220.

Full description at Econpapers || Download paper

2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

Full description at Econpapers || Download paper

2021What determines wholesale funding costs of the global systemically important banks?. (2021). Ma, Yihong ; Delpachitra, Sarath ; Yu, Xiao ; Cottrell, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:132:y:2021:i:c:s0378426621001564.

Full description at Econpapers || Download paper

2022Coherent risk measures alone are ineffective in constraining portfolio losses. (2022). Brigo, Damiano ; Armstrong, John. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621002673.

Full description at Econpapers || Download paper

2022Loaded for bear: Bitcoin private wallets, exchange reserves and prices. (2022). Baur, Dirk G ; Hoang, Lai T. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:144:y:2022:i:c:s0378426622002023.

Full description at Econpapers || Download paper

2021Quantifying Return Spillovers in Global Real Estate Markets. (2021). Balli, Faruk ; Chowdhury, Iftekhar ; Agyemang, Abraham. In: Journal of Housing Economics. RePEc:eee:jhouse:v:52:y:2021:i:c:s1051137721000334.

Full description at Econpapers || Download paper

2021Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?. (2021). Adediran, Idris ; Lakhani, Kanwal Hammad ; Yinusa, Olalekan D. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309624.

Full description at Econpapers || Download paper

2021Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning. (2021). Vo, Xuan Vinh ; Ur, Mobeen ; Chen, James Ming. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001768.

Full description at Econpapers || Download paper

2022Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks. (2022). Tripathy, Trilochan ; Aikins, Emmanuel Joel ; Gil-Alana, Luis A. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003543.

Full description at Econpapers || Download paper

2023Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm. (2023). Hamdi, Abdelouahed ; Noorani, Idin ; Mehrdoust, Farshid. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:204:y:2023:i:c:p:660-678.

Full description at Econpapers || Download paper

2022Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond. (2022). Wang, Yanchen ; Tang, Tao. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:64:y:2022:i:c:s1042444x22000019.

Full description at Econpapers || Download paper

2021How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin. (2021). , Walid. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:70:y:2021:i:c:s0927538x21001748.

Full description at Econpapers || Download paper

2022Pricing variance swaps under subordinated Jacobi stochastic volatility models. (2022). Liu, Allen ; Tong, Zhigang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s037843712200053x.

Full description at Econpapers || Download paper

2022Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market. (2022). Caferra, Rocco. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000747.

Full description at Econpapers || Download paper

2022Non-equilibrium skewness, market crises, and option pricing: Non-linear Langevin model of markets with supersymmetry. (2022). Halperin, Igor. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:594:y:2022:i:c:s0378437122001182.

Full description at Econpapers || Download paper

2022Irregularities in forward-looking volatility. (2022). Eichel, Ron ; Nisani, Doron ; Qadan, Mahmoud. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:489-501.

Full description at Econpapers || Download paper

2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

Full description at Econpapers || Download paper

2021A wavelet analysis of the ripple effect in UK regional housing markets. (2021). lo Cascio, Iolanda. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:1093-1105.

Full description at Econpapers || Download paper

2022Estimating tail-risk using semiparametric conditional variance with an application to meme stocks. (2022). Khanom, Najrin ; Daddona, Stefano. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:241-260.

Full description at Econpapers || Download paper

2021The entry and exit dynamics of the cryptocurrency market. (2021). Vidal-Tomas, David. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001252.

Full description at Econpapers || Download paper

2022The intraday dynamics and intraday price discovery of bitcoin. (2022). Yuan, Yulin ; Wang, Xinyi ; Su, Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:60:y:2022:i:c:s0275531922000137.

Full description at Econpapers || Download paper

2022Supply chain management based on volatility clustering: The effect of CBDC volatility. (2022). Du, Min ; Wu, Xiangling ; Cui, Tianxiang ; Ding, Shusheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000782.

Full description at Econpapers || Download paper

2022Bank credit risk and macro-prudential policies: role of counter-cyclical capital buffer. (2022). Sousa, Ricardo ; Mallick, Sushanta K ; Kumar, Abhishek ; Benbouzid, Nadia ; Stojanovic, Aleksandar. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117539.

Full description at Econpapers || Download paper

2021A Markov-Switching Model of Inflation in Bolivia. (2021). Bojanic, Antonio. In: Economies. RePEc:gam:jecomi:v:9:y:2021:i:1:p:37-:d:515285.

Full description at Econpapers || Download paper

2021A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities. (2021). Ur, Mobeen ; Chen, James Ming. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:19:p:6099-:d:642541.

Full description at Econpapers || Download paper

2021A Finite Mixture GARCH Approach with EM Algorithm for Energy Forecasting Applications. (2021). Qu, Xiuli ; Peng, Yidong ; Zhang, Yang ; Erdem, Ergin ; Shi, Jing. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:9:p:2352-:d:540432.

Full description at Econpapers || Download paper

2022Projecting and Forecasting the Latent Volatility for the Nasdaq OMX Nordic/Baltic Financial Electricity Market Applying Stochastic Volatility Market Characteristics. (2022). Solibakke, Per Bjarte. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:10:p:3839-:d:822090.

Full description at Econpapers || Download paper

2021Is It Possible to Forecast the Price of Bitcoin?. (2021). Goutte, Stéphane ; Chevallier, Julien ; Guegan, Dominique. In: Forecasting. RePEc:gam:jforec:v:3:y:2021:i:2:p:24-420:d:564101.

Full description at Econpapers || Download paper

2021Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure. (2021). Fantazzini, Dean ; Calabrese, Raffaella. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:516-:d:666046.

Full description at Econpapers || Download paper

2021Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach. (2021). Murahwa, Yvonne T ; Samunderu, Eyden. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:11:p:540-:d:676017.

Full description at Econpapers || Download paper

2021Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing. (2021). Mare, Eben ; Venter, Pierre J. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:261-:d:572373.

Full description at Econpapers || Download paper

2021Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets. (2021). Mohammed, Walid Abass. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:270-:d:575902.

Full description at Econpapers || Download paper

2022Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021). (2022). giouvris, evangelos ; Zhang, Hang. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:134-:d:769142.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2022.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Carol Alexander:

YearTitleTypeCited
2016Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia In: Papers.
[Full Text][Citation analysis]		paper0
2016Model-Free Discretisation-Invariant Swap Contracts In: Papers.
[Full Text][Citation analysis]		paper1
2016Tail Risk Premia for Long-Term Equity Investors In: Papers.
[Full Text][Citation analysis]		paper2
2017The Aggregation Property and its Applications to Realised Higher Moments In: Papers.
[Full Text][Citation analysis]		paper0
2018Analytic Moments for GARCH Processes In: Papers.
[Full Text][Citation analysis]		paper0
2011Analytic Moments for GARCH Processes.(2011) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Model Risk in Real Option Valuation In: Papers.
[Full Text][Citation analysis]		paper0
2021Model risk in real option valuation.(2021) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2021Targetting Kollo Skewness with Random Orthogonal Matrix Simulation In: Papers.
[Full Text][Citation analysis]		paper0
2021Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading In: Papers.
[Full Text][Citation analysis]		paper2
2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules In: Papers.
[Full Text][Citation analysis]		paper0
2021The Role of Binance in Bitcoin Volatility Transmission In: Papers.
[Full Text][Citation analysis]		paper1
2022Inverse and Quanto Inverse Options in a Black-Scholes World In: Papers.
[Full Text][Citation analysis]		paper0
2022Net Buying Pressure and the Information in Bitcoin Option Trades In: Papers.
[Full Text][Citation analysis]		paper0
2021Risk-Adjusted Valuation for Real Option Decisions In: Papers.
[Full Text][Citation analysis]		paper0
2021Risk-adjusted valuation for real option decisions.(2021) In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2002Principal Component Models for Generating Large GARCH Covariance Matrices In: Economic Notes.
[Full Text][Citation analysis]		article41
2013Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics In: European Financial Management.
[Full Text][Citation analysis]		article12
1993The Changing Relationship between Productivity, Wages and Unemployment in the UK. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article13
2009Modelling Regime?Specific Stock Price Volatility* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article16
2012Generalized beta-generated distributions In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article35
2010Generalized Beta-Generated Distributions.(2010) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
2011Generalized Beta-Generated Distributions.(2011) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		paper
1992Are foreign exchange markets really efficient? In: Economics Letters.
[Full Text][Citation analysis]		article15
2019A parsimonious parametric model for generating margin requirements for futures In: European Journal of Operational Research.
[Full Text][Citation analysis]		article2
2021A general property for time aggregation In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
[Full Text][Citation analysis]		article29
2012The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread.(2012) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29		paper
2013Continuous-time VIX dynamics: On the role of stochastic volatility of volatility In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article26
2013Forecasting VaR using analytic higher moments for GARCH processes In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article9
2020Price discovery and microstructure in ether spot and derivative markets In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article7
2020Price discovery in Bitcoin: The impact of unregulated markets In: Journal of Financial Stability.
[Full Text][Citation analysis]		article17
2021Analytic moments for GJR-GARCH (1, 1) processes In: International Journal of Forecasting.
[Full Text][Citation analysis]		article2
2004Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article21
2007Model-free hedge ratios and scale-invariant models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article17
2008Developing a stress testing framework based on market risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article34
2008Hedging index exchange traded funds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article25
2008Regime dependent determinants of credit default swap spreads In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article143
2012Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article41
2016Diversification with volatility products In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article14
2012Further properties of random orthogonal matrix simulation In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article3
2005Indexing, cointegration and equity market regimes In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article23
1997Seasonal unit roots in trade variables In: Working Papers. Serie EC.
[Full Text][Citation analysis]		paper0
2006Normal mixture GARCH(1,1): applications to exchange rate modelling In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article77
2006Normal mixture GARCH(1,1): applications to exchange rate modelling.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 77		article
2005The Present and Future of Financial Risk Management In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
1996Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations. In: Oxford Economic Papers.
[Full Text][Citation analysis]		article6
2000Bayesian Methods for Measuring Operational Risk In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2000Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper13
2000Principal Component Analysis of Volatility Smiles and Skews In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2001Cointegration and Asset Allocation: A New Fund Strategy In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2001Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
2001Understanding the Internal Measurement Approach to Assessing Operational Risk Capital In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2003Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper4
2003Statistical Properties of Forward Libor Rates In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
2003Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2003Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
2003Bivariate Normal Mixture Spread Option Valuation In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
2004Bivariate normal mixture spread option valuation.(2004) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2004The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper9
2004A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper3
2004Hedging with Stochastic and Local Volatility In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper3
2005The Spider in the Hedge In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
2005Detecting Switching Strategies in Equity Hedge Funds In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper4
2005Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
2006Hedging Options with Scale-Invariant Models In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2006Minimum Variance Hedging and Stock Index Market Efficiency In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2006Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper6
2007Hedging and Cross-hedging ETFs In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2007Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2007Analytic Approximations for Spread Options In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2009Analytic Approximations for Spread Options.(2009) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2008Markov Switching GARCH Diffusion In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2008Stochastic Local Volatility In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper4
2009Analytic Approximations for Multi-Asset Option Pricing In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
2009Exact Moment Simulation using Random Orthogonal Matrices In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2010Does model fit matter for hedging? Evidence from FTSE 100 options In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
2012Does model fit matter for hedging? Evidence from FTSE 100 options.(2012) In: Journal of Futures Markets.
[Citation analysis]
This paper has another version. Agregated cites: 5		article
2010Stochastic Volatility Jump-Diffusions for Equity Index Dynamics In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2010Endogenizing Model Risk to Quantile Estimates In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
2010Regime-Dependent Smile-Adjusted Delta Hedging In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
2012Regime?dependent smile?adjusted delta hedging.(2012) In: Journal of Futures Markets.
[Citation analysis]
This paper has another version. Agregated cites: 5		article
2010VIX Dynamics with Stochastic Volatility of Volatility In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper7
2011The Hazards of Volatility Diversification In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper8
2011Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2011Model Risk in Variance Swap Rates In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
2012A General Approach to Real Option Valuation with Applications to Real Estate Investments In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2012Diversification of Equity with VIX Futures: Personal Views and Skewness Preference In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper6
2012ROM Simulation: Applications to Stress Testing and VaR In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper6
2014Risk-adjusted Valuation of the Real Option to Invest In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
1994Seasonality and Cointegration of Regional House Prices in the UK In: Urban Studies.
[Full Text][Citation analysis]		article88
2005Assessment of Operational Risk Capital In: Springer Books.
[Citation analysis]		chapter1
2011Closed Form Approximations for Spread Options In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article13
2021The continuous limit of weak GARCH In: Econometric Reviews.
[Full Text][Citation analysis]		article0
1995Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon In: Journal of Development Studies.
[Full Text][Citation analysis]		article2
2017Arithmetic variance swaps In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2020A critical investigation of cryptocurrency data and analysis In: Quantitative Finance.
[Full Text][Citation analysis]		article34
2004Equity indexing: Optimize your passive investments In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2007Model-free price hedge ratios for homogeneous claims on tradable assets In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2009Model risk adjusted hedge ratios In: Journal of Futures Markets.
[Full Text][Citation analysis]		article7
2020BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness In: Journal of Futures Markets.
[Full Text][Citation analysis]		article24
2012Quantile Uncertainty and Value?at?Risk Model Risk In: Risk Analysis.
[Full Text][Citation analysis]		article9
2006PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article2

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team