Carol Alexander : Citation Profile


Are you Carol Alexander?

University of Sussex

12

H index

16

i10 index

520

Citations

RESEARCH PRODUCTION:

34

Articles

51

Papers

RESEARCH ACTIVITY:

   26 years (1992 - 2018). See details.
   Cites by year: 20
   Journals where Carol Alexander has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 18 (3.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal264
   Updated: 2019-10-06    RAS profile: 2019-05-24    
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Relations with other researchers


Works with:

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 (12)

Chevallier, Julien (8)

Ielpo, Florian (7)

Torro, Hipolit (7)

Avino, Davide (7)

Mittnik, Stefan (6)

Kouretas, Georgios (5)

Dionne, Georges (4)

Cheung, Yin-Wong (4)

Lalaharison, Hanjarivo (4)

Aboura, Sofiane (4)

Cites to:

Bollerslev, Tim (28)

Cao, Charles (24)

Christoffersen, Peter (24)

Chen, Zhiwu (24)

Engle, Robert (19)

Skiadopoulos, George (18)

merton, robert (14)

Bauwens, Luc (13)

Rossi, Peter (13)

Wu, Liuren (13)

Hamilton, James (13)

Main data


Where Carol Alexander has published?


Journals with more than one article published# docs
Journal of Banking & Finance6
Quantitative Finance4
Journal of Futures Markets3
International Review of Financial Analysis2
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, Reading University44
Papers / arXiv.org6

Recent works citing Carol Alexander (2019 and 2018)


YearTitle of citing document
2018Double-Edged Sword: Liquidity Implications of Futures Hedging. (2018). Shi, Ruoding ; Massa, Olga Isengildina ; IsengildinaMassa, Olga . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274106.

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2018Asset Pricing with Random Volatility. (2018). Liu, Xin. In: Papers. RePEc:arx:papers:1610.01450.

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2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

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2018Pricing sovereign contingent convertible debt. (2018). Consiglio, Andrea ; Zenios, Stavros ; Tumminello, Michele. In: Papers. RePEc:arx:papers:1804.01475.

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2018On the optimal choice of strike conventions in exchange option pricing. (2018). Alos, Elisa ; Coulon, Michael . In: Papers. RePEc:arx:papers:1807.05396.

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2019The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach. (2019). Kanniainen, Juho ; Yue, YE. In: Papers. RePEc:arx:papers:1901.02691.

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2018UNION–FIRM BARGAINING AGENDA REVISITED: WHEN UNIONS HAVE DISTINCT PREFERENCES. (2018). Buccella, Domenico ; Fanti, Luciano. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:35-50.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2018Sobre la volatilidad de la curva de rendimientos del mercado colombiano de deuda pública.. (2018). Carrasquilla, Alfredo Trespalacios ; Sanchez, Jose Miguel. In: REVISTA ECOS DE ECONOMÍA. RePEc:col:000442:016364.

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2018The age structure change of population and labour productivity impact. (2018). Frini, Olfa ; ben Jedidia, Khoutem . In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00102.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2018Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns. (2018). Kaeck, Andreas ; Seeger, Norman J ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:1-29.

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2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2018Asymmetric linkages among the fear index and emerging market volatility indices. (2018). Badshah, Ihsan ; Uddin, Gazi Salah ; Lucey, Brian M ; Bekiros, Stelios. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:17-31.

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2018A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors. (2018). Tu, Anthony H ; Chen, Cathy Yi-Hsuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:243-268.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2018Quantile hedge ratio for energy markets. (2018). Shrestha, Keshab ; Suresh, Sheena Sara ; Peranginangin, Yessy ; Subramaniam, Ravichandran. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:253-272.

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2018Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets. (2018). Qu, Hui ; Niu, Mengyi ; Duan, Qingling. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:767-776.

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2018On the risk spillover across the oil market, stock market, and the oil related CDS sectors: A volatility impulse response approach. (2018). Balcilar, Mehmet ; Toparli, Elif Akay ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:813-827.

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2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:64-75.

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2018Hedging spark spread risk with futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:731-746.

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2018The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence. (2018). Leonida, Leone ; Mallick, Sushanta K ; Benbouzid, Nadia. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:226-240.

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2018Comparison of utility indifference pricing and mean-variance approach under normal mixture. (2018). HODOSHIMA, Jiro ; Miyahara, Yoshio ; Misawa, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:221-229.

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2019Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility. (2019). Yamawake, Toshiyuki ; Hodoshima, Jiro. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:74-81.

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2019Time to buy or just buying time? Lessons from October 2008 for the cross-border bailout of banks. (2019). King, Michael R. In: Journal of Financial Stability. RePEc:eee:finsta:v:41:y:2019:i:c:p:55-72.

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2018Do liquidity proxies measure liquidity accurately in ETFs?. (2018). Marshall, Ben ; Visaltanachoti, Nuttawat ; Nguyen, Nhut H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:94-111.

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2018On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting. (2018). Goutte, Stéphane ; DHAOUI, Abderrazak ; Abid, Ilyes ; Guesmi, Khaled. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:233-254.

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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2019A factor-model approach for correlation scenarios and correlation stress testing. (2019). Woebbeking, C F ; Packham, N. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:92-103.

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2018A network approach to unravel asset price comovement using minimal dependence structure. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:119-132.

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2018From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options. (2018). Schneider, Lorenz ; Tavin, Bertrand. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:185-202.

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2018Risk factors and their associated risk premia: An empirical analysis of the crude oil market. (2018). Hain, Martin ; Unger, Nils ; Uhrig-Homburg, Marliese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:44-63.

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2019A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts. (2019). Hilliard, Jimmy E. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:98:y:2019:i:c:p:137-155.

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2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618.

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2018Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets. (2018). Conlon, Thomas ; Bredin, Don ; Spencer, Simon. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:9:y:2018:i:c:p:1-20.

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2018Equivalent volume and comovement. (2018). Staer, Arsenio ; Sottile, Pedro . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:143-157.

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2018A new generalized odd log-logistic flexible Weibull regression model with applications in repairable systems. (2018). Prataviera, Fbio ; Pescim, Rodrigo R ; Cordeiro, Gauss M. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:176:y:2018:i:c:p:13-26.

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2019The income elasticity of housing demand in New South Wales, Australia. (2019). Liu, Xiangling. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:75:y:2019:i:c:p:70-84.

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2018The role of investor sentiment in the long-term correlation between U.S. stock and bond markets. (2018). Fang, Libing ; Huang, Yingbo ; Yu, Honghai. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:127-139.

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2018Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

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2018Analysis of risk premium in UK natural gas futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:621-636.

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2018The housing market and the credit default swap premium in the UK banking sector: A VAR approach. (2018). Benbouzid, Nadia ; Pilbeam, Keith ; Mallick, Sushanta. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:1-15.

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2019Contagion and bond pricing: The case of the ASEAN region. (2019). Abid, Ilyes ; Guesmi, Khaled ; Goutte, Stephane ; Dhaoui, Abderrazak. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:371-385.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2019The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets. (2019). Mili, Mehdi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:187-200.

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2018Shipping equity risk behavior and portfolio management. (2018). VISVIKIS, ILIAS ; Kyriakou, Ioannis ; Papapostolou, Nikos C ; Pouliasis, Panos K. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:116:y:2018:i:c:p:178-200.

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2017Salarios, desempleo y productividad laboral en la industria manufacturera mexicana. (Wage, Unemployment and Labor Productivity in the Mexican Manufacturing Industry).. (2017). Lopez, Jose Abraham ; Mendoza, Jorge Eduardo. In: Ensayos Revista de Economia. RePEc:ere:journl:v:xxxvi:y:2017:i:2:p:185-228.

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2019A Risk-Hedging View to Refinery Capacity Investment. (2019). Wirl, Franz ; Ghoddusi, Hamed. In: Working Papers. RePEc:erg:wpaper:1327.

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2019Covariance Prediction in Large Portfolio Allocation. (2019). , Andre ; Hotta, Luiz K ; Zevallos, Mauricio ; Trucios, Carlos . In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:2:p:19-:d:229754.

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2018Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management. (2018). , Marcel ; Oosterlee, Cornelis W. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:67-:d:177971.

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2018Analyzing the Risks Embedded in Option Prices with rndfittool. (2018). Barletta, Andrea ; de Magistris, Paolo Santucci. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:28-:d:138299.

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2018The Determinants of CDS Spreads in Multiple Industry Sectors: A Comparison between the US and Europe. (2018). Malhotra, Jatin ; Corelli, Angelo. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:89-:d:166779.

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2019The Time-Spatial Dimension of Eurozone Banking Systemic Risk. (2019). Angelini, Eliana ; Foglia, Matteo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:75-:d:246287.

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2018Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps. (2018). Ma, Jason Z ; Tsai, Sang-Bing ; Ho, Kung-Cheng ; Deng, Xiang. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2730-:d:161653.

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2017Co-movements in Market Prices and Fundamentals: A Semiparametric Multivariate GARCH Approach. (2017). Desboulets, Loann. In: Working Papers. RePEc:hal:wpaper:halshs-02059302.

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2019A TEST OF THE EFFICIENCY OF THE FOREIGN EXCHANGE MARKET IN INDONESIA. (2019). Iyke, Bernard Njindan. In: Bulletin of Monetary Economics and Banking. RePEc:idn:journl:v:1:y:2019:i:sp1:p:1-26.

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2019Do Energy and Banking CDS Sector Spreads Reflect Financial Risks and Economic Policy Uncertainty? A Time-Scale Decomposition Approach. (2019). Tiwari, Aviral Kumar ; Hammoudeh, Shawkat ; Naifar, Nader. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9838-1.

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2018A nonlinear pairwise approach for the convergence of UK regional house prices. (2018). Panagiotidis, Theodore ; Kyriazakou, Eleni . In: International Economics and Economic Policy. RePEc:kap:iecepo:v:15:y:2018:i:2:d:10.1007_s10368-017-0399-x.

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2019Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis. (2019). Yunus, Nafeesa. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:58:y:2019:i:2:d:10.1007_s11146-017-9639-7.

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2018The determinants of CDS spreads: evidence from the model space. (2018). Pelster, Matthias ; Vilsmeier, Johannes. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9134-6.

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2018Credit Risk Research: Review and Agenda. (2018). Zamore, Stephen ; Hobdari, Bersant ; Alon, Ilan ; Djan, Kwame Ohene. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:4:p:811-835.

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2018Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2018). MORANA, CLAUDIO ; Claudio, Morana. In: Working Papers. RePEc:mib:wpaper:382.

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2018Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach. (2018). Mili, Mehdi. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:2:d:10.1057_s41260-017-0068-1.

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2017A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets. (2017). Trabelsi, Mohamed Ali ; Hmida, Salma. In: MPRA Paper. RePEc:pra:mprapa:83718.

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2019The Evaluation of Model Risk for Probability of Default and Expected Loss. (2019). Tiomo, Andre ; Gourieroux, Christian. In: MPRA Paper. RePEc:pra:mprapa:95795.

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2018Portfolio diversification in the sovereign credit swap markets. (2018). Consiglio, Andrea ; Zenios, Stavros ; Lotfi, Somayyeh. In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2565-5.

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2017The Odd Log-Logistic Student t Distribution: Theory and Applications. (2017). Braga, Altemir Silva ; Silva, Giovana O ; Cordeiro, Gauss M. In: Journal of Agricultural, Biological and Environmental Statistics. RePEc:spr:jagbes:v:22:y:2017:i:4:d:10.1007_s13253-017-0301-x.

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2017A useful extension of the Burr III distribution. (2017). Cordeiro, Gauss M ; Da-Silva, Cibele Q ; Gomes, Antonio E. In: Journal of Statistical Distributions and Applications. RePEc:spr:jstada:v:4:y:2017:i:1:d:10.1186_s40488-017-0079-y.

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2017A new distribution function with bounded support: the reflected generalized Topp-Leone power series distribution. (2017). Condino, Francesca ; Domma, Filippo. In: METRON. RePEc:spr:metron:v:75:y:2017:i:1:d:10.1007_s40300-016-0095-6.

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2017Lehmann-Type Laplace distribution-Type I software reliability growth model. (2017). Akilandeswari, V S ; Saavithri, V ; Poornima, R. In: OPSEARCH. RePEc:spr:opsear:v:54:y:2017:i:2:d:10.1007_s12597-016-0281-6.

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2017Pricing and hedging contingent claims using variance and higher order moment swaps. (2017). Tzavalis, Elias ; Rompolis, Leonidas. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:4:p:531-550.

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2018Learning minimum variance discrete hedging directly from the market. (2018). Nian, KE ; Li, Yuying ; Coleman, Thomas F. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:7:p:1115-1128.

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2017Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk. (2017). Augustyniak, Maciej ; Boudreault, Mathieu. In: North American Actuarial Journal. RePEc:taf:uaajxx:v:21:y:2017:i:4:p:502-525.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2018Regime Switching Rough Heston Model. (2018). Alfeus, Mesias ; Overbeck, Ludger. In: Research Paper Series. RePEc:uts:rpaper:387.

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2019The nonlinear dynamics of corporate bond spreads: Regime-dependent effects of their determinants. (2019). Stolper, Oscar ; Fischer, Henning. In: Discussion Papers. RePEc:zbw:bubdps:082019.

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2018The time-varying impact of systematic risk factors on corporate bond spreads. (2018). Klein, Arne C ; Pliszka, Kamil. In: Discussion Papers. RePEc:zbw:bubdps:142018.

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2018Regime-switching determinants of emerging markets sovereign credit risk swaps spread. (2018). Ma, Jason Z ; Tsai, Sang-Bing ; Ho, Kung-Cheng ; Deng, Xiang. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201852.

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Works by Carol Alexander:


YearTitleTypeCited
2016Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia In: Papers.
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paper0
2016Model-Free Discretisation-Invariant Swap Contracts In: Papers.
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paper1
2016Tail Risk Premia for Long-Term Equity Investors In: Papers.
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paper1
2017The Aggregation Property and its Applications to Realised Higher Moments In: Papers.
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paper0
2018Analytic Moments for GARCH Processes In: Papers.
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2011Analytic Moments for GARCH Processes.(2011) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 0
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2018Model Risk in Real Option Valuation In: Papers.
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2002Principal Component Models for Generating Large GARCH Covariance Matrices In: Economic Notes.
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article12
2013Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics In: European Financial Management.
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article3
1993The Changing Relationship between Productivity, Wages and Unemployment in the UK. In: Oxford Bulletin of Economics and Statistics.
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article9
2009Modelling Regime-Specific Stock Price Volatility In: Oxford Bulletin of Economics and Statistics.
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article11
2012Generalized beta-generated distributions In: Computational Statistics & Data Analysis.
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article14
2010Generalized Beta-Generated Distributions.(2010) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 14
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2011Generalized Beta-Generated Distributions.(2011) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 14
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1992Are foreign exchange markets really efficient? In: Economics Letters.
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