Carol Alexander : Citation Profile


Are you Carol Alexander?

University of Sussex

15

H index

18

i10 index

678

Citations

RESEARCH PRODUCTION:

34

Articles

51

Papers

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 25
   Journals where Carol Alexander has often published
   Relations with other researchers
   Recent citing documents: 86.    Total self citations: 18 (2.59 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal264
   Updated: 2021-10-09    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)

Torro, Hipolit (8)

Chevallier, Julien (8)

Ielpo, Florian (7)

Avino, Davide (7)

Mittnik, Stefan (6)

Mallick, Sushanta (5)

Varotto, Simone (5)

Kouretas, Georgios (5)

Santucci de Magistris, Paolo (5)

Aboura, Sofiane (4)

Cites to:

Bollerslev, Tim (30)

Chen, Zhiwu (24)

Cao, Charles (24)

Christoffersen, Peter (23)

Engle, Robert (20)

Skiadopoulos, George (19)

merton, robert (14)

Hamilton, James (13)

Bauwens, Luc (13)

Rossi, Peter (13)

Wu, Liuren (12)

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
Oxford Bulletin of Economics and Statistics2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading44
Papers / arXiv.org6

Recent works citing Carol Alexander (2021 and 2020)


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

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

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020Improving S&P stock prediction with time series stock similarity. (2020). Sidi, Lior. In: Papers. RePEc:arx:papers:2002.05784.

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2021Extensions of Random Orthogonal Matrix Simulation for Targetting Kollo Skewness. (2020). Wei, Wei ; Meng, Xiaochun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2004.06586.

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

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2020Diffusion Copulas: Identification and Estimation. (2020). Hadri, Kaddour ; Kristensen, Dennis ; Bu, Ruijun. In: Papers. RePEc:arx:papers:2005.03513.

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2020Explicit approximations for option prices via Malliavin calculus for the stochastic Verhulst volatility model. (2020). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542.

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2021Optimal Hedging with Margin Constraints and Default Aversion and its Application to Bitcoin Perpetual Futures. (2021). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: Papers. RePEc:arx:papers:2101.01261.

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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.

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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.

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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.

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2020Wage Bargaining and Employment Revisited: Separability and Efficiency in Collective Bargaining. (2020). Duman, Papatya ; Upmann, Thorsten ; Haake, Claus-Jochen. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8422.

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2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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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.

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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.

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2020VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective. (2020). Li, Weiping ; Yang, Jiyu ; Qiao, Gaoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300838.

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2020An excellent approximation for the m out of n day provision. (2020). Guo, Shuxin ; Liu, Qiang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301194.

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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.

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2020Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

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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.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2021A general property for time aggregation. (2021). Rauch, Johannes ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548.

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2020The economic value of VIX ETPs. (2020). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:121-138.

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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.

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2020Optimal hedging under biased energy futures markets. (2020). Torro, Hipolit ; Furio, Dolores. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s014098832030089x.

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2020Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management. (2020). Tsuji, Chikashi. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521919302224.

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2020Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S.. (2020). Li, Jingyu ; Casu, Barbara ; Yao, Yinhong ; Zhu, Xiaoqian. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301885.

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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.

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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.

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2020Risk premium spillovers among stock markets: Evidence from higher-order moments. (2020). Aboura, Sofiane ; Finta, Marinela Adriana. In: Journal of Financial Markets. RePEc:eee:finmar:v:49:y:2020:i:c:s1386418120300021.

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

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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.

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2021Analytic moments for GJR-GARCH (1, 1) processes. (2021). Stanescu, Silvia ; Lazar, Emese ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124.

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

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2020The surface of implied firm’s asset volatility. (2020). Silaghi, Florina ; Lovreta, Lidija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302789.

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2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

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2020Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data. (2020). Graler, Benedikt ; Scherer, Matthias ; Huttner, Amelie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301631.

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2020Dodd-Franking the hedge Funds. (2020). Johan, Sofia ; Dai, NA ; Cumming, Douglas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426617302261.

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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.

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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.

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2020A non-linear analysis of the sovereign bank nexus in the EU. (2020). Cifarelli, Giulio ; Paladino, Giovanna. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930074x.

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2020A semi-analytic valuation of American options under a two-state regime-switching economy. (2020). Lu, Xiaoping. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:538:y:2020:i:c:s0378437119316802.

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2020Forecasting volatility of the Chinese stock markets using TVP HAR-type models. (2020). Zhang, Yifeng ; Chen, Xiaodan ; Wang, Yan ; Liu, Guangqiang ; Shang, Yue. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319247.

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2020Time-varying linkages among gold, stocks, bonds and real estate. (2020). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:165-185.

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2020Composite hedge and utility maximization for optimal futures hedging. (2020). Feng, Yun ; Cui, Yan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:15-32.

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2020CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:839-859.

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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.

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2020Combating lead-time uncertainty in global supply chains shipment-assignment: Is it wise to be risk-averse?. (2020). Ma, Hoi Lam ; Sheu, Jiuh-Biing ; Choi, Tsan-Ming ; Chung, Sai-Ho ; Sun, Xuting. In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:138:y:2020:i:c:p:406-434.

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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.

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

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2020The Aumann–Serrano Performance Index for Multi-Period Gambles in Stock Data. (2020). Hodoshima, Jiro ; Yamawake, Toshiyuki. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:288-:d:448162.

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

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2020A Note on Combining Machine Learning with Statistical Modeling for Financial Data Analysis. (2020). Sperlich, Stefan ; Jorda, Vanesa ; Prieto, Faustino ; Sarabia, Jose Maria. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:32-:d:341113.

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2020The Effects of Factors of Production Shocks on Labor Productivity: New Evidence Using Panel VAR Analysis. (2020). Abdul Karim, Zulkefly ; Basri, Nurliyana Mohd ; Sulaiman, Noorasiah . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:20:p:8710-:d:432028.

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2021The Marshall-Olkin Half Logistic-G Family of Distributions With Applications. (2021). Peter, Peter O ; Oluyede, Broderick ; Chipepa, Fastel ; Makubate, Boikanyo. In: International Journal of Statistics and Probability. RePEc:ibn:ijspjl:v:10:y:2021:i:2:p:120.

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2021Ideal Investment Protection in Optimistic Perceptions: Evidence From the Indian Equity Options Market. (2021). Varghese, James ; Jose, Babu. In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:12:y:2021:i:2:p:327-340.

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2020Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate. (2020). Ma, Chaoqun ; Wu, Hui ; Yue, Shengjie. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:2:d:10.1007_s10614-019-09929-4.

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2021Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Bulfone, Giacomo. In: Working Paper series. RePEc:rim:rimwps:21-09.

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2021Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance. (2021). Lin, Yu-Cheng ; Liu, Hsiang-Hsi. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:121-148.

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2020.

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2020.

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2021Price adjustment in the London housing market. (2021). Watson, Duncan ; Webb, Robert ; Cook, Steven. In: Urban Studies. RePEc:sae:urbstu:v:58:y:2021:i:1:p:113-130.

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2021Regional housing price dependency in the UK: A dynamic network approach. (2021). Zhang, Dayong ; Ji, Qiang ; Horsewood, Nicholas J ; Zhao, Wan-Li. In: Urban Studies. RePEc:sae:urbstu:v:58:y:2021:i:5:p:1014-1031.

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2021Volatility in the stock market: ANN versus parametric models. (2021). Clementi, Daniele ; Decclesia, Rita Laura. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03374-0.

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2021Backtesting and estimation error: value-at-risk overviolation rate. (2021). Cataldo, James ; Tsafack, Georges . In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:3:d:10.1007_s00181-020-01905-4.

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2021Recent innovation in benchmark rates (BMR): evidence from influential factors on Turkish Lira Overnight Reference Interest Rate with machine learning algorithms. (2021). Depren, Serpil Kili ; Kartal, Mustafa Tevfik. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00245-1.

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2020The Extended Matrix-Variate Beta Probability Distribution on Symmetric Matrices. (2020). Tounsi, Mariem. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:22:y:2020:i:2:d:10.1007_s11009-019-09725-5.

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2020Investigating Regime-Dependent Dynamics in Country Risk Premium: Evidence from Turkey and Emerging Markets. (2020). KAZDAL, Abdullah ; Yilmaz, Muhammed Hasan ; Bayram, Berat ; Akay, Mustafa. In: CBT Research Notes in Economics. RePEc:tcb:econot:2008.

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2020Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor. (2020). Åšlepaczuk, Robert ; Micha, Latoszek. In: Economics and Business Review. RePEc:vrs:ecobur:v:6:y:2020:i:1:p:46-81:n:3.

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2020Does Bitcoin Improve Investment Portfolio Efficiency?. (2020). Turovtseva, Daria ; Sakowski, Pawe. In: Working Papers. RePEc:war:wpaper:2020-42.

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2020Modeling VXX under jump diffusion with stochastic long‐term mean. (2020). Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1508-1534.

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2020Valuation of VIX and target volatility options with affine GARCH models. (2020). Jayaraman, Sarath Kumar ; Cui, Zhenyu ; Badescu, Alexandru ; Cao, Hongkai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:12:p:1880-1917.

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2020An analytical perturbative solution to the Merton–Garman model using symmetries. (2020). Shaw, Nathaniel Wiesendanger ; Calmet, Xavier. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:3-22.

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2020Pricing VIX derivatives with infinite‐activity jumps. (2020). Ruan, Xinfeng ; Cao, Jiling ; Zhang, Wenjun ; Su, Shu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:329-354.

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2020Pricing VIX options with volatility clustering. (2020). Jing, BO ; Ma, Yong ; Li, Shenghong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:928-944.

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2020Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices. (2020). Cao, Jiling ; Zhang, Wenjun ; Ruan, Xinfeng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:6:p:945-973.

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2021VIX futures and its closed?form pricing through an affine GARCH model with realized variance. (2021). Wang, Zerong. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:1:p:135-156.

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2021The term structure of the VXX option smirk: Pricing VXX option with a two?factor model and asymmetry jumps. (2021). Zhang, Zili ; Zhao, Xuejun ; Li, Shenghong ; Lin, Wei ; Wang, Chengxiang ; Tan, Xiaoyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:4:p:439-457.

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2021Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility. (2021). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:559-576.

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2021Pricing VIX options with realized volatility. (2021). Huang, Zhuo ; Tong, Chen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1180-1200.

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2021Smile?implied hedging with volatility risk. (2021). Stentoft, Lars ; Franois, Pascal. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:8:p:1220-1240.

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2021Urban agglomeration, housing price, and space–time spillover effect—Empirical evidences based on data from hundreds of cities in China. (2021). Da, Huili ; Deng, Guoying ; Jiao, Chengcai ; Lan, Feng. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:42:y:2021:i:4:p:898-919.

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2020Willow tree algorithms for pricing VIX derivatives under stochastic volatility models. (2020). Kwok, Yue Kuen ; Xu, Wei ; Ma, Changfu. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:07:y:2020:i:01:n:s2424786320500036.

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2020MEASURING MODEL RISK IN FINANCIAL RISK MANAGEMENT AND PRICING. (2020). Schmidt, Wolfgang M ; Jokhadze, Valeriane. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:23:y:2020:i:02:n:s0219024920500120.

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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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2016Model-Free Discretisation-Invariant Swap Contracts In: Papers.
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2016Tail Risk Premia for Long-Term Equity Investors In: Papers.
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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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