Carol Alexander : Citation Profile


Are you Carol Alexander?

University of Sussex

14

H index

17

i10 index

613

Citations

RESEARCH PRODUCTION:

34

Articles

51

Papers

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 22
   Journals where Carol Alexander has often published
   Relations with other researchers
   Recent citing documents: 85.    Total self citations: 18 (2.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal264
   Updated: 2020-10-24    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)

Torro, Hipolit (8)

Ielpo, Florian (7)

Avino, Davide (7)

Mittnik, Stefan (6)

Varotto, Simone (5)

Kouretas, Georgios (5)

Mallick, Sushanta (5)

Santucci de Magistris, Paolo (5)

Cheung, Yin-Wong (4)

Cites to:

Bollerslev, Tim (30)

Cao, Charles (24)

Christoffersen, Peter (24)

Chen, Zhiwu (24)

Engle, Robert (20)

Skiadopoulos, George (19)

merton, robert (14)

Bauwens, Luc (13)

Rossi, Peter (13)

Hamilton, James (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, Reading University44
Papers / arXiv.org6

Recent works citing Carol Alexander (2020 and 2019)


YearTitle of citing document
2019The Economic Value of VIX ETPs. (2019). Christiansen, Charlotte ; Posselt, Anders M ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2019-14.

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

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2019An 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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2019Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility. (2019). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:1909.10187.

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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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2020Extensions 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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2020Hedging 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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2019A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle. (2019). Guidolin, Massimo ; Pedio, Manuela ; Melloni, Francesco. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19121.

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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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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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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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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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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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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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2019An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela. (2019). Chuffart, Thomas ; Hooper, Emma. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:904-916.

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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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2019Modeling local trends with regime shifting models with time-varying probabilities. (2019). Mazza, Davide ; Fabozzi, Frank J ; Focardi, Sergio M. In: International Review of Financial Analysis. RePEc:eee:finana:v:66:y:2019:i:c:s105752191830752x.

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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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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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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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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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2019What is a better cross-hedge for energy: Equities or other commodities?. (2019). Olson, Eric ; Wohar, Mark E ; Vivian, Andrew. In: Global Finance Journal. RePEc:eee:glofin:v:42:y:2019:i:c:s1044028317302259.

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2019Does the volatility of volatility risk forecast future stock returns?. (2019). JAWADI, Fredj ; Fu, XI ; Bu, Ruijun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:16-36.

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2019A new macro stress testing approach for financial realignment in the Eurozone. (2019). Apergis, Emmanuel. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:52-80.

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2019Forecasting returns in the VIX futures market. (2019). Taylor, Nick. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1193-1210.

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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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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2019Volatility tail risk under fractionality. (2019). Santucci de Magistris, Paolo ; Morelli, Giacomo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302298.

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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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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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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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2019Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends. (2019). Polat, Onur ; Fito, Angels ; Juan, Angel A ; Kizys, Renatas ; Doering, Jana. In: Operations Research Perspectives. RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716019300399.

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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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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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2019Exuberance and spillovers in housing markets: Evidence from first- and second-tier cities in China. (2019). Chiang, Shu-Hen ; Tsai, I-Chun ; I-Chun Tsai, . In: Regional Science and Urban Economics. RePEc:eee:regeco:v:77:y:2019:i:c:p:75-86.

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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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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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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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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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2019A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading. (2019). Alvarez-Garcia, Jose ; Galeana-Figueroa, Evaristo ; de la Torre-Torres, Oscar V. In: Energies. RePEc:gam:jeners:v:13:y:2019:i:1:p:129-:d:302172.

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2019Are CDS Spreads Sensitive to the Term Structure of the Yield Curve? A Sector-Wise Analysis under Various Market Conditions. (2019). Aman, Asia. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:158-:d:272145.

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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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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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2019A New Generalized Family of Odd Lindley-G Distributions With Application. (2019). Makubate, Boikanyo ; Oluyede, Broderick O ; Chipepa, Fastel. In: International Journal of Statistics and Probability. RePEc:ibn:ijspjl:v:8:y:2019:i:6:p:1.

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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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2019Active portfolio management in the Andean countries stock markets with Markov-Switching GARCH models. (2019). Alvarez-Garcia, Jose ; Aguilasocho-Montoya, Dora ; de la Torre-Torres, Oscar V. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:601-616.

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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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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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2019The Decomposability of the Nash Bargaining Solution in Labor Markets. (2019). Duman, Papatya ; Upmann, Thorsten ; Haake, Claus-Jochen. In: Working Papers CIE. RePEc:pdn:ciepap:128.

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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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2020.

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2020.

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2019Power Lindley-G Family of Distributions. (2019). Nassr, Said G ; Hassan, Amal S. In: Annals of Data Science. RePEc:spr:aodasc:v:6:y:2019:i:2:d:10.1007_s40745-018-0159-y.

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2019Reliability Models Using the Composite Generalizers of Weibull Distribution. (2019). Tsokos, Chris P ; Khanal, Netra ; Pokhrel, Keshav P ; Aryal, Gokarna R. In: Annals of Data Science. RePEc:spr:aodasc:v:6:y:2019:i:4:d:10.1007_s40745-019-00205-8.

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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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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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2020Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor. (2020). Ślepaczuk, 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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2019Instantaneous squared VIX and VIX derivatives. (2019). Zhang, Jin E ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:10:p:1193-1213.

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2019Flexible covariance dynamics, high‐frequency data, and optimal futures hedging. (2019). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1529-1548.

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2019Hedging performance of multiscale hedge ratios. (2019). Alexandridis, Antonios K ; Sultan, Jahangir ; Guo, Xuxi ; Hasan, Mohammad. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1613-1632.

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2019Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?. (2019). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:109-127.

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2019Long‐term dynamics of the VIX index and its tradable counterpart VXX. (2019). Molnár, Peter ; Bata, Milan ; Molnar, Peter. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:3:p:322-341.

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2019Regime switching rough Heston model. (2019). Schlogl, Erik ; Alfeus, Mesias ; Overbeck, Ludger. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:5:p:538-552.

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2019Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model. (2019). Wang, Yudong ; Pan, Zhiyuan ; Liu, LI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:6:p:744-776.

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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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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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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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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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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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paper2
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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paper0
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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article14
2013Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics In: European Financial Management.
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article4
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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article12
2012Generalized beta-generated distributions In: Computational Statistics & Data Analysis.
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article21
2010Generalized Beta-Generated Distributions.(2010) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
2011Generalized Beta-Generated Distributions.(2011) In: ICMA Centre Discussion Papers in Finance.
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This paper has another version. Agregated cites: 21
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