16
H index
29
i10 index
1056
Citations
University of Sussex | 16 H index 29 i10 index 1056 Citations RESEARCH PRODUCTION: 44 Articles 66 Papers 1 Chapters RESEARCH ACTIVITY: 30 years (1992 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pal264 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Banking & Finance | 6 |
Quantitative Finance | 5 |
Journal of Futures Markets | 4 |
International Review of Financial Analysis | 3 |
European Journal of Operational Research | 2 |
Oxford Bulletin of Economics and Statistics | 2 |
Working Papers Series with more than one paper published | # docs |
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ICMA Centre Discussion Papers in Finance / Henley Business School, University of Reading | 44 |
Papers / arXiv.org | 13 |
Discussion Papers in Economics / Department of Economics, University of Sussex Business School | 8 |
Year | Title of citing document |
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2023 | Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure. (2022). Mizrach, Bruce. In: Papers. RePEc:arx:papers:2201.01392. Full description at Econpapers || Download paper |
2023 | Fundamentals 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 |
2023 | FTXs downfall and Binances consolidation: the fragility of Centralized Digital Finance. (2023). Aste, Tomaso ; Briola, Antonio ; Vidal-Tom, David. In: Papers. RePEc:arx:papers:2302.11371. Full description at Econpapers || Download paper |
2023 | Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472. Full description at Econpapers || Download paper |
2023 | iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943. Full description at Econpapers || Download paper |
2023 | Pragmatic Comparison Analysis of Alternative Option Pricing Models. (2023). Shafi, Khuram ; Rahman, Md Mahfuzer ; Motii, Bahman B ; Kumar, Chandan ; Usman, Muhammad ; Shad, Shafqat Ali ; Latif, Natasha ; Idrees, Zahra. In: Papers. RePEc:arx:papers:2309.09890. Full description at Econpapers || Download paper |
2023 | From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256. Full description at Econpapers || Download paper |
2023 | DeFi Security: Turning The Weakest Link Into The Strongest Attraction. (2023). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2312.00033. Full description at Econpapers || Download paper |
2023 | Crypto carry. (2023). Schrimpf, Andreas ; Todorov, Karamfil ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:1087. Full description at Econpapers || Download paper |
2023 | Co?movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies. (2023). Yunus, Nafeesa. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:393-436. Full description at Econpapers || Download paper |
2023 | Diagnosing housing fever with an econometric thermometer. (2023). Phillips, Peter ; Shi, Shuping. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:159-186. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Wage bargaining and employment revisited: separability and efficiency in collective bargaining. (2023). Duman, Papatya ; Upmann, Thorsten ; Haake, Clausjochen. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:125:y:2023:i:2:p:403-440. Full description at Econpapers || Download paper |
2023 | Bayesian inference for a mixture double autoregressive model. (2023). Dong, Xiaogang ; Yu, Xinyang ; Zhang, Qingqing ; Yang, Kai. In: Statistica Neerlandica. RePEc:bla:stanee:v:77:y:2023:i:2:p:188-207. Full description at Econpapers || Download paper |
2023 | Cybercrime on the Ethereum Blockchain. (2023). Yuan, YE ; Nam, Rachel J ; Momtaz, Paul P ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10598. Full description at Econpapers || Download paper |
2023 | How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923. Full description at Econpapers || Download paper |
2023 | Forecasting VIX using two-component realized EGARCH model. (2023). Liu, LI ; Zhao, AN ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000578. Full description at Econpapers || Download paper |
2023 | Price discovery between Bitcoin spot markets and exchange traded products. (2023). Bowden, James ; Franus, Tatiana ; Gemayel, Roland. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001775. Full description at Econpapers || Download paper |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper |
2023 | Corporate 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 |
2023 | Hedging with automatic liquidation and leverage selection on bitcoin futures. (2023). Zou, Bin ; Deng, Jun ; Alexander, Carol. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493. Full description at Econpapers || Download paper |
2023 | Probabilistic forecast reconciliation: Properties, evaluation and score optimisation. (2023). Hyndman, Rob ; Athanasopoulos, George ; Gamakumara, Puwasala ; Panagiotelis, Anastasios. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:2:p:693-706. Full description at Econpapers || Download paper |
2023 | Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. (2023). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596. Full description at Econpapers || Download paper |
2023 | Higher-order moments and co-moments contribution to spillover analysis and portfolio risk management. (2023). Bouri, Elie ; Nekhili, Ramzi. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000944. Full description at Econpapers || Download paper |
2023 | An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145. Full description at Econpapers || Download paper |
2023 | Alpha-factor integrated risk parity portfolio strategy in global equity fund of funds. (2023). Sohn, So Young ; Lee, Tae Kyun. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001709. Full description at Econpapers || Download paper |
2023 | Semi-strong efficient market of Bitcoin and Twitter: An analysis of semantic vector spaces of extracted keywords and light gradient boosting machine models. (2023). Gacesa, Marko ; Wang, Fang. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002089. Full description at Econpapers || Download paper |
2023 | On the topology of cryptocurrency markets. (2023). Dotko, Pawe ; Rudkin, Wanling. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002752. Full description at Econpapers || Download paper |
2023 | Knowledge mapping of model risk in banking. (2023). Torluccio, Giuseppe ; Rimo, Giuseppe ; Cosma, Simona. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003162. Full description at Econpapers || Download paper |
2023 | Price discovery in carbon exchange traded fund markets. (2023). Suresh, Sheena Sara ; Naysary, Babak ; Shrestha, Keshab. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003307. Full description at Econpapers || Download paper |
2023 | Anatomy of a Stablecoin’s failure: The Terra-Luna case. (2023). Aste, Tomaso ; Wang, Yuanrong ; Vidal-Tomas, David ; Briola, Antonio. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005359. Full description at Econpapers || Download paper |
2023 | Not so fast: Identifying and remediating slow and imprecise cryptocurrency exchange data. (2023). Svec, Jiri ; Mollica, Vito ; Krekel, William ; Foley, Sean. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005785. Full description at Econpapers || Download paper |
2023 | Is Bitcoin used to evade financial sanction?. (2023). Miao, Jia ; Zhao, Jinsha. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s154461232300377x. Full description at Econpapers || Download paper |
2023 | Net buying pressure and the information in bitcoin option trades. (2023). Wan, Huning ; Feng, Jianfen ; Deng, Jun ; Alexander, Carol. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544. Full description at Econpapers || Download paper |
2023 | Arbitrage in the market for cryptocurrencies. (2023). Zeisberger, Stefan ; Pelster, Matthias ; Crepelliere, Tommy. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000150. Full description at Econpapers || Download paper |
2023 | A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x. Full description at Econpapers || Download paper |
2023 | Who trades bitcoin futures and why?. (2023). Penick, Michael ; Onur, Esen ; Moin, Amani ; Ferko, Alex. In: Global Finance Journal. RePEc:eee:glofin:v:55:y:2023:i:c:s1044028322000801. Full description at Econpapers || Download paper |
2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. Full description at Econpapers || Download paper |
2023 | Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants. (2023). Lutkebohmert, Eva ; Gonzato, Luca ; Brignone, Riccardo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003259. Full description at Econpapers || Download paper |
2023 | Intraday momentum in the VIX futures market. (2023). Yang, Jimmy J ; Weng, Pei-Shih ; Tsai, Wei-Che ; Huang, Hong-Gia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622003260. Full description at Econpapers || Download paper |
2023 | Consistency of banks internal probability of default estimates: Empirical evidence from the COVID-19 crisis. (2023). Teply, Petr ; Stepankova, Barbora. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s037842662300167x. Full description at Econpapers || Download paper |
2023 | Correlation scenarios and correlation stress testing. (2023). Woebbeking, F ; Packham, N. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:205:y:2023:i:c:p:55-67. Full description at Econpapers || Download paper |
2023 | Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289. Full description at Econpapers || Download paper |
2023 | Two-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 |
2023 | Global financial crisis, funding constraints, and liquidity of VIX futures. (2023). Tsai, Wei-Che ; Lien, Donald ; Chiu, Junmao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:80:y:2023:i:c:s0927538x23001725. Full description at Econpapers || Download paper |
2023 | Intuitionistic fuzzy risk adjusted discount rate and certainty equivalent methods for risky projects. (2023). Kahraman, Cengiz ; Haktanir, Elif. In: International Journal of Production Economics. RePEc:eee:proeco:v:257:y:2023:i:c:s0925527322003395. Full description at Econpapers || Download paper |
2023 | Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189. Full description at Econpapers || Download paper |
2023 | Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies. (2023). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:211-232. Full description at Econpapers || Download paper |
2023 | An analytical GARCH valuation model for spread options with default risk. (2023). Yin, Xunbai ; Xu, Guangli ; Tang, Dan ; Song, Shiyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:1-20. Full description at Econpapers || Download paper |
2023 | Forecasting exchange rate: A bibliometric and content analysis. (2023). Junior, Eli Hadad ; de Souza, Camila. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:607-628. Full description at Econpapers || Download paper |
2023 | Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique. (2023). Hassan, M. Kabir ; Devji, Shridev ; Tiwari, Aviral ; Dsouza, Arun ; Pattnaik, Debidutta. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:189:y:2023:i:c:s0040162523000240. Full description at Econpapers || Download paper |
2023 | Network effects and store-of-value features in the cryptocurrency market. (2023). Adelopo, Ismail ; Luo, Xiaojun ; Bakhtiar, Tiam. In: Technology in Society. RePEc:eee:teinso:v:74:y:2023:i:c:s0160791x23001252. Full description at Econpapers || Download paper |
2023 | FTXs downfall and Binances consolidation: the fragility of centralised digital finance. (2023). Vidal-Tomás, David ; Aste, Tomaso ; Briola, Antonio ; Vidal-Tomas, David. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119902. Full description at Econpapers || Download paper |
2023 | Factors of Ethereum Profitability as a Platform for Creating Decentrilized Applications. (2023). Zubarev, Andrei V ; Shilov, Kirill D. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:230106:p:95-115. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Pricing Kernels and Risk Premia implied in Bitcoin Options. (2023). Hardle, Wolfgang Karl ; Winkel, Julian. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:85-:d:1137149. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Pursuing the Sustainability of Real Estate Market: The Case of Chinese Land Resources Diversification. (2023). Wen, Zhong-Qin ; Chiang, Shu-Hen ; Lee, Cheng-Wen. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:7:p:5850-:d:1109353. Full description at Econpapers || Download paper |
2023 | When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?. (2023). Duc, Toan Luu. In: Computational Economics. RePEc:kap:compec:v:62:y:2023:i:2:d:10.1007_s10614-021-10230-6. Full description at Econpapers || Download paper |
2023 | Hedging cryptocurrency options. (2023). Hardle, Wolfgang Karl ; Packham, Natalie ; Matic, Jovanka Lili. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-023-09194-6. Full description at Econpapers || Download paper |
2023 | Fundamentals, real-time uncertainty and CDS index spreads. (2023). Wang, XU ; Audzeyeva, Alena. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01127-6. Full description at Econpapers || Download paper |
2023 | Initial Coin Offerings: a Hybrid Empirical Review. (2023). Joshipura, Mayank ; Alshater, Muneer M ; Nasrallah, Nohade ; el Khoury, Rim. In: Small Business Economics. RePEc:kap:sbusec:v:61:y:2023:i:3:d:10.1007_s11187-022-00726-2. Full description at Econpapers || Download paper |
2023 | Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies. (2023). Gao, Xiang ; Huang, Weige. In: SAGE Open. RePEc:sae:sagope:v:13:y:2023:i:1:p:21582440231151652. Full description at Econpapers || Download paper |
2023 | Rethinking Generalized Beta family of distributions. (2023). Serota, R A ; Liu, Jiong. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:96:y:2023:i:2:d:10.1140_epjb_s10051-023-00485-3. Full description at Econpapers || Download paper |
2023 | A novel stochastic modeling framework for coal production and logistics through options pricing analysis. (2023). Collins, James ; Alfeus, Mesias. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00440-8. Full description at Econpapers || Download paper |
2023 | Fundamental and speculative components of the cryptocurrency pricing dynamics. (2023). Krištoufek, Ladislav ; Kukacka, Jiri. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00465-7. Full description at Econpapers || Download paper |
2023 | Higher moment connectedness of cryptocurrencies: a time-frequency approach. (2023). Seetharam, Yudhvir ; Nyakurukwa, Kingstone. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09627-w. Full description at Econpapers || Download paper |
2023 | COVID-19 pandemic and financial innovations. (2023). Salisu, Afees ; Omoke, Philip C ; Sikiru, Abdulsalam Abidemi. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:4:d:10.1007_s11135-022-01540-4. Full description at Econpapers || Download paper |
2023 | The Relationship between VIX and Technical Indicator: The Analysis of Shared-Frailty Model. (2023). , Fu-Ying. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:13:y:2023:i:3:f:13_3_5. Full description at Econpapers || Download paper |
2023 | Equilibrating ripple effect, disturbing information cascade effect and regional disparity – A perspective from Chinas tiered housing markets. (2023). Xiao, Qin. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:858-875. Full description at Econpapers || Download paper |
2023 | International journal of finance and economics: A bibliometric overview. (2023). Gupta, Prashant ; Goyal, Kirti ; Kumar, Satish ; Baker, Kent H. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:1:p:9-46. Full description at Econpapers || Download paper |
2023 | A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007. Full description at Econpapers || Download paper |
2023 | Optimal futures hedging by using realized semicovariances: The information contained in signed high?frequency returns. (2023). Lai, Yusheng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:677-701. Full description at Econpapers || Download paper |
2023 | VIX futures pricing based on high?frequency VIX: A hybrid approach combining SVR with parametric models. (2023). Jiang, Gongyue ; Qiao, Gaoxiu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1238-1260. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2016 | Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia In: Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Model-Free Discretisation-Invariant Swap Contracts In: Papers. [Full Text][Citation analysis] | paper | 1 |
2016 | Tail Risk Premia for Long-Term Equity Investors In: Papers. [Full Text][Citation analysis] | paper | 3 |
2017 | The Aggregation Property and its Applications to Realised Higher Moments In: Papers. [Full Text][Citation analysis] | paper | 0 |
2018 | Analytic Moments for GARCH Processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
2011 | Analytic Moments for GARCH Processes.(2011) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2018 | Model Risk in Real Option Valuation In: Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Model risk in real option valuation.(2021) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2021 | Targetting Kollo Skewness with Random Orthogonal Matrix Simulation In: Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading In: Papers. [Full Text][Citation analysis] | paper | 5 |
2021 | Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules In: Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | The Role of Binance in Bitcoin Volatility Transmission In: Papers. [Full Text][Citation analysis] | paper | 3 |
2022 | Inverse and Quanto Inverse Options in a Black-Scholes World In: Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Net Buying Pressure and the Information in Bitcoin Option Trades In: Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Risk-Adjusted Valuation for Real Option Decisions In: Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | Risk-adjusted valuation for real option decisions.(2021) In: Journal of Economic Behavior & Organization. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2002 | Principal Component Models for Generating Large GARCH Covariance Matrices In: Economic Notes. [Full Text][Citation analysis] | article | 41 |
2013 | Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics In: European Financial Management. [Full Text][Citation analysis] | article | 12 |
1993 | The Changing Relationship between Productivity, Wages and Unemployment in the UK. In: Oxford Bulletin of Economics and Statistics. [Citation analysis] | article | 13 |
2009 | Modelling Regime?Specific Stock Price Volatility* In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 16 |
2012 | Generalized beta-generated distributions In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 37 |
2010 | Generalized Beta-Generated Distributions.(2010) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2011 | Generalized Beta-Generated Distributions.(2011) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
1992 | Are foreign exchange markets really efficient? In: Economics Letters. [Full Text][Citation analysis] | article | 15 |
2019 | A parsimonious parametric model for generating margin requirements for futures In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 4 |
2021 | A general property for time aggregation In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 0 |
2013 | The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics. [Full Text][Citation analysis] | article | 30 |
2012 | The (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 nother version. Agregated cites: 30 | paper | |
2013 | Continuous-time VIX dynamics: On the role of stochastic volatility of volatility In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 28 |
2013 | Forecasting VaR using analytic higher moments for GARCH processes In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 10 |
2020 | Price discovery and microstructure in ether spot and derivative markets In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 11 |
2020 | Price discovery in Bitcoin: The impact of unregulated markets In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 24 |
2021 | Analytic moments for GJR-GARCH (1, 1) processes In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 3 |
2004 | Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 22 |
2007 | Model-free hedge ratios and scale-invariant models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 20 |
2008 | Developing a stress testing framework based on market risk models In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 35 |
2008 | Hedging index exchange traded funds In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 26 |
2008 | Regime dependent determinants of credit default swap spreads In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 144 |
2012 | Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 42 |
2016 | Diversification with volatility products In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 16 |
2012 | Further properties of random orthogonal matrix simulation In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 3 |
2005 | Indexing, cointegration and equity market regimes In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 25 |
1997 | Seasonal unit roots in trade variables In: Working Papers. Serie EC. [Full Text][Citation analysis] | paper | 0 |
2006 | Normal mixture GARCH(1,1): applications to exchange rate modelling In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 82 |
2006 | Normal mixture GARCH(1,1): applications to exchange rate modelling.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 82 | article | |
2005 | The Present and Future of Financial Risk Management In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 13 |
1996 | Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations. In: Oxford Economic Papers. [Full Text][Citation analysis] | article | 7 |
2000 | Bayesian Methods for Measuring Operational Risk In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2000 | Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 13 |
2000 | Principal Component Analysis of Volatility Smiles and Skews In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 1 |
2001 | Cointegration and Asset Allocation: A New Fund Strategy In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
2001 | Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 6 |
2001 | Understanding the Internal Measurement Approach to Assessing Operational Risk Capital In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2003 | Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 7 |
2003 | Statistical Properties of Forward Libor Rates In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 5 |
2003 | Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2003 | Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 1 |
2003 | Bivariate Normal Mixture Spread Option Valuation In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 5 |
2004 | Bivariate normal mixture spread option valuation.(2004) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2004 | The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 10 |
2004 | A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 3 |
2004 | Hedging with Stochastic and Local Volatility In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 3 |
2005 | The Spider in the Hedge In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 5 |
2005 | Detecting Switching Strategies in Equity Hedge Funds In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 4 |
2005 | Is 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] | paper | 1 |
2006 | Hedging Options with Scale-Invariant Models In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
2006 | Minimum Variance Hedging and Stock Index Market Efficiency In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2006 | Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 6 |
2007 | Hedging and Cross-hedging ETFs In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
2007 | Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
2007 | Analytic Approximations for Spread Options In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
2009 | Analytic Approximations for Spread Options.(2009) In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2008 | Markov Switching GARCH Diffusion In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 2 |
2008 | Stochastic Local Volatility In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 4 |
2009 | Analytic Approximations for Multi-Asset Option Pricing In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 1 |
2009 | Exact Moment Simulation using Random Orthogonal Matrices In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2010 | Does model fit matter for hedging? Evidence from FTSE 100 options In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 5 |
2012 | Does model fit matter for hedging? Evidence from FTSE 100 options.(2012) In: Journal of Futures Markets. [Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2010 | Stochastic Volatility Jump-Diffusions for Equity Index Dynamics In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2010 | Endogenizing Model Risk to Quantile Estimates In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 1 |
2010 | Regime-Dependent Smile-Adjusted Delta Hedging In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 6 |
2012 | Regime?dependent smile?adjusted delta hedging.(2012) In: Journal of Futures Markets. [Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2010 | VIX Dynamics with Stochastic Volatility of Volatility In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 7 |
2011 | The Hazards of Volatility Diversification In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 8 |
2011 | Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2011 | Model Risk in Variance Swap Rates In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 1 |
2012 | A General Approach to Real Option Valuation with Applications to Real Estate Investments In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
2012 | Diversification of Equity with VIX Futures: Personal Views and Skewness Preference In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 6 |
2012 | ROM Simulation: Applications to Stress Testing and VaR In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 6 |
2014 | Risk-adjusted Valuation of the Real Option to Invest In: ICMA Centre Discussion Papers in Finance. [Full Text][Citation analysis] | paper | 0 |
1994 | Seasonality and Cointegration of Regional House Prices in the UK In: Urban Studies. [Full Text][Citation analysis] | article | 92 |
2005 | Assessment of Operational Risk Capital In: Springer Books. [Citation analysis] | chapter | 1 |
1994 | Cofeatures in international bond and equity markets In: Discussion Papers in Economics. [Citation analysis] | paper | 0 |
1995 | Seasonal price movements and unit roots in Indonesian rice market integration In: Discussion Papers in Economics. [Citation analysis] | paper | 3 |
1992 | Are foreign exchange markets really efficient? In: Discussion Papers in Economics. [Citation analysis] | paper | 11 |
1992 | The changing relationship between productivity, wages and unemployment in the U.K. In: Discussion Papers in Economics. [Citation analysis] | paper | 0 |
1994 | Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations In: Discussion Papers in Economics. [Citation analysis] | paper | 0 |
1992 | GARCH volatility models In: Discussion Papers in Economics. [Citation analysis] | paper | 0 |
1992 | Bargaining sets and bargaining solutions for firm-union negotiations In: Discussion Papers in Economics. [Citation analysis] | paper | 0 |
1993 | Common volatility in the foreign exchange market In: Discussion Papers in Economics. [Citation analysis] | paper | 0 |
2011 | Closed Form Approximations for Spread Options In: Applied Mathematical Finance. [Full Text][Citation analysis] | article | 14 |
2021 | The continuous limit of weak GARCH In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
1995 | Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon In: Journal of Development Studies. [Full Text][Citation analysis] | article | 3 |
2017 | Arithmetic variance swaps In: Quantitative Finance. [Full Text][Citation analysis] | article | 2 |
2020 | A critical investigation of cryptocurrency data and analysis In: Quantitative Finance. [Full Text][Citation analysis] | article | 48 |
2004 | Equity indexing: Optimize your passive investments In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2007 | Model-free price hedge ratios for homogeneous claims on tradable assets In: Quantitative Finance. [Full Text][Citation analysis] | article | 4 |
2009 | Model risk adjusted hedge ratios In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 8 |
2020 | BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 29 |
2012 | Quantile Uncertainty and Value?at?Risk Model Risk In: Risk Analysis. [Full Text][Citation analysis] | article | 12 |
2006 | PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 2 |
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