Carol Alexander : Citation Profile

Are you Carol Alexander?

University of Sussex

16

H index

27

i10 index

1026

Citations

RESEARCH PRODUCTION:

44

Articles

58

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1992 - 2022). See details.
   Cites by year: 34
   Journals where Carol Alexander has often published
   Relations with other researchers
   Recent citing documents: 131.    Total self citations: 33 (3.12 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pal264
   Updated: 2023-11-04    RAS profile: 2021-12-22    
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Relations with other researchers

Works with:

Ward, Charles (2)

Choi, Jaehyuk (2)

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

Is cited by:

Haas, Markus (14)

Chevallier, Julien (11)

Gil-Alana, Luis (11)

Mittnik, Stefan (9)

Torro, Hipolit (8)

Gray, David (7)

MORANA, CLAUDIO (7)

Ielpo, Florian (7)

Avino, Davide (7)

GUPTA, RANGAN (7)

Aboura, Sofiane (5)

Cites to:

Engle, Robert (43)

Bollerslev, Tim (41)

Skiadopoulos, George (26)

Chen, Zhiwu (24)

Cao, Charles (24)

Bauwens, Luc (22)

Wu, Liuren (20)

merton, robert (15)

Perignon, Christophe (14)

Rossi, Peter (14)

Smith, Daniel (14)

Main data

Where Carol Alexander has published?

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

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

Recent works citing Carol Alexander (2023 and 2022)

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

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

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

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2023Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure. (2022). Mizrach, Bruce. In: Papers. RePEc:arx:papers:2201.01392.

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

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

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

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

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

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

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2023FTXs 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.

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2023Short-Term Volatility Prediction Using Deep CNNs Trained on Order Flow. (2023). Lenskiy, Artem ; Hao, Mingyu. In: Papers. RePEc:arx:papers:2304.02472.

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2023iCOS: Option-Implied COS Method. (2023). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2023Pragmatic 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.

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2023Crypto carry. (2023). Schrimpf, Andreas ; Todorov, Karamfil ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:1087.

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

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2023Co?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.

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2023Diagnosing 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.

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

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2023Wage 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.

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2023Bayesian 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.

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2023Cybercrime on the Ethereum Blockchain. (2023). Yuan, YE ; Nam, Rachel J ; Momtaz, Paul P ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10598.

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

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2023How 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.

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

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2023Forecasting 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.

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2023A 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.

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

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

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

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2023Hedging 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.

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2023Probabilistic 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.

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2023Higher-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.

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

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

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

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

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2023An 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.

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

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

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

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

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

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

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2022Comparisons of Alternative Information Share Measures. (2022). Lien, Donald. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s154461232200472x.

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2023Anatomy 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.

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2023Not 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.

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2023Net 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.

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2023Arbitrage 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.

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2022Bank credit risk and macro-prudential policies: Role of counter-cyclical capital buffer. (2022). Sousa, Ricardo ; Mallick, Sushanta K ; Kumar, Abhishek ; Benbouzid, Nadia ; Stojanovic, Aleksandar. In: Journal of Financial Stability. RePEc:eee:finsta:v:63:y:2022:i:c:s157230892200105x.

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2023A 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.

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2023Who 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.

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

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

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

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

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2023Efficient 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.

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2023Intraday 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.

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2023Correlation 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.

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

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

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

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

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

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

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2023Intuitionistic 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.

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

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

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2023An 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.

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2023Forecasting 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.

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

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

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2023Ex-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.

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

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2023FTXs 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.

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2023Factors 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.

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

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2022Economic Crisis Impact Assessment and Risk Exposure Evaluation of Selected Energy Sector Companies from Bombay Stock Exchange. (2022). Singh, Guru Ashish ; Bak, Iwona ; Tarczynska-Luniewska, Magorzata. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:22:p:8624-:d:975689.

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

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2023Pricing 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.

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2022Blockchain Technology Implementation in the Energy Sector: Comprehensive Literature Review and Mapping. (2022). Braiek, Naceur Benhadj ; Neji, Bilel ; Gharbi, Nourcherif ; Khezami, Nadhira. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:23:p:15826-:d:986653.

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2023Pursuing 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.

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2022Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan. (2022). Yamawake, Toshiyuki ; Hodoshima, Jiro. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:29:y:2022:i:2:d:10.1007_s10690-021-09343-7.

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2022Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching. (2022). He, Xin-Jiang ; Lin, Sha. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10117-6.

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2023When 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.

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2023Hedging 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.

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2023Fundamentals, 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.

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2022Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00084-5.

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2022Oil tail-risk forecasts: from financial crisis to COVID-19. (2022). Kuang, Wei. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:4:d:10.1057_s41283-022-00100-2.

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2022Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model. (2022). Onalan, Omer. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:1:p:68-84.

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2022The Role of Macroeconomic and Market Indicators in Explaining Sovereign Credit Default Swaps (CDS) Spread Changes: Evidence from Türkiye. (2022). Kartal, Mustafa Tevfik. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:2:p:145-164.

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2022The Asymmetric Effects of Regional House Prices in the UK: New Evidence from Panel Quantile Regression Framework. (2022). Tzeremes, Panayiotis. In: Studies in Microeconomics. RePEc:sae:miceco:v:10:y:2022:i:1:p:7-22.

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2023Forecasting 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.

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2022Club convergence of regional housing prices in China: evidence from 70 major Cities. (2022). Helbich, Marco ; Zhu, Yingming ; Cai, Yuanyuan. In: The Annals of Regional Science. RePEc:spr:anresc:v:69:y:2022:i:1:d:10.1007_s00168-021-01107-5.

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2022Cryptocurrencies and stablecoins: a high-frequency analysis. (2022). Marazzina, Daniele ; Moncayo, Giancarlo Giuffra ; Barucci, Emilio. In: Digital Finance. RePEc:spr:digfin:v:4:y:2022:i:2:d:10.1007_s42521-022-00055-9.

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2023Rethinking 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.

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2022Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. (2022). Özdemir, Onur. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00319-0.

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

Works by Carol Alexander:

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