Carol Alexander : Citation Profile

Are you Carol Alexander?

University of Sussex

17

H index

27

i10 index

1096

Citations

RESEARCH PRODUCTION:

41

Articles

66

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1992 - 2022). See details.
   Cites by year: 36
   Journals where Carol Alexander has often published
   Relations with other researchers
   Recent citing documents: 128.    Total self citations: 33 (2.92 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pal264
   Updated: 2024-11-04    RAS profile: 2023-02-24    
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Relations with other researchers

Works with:

Choi, Jaehyuk (2)

Lazar, Emese (2)

Ward, Charles (2)

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

Is cited by:

Chevallier, Julien (11)

Haas, Markus (11)

Gil-Alana, Luis (11)

Mittnik, Stefan (9)

Conlon, Thomas (8)

Lazar, Emese (8)

Torro, Hipolit (8)

MORANA, CLAUDIO (7)

Gray, David (7)

GUPTA, RANGAN (7)

Corbet, Shaen (7)

Cites to:

Bollerslev, Tim (37)

Engle, Robert (37)

Skiadopoulos, George (26)

Cao, Charles (24)

Chen, Zhiwu (24)

Wu, Liuren (20)

merton, robert (15)

Perignon, Christophe (14)

Rossi, Peter (14)

Smith, Daniel (14)

White, Alan (12)

Main data

Where Carol Alexander has published?

Journals with more than one article published# docs
Journal of Banking & Finance6
Quantitative Finance5
International Review of Financial Analysis3
Journal of Futures Markets3
European Journal of Operational Research2

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
Discussion Papers in Economics / Department of Economics, University of Sussex Business School8

Recent works citing Carol Alexander (2024 and 2023)

YearTitle of citing document
2024Explicit 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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2023Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure. (2022). Mizrach, Bruce. In: Papers. RePEc:arx:papers:2201.01392.

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2024Fundamentals 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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2024Short-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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2024iCOS: 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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2023From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256.

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2023DeFi Security: Turning The Weakest Link Into The Strongest Attraction. (2023). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2312.00033.

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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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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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2023.

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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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2023Stop-loss rules and momentum payoffs in cryptocurrencies. (2023). Butt, Hilal Anwar ; Sadaqat, Mohsin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000473.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2024Intraday herding and attention around the clock. (2024). Shi, Yanghua ; Scharnowski, Stefan. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000091.

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2023The impact of regulation on cryptocurrency market volatility in the context of the COVID-19 pandemic — evidence from China. (2023). Qi, Jiayin ; Xu, Kunpeng ; Zhang, Pengcheng. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:222-246.

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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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2024Pricing cryptocurrency options with machine learning regression for handling market volatility. (2024). Lenz, Jimmie ; Brini, Alessio. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001081.

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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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2023Price 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.

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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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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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2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

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2023Multivariate 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.

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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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2023Differences in carbon risk spillovers with green versus traditional assets: Evidence from a full distributional analysis. (2023). Liu, Yang ; Duan, Kun ; Huang, Yingying ; Yan, Cheng. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005479.

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2023Whos afraid of a Texas hedge?. (2023). Vedenov, Dmitry ; Power, Gabriel J. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005674.

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2023The profitability of seasonal trading timing: Insights from energy-related markets. (2023). Ni, Yensen ; Day, Min-Yuh. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006308.

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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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2023Alpha-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.

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2023Semi-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.

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2023On 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.

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2023Price 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.

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2023Machine learning approaches to forecasting cryptocurrency volatility: Considering internal and external determinants. (2023). Martin-Barragan, Belen ; Andreeva, Galina ; Wang, Yijun. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004301.

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2024Silicon Valley Bank bankruptcy and Stablecoins stability. (2024). Galati, Luca ; Capalbo, Francesco. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005173.

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2024The Bitcoin volume-volatility relationship: A high frequency analysis of futures and spot exchanges. (2024). Conlon, Thomas ; Corbet, Shaen ; McGee, Richard J. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300529x.

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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Cross-exchange crypto risk: A high-frequency dynamic network perspective. (2024). Ren, Rui ; Lin, Min-Bin ; Lu, Wanbo ; Wang, Yifu ; Hardle, Wolfgang Karl. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001789.

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2024Bitcoin price volatility transmission between spot and futures markets. (2024). Apostolakis, George N. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001832.

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2024Assessing the crypto market stability after the FTX collapse: A study of high frequency volatility and connectedness. (2024). Jareo, Francisco ; Escribano, Ana ; Esparcia, Carlos. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002199.

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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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2023Is 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.

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2023Bitcoin volatility and the introduction of bitcoin futures: A portfolio construction approach. (2023). Harasheh, Murad ; Bouteska, Ahmed. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s154461232300572x.

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2023Economic evaluation of dynamic hedging strategies using high-frequency data. (2023). Lai, Yu-Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323006025.

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2024Put–call parity in a crypto option market — Evidence from Binance. (2024). Varadi, Kata ; Kralik, Balazs ; Felfoldi-Szcs, Nora. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323012461.

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2024Informed trading and cryptocurrencies. New evidence using tick-by-tick data. (2024). Sampath, Aravind ; Natashekara, Karthik. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612323012813.

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2024Can asymmetry, long memory, and current return information improve crude oil volatility prediction? ——Evidence from ASHARV-MIDAS model. (2024). Hao, Xiaozhen ; Liu, Junjie ; Chen, Zhenlong. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004501.

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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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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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2023Did cryptomarket chaos unleash Silvergates bankruptcy? investigating the high-frequency volatility and connectedness behind the collapse. (2023). Esparcia, Carlos ; Escribano, Ana ; Jareo, Francisco. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001191.

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2023Decentralized and centralized exchanges: Which digital tokens pose a greater contagion risk?. (2023). Yarovaya, Larisa ; Abrar, Afsheen ; Yousaf, Imran. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s104244312300149x.

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2024Contagion effects of permissionless, worthless cryptocurrency tokens: Evidence from the collapse of FTX. (2024). Conlon, Thomas ; Corbet, Shaen ; Hou, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000064.

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2024The relevance of media sentiment for small and large scale bitcoin investors. (2024). Beckmann, Joscha ; Wustenfeld, Jan ; Geldner, Teo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000295.

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2023Static 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.

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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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2023Composite jet fuel cross-hedging. (2023). Conlon, Thomas ; Cao, Min. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000289.

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2023Hedging with futures during nonconvergence in commodity markets. (2023). Karali, Berna ; Goswami, Alankrita ; Adjemian, Michael. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000545.

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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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2023Global 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.

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2023Bitcoin market networks and cyberattacks. (2023). Sousa, Ricardo ; Costantini, Mauro ; Mishra, Tapas ; Maaitah, Ahmad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123007203.

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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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2023Skewness 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.

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2023Long-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.

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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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2024Bitcoin halving and the integration of cryptocurrency and forex markets: An analysis of the higher-order moment spillovers. (2024). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:302-315.

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2024Global economic policy uncertainty and the stability of cryptocurrency returns: The role of liquidity volatility. (2024). Xu, Kunpeng ; Kong, Deli ; Zhang, Pengcheng ; Qi, Jiayin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s027553192300291x.

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2024Performance of crypto-Forex portfolios based on intraday data. (2024). Lopez, Raquel ; Esparcia, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000096.

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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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2023Network 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.

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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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2024.

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2023Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum. (2023). Sanhaji, Bilel ; Chevallier, Julien. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:3:p:19-:d:1214066.

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2023Relations among Bitcoin Futures, Bitcoin Spot, Investor Attention, and Sentiment. (2023). Panta, Humnath ; Narayanasamy, Arun ; Agarwal, Rohit. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:11:p:474-:d:1273906.

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2023.

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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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2024Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: An Implementation on Nasdaq-100. (2024). Yagubov, Ulvi ; Gubadli, Magsud ; Suleymanov, Elchin. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:5:p:76-:d:1388278.

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2023.

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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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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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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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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.
[Full Text][Citation analysis]		article22
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: 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.
[Full Text][Citation analysis]		article7
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.
[Full Text][Citation analysis]		paper15
2000Principal Component Analysis of Volatility Smiles and Skews In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
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.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper5
2005Detecting Switching Strategies in Equity Hedge Funds In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
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.
[Full Text][Citation analysis]		paper1
2006Hedging Options with Scale-Invariant Models In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
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.
[Full Text][Citation analysis]		paper6
2007Hedging and Cross-hedging ETFs In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2007Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2007Analytic Approximations for Spread Options In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
2009Analytic Approximations for Spread Options.(2009) In: ICMA Centre Discussion Papers in Finance.
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This paper has nother version. Agregated cites: 2		paper
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.
[Full Text][Citation analysis]		paper4
2009Analytic Approximations for Multi-Asset Option Pricing In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
2009Exact Moment Simulation using Random Orthogonal Matrices In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
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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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.
[Full Text][Citation analysis]		paper6
2014Risk-adjusted Valuation of the Real Option to Invest In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
1994Seasonality and Cointegration of Regional House Prices in the UK In: Urban Studies.
[Full Text][Citation analysis]		article92
2005Assessment of Operational Risk Capital In: Springer Books.
[Citation analysis]		chapter1
1994Cofeatures in international bond and equity markets In: Discussion Papers in Economics.
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1995Seasonal price movements and unit roots in Indonesian rice market integration In: Discussion Papers in Economics.
[Citation analysis]		paper3
1992Are foreign exchange markets really efficient? In: Discussion Papers in Economics.
[Citation analysis]		paper12
1992The changing relationship between productivity, wages and unemployment in the U.K. In: Discussion Papers in Economics.
[Citation analysis]		paper0
1994Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations In: Discussion Papers in Economics.
[Citation analysis]		paper0
1992GARCH volatility models In: Discussion Papers in Economics.
[Citation analysis]		paper0
1992Bargaining sets and bargaining solutions for firm-union negotiations In: Discussion Papers in Economics.
[Citation analysis]		paper0
1993Common volatility in the foreign exchange market In: Discussion Papers in Economics.
[Citation analysis]		paper0
2011Closed Form Approximations for Spread Options In: Applied Mathematical Finance.
[Full Text][Citation analysis]		article14
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.
[Full Text][Citation analysis]		article2
2020A critical investigation of cryptocurrency data and analysis In: Quantitative Finance.
[Full Text][Citation analysis]		article65
2004Equity indexing: Optimize your passive investments In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2007Model-free price hedge ratios for homogeneous claims on tradable assets In: Quantitative Finance.
[Full Text][Citation analysis]		article4
2009Model risk adjusted hedge ratios In: Journal of Futures Markets.
[Full Text][Citation analysis]		article8
2020BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness In: Journal of Futures Markets.
[Full Text][Citation analysis]		article41
2006PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article2

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