Carol Alexander : Citation Profile

University of Sussex

17

H index

29

i10 index

1186

Citations

RESEARCH PRODUCTION:

55

Articles

70

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1992 - 2024). See details.
   Cites by year: 37
   Journals where Carol Alexander has often published
   Relations with other researchers
   Recent citing documents: 85.    Total self citations: 38 (3.1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pal264
   Updated: 2025-04-12    RAS profile: 2024-11-06    
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Relations with other researchers

Works with:

Lazar, Emese (2)

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)

Gil-Alana, Luis (11)

Chevallier, Julien (11)

Lazar, Emese (9)

Mittnik, Stefan (9)

GUPTA, RANGAN (8)

Conlon, Thomas (8)

Torro, Hipolit (8)

Gray, David (7)

Ielpo, Florian (7)

Avino, Davide (7)

Cites to:

Bollerslev, Tim (44)

Engle, Robert (44)

Skiadopoulos, George (28)

Chen, Zhiwu (24)

Cao, Charles (24)

Bauwens, Luc (22)

Wu, Liuren (21)

Smith, Daniel (16)

Perignon, Christophe (16)

merton, robert (15)

Rossi, Peter (14)

Main data

Production by document typepaperchapterarticle199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published199219931994199519961997199819992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received19941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 17Most cited documents123456789101112131415161718190100200Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250401020h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Carol Alexander has published?

Journals with more than one article published# docs
Quantitative Finance7
Journal of Banking & Finance6
Journal of Futures Markets4
European Journal of Operational Research4
International Review of Financial Analysis3
Annals of Operations Research2
Oxford Bulletin of Economics and Statistics2
Applied Mathematical Finance2
International Journal of Forecasting2

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 School12

Recent works citing Carol Alexander (2025 and 2024)

Year  ↓Title of citing document  ↓
2025Explicit 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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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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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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2024A Comparison of Cryptocurrency Volatility-benchmarking New and Mature Asset Classes. (2024). Lenz, Jimmie ; Brini, Alessio. In: Papers. RePEc:arx:papers:2404.04962.

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2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

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2025Agent-Based Simulation of a Perpetual Futures Market. (2025). Rao, Ramshreyas. In: Papers. RePEc:arx:papers:2501.09404.

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2025Adaptive Nesterov Accelerated Distributional Deep Hedging for Efficient Volatility Risk Management. (2025). Lu, Wu-Sheng ; Cai, Lin ; Zhao, Lei. In: Papers. RePEc:arx:papers:2502.17777.

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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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2024Stability between cryptocurrency prices and the term structure. (2024). Castle, Jennifer ; Kurita, Takamitsu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:165:y:2024:i:c:s0165188924000824.

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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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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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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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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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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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2024Are Bitcoin option traders speculative or informed?. (2024). Wei, Wang Chun ; Zhu, Min ; Koutmos, Dimitrios. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007694.

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2024Do investors in dirty and clean cryptocurrencies care about energy efficiency in the same way?. (2024). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara ; Kliber, Agata. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008821.

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2024Does the carbon market signal the market efficiency of clean and dirty cryptocurrencies? An analysis of quantile directional dependence. (2024). Wei, YU ; Hu, Rui ; Wang, Qian ; Zhang, Jiahao. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324009437.

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2024Global power and Stock market co-movements: A study of G20 markets. (2024). Selvanathan, E A ; Haddad, Sama ; Gupta, Rakesh. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324001005.

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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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2024How does standardization affect OTC markets in the long term? Evidence from the small bang reform in the CDS market. (2024). Banti, Chiara ; Kellard, Neil ; Manac, Radu-Dragomir. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001094.

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2024Forecasting Bitcoin volatility using machine learning techniques. (2024). Urquhart, Andrew ; Sangiorgi, Ivan ; Huang, Zih-Chun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:97:y:2024:i:c:s1042443124001306.

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2024Marginals versus copulas: Which account for more model risk in multivariate risk forecasting?. (2024). Weiss, Gregor ; Timphus, Maike ; Fritzsch, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002261.

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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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2024Cryptocurrency volatility: A review, synthesis, and research agenda. (2024). Kumar, Satish ; Ahmed, Mohamed Shaker ; Al-Maghyereh, Aktham I ; El-Masry, Ahmed A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002654.

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2024The football world upside down: Traditional equities as an alternative for the new fan tokens? A portfolio optimization study. (2024). Esparcia, Carlos ; Diaz, Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002897.

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2024.

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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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2025X-exponential-G Family of Distributions With Applications. (2025). Mohammad, Shahid. In: International Journal of Statistics and Probability. RePEc:ibn:ijspjl:v:13:y:2025:i:1:p:40.

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2024Testing the Closed-Form Spread Option Pricing Formula Based on Gauss-Hermite Quadrature for a Jump-Diffusion Model. (2024). Chang, Emma En-Tze ; Miao, Daniel Wei-Chung ; Lin, Xenos Chang-Shuo. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10468-2.

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2024Domestic and Global Causes for Exchange Rate Volatility: Evidence From Turkey. (2024). Altun, Omer ; Ozkaya, Ata. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241243200.

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2024Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data. (2024). Saef, Danial ; Hrdle, Wolfgang Karl ; Sizov, Sergej ; Nagy, Odett. In: Digital Finance. RePEc:spr:digfin:v:6:y:2024:i:4:d:10.1007_s42521-024-00116-1.

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2024Heterogeneity in the volatility spillover of cryptocurrencies and exchanges. (2024). Wu, Meiyu ; Wang, LI ; Yang, Haijun. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00585-0.

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2024The use of high-frequency data in cryptocurrency research: a meta-review of literature with bibliometric analysis. (2024). Yarovaya, Larisa ; Shahzad, Syed Jawad Hussain ; Anas, Muhammad. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00595-y.

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2025The impact of futures trade on the informational efficiency of the U.S. REIT market. (2025). Jang, Hanwool ; Ahn, Kwangwon ; Sohn, Sungbin ; Jeong, Minhyuk. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00715-2.

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2025An automated adaptive trading system for enhanced performance of emerging market portfolios. (2025). Tudor, Cristiana ; Sova, Robert. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00754-3.

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2024Informational inefficiency on bitcoin futures. (2024). Wu, Yingying ; Zhai, Jia ; Shi, Shimeng. In: The European Journal of Finance. RePEc:taf:eurjfi:v:30:y:2024:i:6:p:642-667.

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2024Leveraging prices from credit and equity option markets for portfolio risk management. (2024). Boudreault, Mathieu ; Begin, Jeanfranois ; Theriault, Mathieu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:122-147.

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2025.

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Works by Carol Alexander:

Year  ↓Title  ↓Type  ↓Cited  ↓
2016Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia In: Papers.
[Full Text][Citation analysis]		paper0
2016Model-Free Discretisation-Invariant Swap Contracts In: Papers.
[Full Text][Citation analysis]		paper1
2016Tail Risk Premia for Long-Term Equity Investors In: Papers.
[Full Text][Citation analysis]		paper3
2017The Aggregation Property and its Applications to Realised Higher Moments In: Papers.
[Full Text][Citation analysis]		paper0
2018Analytic Moments for GARCH Processes In: Papers.
[Full Text][Citation analysis]		paper0
2011Analytic 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
2018Model Risk in Real Option Valuation In: Papers.
[Full Text][Citation analysis]		paper1
2021Model risk in real option valuation.(2021) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2021Targetting Kollo Skewness with Random Orthogonal Matrix Simulation In: Papers.
[Full Text][Citation analysis]		paper0
2022Targeting Kollo skewness with random orthogonal matrix simulation.(2022) In: European Journal of Operational Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2021Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading In: Papers.
[Full Text][Citation analysis]		paper4
2021Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules In: Papers.
[Full Text][Citation analysis]		paper1
2024Evaluating the discrimination ability of proper multi-variate scoring rules.(2024) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2021The Role of Binance in Bitcoin Volatility Transmission In: Papers.
[Full Text][Citation analysis]		paper9
2022The Role of Binance in Bitcoin Volatility Transmission.(2022) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2022Inverse and Quanto Inverse Options in a Black-Scholes World In: Papers.
[Full Text][Citation analysis]		paper0
2022Net Buying Pressure and the Information in Bitcoin Option Trades In: Papers.
[Full Text][Citation analysis]		paper7
2023Net buying pressure and the information in bitcoin option trades.(2023) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2021Risk-Adjusted Valuation for Real Option Decisions In: Papers.
[Full Text][Citation analysis]		paper2
2021Risk-adjusted valuation for real option decisions.(2021) In: Journal of Economic Behavior & Organization.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2002Principal Component Models for Generating Large GARCH Covariance Matrices In: Economic Notes.
[Full Text][Citation analysis]		article46
2013Stochastic Volatility Jump€ Diffusions for European Equity Index Dynamics In: European Financial Management.
[Full Text][Citation analysis]		article12
2023Crypto quanto and inverse options In: Mathematical Finance.
[Full Text][Citation analysis]		article0
1993The Changing Relationship between Productivity, Wages and Unemployment in the UK. In: Oxford Bulletin of Economics and Statistics.
[Citation analysis]		article15
2009Modelling Regime‐Specific Stock Price Volatility* In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article18
2012Generalized beta-generated distributions In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article39
2010Generalized Beta-Generated Distributions.(2010) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2011Generalized Beta-Generated Distributions.(2011) In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
1992Are foreign exchange markets really efficient? In: Economics Letters.
[Full Text][Citation analysis]		article15
2019A parsimonious parametric model for generating margin requirements for futures In: European Journal of Operational Research.
[Full Text][Citation analysis]		article4
2021A general property for time aggregation In: European Journal of Operational Research.
[Full Text][Citation analysis]		article0
2023Hedging with automatic liquidation and leverage selection on bitcoin futures In: European Journal of Operational Research.
[Full Text][Citation analysis]		article3
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
[Full Text][Citation analysis]		article32
2012The (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: 32		paper
2013Continuous-time VIX dynamics: On the role of stochastic volatility of volatility In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article29
2013Forecasting VaR using analytic higher moments for GARCH processes In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article12
2020Price discovery and microstructure in ether spot and derivative markets In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article14
2020Price discovery in Bitcoin: The impact of unregulated markets In: Journal of Financial Stability.
[Full Text][Citation analysis]		article36
2021Analytic moments for GJR-GARCH (1, 1) processes In: International Journal of Forecasting.
[Full Text][Citation analysis]		article6
2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models In: International Journal of Forecasting.
[Full Text][Citation analysis]		article0
2004Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article22
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.
[Full Text][Citation analysis]		article35
2008Hedging index exchange traded funds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article29
2008Regime dependent determinants of credit default swap spreads In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article151
2012Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article44
2016Diversification with volatility products In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article17
2012Further properties of random orthogonal matrix simulation In: Mathematics and Computers in Simulation (MATCOM).
[Full Text][Citation analysis]		article2
2005Indexing, cointegration and equity market regimes In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article25
1997Seasonal unit roots in trade variables In: Working Papers. Serie EC.
[Full Text][Citation analysis]		paper0
2006Normal mixture GARCH(1,1): applications to exchange rate modelling In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article85
2006Normal mixture GARCH(1,1): applications to exchange rate modelling.(2006) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 85		article
2005The Present and Future of Financial Risk Management In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article16
1996Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations. In: Oxford Economic Papers.
[Full Text][Citation analysis]		article8
1994Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations.(1994) In: Discussion Papers in Economics.
[Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2000Bayesian Methods for Measuring Operational Risk In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
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.
[Full Text][Citation analysis]		paper2
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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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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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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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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2012ROM Simulation: Applications to Stress Testing and VaR In: ICMA Centre Discussion Papers in Finance.
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2005Assessment of Operational Risk Capital In: Springer Books.
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1995Seasonal price movements and unit roots in Indonesian rice market integration In: Discussion Papers in Economics.
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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.
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1994Cofeatures in international bond and equity markets In: Discussion Papers in Economics.
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1992Are foreign exchange markets really efficient? In: Discussion Papers in Economics.
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1992The changing relationship between productivity, wages and unemployment in the U.K. In: Discussion Papers in Economics.
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1993Common volatility in the foreign exchange market In: Discussion Papers in Economics.
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2011Closed Form Approximations for Spread Options In: Applied Mathematical Finance.
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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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