Carol Alexander : Citation Profile

University of Sussex

18

H index

30

i10 index

1261

Citations

RESEARCH PRODUCTION:

57

Articles

71

Papers

1

Chapters

RESEARCH ACTIVITY:

   33 years (1992 - 2025). See details.
   Cites by year: 38
   Journals where Carol Alexander has often published
   Relations with other researchers
   Recent citing documents: 142.    Total self citations: 41 (3.15 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pal264
   Updated: 2026-01-10    RAS profile: 2025-11-11    
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Relations with other researchers

Works with:

Ward, Charles (2)

Lazar, Emese (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)

Conlon, Thomas (9)

Mittnik, Stefan (9)

Lazar, Emese (9)

Corbet, Shaen (9)

Yarovaya, Larisa (9)

GUPTA, RANGAN (8)

Torro, Hipolit (8)

MORANA, CLAUDIO (7)

Cites to:

Engle, Robert (44)

Bollerslev, Tim (44)

Skiadopoulos, George (28)

Cao, Charles (24)

Chen, Zhiwu (24)

Wu, Liuren (23)

Bauwens, Luc (22)

Perignon, Christophe (16)

Smith, Daniel (16)

merton, robert (15)

Scholes, Myron (14)

Main data

Where Carol Alexander has published?

Journals with more than one article published# docs
Quantitative Finance7
Journal of Banking & Finance6
Journal of Futures Markets5
European Journal of Operational Research4
International Review of Financial Analysis3
Journal of Financial Markets2
Applied Mathematical Finance2
Annals of Operations Research2
Oxford Bulletin of Economics and Statistics2
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.org14
Discussion Papers in Economics / Department of Economics, University of Sussex Business School12

Recent works citing Carol Alexander (2025 and 2024)

YearTitle of citing document
2025Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework. (2025). Langren, Nicolas ; Das, Kaustav. In: Papers. RePEc:arx:papers:2006.01542.

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2024Fundamentals of Perpetual Futures. (2024). von Wachter, Victor ; He, Songrun ; Ross, Omri ; Manela, Asaf. In: Papers. RePEc:arx:papers:2212.06888.

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2024Learning to Predict Short-Term Volatility with Order Flow Image Representation. (2024). Hao, Mingyu ; Lenskiy, Artem. In: Papers. RePEc:arx:papers:2304.02472.

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2024iCOS: Option-Implied COS Method. (2024). Vladimirov, Evgenii. In: Papers. RePEc:arx:papers:2309.00943.

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2025On the implied volatility of Inverse options under stochastic volatility models. (2025). Pravosud, Makar ; Nualart, Eula Lia ; Alos, Elisa. In: Papers. RePEc:arx:papers:2401.00539.

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2024Exploring the Impact: How Decentralized Exchange Designs Shape Traders Behavior on Perpetual Future Contracts. (2024). Nie, Zixin ; Ma, Mengzhong ; Chen, Erdong. In: Papers. RePEc:arx:papers:2402.03953.

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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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2024Construction and Hedging of Equity Index Options Portfolios. (2024). Ślepaczuk, Robert ; Wysocki, Maciej. In: Papers. RePEc:arx:papers:2407.13908.

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2025Enhancing Deep Hedging of Options with Implied Volatility Surface Feedback Information. (2024). Franccois, Pascal ; Gauthier, Genevieve ; Fr'ed'eric Godin, ; Octavio, Carlos. In: Papers. RePEc:arx:papers:2407.21138.

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2024The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement. (2024). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2408.07271.

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2024Semi-strong Efficient Market of Bitcoin and Twitter: an Analysis of Semantic Vector Spaces of Extracted Keywords and Light Gradient Boosting Machine Models. (2024). Gacesa, Marko ; Wang, Fang. In: Papers. RePEc:arx:papers:2409.15988.

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2024Approaching multifractal complexity in decentralized cryptocurrency trading. (2024). Zd, Stanislaw Dro ; Stanisz, Tomasz ; Kwapie, Jaroslaw ; Kr, Marcin ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2411.05951.

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2025Return-forecasting and Volatility-forecasting Power of On-chain Activities in the Cryptocurrency Market. (2024). Hao, Wenyan ; Chi, Yeguang. In: Papers. RePEc:arx:papers:2411.06327.

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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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2025Online Multivariate Regularized Distributional Regression for High-dimensional Probabilistic Electricity Price Forecasting. (2025). Hirsch, Simon. In: Papers. RePEc:arx:papers:2504.02518.

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2025Deep Hedging with Options Using the Implied Volatility Surface. (2025). Fr'ed'eric Godin, ; Gauthier, Genevieve ; Franccois, Pascal. In: Papers. RePEc:arx:papers:2504.06208.

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2025Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

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2025Designing funding rates for perpetual futures in cryptocurrency markets. (2025). Kim, Jae Hyun ; Park, Hyungbin. In: Papers. RePEc:arx:papers:2506.08573.

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2025Stablecoins: Fundamentals, Emerging Issues, and Open Challenges. (2025). di Pietro, Roberto ; Caprolu, Maurantonio ; Mahrous, Ahmed. In: Papers. RePEc:arx:papers:2507.13883.

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2025Dynamics of Liquidity Surfaces in Uniswap v3. (2025). Risk, Jimmy ; Wang, Tai-Ho ; Tung, Shen-Ning. In: Papers. RePEc:arx:papers:2509.05013.

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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2511.03314.

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2024Valuation of an innovative investment project using real options approach: A case study of a viticulture company in Spain. (2024). Garza-Gil, M. Dolores ; Fernandez-Gonzalez, Raquel ; Perez-Vas, Raisa ; Herves-Estevez, Javier. In: Agricultural Economics. RePEc:caa:jnlage:v:70:y:2024:i:2:id:299-2023-agricecon.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Diaz, Antonio ; Escribano, Ana. 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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2025Cryptocurrency ownership and cognitive biases in perceived financial literacy. (2025). Carbo Valverde, Santiago ; Cuadros-Solas, Pedro J ; Carb-Valverde, Santiago ; Rodrguez-Fernndez, Francisco. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:45:y:2025:i:c:s2214635024001345.

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2025Bitcoin price volatility: Effects of retail traders, illegal users, and sentiment. (2025). Li, Jingrui ; John, Kose. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001051.

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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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2024Financial stability policy and downside risk in stock returns. (2024). Yang, Jianlei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001219.

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2025Connectedness of cryptocurrency-related stocks and the cryptocurrency market: Evidence from the United States. (2025). Corbet, Shaen ; Akyildirim, Erdinc ; Ercan, Metin ; Coskun, Ali. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002699.

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2025The impact of volatility regime dynamics on option pricing. (2025). Liu, Shican ; Fan, Siqi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002778.

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2024Revisiting international house price convergence using house price level data. (2024). GUPTA, RANGAN ; André, Christophe ; Christou, Christina. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000037.

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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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2025A new lattice approach for risk-minimization hedging under generalized autoregressive conditional heteroskedasticity models. (2025). Wang, Chen ; Ma, Junmei ; Xu, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:321:y:2025:i:3:p:1021-1035.

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2025An adoption model of cryptocurrencies. (2025). Urquhart, Andrew ; Sakkas, Athanasios ; Rzayev, Khaladdin. In: European Journal of Operational Research. RePEc:eee:ejores:v:323:y:2025:i:1:p:253-266.

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2025Does asynchronous market update matter? Re-examining the price discovery of stock index and futures in China. (2025). Chen, Jing ; Zhao, Chengzhi ; Han, Qian ; Guo, Qian. In: Emerging Markets Review. RePEc:eee:ememar:v:67:y:2025:i:c:s1566014125000561.

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2024Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215.

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2024Dynamic connectedness in the higher moments between clean energy and oil prices. (2024). Pham, Linh ; Hao, Wei. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006959.

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2025Is there a robust hedging method during the COVID-19 pandemic? Evidence from Chinese crude oil futures. (2025). Geng, Qianjie. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001537.

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2025What determines Bitcoins price over the past decade?. (2025). Zhang, Xinyu ; Wei, Yunjie ; Wang, Shouyang ; Chen, Muying. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002613.

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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). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024Machine learning and the cross-section of cryptocurrency returns. (2024). Shahzad, Syed Jawad Hussain ; Będowska-Sójka, Barbara ; Hussain, Syed Jawad ; Cakici, Nusret ; Bdowska-Sojka, Barbara ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001765.

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2024Cross-exchange crypto risk: A high-frequency dynamic network perspective. (2024). Wang, Yifu ; Hardle, Wolfgang Karl ; Lu, Wanbo ; Ren, Rui ; Lin, Min-Bin. 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 ; Esparcia, Carlos ; Escribano, Ana. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002199.

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2025Cross-sectional interactions in cryptocurrency returns. (2025). Karim, Sitara ; Bdowska-Sjka, Barbara ; Mercik, Aleksander ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007415.

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2024Put–call parity in a crypto option market — Evidence from Binance. (2024). Felfoldi-Szcs, Nora ; Varadi, Kata ; Kralik, Balazs. 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). Natashekara, Karthik ; Sampath, Aravind. 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). Chen, Zhenlong ; Hao, Xiaozhen ; Liu, Junjie. 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). Kliber, Agata ; Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. 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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2025Multifractality and sample size influence on Bitcoin volatility patterns. (2025). Takaishi, Tetsuya. In: Finance Research Letters. RePEc:eee:finlet:v:74:y:2025:i:c:s1544612324017124.

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2025New bounds for tail risk measures. (2025). Len, Ngel ; Guez, Trino-Manuel ; Carnero, Ngeles M. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001527.

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2025A data-driven prediction method for multi-period portfolio optimization using the real options approach. (2025). Arasteh, Abdollah. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325006634.

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2025Dual asymmetries in Bitcoin. (2025). Tsuji, Chikashi. In: Finance Research Letters. RePEc:eee:finlet:v:82:y:2025:i:c:s154461232500710x.

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2024Estimating systemic risk for non-listed Euro-area banks. (2024). Parisi, Laura ; Engle, Robert ; Pizzeghello, Riccardo ; Manganelli, Simone ; Emambakhsh, Tina. In: Journal of Financial Stability. RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001244.

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

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2024Asymmetric dependency among US national financial conditions and clean energy markets. (2024). Ahmed, Abdullahi D ; Abedin, Mohammad Zoynul ; Zeng, Hongjun ; Wu, Ran. In: Global Finance Journal. RePEc:eee:glofin:v:63:y:2024:i:c:s1044028324001182.

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2025Cryptocurrencies and alternative bonds: Novel evidence on co-movement and risk sharing. (2025). Alkhazali, Osamah ; Kirimhan, Destan ; Rabbani, Mustafa Raza ; Billah, Syed Mabruk ; Shaik, Muneer. In: Global Finance Journal. RePEc:eee:glofin:v:67:y:2025:i:c:s1044028325000766.

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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 ; Geldner, Teo ; Wustenfeld, Jan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000295.

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2024Foundation ownership and creditor governance: Evidence from publicly listed companies. (2024). Kaya, Caglar ; Buchanan, Bonnie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:93:y:2024:i:c:s1042443124000489.

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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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2025Stablecoins as anchors? Unraveling information flow dynamics between pegged and unpegged crypto-assets and fiat currencies. (2025). Schich, Sebastian ; de Genaro, Alan ; Palazzi, Rafael Baptista. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443124001744.

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

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2024Exchange market share, market makers, and murky behavior: The impact of no-fee trading on cryptocurrency market quality. (2024). Galati, Luca. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001390.

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2025Returns from liquidity provision in cryptocurrency markets. (2025). Farag, Hisham ; Yarovaya, Larisa ; Luo, DI ; Zieba, Damian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:175:y:2025:i:c:s0378426625000317.

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2025Stablecoin price dynamics under a peg-stabilising mechanism. (2025). Lo, Chi-Fai ; Wong, Andrew ; Hui, Cho-Hoi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:152:y:2025:i:c:s0261560625000154.

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2024Diversifying crude oil price risk with crude oil volatility index: The role of volatility-of-volatility. (2024). Li, Leon ; Miu, Peter. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:36:y:2024:i:c:s2405851324000448.

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2025The impact of investor attention on mispricing of dual-listed shares: Evidence from Chinese A-share and H-share markets. (2025). Wu, Ming-Hung ; Chiang, I-Hsuan Ethan ; Huang, Wei-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:92:y:2025:i:c:s0927538x25001210.

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2025Hedging in the second-generation biofuels market: Insights from UCOME. (2025). Pimentel, Liliana Marques ; de Paula, Ana Catarina ; de Almeida, Leandro. In: Renewable Energy. RePEc:eee:renene:v:245:y:2025:i:c:s0960148125005166.

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2025Dynamic spillovers between global financial stress and uncertainties: Evidence from quantile connectedness. (2025). Long, Shaobo ; Li, Zixuan ; Xu, Xiang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025005933.

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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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2024Business and financial cycle across regimes: Does financial stress matter?. (2024). Cucculelli, Marco ; Sullo, Valerio ; Giampaoli, Noemi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s1059056024006373.

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2025Market efficiency and its determinants: Macro-level dynamics and micro-level characteristics of cryptocurrencies. (2025). Abedin, Mohammad Zoynul ; Isskandarani, Layal ; Sharif, Taimur ; Bouteska, Ahmed. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025001017.

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2024Global economic policy uncertainty and the stability of cryptocurrency returns: The role of liquidity volatility. (2024). Zhang, Pengcheng ; Xu, Kunpeng ; Qi, Jiayin ; Kong, Deli. 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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2024Anticipatory gains and event-driven losses in blockchain-based fan tokens: Evidence from the FIFA World Cup. (2024). Saggu, Aman ; Demir, Ender ; Ante, Lennart. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001260.

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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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2025How do housing markets comove with the financial system? Evidence from dynamic risk spillovers. (2025). Shan, Shuwen ; Duan, Kun ; Huang, Yingying ; Urquhart, Andrew. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002430.

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2025The impact of cyber-attacks on different dimensions of cryptocurrency markets. (2025). Umar, Muhammad. In: Technology in Society. RePEc:eee:teinso:v:81:y:2025:i:c:s0160791x25000557.

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2025An adoption model of cryptocurrencies. (2025). Urquhart, Andrew ; Sakkas, Athanasios ; Rzayev, Khaladdin. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126508.

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2024Labor productivity and remuneration across Mexicos manufacturing industry: A spatial approach/Productividad laboral y remuneraciones en la industria manufacturera mexicana: un análisis espacial. (2024). López Cabrera, Jesús ; Torres, Ren Cabral ; Lpez, Jess Antonio ; Mata, Enrique Gonzlez. In: Estudios Económicos. RePEc:emx:esteco:v:39:y:2024:i:2:p:203-241.

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2024Non-Commodity Agricultural Price Hedging with Minimum Tracking Error Portfolios: The Case of Mexican Hass Avocado. (2024). Jose, Alvarez-Garcia ; de la Cruz, Maria ; de la Torre-Torres, Oscar V. In: Agriculture. RePEc:gam:jagris:v:14:y:2024:i:10:p:1692-:d:1486977.

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2025Mexican White Corn Spot Price Hedging with US Agricultural Futures Portfolios Using the Surplus Efficient Frontier. (2025). de la Torre-Torres, Oscar V ; Lpez-Torres, Rodolfo A ; de la Cruz, Mara ; Lvarez-Garca, Jos. In: Agriculture. RePEc:gam:jagris:v:15:y:2025:i:17:p:1862-:d:1738714.

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2024Crude Oil Price Movements and Institutional Traders. (2024). Harris, Jeffrey ; Brunetti, Celso ; Buyukahin, Bahattin. In: Commodities. RePEc:gam:jcommo:v:3:y:2024:i:1:p:6-97:d:1349099.

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2025Effects of Liquidity on TE and Performance of Japanese ETFs. (2025). Shin, Seungho ; Tian, Jiayuan ; Naka, Atsuyuki. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:3:p:168-:d:1745183.

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2024Adaptive Conformal Inference for Computing Market Risk Measures: An Analysis with Four Thousand Crypto-Assets. (2024). Fantazzini, Dean. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:248-:d:1414302.

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2025Hierarchical Vector Mixtures for Electricity Day-Ahead Market Prices Scenario Generation. (2025). Mari, Carlo ; Lucheroni, Carlo. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:17:p:2852-:d:1741787.

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2024Test of Volatile Behaviors with the Asymmetric Stochastic Volatility Model: An Implementation on Nasdaq-100. (2024). Suleymanov, Elchin ; Yagubov, Ulvi ; Gubadli, Magsud. 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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2024Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm. (2024). Liang, Rubing ; Xia, Qiang ; Qin, Binbin. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10337-4.

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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.
[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]		paper2
2021Model risk in real option valuation.(2021) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		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]		paper2
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: 2		article
2021The Role of Binance in Bitcoin Volatility Transmission In: Papers.
[Full Text][Citation analysis]		paper18
2022The Role of Binance in Bitcoin Volatility Transmission.(2022) In: Applied Mathematical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		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]		paper3
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: 3		article
2025Trade Dynamics of the Global Dry Bulk Shipping Network In: Papers.
[Full Text][Citation analysis]		paper0
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]		article1
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]		article16
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]		article6
2013The (de)merits of minimum-variance hedging: Application to the crack spread In: Energy Economics.
[Full Text][Citation analysis]		article35
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: 35		paper
2013Continuous-time VIX dynamics: On the role of stochastic volatility of volatility In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article30
2013Forecasting VaR using analytic higher moments for GARCH processes In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article14
2020Price discovery and microstructure in ether spot and derivative markets In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article16
2024Arbitrage opportunities and efficiency tests in crypto derivatives In: Journal of Financial Markets.
[Full Text][Citation analysis]		article1
2020Price discovery in Bitcoin: The impact of unregulated markets In: Journal of Financial Stability.
[Full Text][Citation analysis]		article43
2021Analytic moments for GJR-GARCH (1, 1) processes In: International Journal of Forecasting.
[Full Text][Citation analysis]		article9
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]		article24
2008Developing a stress testing framework based on market risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article36
2008Hedging index exchange traded funds In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article32
2008Regime dependent determinants of credit default swap spreads In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article152
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]		article45
2016Diversification with volatility products In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article20
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]		article26
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]		article86
2006Normal mixture GARCH(1,1): applications to exchange rate modelling.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		article
2005The Present and Future of Financial Risk Management In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article17
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.
[Full Text][Citation analysis]		paper8
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.
[Full Text][Citation analysis]		paper7
2003Statistical Properties of Forward Libor Rates In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper5
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.
[Full Text][Citation analysis]		paper1
2003Bivariate Normal Mixture Spread Option Valuation In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper7
2004Bivariate normal mixture spread option valuation.(2004) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2004The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper11
2004A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper3
2004Hedging with Stochastic and Local Volatility In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper3
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.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2008Markov Switching GARCH Diffusion In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper2
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.
[Full Text][Citation analysis]		paper5
2012Does model fit matter for hedging? Evidence from FTSE 100 options.(2012) In: Journal of Futures Markets.
[Citation analysis]
This paper has nother version. Agregated cites: 5		article
2010Stochastic Volatility Jump-Diffusions for Equity Index Dynamics In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2010Endogenizing Model Risk to Quantile Estimates In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
2010Regime-Dependent Smile-Adjusted Delta Hedging In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper7
2012Regime‐dependent smile‐adjusted delta hedging.(2012) In: Journal of Futures Markets.
[Citation analysis]
This paper has nother version. Agregated cites: 7		article
2010VIX Dynamics with Stochastic Volatility of Volatility In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper7
2011The Hazards of Volatility Diversification In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper8
2011Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper0
2011Model Risk in Variance Swap Rates In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
2012A General Approach to Real Option Valuation with Applications to Real Estate Investments In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper1
2012Diversification of Equity with VIX Futures: Personal Views and Skewness Preference In: ICMA Centre Discussion Papers in Finance.
[Full Text][Citation analysis]		paper6
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]		article94
2005Assessment of Operational Risk Capital In: Springer Books.
[Citation analysis]		chapter1
1995Seasonal price movements and unit roots in Indonesian rice market integration In: Discussion Papers in Economics.
[Citation analysis]		paper3
1994Cofeatures in international bond and equity markets In: Discussion Papers in Economics.
[Citation analysis]		paper0
1995Seasonal price movements and unit roots in Indonesian rice market integration In: Discussion Papers in Economics.
[Citation analysis]		paper3
1994Cofeatures in international bond and equity markets In: Discussion Papers in Economics.
[Citation analysis]		paper0
1992Are foreign exchange markets really efficient? In: Discussion Papers in Economics.
[Citation analysis]		paper13
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]		paper2
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]		article15
2021The continuous limit of weak GARCH In: Econometric Reviews.
[Full Text][Citation analysis]		article0
1995Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon In: Journal of Development Studies.
[Full Text][Citation analysis]		article3
2017Arithmetic variance swaps In: Quantitative Finance.
[Full Text][Citation analysis]		article3
2020A critical investigation of cryptocurrency data and analysis In: Quantitative Finance.
[Full Text][Citation analysis]		article84
2023Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios In: Quantitative Finance.
[Full Text][Citation analysis]		article2
2023Delta hedging bitcoin options with a smile In: Quantitative Finance.
[Full Text][Citation analysis]		article6
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
2024Matching Kollo measures In: Journal of the Operational Research Society.
[Full Text][Citation analysis]		article0
2015Trading and Investing in Volatility Products In: Financial Markets, Institutions & Instruments.
[Full Text][Citation analysis]		article0
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.
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2025Price Discovery and Efficiency in Uniswap Liquidity Pools 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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