Access Statistics for Carol Alexander

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds 0 1 2 223 2 18 26 559
A General Approach to Real Option Valuation with Applications to Real Estate Investments 0 1 4 14 0 6 12 31
Analytic Approximations for Multi-Asset Option Pricing 0 2 4 72 1 5 11 193
Analytic Approximations for Spread Options 0 0 1 15 0 1 10 93
Analytic Approximations for Spread Options 0 0 1 41 0 0 4 144
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 0 0 3 0 0 3 17
Analytic Moments for GARCH Processes 0 0 0 0 0 4 7 13
Bayesian Methods for Measuring Operational Risk 0 2 3 205 1 3 8 428
Bivariate Normal Mixture Spread Option Valuation 0 1 1 79 0 4 4 213
Cointegration and Asset Allocation: A New Fund Strategy 1 1 5 536 3 6 19 1,042
Detecting Switching Strategies in Equity Hedge Funds 0 1 1 74 0 1 6 181
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 1 1 2 10 2 4 17 40
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 2 5 0 0 8 21
Endogenizing Model Risk to Quantile Estimates 0 0 1 4 0 2 10 32
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 0 1 136 0 2 14 372
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 0 1 2 156
Generalized Beta-Generated Distributions 0 0 3 5 0 0 15 30
Generalized Beta-Generated Distributions 0 0 2 2 0 0 11 26
Hedging Options with Scale-Invariant Models 0 0 1 55 0 0 5 176
Hedging and Cross-hedging ETFs 1 1 7 356 3 7 21 963
Hedging with Stochastic and Local Volatility 0 0 1 246 1 2 7 566
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 1 1 1 117 1 2 5 341
Markov Switching GARCH Diffusion 0 1 1 70 0 1 7 138
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 0 88 0 1 2 308
Model Risk in Variance Swap Rates 0 0 0 1 0 1 4 12
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 0 1 9 321 0 2 14 645
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 1 14 1 2 11 42
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 2 4 9 216 5 9 24 458
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 2 55 0 1 12 135
Principal Component Analysis of Volatility Smiles and Skews 0 0 1 279 0 0 4 530
ROM Simulation: Applications to Stress Testing and VaR 0 0 2 9 1 2 12 39
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 0 0 1 7 11
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 0 1 230 1 1 10 550
Risk-adjusted Valuation of the Real Option to Invest 0 0 1 27 0 1 10 35
Seasonal unit roots in trade variables 0 0 0 6 1 1 2 33
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 2 49 0 1 11 311
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 0 1 2 135 0 4 10 592
Statistical Properties of Forward Libor Rates 2 2 4 212 2 5 13 1,120
Stochastic Local Volatility 0 0 2 64 0 1 9 180
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 0 2 0 0 0 16
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 6 0 2 5 24
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 0 1 2 334 0 3 7 741
The Hazards of Volatility Diversification 1 1 1 5 1 2 8 20
The Spider in the Hedge 0 0 0 64 0 1 1 250
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 1 1 3 146 1 4 23 319
VIX Dynamics with Stochastic Volatility of Volatility 0 0 3 19 0 1 15 48
Total Working Papers 10 24 89 4,591 27 115 446 12,194


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations 0 0 0 51 0 0 2 223
Are foreign exchange markets really efficient? 0 0 5 186 0 0 12 335
Bivariate normal mixture spread option valuation 0 0 0 2 0 0 1 25
Closed Form Approximations for Spread Options 0 0 0 10 0 0 4 49
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 0 1 4 24 2 3 10 71
Developing a stress testing framework based on market risk models 2 2 10 394 2 3 33 968
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 0 0 7 65
Equity indexing: Optimize your passive investments 0 0 0 9 0 1 25 97
Forecasting VaR using analytic higher moments for GARCH processes 0 1 6 13 2 4 14 42
Further properties of random orthogonal matrix simulation 0 0 0 1 0 0 7 30
Generalized beta-generated distributions 0 0 1 18 0 1 4 70
Hedging index exchange traded funds 1 1 1 123 1 1 12 338
Indexing, cointegration and equity market regimes 1 1 1 432 1 2 11 852
Model risk adjusted hedge ratios 0 0 0 1 0 0 2 7
Model-free hedge ratios and scale-invariant models 0 0 0 110 0 0 5 264
Model-free price hedge ratios for homogeneous claims on tradable assets 0 0 1 63 0 0 2 141
Modelling Regime-Specific Stock Price Volatility 0 0 0 43 0 0 1 128
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 2 15 550 4 10 52 1,327
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 0 1 105 0 0 5 217
Principal Component Models for Generating Large GARCH Covariance Matrices 1 3 5 10 3 5 16 34
Regime dependent determinants of credit default swap spreads 0 3 10 228 0 10 48 597
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 0 5 37
Seasonality and Cointegration of Regional House Prices in the UK 0 1 5 13 0 1 8 26
The (de)merits of minimum-variance hedging: Application to the crack spread 1 1 2 11 1 1 6 84
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 0 4 16 905
The Present and Future of Financial Risk Management 1 2 4 332 1 3 18 842
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 1 1 4 46 2 2 20 166
Total Journal Articles 8 19 75 2,778 19 51 346 7,940
1 registered items for which data could not be found


Statistics updated 2017-07-04