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 1 222 2 4 13 543
A General Approach to Real Option Valuation with Applications to Real Estate Investments 1 2 5 14 6 8 13 31
Analytic Approximations for Multi-Asset Option Pricing 2 3 4 72 4 5 10 192
Analytic Approximations for Spread Options 0 0 1 15 0 1 9 92
Analytic Approximations for Spread Options 0 0 1 41 0 1 4 144
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 0 0 3 0 1 4 17
Analytic Moments for GARCH Processes 0 0 0 0 4 6 8 13
Bayesian Methods for Measuring Operational Risk 0 0 1 203 0 0 5 425
Bivariate Normal Mixture Spread Option Valuation 0 0 1 78 1 1 3 210
Cointegration and Asset Allocation: A New Fund Strategy 0 2 4 535 2 7 16 1,038
Detecting Switching Strategies in Equity Hedge Funds 1 1 1 74 1 2 8 181
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 1 3 9 1 6 16 37
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 2 5 0 0 9 21
Endogenizing Model Risk to Quantile Estimates 0 1 1 4 1 4 9 31
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 0 1 136 2 5 14 372
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 0 0 3 155
Generalized Beta-Generated Distributions 0 1 2 2 0 3 14 26
Generalized Beta-Generated Distributions 0 0 3 5 0 0 15 30
Hedging Options with Scale-Invariant Models 0 0 1 55 0 0 7 176
Hedging and Cross-hedging ETFs 0 0 10 355 3 4 23 959
Hedging with Stochastic and Local Volatility 0 0 1 246 0 3 6 564
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 0 1 116 1 1 5 340
Markov Switching GARCH Diffusion 1 1 1 70 1 3 9 138
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 1 88 0 0 3 307
Model Risk in Variance Swap Rates 0 0 0 1 0 0 3 11
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 0 1 9 320 1 4 14 644
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 2 14 1 1 12 41
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 2 3 10 214 3 6 22 452
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 3 55 0 1 14 134
Principal Component Analysis of Volatility Smiles and Skews 0 0 4 279 0 1 7 530
ROM Simulation: Applications to Stress Testing and VaR 0 0 2 9 1 3 12 38
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 0 1 3 7 11
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 1 1 230 0 2 11 549
Risk-adjusted Valuation of the Real Option to Invest 0 0 2 27 1 3 11 35
Seasonal unit roots in trade variables 0 0 0 6 0 0 1 32
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 2 49 0 1 10 310
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 0 0 1 134 1 2 8 589
Statistical Properties of Forward Libor Rates 0 1 3 210 2 4 14 1,117
Stochastic Local Volatility 0 2 2 64 1 5 10 180
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 0 2 0 0 1 16
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 1 6 1 2 7 23
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 1 2 2 334 2 3 8 740
The Hazards of Volatility Diversification 0 0 1 4 1 1 8 19
The Spider in the Hedge 0 0 1 64 1 1 4 250
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 0 0 6 145 2 3 25 317
VIX Dynamics with Stochastic Volatility of Volatility 0 1 7 19 1 3 19 48
Total Working Papers 8 24 105 4,575 49 114 454 12,128


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 4 223
Are foreign exchange markets really efficient? 0 2 5 186 0 5 16 335
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 1 7 49
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 1 1 7 24 1 1 13 69
Developing a stress testing framework based on market risk models 0 0 13 392 0 3 42 965
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 0 1 8 65
Equity indexing: Optimize your passive investments 0 0 0 9 0 0 31 96
Forecasting VaR using analytic higher moments for GARCH processes 1 1 6 13 2 3 13 40
Further properties of random orthogonal matrix simulation 0 0 0 1 0 0 9 30
Generalized beta-generated distributions 0 0 3 18 0 0 9 69
Hedging index exchange traded funds 0 0 0 122 0 0 14 337
Indexing, cointegration and equity market regimes 0 0 0 431 1 3 11 851
Model risk adjusted hedge ratios 0 0 0 1 0 0 3 7
Model-free hedge ratios and scale-invariant models 0 0 0 110 0 1 8 264
Model-free price hedge ratios for homogeneous claims on tradable assets 0 0 1 63 0 0 4 141
Modelling Regime-Specific Stock Price Volatility 0 0 0 43 0 0 3 128
Normal mixture GARCH(1,1): applications to exchange rate modelling 1 4 16 549 5 11 50 1,322
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 0 3 105 0 0 11 217
PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY 0 0 0 61 0 0 2 172
Principal Component Models for Generating Large GARCH Covariance Matrices 0 0 3 7 0 1 13 29
Regime dependent determinants of credit default swap spreads 1 4 9 226 4 16 45 591
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 0 6 37
Seasonality and Cointegration of Regional House Prices in the UK 1 2 5 13 1 2 9 26
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 1 10 0 1 7 83
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 0 1 18 901
The Present and Future of Financial Risk Management 0 1 3 330 1 6 18 840
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 0 0 3 45 0 5 22 164
Total Journal Articles 5 15 78 2,825 15 61 397 8,076


Statistics updated 2017-05-02