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 3 224 2 6 27 563
A General Approach to Real Option Valuation with Applications to Real Estate Investments 0 0 4 14 0 1 11 32
Analytic Approximations for Multi-Asset Option Pricing 0 1 5 73 1 4 12 196
Analytic Approximations for Spread Options 0 0 0 15 0 1 9 94
Analytic Approximations for Spread Options 0 0 1 41 0 1 4 145
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 0 0 3 0 0 2 17
Analytic Moments for GARCH Processes 1 1 1 1 1 1 7 14
Bayesian Methods for Measuring Operational Risk 0 0 2 205 0 1 4 428
Bivariate Normal Mixture Spread Option Valuation 0 0 1 79 0 0 4 213
Cointegration and Asset Allocation: A New Fund Strategy 0 2 6 537 1 6 20 1,045
Detecting Switching Strategies in Equity Hedge Funds 0 0 1 74 0 0 6 181
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 1 2 10 1 5 19 43
Does model fit matter for hedging? Evidence from FTSE 100 options 1 1 2 6 1 2 8 23
Endogenizing Model Risk to Quantile Estimates 0 0 1 4 2 3 11 35
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 0 1 136 1 1 14 373
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 0 1 3 157
Generalized Beta-Generated Distributions 0 0 1 2 0 1 8 27
Generalized Beta-Generated Distributions 0 0 3 5 0 3 14 33
Hedging Options with Scale-Invariant Models 0 0 0 55 0 0 1 176
Hedging and Cross-hedging ETFs 0 1 6 356 0 4 20 964
Hedging with Stochastic and Local Volatility 0 0 1 246 0 1 7 566
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 1 1 117 0 3 6 343
Markov Switching GARCH Diffusion 0 0 1 70 0 0 5 138
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 0 88 0 1 2 309
Model Risk in Variance Swap Rates 0 0 0 1 0 2 5 14
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 2 3 10 324 2 4 15 649
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 0 14 0 1 8 42
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 1 3 8 217 3 8 20 461
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 2 55 0 0 10 135
Principal Component Analysis of Volatility Smiles and Skews 0 1 2 280 0 1 4 531
ROM Simulation: Applications to Stress Testing and VaR 0 0 2 9 3 6 14 44
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 0 1 1 8 12
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 0 1 230 0 1 7 550
Risk-adjusted Valuation of the Real Option to Invest 0 0 0 27 0 1 7 36
Seasonal unit roots in trade variables 0 0 0 6 0 1 2 33
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 2 49 0 0 9 311
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 0 0 2 135 1 1 11 593
Statistical Properties of Forward Libor Rates 0 4 6 214 2 8 19 1,126
Stochastic Local Volatility 0 0 2 64 0 0 7 180
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 0 2 0 1 1 17
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 2 2 8 1 4 8 28
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 0 2 4 336 0 2 9 743
The Hazards of Volatility Diversification 0 1 1 5 1 3 5 22
The Spider in the Hedge 0 0 0 64 0 0 1 250
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 0 1 2 146 0 2 20 320
VIX Dynamics with Stochastic Volatility of Volatility 1 1 3 20 3 6 15 54
Total Working Papers 6 27 92 4,608 27 99 429 12,266


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 1 223
Are foreign exchange markets really efficient? 0 0 3 186 0 1 10 336
Bivariate normal mixture spread option valuation 0 0 0 2 0 0 0 25
Closed Form Approximations for Spread Options 0 0 0 10 0 1 3 50
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 0 0 1 24 1 5 9 74
Developing a stress testing framework based on market risk models 2 4 8 396 5 9 29 975
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 0 0 6 65
Equity indexing: Optimize your passive investments 0 0 0 9 0 0 18 97
Forecasting VaR using analytic higher moments for GARCH processes 0 0 6 13 0 2 12 42
Further properties of random orthogonal matrix simulation 0 0 0 1 0 0 6 30
Generalized beta-generated distributions 1 1 2 19 1 1 3 71
Hedging index exchange traded funds 0 1 1 123 0 2 11 339
Indexing, cointegration and equity market regimes 0 2 2 433 1 5 13 856
Model risk adjusted hedge ratios 0 0 0 1 0 0 0 7
Model-free hedge ratios and scale-invariant models 1 1 1 111 2 2 5 266
Model-free price hedge ratios for homogeneous claims on tradable assets 0 0 1 63 0 0 1 141
Modelling Regime-Specific Stock Price Volatility 0 0 0 43 0 0 0 128
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 13 550 0 5 44 1,328
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 0 0 105 0 0 2 217
Principal Component Models for Generating Large GARCH Covariance Matrices 0 1 4 10 0 3 9 34
Regime dependent determinants of credit default swap spreads 1 1 10 229 3 4 46 601
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 0 2 37
Seasonality and Cointegration of Regional House Prices in the UK 0 0 5 13 0 0 7 26
The (de)merits of minimum-variance hedging: Application to the crack spread 0 1 1 11 0 3 5 86
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 0 0 15 905
The Present and Future of Financial Risk Management 1 2 5 333 1 2 16 843
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 1 2 5 47 1 6 19 170
Total Journal Articles 7 16 68 2,786 15 51 292 7,972
1 registered items for which data could not be found


Statistics updated 2017-09-03