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 0 1 221 0 2 15 539
A General Approach to Real Option Valuation with Applications to Real Estate Investments 0 2 3 12 0 2 7 23
Analytic Approximations for Multi-Asset Option Pricing 1 1 4 70 1 2 9 188
Analytic Approximations for Spread Options 0 0 1 15 1 3 11 92
Analytic Approximations for Spread Options 0 1 1 41 1 2 5 144
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 0 0 3 1 1 4 17
Analytic Moments for GARCH Processes 0 0 0 0 1 1 3 8
Bayesian Methods for Measuring Operational Risk 0 0 1 203 0 1 6 425
Bivariate Normal Mixture Spread Option Valuation 0 0 1 78 0 0 4 209
Cointegration and Asset Allocation: A New Fund Strategy 1 2 4 534 3 5 15 1,034
Detecting Switching Strategies in Equity Hedge Funds 0 0 1 73 0 2 8 179
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 0 2 8 2 5 12 33
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 3 5 0 0 11 21
Endogenizing Model Risk to Quantile Estimates 1 1 1 4 3 4 10 30
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 1 1 136 2 6 13 369
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 0 1 7 155
Generalized Beta-Generated Distributions 0 1 4 5 0 2 17 30
Generalized Beta-Generated Distributions 0 0 1 1 0 1 14 23
Hedging Options with Scale-Invariant Models 0 0 1 55 0 0 8 176
Hedging and Cross-hedging ETFs 0 2 11 355 1 5 24 956
Hedging with Stochastic and Local Volatility 0 0 1 246 1 1 7 562
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 0 1 116 0 2 7 339
Markov Switching GARCH Diffusion 0 0 0 69 2 2 9 137
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 1 88 0 0 6 307
Model Risk in Variance Swap Rates 0 0 1 1 0 0 4 11
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 1 5 11 320 2 7 16 642
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 2 14 0 1 13 40
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 1 3 8 212 3 5 19 449
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 3 55 0 1 15 133
Principal Component Analysis of Volatility Smiles and Skews 0 0 4 279 0 0 8 529
ROM Simulation: Applications to Stress Testing and VaR 0 2 2 9 2 5 13 37
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 0 2 4 6 10
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 1 1 1 230 1 2 11 548
Risk-adjusted Valuation of the Real Option to Invest 0 0 4 27 2 2 12 34
Seasonal unit roots in trade variables 0 0 0 6 0 0 2 32
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 2 49 0 2 11 309
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 0 1 1 134 0 2 9 587
Statistical Properties of Forward Libor Rates 0 1 2 209 0 2 11 1,113
Stochastic Local Volatility 1 1 1 63 2 2 8 177
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 0 2 0 0 3 16
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 1 6 0 0 7 21
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 0 0 0 332 0 2 6 737
The Hazards of Volatility Diversification 0 0 1 4 0 0 7 18
The Spider in the Hedge 0 0 1 64 0 0 3 249
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 0 1 6 145 0 3 25 314
VIX Dynamics with Stochastic Volatility of Volatility 0 1 7 18 0 1 18 45
Total Working Papers 7 27 102 4,558 33 91 459 12,047


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 6 223
Are foreign exchange markets really efficient? 0 0 3 184 2 2 15 332
Bivariate normal mixture spread option valuation 0 0 0 2 0 0 2 25
Closed Form Approximations for Spread Options 0 0 0 10 0 0 7 48
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 0 0 6 23 0 1 16 68
Developing a stress testing framework based on market risk models 0 4 19 392 1 10 56 963
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 0 1 7 64
Equity indexing: Optimize your passive investments 0 0 0 9 0 6 41 96
Forecasting VaR using analytic higher moments for GARCH processes 0 2 5 12 1 4 12 38
Further properties of random orthogonal matrix simulation 0 0 0 1 0 1 12 30
Generalized beta-generated distributions 0 0 3 18 0 0 12 69
Hedging index exchange traded funds 0 0 1 122 0 3 17 337
Indexing, cointegration and equity market regimes 0 0 0 431 1 6 9 849
Model risk adjusted hedge ratios 0 0 0 1 0 0 4 7
Model-free hedge ratios and scale-invariant models 0 0 0 110 0 0 8 263
Model-free price hedge ratios for homogeneous claims on tradable assets 0 1 1 63 0 1 6 141
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 6 17 546 3 19 52 1,314
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 0 3 105 0 1 12 217
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 1 3 7 0 1 13 28
Regime dependent determinants of credit default swap spreads 1 2 7 223 8 13 43 583
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 0 10 37
Seasonality and Cointegration of Regional House Prices in the UK 0 3 4 11 0 3 12 24
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 1 10 0 0 7 82
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 0 1 25 900
The Present and Future of Financial Risk Management 0 0 2 329 2 6 16 836
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 0 2 3 45 2 5 20 161
Total Journal Articles 2 21 78 2,812 20 84 445 8,035


Statistics updated 2017-03-07