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 1 1 2 222 2 3 16 541
A General Approach to Real Option Valuation with Applications to Real Estate Investments 1 3 4 13 2 4 9 25
Analytic Approximations for Multi-Asset Option Pricing 0 1 4 70 0 1 8 188
Analytic Approximations for Spread Options 0 0 1 41 0 1 5 144
Analytic Approximations for Spread Options 0 0 1 15 0 2 10 92
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 1 2 4 9
Bayesian Methods for Measuring Operational Risk 0 0 1 203 0 1 5 425
Bivariate Normal Mixture Spread Option Valuation 0 0 1 78 0 0 3 209
Cointegration and Asset Allocation: A New Fund Strategy 1 3 4 535 2 7 15 1,036
Detecting Switching Strategies in Equity Hedge Funds 0 0 0 73 1 2 8 180
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 1 1 3 9 3 7 15 36
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 2 5 0 0 10 21
Endogenizing Model Risk to Quantile Estimates 0 1 1 4 0 3 10 30
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 0 1 136 1 4 13 370
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 0 1 6 155
Generalized Beta-Generated Distributions 0 1 3 5 0 1 16 30
Generalized Beta-Generated Distributions 1 1 2 2 3 3 14 26
Hedging Options with Scale-Invariant Models 0 0 1 55 0 0 7 176
Hedging and Cross-hedging ETFs 0 1 11 355 0 4 23 956
Hedging with Stochastic and Local Volatility 0 0 1 246 2 3 8 564
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 0 1 116 0 0 6 339
Markov Switching GARCH Diffusion 0 0 0 69 0 2 8 137
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 1 88 0 0 5 307
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 2 10 320 1 5 15 643
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 2 14 0 0 12 40
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 0 2 8 212 0 4 19 449
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 3 55 1 1 16 134
Principal Component Analysis of Volatility Smiles and Skews 0 0 4 279 1 1 8 530
ROM Simulation: Applications to Stress Testing and VaR 0 1 2 9 0 3 12 37
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 0 0 2 6 10
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 1 1 230 1 2 12 549
Risk-adjusted Valuation of the Real Option to Invest 0 0 3 27 0 2 11 34
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 1 2 10 310
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 0 0 1 134 1 2 9 588
Statistical Properties of Forward Libor Rates 1 2 3 210 2 3 13 1,115
Stochastic Local Volatility 1 2 2 64 2 4 9 179
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 1 1 7 22
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 1 1 1 333 1 2 7 738
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 0 6 145 1 1 24 315
VIX Dynamics with Stochastic Volatility of Volatility 1 1 8 19 2 2 19 47
Total Working Papers 9 25 104 4,567 32 89 454 12,079


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 5 223
Are foreign exchange markets really efficient? 2 2 5 186 3 5 17 335
Bivariate normal mixture spread option valuation 0 0 0 2 0 0 1 25
Closed Form Approximations for Spread Options 0 0 0 10 1 1 8 49
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 0 0 6 23 0 0 16 68
Developing a stress testing framework based on market risk models 0 2 15 392 2 6 49 965
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 1 1 8 65
Equity indexing: Optimize your passive investments 0 0 0 9 0 3 37 96
Forecasting VaR using analytic higher moments for GARCH processes 0 1 5 12 0 2 12 38
Further properties of random orthogonal matrix simulation 0 0 0 1 0 0 10 30
Generalized beta-generated distributions 0 0 3 18 0 0 11 69
Hedging index exchange traded funds 0 0 1 122 0 1 16 337
Indexing, cointegration and equity market regimes 0 0 0 431 1 4 10 850
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 1 1 9 264
Model-free price hedge ratios for homogeneous claims on tradable assets 0 1 1 63 0 1 5 141
Modelling Regime-Specific Stock Price Volatility 0 0 0 43 0 0 3 128
Normal mixture GARCH(1,1): applications to exchange rate modelling 2 8 17 548 3 19 50 1,317
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 1 3 7 1 2 14 29
Regime dependent determinants of credit default swap spreads 2 4 9 225 4 13 43 587
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 0 8 37
Seasonality and Cointegration of Regional House Prices in the UK 1 3 4 12 1 3 9 25
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 1 10 1 1 8 83
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 1 1 23 901
The Present and Future of Financial Risk Management 1 1 3 330 3 5 19 839
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 0 1 3 45 3 7 23 164
Total Journal Articles 8 24 79 2,820 26 76 430 8,061


Statistics updated 2017-04-03