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 2 2 5 226 2 4 28 565
A General Approach to Real Option Valuation with Applications to Real Estate Investments 1 1 5 15 1 3 14 35
Analytic Approximations for Multi-Asset Option Pricing 1 1 6 74 1 2 12 197
Analytic Approximations for Spread Options 0 0 1 41 0 0 3 145
Analytic Approximations for Spread Options 0 0 0 15 0 0 7 94
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 0 0 3 0 0 1 17
Analytic Moments for GARCH Processes 1 2 2 2 2 3 9 16
Bayesian Methods for Measuring Operational Risk 0 0 2 205 0 0 4 428
Bivariate Normal Mixture Spread Option Valuation 0 0 1 79 0 0 4 213
Cointegration and Asset Allocation: A New Fund Strategy 1 1 7 538 1 2 19 1,046
Detecting Switching Strategies in Equity Hedge Funds 0 0 1 74 0 0 4 181
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 0 2 10 1 4 18 46
Does model fit matter for hedging? Evidence from FTSE 100 options 0 1 1 6 0 2 6 24
Endogenizing Model Risk to Quantile Estimates 1 1 2 5 1 4 11 37
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 0 1 136 0 1 11 373
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 0 1 4 158
Generalized Beta-Generated Distributions 0 1 2 6 0 1 8 34
Generalized Beta-Generated Distributions 1 1 2 3 2 2 7 29
Hedging Options with Scale-Invariant Models 0 0 0 55 1 1 1 177
Hedging and Cross-hedging ETFs 0 0 4 356 0 1 15 965
Hedging with Stochastic and Local Volatility 2 3 3 249 3 5 11 571
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 2 3 119 0 2 8 345
Markov Switching GARCH Diffusion 0 0 1 70 0 1 4 139
Minimum Variance Hedging and Stock Index Market Efficiency 0 1 1 89 0 1 3 310
Model Risk in Variance Swap Rates 0 0 0 1 0 2 5 16
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 0 2 9 324 0 2 14 649
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 0 14 2 2 7 44
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 1 3 10 219 1 5 21 463
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 1 55 0 0 4 135
Principal Component Analysis of Volatility Smiles and Skews 0 0 1 280 0 0 2 531
ROM Simulation: Applications to Stress Testing and VaR 1 1 3 10 3 7 16 48
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 0 0 1 6 12
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 1 2 231 0 1 8 551
Risk-adjusted Valuation of the Real Option to Invest 0 0 0 27 1 1 6 37
Seasonal unit roots in trade variables 0 0 0 6 0 0 2 33
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 1 1 2 50 2 2 8 313
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 0 0 2 135 0 1 9 593
Statistical Properties of Forward Libor Rates 0 1 7 215 2 5 18 1,129
Stochastic Local Volatility 1 1 3 65 1 1 7 181
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 1 1 3 1 3 4 20
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 2 8 0 2 8 29
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 0 1 5 337 0 1 10 744
The Hazards of Volatility Diversification 0 0 1 5 0 1 4 22
The Spider in the Hedge 0 0 0 64 0 0 1 250
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 1 1 3 147 3 3 12 323
VIX Dynamics with Stochastic Volatility of Volatility 2 4 6 23 4 9 17 60
Total Working Papers 17 34 110 4,636 35 89 401 12,328


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 0 223
Are foreign exchange markets really efficient? 0 0 2 186 0 0 6 336
Bivariate normal mixture spread option valuation 0 0 0 2 0 0 0 25
Closed Form Approximations for Spread Options 0 0 0 10 1 1 3 51
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 0 0 1 24 0 1 8 74
Developing a stress testing framework based on market risk models 0 2 8 396 0 6 24 976
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 0 0 3 65
Equity indexing: Optimize your passive investments 0 0 0 9 0 0 10 97
Forecasting VaR using analytic higher moments for GARCH processes 0 0 3 13 0 0 8 42
Further properties of random orthogonal matrix simulation 0 0 0 1 0 0 3 30
Generalized beta-generated distributions 0 1 1 19 0 1 2 71
Hedging index exchange traded funds 0 0 1 123 0 1 10 340
Indexing, cointegration and equity market regimes 0 0 2 433 0 2 14 857
Model risk adjusted hedge ratios 1 1 1 2 2 2 2 9
Model-free hedge ratios and scale-invariant models 0 1 1 111 1 3 4 267
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 1 1 13 551 3 4 43 1,332
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 0 0 105 0 0 1 217
Principal Component Models for Generating Large GARCH Covariance Matrices 0 0 4 10 0 0 7 34
Regime dependent determinants of credit default swap spreads 1 3 10 231 3 9 42 607
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 1 1 1 38
Seasonality and Cointegration of Regional House Prices in the UK 0 0 5 13 0 1 6 27
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 1 11 0 0 4 86
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 1 1 11 906
The Present and Future of Financial Risk Management 0 1 4 333 0 1 13 843
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 0 5 8 51 1 7 20 176
Total Journal Articles 3 15 66 2,794 13 41 246 7,998
1 registered items for which data could not be found


Statistics updated 2017-11-04