| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A critical investigation of cryptocurrency data and analysis |
2 |
4 |
14 |
106 |
5 |
10 |
35 |
265 |
| A general property for time aggregation |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
11 |
| A parsimonious parametric model for generating margin requirements for futures |
0 |
0 |
3 |
10 |
0 |
2 |
8 |
53 |
| Analytic moments for GJR-GARCH (1, 1) processes |
0 |
1 |
1 |
11 |
0 |
2 |
9 |
70 |
| Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations |
0 |
0 |
0 |
52 |
0 |
0 |
0 |
234 |
| Are foreign exchange markets really efficient? |
1 |
1 |
1 |
197 |
1 |
1 |
2 |
364 |
| Arithmetic variance swaps |
0 |
1 |
3 |
15 |
0 |
3 |
9 |
47 |
| BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness |
1 |
1 |
6 |
38 |
2 |
3 |
12 |
110 |
| Bivariate normal mixture spread option valuation |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
48 |
| Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
5 |
| Closed Form Approximations for Spread Options |
2 |
2 |
7 |
30 |
2 |
2 |
8 |
92 |
| Continuous-time VIX dynamics: On the role of stochastic volatility of volatility |
0 |
0 |
1 |
33 |
0 |
0 |
5 |
120 |
| Developing a stress testing framework based on market risk models |
1 |
5 |
19 |
462 |
2 |
7 |
30 |
1,163 |
| Diversification with volatility products |
0 |
0 |
1 |
19 |
0 |
1 |
4 |
93 |
| Does model fit matter for hedging? Evidence from FTSE 100 options |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
85 |
| Equity indexing: Optimize your passive investments |
0 |
0 |
1 |
13 |
0 |
0 |
2 |
118 |
| Forecasting VaR using analytic higher moments for GARCH processes |
0 |
0 |
1 |
22 |
0 |
1 |
4 |
76 |
| Further properties of random orthogonal matrix simulation |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
57 |
| Generalized beta-generated distributions |
0 |
4 |
7 |
46 |
1 |
8 |
22 |
189 |
| Hedging index exchange traded funds |
0 |
0 |
2 |
141 |
0 |
0 |
6 |
401 |
| Indexing, cointegration and equity market regimes |
0 |
0 |
2 |
457 |
0 |
0 |
5 |
985 |
| Model risk adjusted hedge ratios |
0 |
1 |
2 |
8 |
0 |
1 |
3 |
28 |
| Model risk in real option valuation |
0 |
0 |
1 |
2 |
0 |
0 |
3 |
21 |
| Model-free hedge ratios and scale-invariant models |
0 |
1 |
7 |
134 |
0 |
2 |
12 |
323 |
| Model-free price hedge ratios for homogeneous claims on tradable assets |
1 |
2 |
3 |
70 |
1 |
2 |
3 |
158 |
| Modelling Regime‐Specific Stock Price Volatility* |
0 |
0 |
2 |
51 |
1 |
1 |
3 |
169 |
| Normal mixture GARCH(1,1): applications to exchange rate modelling |
0 |
0 |
1 |
566 |
2 |
3 |
5 |
1,395 |
| Normal mixture GARCH(1,1): applications to exchange rate modelling |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
13 |
| Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects |
0 |
1 |
3 |
115 |
0 |
3 |
7 |
248 |
| PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
31 |
| Price discovery and microstructure in ether spot and derivative markets |
0 |
0 |
1 |
7 |
0 |
1 |
4 |
44 |
| Price discovery in Bitcoin: The impact of unregulated markets |
0 |
0 |
2 |
46 |
0 |
0 |
7 |
165 |
| Principal Component Models for Generating Large GARCH Covariance Matrices |
0 |
2 |
2 |
37 |
2 |
4 |
7 |
110 |
| Quantile Uncertainty and Value‐at‐Risk Model Risk |
0 |
1 |
2 |
9 |
0 |
1 |
7 |
37 |
| Regime dependent determinants of credit default swap spreads |
0 |
1 |
7 |
304 |
0 |
3 |
22 |
798 |
| Regime‐dependent smile‐adjusted delta hedging |
0 |
0 |
0 |
0 |
0 |
2 |
3 |
81 |
| Risk-adjusted valuation for real option decisions |
0 |
0 |
0 |
2 |
1 |
4 |
6 |
26 |
| Seasonality and Cointegration of Regional House Prices in the UK |
0 |
0 |
5 |
39 |
0 |
0 |
18 |
121 |
| Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics |
0 |
0 |
1 |
2 |
0 |
0 |
1 |
4 |
| The (de)merits of minimum-variance hedging: Application to the crack spread |
0 |
0 |
3 |
24 |
0 |
0 |
5 |
136 |
| The Changing Relationship between Productivity, Wages and Unemployment in the UK |
0 |
0 |
0 |
3 |
1 |
2 |
19 |
1,685 |
| The Present and Future of Financial Risk Management |
0 |
0 |
3 |
344 |
1 |
1 |
11 |
907 |
| The continuous limit of weak GARCH |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
9 |
| Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions |
1 |
2 |
3 |
89 |
1 |
2 |
5 |
269 |
| Total Journal Articles |
9 |
30 |
117 |
3,524 |
23 |
72 |
323 |
11,364 |
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