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 6 227 2 4 30 569
A General Approach to Real Option Valuation with Applications to Real Estate Investments 0 0 3 15 1 3 15 38
Analytic Approximations for Multi-Asset Option Pricing 0 0 5 74 1 1 11 198
Analytic Approximations for Spread Options 0 0 0 15 0 0 3 94
Analytic Approximations for Spread Options 0 0 0 41 1 1 3 146
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 0 0 3 1 1 2 18
Analytic Moments for GARCH Processes 0 0 2 2 0 1 10 17
Bayesian Methods for Measuring Operational Risk 0 0 2 205 0 0 3 428
Bivariate Normal Mixture Spread Option Valuation 0 0 1 79 0 0 4 213
Cointegration and Asset Allocation: A New Fund Strategy 1 2 7 540 3 5 20 1,051
Detecting Switching Strategies in Equity Hedge Funds 0 0 1 74 1 1 3 182
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 0 2 10 1 1 16 47
Does model fit matter for hedging? Evidence from FTSE 100 options 1 1 2 7 1 5 8 29
Endogenizing Model Risk to Quantile Estimates 0 0 2 5 1 2 12 39
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 1 1 1 137 3 4 10 377
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 1 2 5 160
Generalized Beta-Generated Distributions 0 0 1 6 1 1 5 35
Generalized Beta-Generated Distributions 0 0 2 3 1 1 7 30
Hedging Options with Scale-Invariant Models 0 0 0 55 1 1 2 178
Hedging and Cross-hedging ETFs 0 1 2 357 2 3 13 968
Hedging with Stochastic and Local Volatility 0 0 3 249 0 3 13 574
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 0 3 119 1 2 8 347
Markov Switching GARCH Diffusion 0 0 1 70 1 2 6 141
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 1 89 1 1 4 311
Model Risk in Variance Swap Rates 0 0 0 1 1 1 6 17
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 1 3 8 327 1 4 13 653
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 0 14 0 1 5 45
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 0 2 10 221 0 4 21 467
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 1 3 3 58 1 3 5 138
Principal Component Analysis of Volatility Smiles and Skews 0 1 2 281 0 1 3 532
ROM Simulation: Applications to Stress Testing and VaR 0 1 2 11 1 3 16 51
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 0 1 3 7 15
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 0 2 231 0 0 4 551
Risk-adjusted Valuation of the Real Option to Invest 0 1 1 28 1 2 7 39
Seasonal unit roots in trade variables 0 0 0 6 0 2 3 35
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 1 50 0 1 5 314
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 1 1 2 136 1 2 8 595
Statistical Properties of Forward Libor Rates 0 1 7 216 1 3 19 1,132
Stochastic Local Volatility 1 1 4 66 2 2 8 183
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 1 3 2 2 6 22
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 2 8 2 2 10 31
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 0 0 5 337 1 2 9 746
The Hazards of Volatility Diversification 0 0 1 5 1 1 5 23
The Spider in the Hedge 0 0 0 64 0 1 2 251
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 0 0 2 147 1 7 16 330
VIX Dynamics with Stochastic Volatility of Volatility 0 0 5 23 2 4 19 64
Total Working Papers 7 20 105 4,656 44 96 410 12,424


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 1 1 1 224
Are foreign exchange markets really efficient? 0 1 3 187 0 3 9 339
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 4 52
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 0 0 1 24 0 2 8 76
Developing a stress testing framework based on market risk models 0 3 7 399 0 3 17 979
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 0 1 2 66
Equity indexing: Optimize your passive investments 0 0 0 9 0 1 2 98
Forecasting VaR using analytic higher moments for GARCH processes 0 0 1 13 0 1 6 43
Further properties of random orthogonal matrix simulation 0 0 0 1 0 1 1 31
Generalized beta-generated distributions 1 2 3 21 2 4 6 75
Hedging index exchange traded funds 0 0 1 123 0 0 3 340
Indexing, cointegration and equity market regimes 0 2 4 435 17 21 30 878
Model risk adjusted hedge ratios 0 0 1 2 0 2 4 11
Model-free hedge ratios and scale-invariant models 0 0 1 111 0 3 7 270
Model-free price hedge ratios for homogeneous claims on tradable assets 0 0 0 63 0 0 0 141
Modelling Regime-Specific Stock Price Volatility 0 0 0 43 0 2 2 130
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 2 8 553 1 4 25 1,336
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 0 0 105 0 1 1 218
Principal Component Models for Generating Large GARCH Covariance Matrices 0 1 4 11 2 3 9 37
Regime dependent determinants of credit default swap spreads 2 3 12 234 5 14 46 621
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 1 3 4 41
Seasonality and Cointegration of Regional House Prices in the UK 0 0 2 13 0 1 4 28
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 2 6 12 912
The Present and Future of Financial Risk Management 0 0 4 333 0 2 11 845
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 1 2 8 53 1 7 24 183
Total Journal Articles 4 16 61 2,810 32 87 242 8,085


Statistics updated 2018-02-05