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 0 251 0 2 5 633
A General Approach to Real Option Valuation with Applications to Real Estate Investments 0 1 2 31 0 1 6 88
Analytic Approximations for Multi-Asset Option Pricing 0 1 4 96 0 1 7 278
Analytic Approximations for Spread Options 0 0 0 19 0 1 3 114
Analytic Approximations for Spread Options 0 1 1 44 0 3 6 169
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 1 1 10 0 2 6 38
Analytic Moments for GARCH Processes 0 0 1 10 0 0 1 51
Analytic Moments for GARCH Processes 0 0 1 34 0 0 1 34
Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations 0 0 0 1 1 1 2 166
Bayesian Methods for Measuring Operational Risk 0 0 1 214 0 0 3 465
Bivariate Normal Mixture Spread Option Valuation 0 0 0 80 0 0 3 235
Cofeatures in international bond and equity markets 0 0 0 0 0 0 0 258
Cointegration and Asset Allocation: A New Fund Strategy 1 2 9 577 1 6 18 1,150
Common volatility in the foreign exchange market 0 0 0 1 1 1 1 276
Detecting Switching Strategies in Equity Hedge Funds 0 0 0 74 1 1 1 193
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 0 0 24 1 1 2 91
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 11 1 1 2 49
Endogenizing Model Risk to Quantile Estimates 0 0 0 10 0 0 1 72
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 1 3 148 0 2 5 428
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules 0 0 0 11 0 0 1 19
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 43 0 1 3 178
Generalized Beta-Generated Distributions 0 0 5 10 0 0 7 78
Generalized Beta-Generated Distributions 0 0 1 14 0 0 1 58
Hedging Options with Scale-Invariant Models 0 0 0 62 2 3 4 200
Hedging and Cross-hedging ETFs 0 0 0 376 0 0 7 1,080
Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading 0 1 2 12 2 4 8 42
Hedging with Stochastic and Local Volatility 0 0 0 262 1 4 4 625
Inverse and Quanto Inverse Options in a Black-Scholes World 0 1 5 44 0 4 21 151
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 0 1 122 0 0 4 369
Markov Switching GARCH Diffusion 0 0 1 82 0 0 2 165
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 0 89 0 0 1 328
Model Risk in Real Option Valuation 0 0 0 21 0 1 1 49
Model Risk in Variance Swap Rates 0 0 1 6 0 1 2 53
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 0 0 0 342 0 0 1 685
Model-Free Discretisation-Invariant Swap Contracts 0 0 0 5 0 0 1 37
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 0 17 0 0 0 54
Net Buying Pressure and the Information in Bitcoin Option Trades 0 0 1 16 0 0 6 25
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 0 0 2 271 0 1 15 573
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 2 68 0 0 4 167
Principal Component Analysis of Volatility Smiles and Skews 0 1 6 315 0 2 11 594
ROM Simulation: Applications to Stress Testing and VaR 0 0 1 16 1 1 3 79
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 18 0 1 4 71
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 0 0 237 2 2 4 579
Risk-Adjusted Valuation for Real Option Decisions 0 0 1 10 0 1 3 17
Risk-adjusted Valuation of the Real Option to Invest 0 0 0 33 0 0 0 65
Seasonal price movements and unit roots in Indonesian rice market integration 0 0 0 0 1 2 2 304
Seasonal unit roots in trade variables 0 0 0 8 0 1 2 46
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 0 50 0 0 0 335
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 0 0 1 153 0 0 4 649
Statistical Properties of Forward Libor Rates 0 0 0 221 2 2 5 1,179
Stochastic Local Volatility 0 0 2 76 0 0 4 229
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 0 8 0 2 2 40
Tail Risk Premia for Long-Term Equity Investors 0 0 0 14 0 1 1 31
Targetting Kollo Skewness with Random Orthogonal Matrix Simulation 0 0 0 4 0 1 1 11
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 12 0 0 0 73
The Aggregation Property and its Applications to Realised Higher Moments 0 0 2 10 0 0 4 24
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 0 0 0 346 0 1 1 775
The Hazards of Volatility Diversification 0 0 2 10 0 0 4 55
The Role of Binance in Bitcoin Volatility Transmission 1 1 2 43 2 2 8 114
The Spider in the Hedge 0 0 0 67 0 0 1 275
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 0 0 0 170 0 0 0 427
VIX Dynamics with Stochastic Volatility of Volatility 0 0 1 45 1 2 4 129
Total Working Papers 2 11 62 5,374 20 63 234 15,825
8 registered items for which data could not be found


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 0 2 10 108 2 10 31 278
A general property for time aggregation 0 0 0 3 0 2 2 13
A parsimonious parametric model for generating margin requirements for futures 1 1 3 11 1 2 8 57
Analytic moments for GJR-GARCH (1, 1) processes 0 0 1 11 0 1 7 72
Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations 0 0 0 52 1 1 1 235
Are foreign exchange markets really efficient? 0 1 2 198 0 1 3 366
Arithmetic variance swaps 1 1 4 17 1 1 9 51
Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios 0 0 0 1 0 0 2 12
BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness 0 0 4 39 1 1 7 112
Bivariate normal mixture spread option valuation 0 0 0 5 0 0 1 49
Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon 0 0 0 0 0 2 3 7
Closed Form Approximations for Spread Options 0 1 4 31 0 1 5 93
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 1 1 2 34 1 3 9 125
Crypto quanto and inverse options 1 2 4 5 1 3 12 15
Delta hedging bitcoin options with a smile 0 1 5 5 0 1 6 7
Developing a stress testing framework based on market risk models 2 4 21 471 2 7 34 1,178
Diversification with volatility products 0 0 1 19 0 0 7 96
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 1 1 1 86
Equity indexing: Optimize your passive investments 0 0 1 13 1 1 3 119
Evaluating the discrimination ability of proper multi-variate scoring rules 0 0 0 0 0 0 0 0
Forecasting VaR using analytic higher moments for GARCH processes 0 0 0 22 0 0 4 77
Further properties of random orthogonal matrix simulation 0 0 0 5 0 0 1 57
Generalized beta-generated distributions 0 1 8 48 1 4 24 197
Hedging index exchange traded funds 0 0 1 141 1 1 7 404
Hedging with automatic liquidation and leverage selection on bitcoin futures 1 3 4 8 1 3 6 23
Indexing, cointegration and equity market regimes 0 2 5 461 1 3 13 994
Matching Kollo measures 0 0 0 0 0 0 0 0
Model risk adjusted hedge ratios 0 0 2 8 0 0 2 28
Model risk in real option valuation 0 0 0 2 0 0 0 21
Model-free hedge ratios and scale-invariant models 1 3 6 137 1 3 9 327
Model-free price hedge ratios for homogeneous claims on tradable assets 0 1 3 71 0 2 4 160
Modelling Regime‐Specific Stock Price Volatility* 0 0 0 51 0 0 1 169
Net buying pressure and the information in bitcoin option trades 0 0 3 4 0 1 8 17
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 1 566 0 0 6 1,397
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 1 4 0 0 3 15
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 1 3 116 0 1 6 250
PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY 0 0 0 4 0 1 1 32
Price discovery and microstructure in ether spot and derivative markets 0 0 1 8 4 4 6 49
Price discovery in Bitcoin: The impact of unregulated markets 0 2 3 48 1 3 8 168
Principal Component Models for Generating Large GARCH Covariance Matrices 0 0 2 37 0 0 5 110
Quantile Uncertainty and Value‐at‐Risk Model Risk 0 0 1 9 0 2 5 40
Regime dependent determinants of credit default swap spreads 0 0 7 305 1 1 15 801
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 1 4 82
Risk-adjusted valuation for real option decisions 0 0 0 2 0 0 5 26
Seasonality and Cointegration of Regional House Prices in the UK 0 1 4 41 0 1 10 124
Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models 0 0 2 4 0 0 6 13
Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics 0 0 1 2 0 0 3 6
Targeting Kollo skewness with random orthogonal matrix simulation 0 0 0 1 0 0 0 2
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 0 24 1 1 1 137
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 0 0 5 1,686
The Present and Future of Financial Risk Management 1 2 7 350 2 6 17 918
The Role of Binance in Bitcoin Volatility Transmission 0 0 0 2 0 0 0 3
The continuous limit of weak GARCH 0 0 0 0 0 0 0 9
Trading and Investing in Volatility Products 0 0 0 0 0 0 0 0
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 1 1 5 91 1 1 8 273
Total Journal Articles 10 31 132 3,598 27 77 344 11,586


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Assessment of Operational Risk Capital 0 0 0 0 0 1 1 5
Total Chapters 0 0 0 0 0 1 1 5


Statistics updated 2025-02-05