| 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 |
5 |
12 |
114 |
2 |
10 |
35 |
290 |
| A general property for time aggregation |
0 |
0 |
1 |
4 |
0 |
0 |
3 |
14 |
| A parsimonious parametric model for generating margin requirements for futures |
0 |
0 |
1 |
11 |
0 |
1 |
7 |
58 |
| Analytic moments for GJR-GARCH (1, 1) processes |
1 |
1 |
2 |
12 |
2 |
4 |
9 |
77 |
| Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations |
0 |
0 |
0 |
52 |
0 |
0 |
3 |
237 |
| Are foreign exchange markets really efficient? |
0 |
1 |
3 |
199 |
0 |
1 |
4 |
367 |
| Arithmetic variance swaps |
0 |
0 |
3 |
17 |
0 |
0 |
7 |
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 |
2 |
5 |
42 |
1 |
3 |
9 |
116 |
| 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 |
0 |
2 |
7 |
| Closed Form Approximations for Spread Options |
0 |
0 |
3 |
31 |
1 |
1 |
6 |
96 |
| Continuous-time VIX dynamics: On the role of stochastic volatility of volatility |
0 |
0 |
1 |
34 |
0 |
2 |
8 |
128 |
| Crypto quanto and inverse options |
0 |
1 |
4 |
7 |
1 |
6 |
14 |
22 |
| Delta hedging bitcoin options with a smile |
0 |
0 |
2 |
5 |
0 |
1 |
5 |
9 |
| Developing a stress testing framework based on market risk models |
0 |
1 |
16 |
473 |
1 |
7 |
35 |
1,191 |
| Diversification with volatility products |
0 |
0 |
0 |
19 |
0 |
0 |
4 |
96 |
| Does model fit matter for hedging? Evidence from FTSE 100 options |
0 |
0 |
0 |
0 |
0 |
1 |
3 |
88 |
| Equity indexing: Optimize your passive investments |
0 |
0 |
0 |
13 |
0 |
0 |
2 |
120 |
| Evaluating the discrimination ability of proper multi-variate scoring rules |
0 |
0 |
0 |
0 |
1 |
1 |
1 |
1 |
| Forecasting VaR using analytic higher moments for GARCH processes |
0 |
0 |
0 |
22 |
0 |
0 |
3 |
78 |
| Further properties of random orthogonal matrix simulation |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
58 |
| Generalized beta-generated distributions |
0 |
2 |
10 |
52 |
0 |
3 |
23 |
204 |
| Hedging index exchange traded funds |
1 |
2 |
2 |
143 |
1 |
3 |
6 |
407 |
| Hedging with automatic liquidation and leverage selection on bitcoin futures |
1 |
3 |
7 |
11 |
2 |
6 |
12 |
29 |
| Indexing, cointegration and equity market regimes |
1 |
1 |
5 |
462 |
1 |
3 |
12 |
997 |
| Matching Kollo measures |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Model risk adjusted hedge ratios |
0 |
0 |
1 |
8 |
0 |
0 |
2 |
29 |
| Model risk in real option valuation |
0 |
0 |
0 |
2 |
1 |
1 |
1 |
22 |
| Model-free hedge ratios and scale-invariant models |
0 |
0 |
4 |
137 |
0 |
2 |
10 |
331 |
| Model-free price hedge ratios for homogeneous claims on tradable assets |
0 |
0 |
3 |
71 |
0 |
0 |
4 |
160 |
| Modelling Regime‐Specific Stock Price Volatility* |
0 |
0 |
0 |
51 |
0 |
1 |
2 |
170 |
| Net buying pressure and the information in bitcoin option trades |
1 |
1 |
1 |
5 |
3 |
3 |
6 |
21 |
| Normal mixture GARCH(1,1): applications to exchange rate modelling |
0 |
0 |
1 |
4 |
0 |
0 |
2 |
15 |
| Normal mixture GARCH(1,1): applications to exchange rate modelling |
0 |
0 |
0 |
566 |
2 |
5 |
10 |
1,402 |
| Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects |
0 |
1 |
3 |
117 |
0 |
1 |
6 |
251 |
| PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY |
0 |
0 |
0 |
4 |
0 |
0 |
2 |
33 |
| Price discovery and microstructure in ether spot and derivative markets |
0 |
0 |
1 |
8 |
0 |
0 |
7 |
50 |
| Price discovery in Bitcoin: The impact of unregulated markets |
0 |
2 |
5 |
51 |
2 |
6 |
13 |
178 |
| Principal Component Models for Generating Large GARCH Covariance Matrices |
1 |
1 |
4 |
39 |
3 |
3 |
8 |
114 |
| Quantile Uncertainty and Value‐at‐Risk Model Risk |
1 |
1 |
2 |
10 |
1 |
2 |
7 |
43 |
| Regime dependent determinants of credit default swap spreads |
1 |
1 |
3 |
306 |
2 |
4 |
11 |
806 |
| Regime‐dependent smile‐adjusted delta hedging |
0 |
0 |
0 |
0 |
0 |
0 |
5 |
84 |
| Risk-adjusted valuation for real option decisions |
0 |
0 |
0 |
2 |
0 |
1 |
6 |
28 |
| Seasonality and Cointegration of Regional House Prices in the UK |
0 |
1 |
3 |
42 |
0 |
1 |
4 |
125 |
| Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models |
0 |
0 |
1 |
4 |
0 |
0 |
6 |
14 |
| Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics |
0 |
0 |
0 |
2 |
1 |
1 |
3 |
7 |
| 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 |
0 |
1 |
2 |
138 |
| The Changing Relationship between Productivity, Wages and Unemployment in the UK |
0 |
0 |
0 |
3 |
0 |
1 |
4 |
1,687 |
| The Present and Future of Financial Risk Management |
0 |
0 |
6 |
350 |
1 |
1 |
14 |
920 |
| The Role of Binance in Bitcoin Volatility Transmission |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
4 |
| The continuous limit of weak GARCH |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
10 |
| Trading and Investing in Volatility Products |
1 |
1 |
1 |
1 |
1 |
1 |
2 |
2 |
| Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions |
0 |
1 |
5 |
92 |
0 |
2 |
8 |
275 |
| Total Journal Articles |
9 |
29 |
121 |
3,636 |
30 |
90 |
364 |
11,723 |
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