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 1 1 5 237 1 5 13 591
A General Approach to Real Option Valuation with Applications to Real Estate Investments 0 1 5 21 0 1 7 49
Analytic Approximations for Multi-Asset Option Pricing 0 0 1 75 0 2 5 208
Analytic Approximations for Spread Options 0 0 2 17 0 2 4 100
Analytic Approximations for Spread Options 0 0 0 41 0 1 3 152
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 1 2 5 0 1 4 23
Analytic Moments for GARCH Processes 0 0 1 3 1 2 5 23
Analytic Moments for GARCH Processes 0 0 26 26 0 1 5 5
Bayesian Methods for Measuring Operational Risk 0 0 1 207 0 0 3 432
Bivariate Normal Mixture Spread Option Valuation 0 0 0 79 0 0 2 217
Cointegration and Asset Allocation: A New Fund Strategy 1 1 4 547 1 2 10 1,073
Detecting Switching Strategies in Equity Hedge Funds 0 0 0 74 0 1 1 184
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 0 4 14 1 2 9 61
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 7 0 1 3 34
Endogenizing Model Risk to Quantile Estimates 0 0 0 5 0 0 4 44
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 0 3 141 0 1 7 387
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 0 2 3 164
Generalized Beta-Generated Distributions 0 0 1 5 1 3 10 45
Generalized Beta-Generated Distributions 0 0 2 8 0 0 5 42
Hedging Options with Scale-Invariant Models 0 0 0 55 0 0 0 178
Hedging and Cross-hedging ETFs 1 1 1 359 1 5 14 994
Hedging with Stochastic and Local Volatility 0 0 4 253 0 0 11 586
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 0 1 120 0 0 3 353
Markov Switching GARCH Diffusion 0 1 3 76 0 1 4 152
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 0 89 0 0 1 314
Model Risk in Real Option Valuation 0 1 16 16 3 6 18 18
Model Risk in Variance Swap Rates 0 0 1 2 1 2 11 29
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 0 1 2 330 0 2 3 659
Model-Free Discretisation-Invariant Swap Contracts 0 0 0 3 0 0 1 14
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 0 15 0 0 1 47
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 0 1 6 235 0 1 12 488
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 1 2 5 64 1 4 8 149
Principal Component Analysis of Volatility Smiles and Skews 0 2 4 286 0 2 7 540
ROM Simulation: Applications to Stress Testing and VaR 0 0 1 12 0 1 2 57
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 1 0 1 3 20
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 1 1 2 233 1 1 2 554
Risk-adjusted Valuation of the Real Option to Invest 1 1 2 30 2 2 3 42
Seasonal unit roots in trade variables 0 0 0 7 0 0 0 36
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 0 50 0 2 5 322
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 1 1 3 139 2 4 9 606
Statistical Properties of Forward Libor Rates 0 0 0 217 1 2 7 1,145
Stochastic Local Volatility 0 1 4 70 0 3 9 193
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 2 5 0 0 3 27
Tail Risk Premia for Long-Term Equity Investors 0 0 0 14 0 1 4 17
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 1 1 2 11 1 3 8 41
The Aggregation Property and its Applications to Realised Higher Moments 0 0 0 3 0 0 0 6
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 1 2 3 340 2 3 6 753
The Hazards of Volatility Diversification 0 0 0 5 0 1 4 29
The Spider in the Hedge 0 0 0 65 0 0 2 257
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 0 0 5 156 0 2 24 369
VIX Dynamics with Stochastic Volatility of Volatility 3 3 4 28 3 4 8 79
Total Working Papers 12 23 128 4,842 23 80 296 12,908


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A parsimonious parametric model for generating margin requirements for futures 0 0 0 0 1 3 6 6
Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations 0 0 0 52 0 0 0 225
Are foreign exchange markets really efficient? 0 1 3 191 0 1 5 346
Arithmetic variance swaps 0 0 0 0 0 0 0 9
Bivariate normal mixture spread option valuation 0 0 0 2 0 1 2 28
Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon 0 0 0 0 0 1 2 2
Closed Form Approximations for Spread Options 0 0 0 11 0 0 5 64
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 0 0 1 25 1 2 9 90
Developing a stress testing framework based on market risk models 1 1 1 400 3 3 10 989
Diversification with volatility products 0 1 3 13 0 2 16 48
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 0 1 2 69
Equity indexing: Optimize your passive investments 0 0 1 11 0 1 4 104
Forecasting VaR using analytic higher moments for GARCH processes 0 0 1 14 1 2 5 50
Further properties of random orthogonal matrix simulation 0 0 0 1 0 0 2 33
Generalized beta-generated distributions 0 0 2 23 1 1 9 87
Hedging index exchange traded funds 0 1 3 127 0 3 14 358
Indexing, cointegration and equity market regimes 0 0 3 441 1 6 49 939
Model risk adjusted hedge ratios 0 0 0 2 1 1 2 13
Model-free hedge ratios and scale-invariant models 0 0 2 113 0 0 4 274
Model-free price hedge ratios for homogeneous claims on tradable assets 0 0 0 63 0 0 0 142
Modelling Regime-Specific Stock Price Volatility 0 0 0 44 0 0 4 135
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 0 555 2 3 9 1,350
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 0 0 106 0 0 2 221
PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY 0 1 1 1 0 2 3 3
Principal Component Models for Generating Large GARCH Covariance Matrices 0 0 4 16 0 4 18 56
Quantile Uncertainty and Value†at†Risk Model Risk 0 0 0 0 0 0 0 0
Regime dependent determinants of credit default swap spreads 3 7 15 253 4 8 30 666
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 1 6 48
Seasonality and Cointegration of Regional House Prices in the UK 0 0 3 19 0 0 7 40
Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics 0 0 0 0 0 0 1 1
The (de)merits of minimum-variance hedging: Application to the crack spread 1 2 2 13 1 6 11 98
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 26 73 90 1,012
The Present and Future of Financial Risk Management 0 0 1 335 0 1 4 851
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 0 0 1 57 0 2 13 200
Total Journal Articles 5 14 47 2,891 42 128 344 8,557


Statistics updated 2019-06-03