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 3 246 0 0 6 610
A General Approach to Real Option Valuation with Applications to Real Estate Investments 0 1 2 25 2 3 8 69
Analytic Approximations for Multi-Asset Option Pricing 0 0 4 82 0 0 16 247
Analytic Approximations for Spread Options 0 0 1 18 0 0 3 106
Analytic Approximations for Spread Options 0 0 0 41 1 1 3 159
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 0 0 8 0 0 1 30
Analytic Moments for GARCH Processes 0 0 1 8 0 0 4 40
Analytic Moments for GARCH Processes 0 0 2 32 0 0 6 29
Bayesian Methods for Measuring Operational Risk 0 1 3 210 0 2 11 451
Bivariate Normal Mixture Spread Option Valuation 0 0 1 80 0 0 2 228
Cointegration and Asset Allocation: A New Fund Strategy 1 1 3 550 2 3 10 1,089
Detecting Switching Strategies in Equity Hedge Funds 0 0 0 74 1 1 3 192
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 0 2 21 2 2 10 81
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 2 10 1 2 5 43
Endogenizing Model Risk to Quantile Estimates 0 0 2 10 1 1 7 62
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 0 1 142 1 1 7 405
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 0 0 3 171
Generalized Beta-Generated Distributions 0 0 0 5 0 0 5 67
Generalized Beta-Generated Distributions 0 0 0 11 2 2 5 54
Hedging Options with Scale-Invariant Models 0 0 0 55 0 0 3 186
Hedging and Cross-hedging ETFs 0 3 5 370 1 8 32 1,050
Hedging with Stochastic and Local Volatility 0 0 1 256 2 3 8 601
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 0 0 121 0 0 1 361
Markov Switching GARCH Diffusion 0 1 2 79 0 1 3 159
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 0 89 0 1 3 320
Model Risk in Real Option Valuation 0 0 3 20 0 2 8 42
Model Risk in Variance Swap Rates 0 1 3 5 0 4 10 46
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 0 0 3 335 0 0 5 675
Model-Free Discretisation-Invariant Swap Contracts 0 0 0 5 1 1 5 33
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 0 16 0 0 1 50
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 1 1 4 253 2 4 14 529
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 0 65 0 0 1 156
Principal Component Analysis of Volatility Smiles and Skews 1 1 4 295 1 2 8 561
ROM Simulation: Applications to Stress Testing and VaR 0 0 1 14 1 1 8 69
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 6 11 2 3 13 51
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 0 0 236 2 2 5 571
Risk-adjusted Valuation of the Real Option to Invest 0 0 2 33 1 1 11 63
Seasonal unit roots in trade variables 0 0 0 8 0 0 1 43
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 0 50 0 0 5 331
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 0 0 3 145 0 0 9 625
Statistical Properties of Forward Libor Rates 0 0 0 218 1 2 6 1,166
Stochastic Local Volatility 0 0 1 72 0 1 11 214
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 1 7 3 3 4 35
Tail Risk Premia for Long-Term Equity Investors 0 0 0 14 1 1 5 28
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 11 1 4 17 65
The Aggregation Property and its Applications to Realised Higher Moments 0 0 1 6 2 3 5 16
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 0 0 1 344 1 1 4 769
The Hazards of Volatility Diversification 0 0 0 6 1 2 3 40
The Spider in the Hedge 0 0 0 66 0 0 2 269
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 0 1 6 164 0 4 24 409
VIX Dynamics with Stochastic Volatility of Volatility 0 0 1 36 3 4 7 108
Total Working Papers 3 11 75 5,019 39 76 357 13,774


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 4 5 5 11 32
Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations 0 0 0 52 0 0 0 231
Are foreign exchange markets really efficient? 0 0 1 193 1 1 3 356
Arithmetic variance swaps 0 0 2 9 0 0 6 26
Bivariate normal mixture spread option valuation 0 1 1 4 0 1 2 45
Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon 0 0 0 0 0 0 1 4
Closed Form Approximations for Spread Options 0 0 3 14 1 1 4 70
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 1 2 3 30 2 4 10 110
Developing a stress testing framework based on market risk models 0 2 13 416 0 7 36 1,055
Diversification with volatility products 0 1 2 16 2 4 10 73
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 1 2 6 77
Equity indexing: Optimize your passive investments 0 0 1 12 1 1 4 113
Forecasting VaR using analytic higher moments for GARCH processes 0 0 2 19 1 1 6 65
Further properties of random orthogonal matrix simulation 0 0 0 2 0 1 8 51
Generalized beta-generated distributions 0 0 2 27 1 1 12 123
Hedging index exchange traded funds 0 1 3 133 1 4 10 381
Indexing, cointegration and equity market regimes 0 1 3 451 0 3 10 971
Model risk adjusted hedge ratios 0 0 1 4 0 0 4 21
Model-free hedge ratios and scale-invariant models 0 1 2 118 0 3 7 294
Model-free price hedge ratios for homogeneous claims on tradable assets 0 0 0 65 0 0 3 150
Modelling Regime‐Specific Stock Price Volatility* 0 1 4 48 1 3 9 157
Normal mixture GARCH(1,1): applications to exchange rate modelling 3 4 4 564 3 5 12 1,375
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 0 1 107 1 1 8 234
PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY 0 0 0 4 0 1 5 27
Principal Component Models for Generating Large GARCH Covariance Matrices 0 0 8 26 0 1 13 83
Quantile Uncertainty and Value‐at‐Risk Model Risk 0 0 4 4 1 1 11 17
Regime dependent determinants of credit default swap spreads 0 2 9 278 3 8 29 732
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 1 5 67
Seasonality and Cointegration of Regional House Prices in the UK 0 1 5 31 1 3 15 76
Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics 0 0 0 1 0 0 0 3
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 5 18 2 2 12 122
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 10 36 205 1,420
The Present and Future of Financial Risk Management 0 0 1 338 0 2 12 871
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 1 1 9 76 2 2 15 247
Total Journal Articles 5 18 89 3,067 40 105 504 9,679


Statistics updated 2021-09-05