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 |