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 1 4 238 1 3 12 594
A General Approach to Real Option Valuation with Applications to Real Estate Investments 0 0 5 21 0 0 7 49
Analytic Approximations for Multi-Asset Option Pricing 0 0 1 75 1 1 6 209
Analytic Approximations for Spread Options 0 0 0 41 0 0 3 152
Analytic Approximations for Spread Options 0 0 2 17 0 0 4 100
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 1 3 6 1 2 4 25
Analytic Moments for GARCH Processes 0 0 1 3 4 5 10 28
Analytic Moments for GARCH Processes 0 1 27 27 0 3 8 8
Bayesian Methods for Measuring Operational Risk 0 0 1 207 0 0 3 432
Bivariate Normal Mixture Spread Option Valuation 0 0 0 79 1 1 2 218
Cointegration and Asset Allocation: A New Fund Strategy 0 0 1 547 0 1 5 1,074
Detecting Switching Strategies in Equity Hedge Funds 0 0 0 74 1 1 2 185
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 0 1 14 1 1 7 62
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 7 0 0 3 34
Endogenizing Model Risk to Quantile Estimates 0 0 0 5 1 1 3 45
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 0 1 141 0 0 4 387
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 41 0 0 3 164
Generalized Beta-Generated Distributions 1 2 4 10 1 3 7 45
Generalized Beta-Generated Distributions 0 0 1 5 2 5 14 50
Hedging Options with Scale-Invariant Models 0 0 0 55 1 1 1 179
Hedging and Cross-hedging ETFs 1 1 2 360 1 2 14 996
Hedging with Stochastic and Local Volatility 0 0 3 253 0 0 8 586
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 0 0 120 0 2 3 355
Markov Switching GARCH Diffusion 0 0 3 76 1 1 5 153
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 0 89 0 0 0 314
Model Risk in Real Option Valuation 0 0 16 16 3 4 22 22
Model Risk in Variance Swap Rates 0 0 1 2 0 2 8 31
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 0 0 2 330 0 1 4 660
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 2 5 237 0 3 12 491
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 5 64 0 0 7 149
Principal Component Analysis of Volatility Smiles and Skews 0 0 3 286 0 1 7 541
ROM Simulation: Applications to Stress Testing and VaR 0 0 1 12 0 0 2 57
Regime-Dependent Smile-Adjusted Delta Hedging 0 0 0 1 1 1 4 21
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 0 1 233 0 0 1 554
Risk-adjusted Valuation of the Real Option to Invest 0 0 2 30 0 0 3 42
Seasonal unit roots in trade variables 0 0 0 7 0 1 1 37
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 0 50 0 0 3 322
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 0 0 2 139 1 1 6 607
Statistical Properties of Forward Libor Rates 0 0 0 217 1 2 8 1,147
Stochastic Local Volatility 0 0 4 70 0 2 10 195
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 0 5 0 0 1 27
Tail Risk Premia for Long-Term Equity Investors 0 0 0 14 0 0 3 17
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 2 11 1 1 9 42
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 1 4 341 1 2 8 755
The Hazards of Volatility Diversification 0 0 0 5 1 2 5 31
The Spider in the Hedge 0 0 0 65 1 2 4 259
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 0 0 4 156 2 3 18 372
VIX Dynamics with Stochastic Volatility of Volatility 1 3 6 31 2 5 10 84
Total Working Papers 4 12 118 4,854 31 66 296 12,974


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 1 1 1 0 3 9 9
Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations 0 0 0 52 1 2 2 227
Are foreign exchange markets really efficient? 0 0 2 191 1 1 5 347
Arithmetic variance swaps 0 1 1 1 0 1 1 10
Bivariate normal mixture spread option valuation 0 0 0 2 0 0 2 28
Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon 0 0 0 0 0 0 1 2
Closed Form Approximations for Spread Options 0 0 0 11 0 0 4 64
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 0 2 3 27 0 2 10 92
Developing a stress testing framework based on market risk models 0 0 1 400 2 3 13 992
Diversification with volatility products 0 0 2 13 0 1 12 49
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 0 0 2 69
Equity indexing: Optimize your passive investments 0 0 1 11 0 0 3 104
Forecasting VaR using analytic higher moments for GARCH processes 0 1 2 15 0 1 6 51
Further properties of random orthogonal matrix simulation 0 0 0 1 0 3 5 36
Generalized beta-generated distributions 1 2 4 25 3 6 14 93
Hedging index exchange traded funds 0 0 2 127 1 3 13 361
Indexing, cointegration and equity market regimes 1 1 3 442 1 4 48 943
Model risk adjusted hedge ratios 0 0 0 2 0 0 2 13
Model-free hedge ratios and scale-invariant models 0 0 1 113 0 1 4 275
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 1 135
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 0 555 1 1 9 1,351
Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects 0 0 0 106 1 1 3 222
PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY 0 0 1 1 0 0 3 3
Principal Component Models for Generating Large GARCH Covariance Matrices 0 0 2 16 0 2 17 58
Quantile Uncertainty and Value†at†Risk Model Risk 0 0 0 0 0 1 1 1
Regime dependent determinants of credit default swap spreads 0 1 13 254 1 2 24 668
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 0 6 48
Seasonality and Cointegration of Regional House Prices in the UK 0 0 2 19 1 1 5 41
Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics 0 0 0 0 0 1 2 2
The (de)merits of minimum-variance hedging: Application to the crack spread 0 0 2 13 1 2 11 100
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 14 33 117 1,045
The Present and Future of Financial Risk Management 0 0 1 335 0 0 2 851
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 2 2 3 59 2 5 13 205
Total Journal Articles 4 11 47 2,902 30 80 370 8,637


Statistics updated 2019-09-09