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 0 251 0 0 4 633
A General Approach to Real Option Valuation with Applications to Real Estate Investments 0 0 2 31 0 1 7 89
Analytic Approximations for Multi-Asset Option Pricing 0 0 3 96 0 0 5 278
Analytic Approximations for Spread Options 1 1 2 45 1 2 6 171
Analytic Approximations for Spread Options 0 0 0 19 2 2 4 116
Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL 0 0 1 10 0 1 5 39
Analytic Moments for GARCH Processes 0 0 1 34 0 1 2 35
Analytic Moments for GARCH Processes 0 0 1 10 0 2 3 53
Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations 0 0 0 1 1 2 3 167
Bayesian Methods for Measuring Operational Risk 0 0 1 214 0 1 3 466
Bivariate Normal Mixture Spread Option Valuation 0 0 0 80 0 1 3 236
Cofeatures in international bond and equity markets 0 0 0 0 0 0 0 258
Cointegration and Asset Allocation: A New Fund Strategy 0 1 8 577 0 2 17 1,151
Common volatility in the foreign exchange market 0 0 0 1 0 3 3 278
Detecting Switching Strategies in Equity Hedge Funds 0 0 0 74 0 1 1 193
Diversification of Equity with VIX Futures: Personal Views and Skewness Preference 0 0 0 24 0 1 1 91
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 11 0 1 2 49
Endogenizing Model Risk to Quantile Estimates 0 0 0 10 0 0 1 72
Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency 0 0 2 148 0 1 5 429
Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules 0 0 0 11 0 1 2 20
Exact Moment Simulation using Random Orthogonal Matrices 0 0 0 43 0 1 3 179
Generalized Beta-Generated Distributions 0 0 1 14 0 1 2 59
Generalized Beta-Generated Distributions 0 0 3 10 0 0 5 78
Hedging Options with Scale-Invariant Models 1 2 2 64 2 6 8 204
Hedging and Cross-hedging ETFs 0 0 0 376 0 0 7 1,080
Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading 1 1 3 13 2 4 10 44
Hedging with Stochastic and Local Volatility 0 0 0 262 0 1 4 625
Inverse and Quanto Inverse Options in a Black-Scholes World 0 1 4 45 2 5 20 156
Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds 0 0 1 122 0 0 4 369
Markov Switching GARCH Diffusion 0 0 0 82 0 0 1 165
Minimum Variance Hedging and Stock Index Market Efficiency 0 0 0 89 0 0 1 328
Model Risk in Real Option Valuation 0 0 0 21 0 1 2 50
Model Risk in Variance Swap Rates 0 0 0 6 0 1 2 54
Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk 0 0 0 342 0 1 2 686
Model-Free Discretisation-Invariant Swap Contracts 0 0 0 5 0 0 1 37
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia 0 0 0 17 0 0 0 54
Net Buying Pressure and the Information in Bitcoin Option Trades 1 1 1 17 1 1 3 26
Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility 0 0 1 271 0 1 15 574
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices 0 0 1 68 0 0 2 167
Principal Component Analysis of Volatility Smiles and Skews 0 0 5 315 0 2 11 596
ROM Simulation: Applications to Stress Testing and VaR 0 0 0 16 0 1 2 79
Regime-Dependent Smile-Adjusted Delta Hedging 0 1 1 19 1 4 7 75
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices 0 0 0 237 1 3 5 580
Risk-Adjusted Valuation for Real Option Decisions 0 0 1 10 0 0 2 17
Risk-adjusted Valuation of the Real Option to Invest 0 0 0 33 0 1 1 66
Seasonal price movements and unit roots in Indonesian rice market integration 0 0 0 0 0 2 3 305
Seasonal unit roots in trade variables 0 0 0 8 0 1 2 47
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model 0 0 0 50 0 0 0 335
Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding 1 1 1 154 1 2 3 651
Statistical Properties of Forward Libor Rates 1 1 1 222 1 4 6 1,181
Stochastic Local Volatility 1 1 2 77 1 1 4 230
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics 0 0 0 8 0 0 2 40
Tail Risk Premia for Long-Term Equity Investors 0 0 0 14 0 1 2 32
Targetting Kollo Skewness with Random Orthogonal Matrix Simulation 0 0 0 4 0 1 2 12
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread 0 0 0 12 0 0 0 73
The Aggregation Property and its Applications to Realised Higher Moments 0 0 1 10 0 0 2 24
The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations 0 0 0 346 0 0 1 775
The Hazards of Volatility Diversification 0 0 1 10 0 1 4 56
The Role of Binance in Bitcoin Volatility Transmission 0 1 2 43 1 5 10 117
The Spider in the Hedge 0 0 0 67 0 2 2 277
Understanding the Internal Measurement Approach to Assessing Operational Risk Capital 0 0 0 170 0 0 0 427
VIX Dynamics with Stochastic Volatility of Volatility 0 0 0 45 1 3 5 131
Total Working Papers 7 12 53 5,384 18 80 245 15,885
8 registered items for which data could not be found


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 1 2 8 110 2 6 29 282
A general property for time aggregation 0 1 1 4 0 1 3 14
A parsimonious parametric model for generating margin requirements for futures 0 1 1 11 0 1 6 57
Analytic moments for GJR-GARCH (1, 1) processes 0 0 1 11 2 3 8 75
Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations 0 0 0 52 0 3 3 237
Are foreign exchange markets really efficient? 0 0 2 198 0 0 3 366
Arithmetic variance swaps 0 1 4 17 0 1 8 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 1 2 5 41 1 3 8 114
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 0 2 6 95
Continuous-time VIX dynamics: On the role of stochastic volatility of volatility 0 1 1 34 1 3 7 127
Crypto quanto and inverse options 0 2 4 6 3 5 15 19
Delta hedging bitcoin options with a smile 0 0 4 5 1 2 7 9
Developing a stress testing framework based on market risk models 0 3 20 472 3 11 41 1,187
Diversification with volatility products 0 0 1 19 0 0 6 96
Does model fit matter for hedging? Evidence from FTSE 100 options 0 0 0 0 1 3 3 88
Equity indexing: Optimize your passive investments 0 0 0 13 0 2 3 120
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 1 4 78
Further properties of random orthogonal matrix simulation 0 0 0 5 0 1 1 58
Generalized beta-generated distributions 0 2 8 50 1 6 23 202
Hedging index exchange traded funds 1 1 2 142 1 2 6 405
Hedging with automatic liquidation and leverage selection on bitcoin futures 1 2 5 9 2 3 8 25
Indexing, cointegration and equity market regimes 0 0 4 461 1 2 11 995
Matching Kollo measures 0 0 0 0 0 0 0 0
Model risk adjusted hedge ratios 0 0 1 8 0 1 2 29
Model risk in real option valuation 0 0 0 2 0 0 0 21
Model-free hedge ratios and scale-invariant models 0 1 5 137 0 3 10 329
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 0 1 169
Net buying pressure and the information in bitcoin option trades 0 0 1 4 0 1 4 18
Normal mixture GARCH(1,1): applications to exchange rate modelling 0 0 0 566 1 1 6 1,398
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 1 1 3 117 1 1 6 251
PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY 0 0 0 4 0 1 2 33
Price discovery and microstructure in ether spot and derivative markets 0 0 1 8 0 5 7 50
Price discovery in Bitcoin: The impact of unregulated markets 2 3 5 51 3 8 12 175
Principal Component Models for Generating Large GARCH Covariance Matrices 0 1 3 38 0 1 5 111
Quantile Uncertainty and Value‐at‐Risk Model Risk 0 0 1 9 1 2 6 42
Regime dependent determinants of credit default swap spreads 0 0 5 305 1 3 13 803
Regime‐dependent smile‐adjusted delta hedging 0 0 0 0 0 2 6 84
Risk-adjusted valuation for real option decisions 0 0 0 2 0 1 5 27
Seasonality and Cointegration of Regional House Prices in the UK 0 0 3 41 0 0 8 124
Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models 0 0 1 4 0 1 6 14
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 0 1 1 137
The Changing Relationship between Productivity, Wages and Unemployment in the UK 0 0 0 3 1 1 4 1,687
The Present and Future of Financial Risk Management 0 1 7 350 0 3 16 919
The Role of Binance in Bitcoin Volatility Transmission 0 0 0 2 0 1 1 4
The continuous limit of weak GARCH 0 0 0 0 0 1 1 10
Trading and Investing in Volatility Products 0 0 0 0 0 1 1 1
Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions 1 2 6 92 1 2 8 274
Total Journal Articles 8 27 121 3,615 28 102 355 11,661


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Assessment of Operational Risk Capital 0 0 0 0 0 0 1 5
Total Chapters 0 0 0 0 0 0 1 5


Statistics updated 2025-04-04