Carol Alexander
Names
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Carol |
| middle: |
O |
| last: |
Alexander |
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Contact
Affiliations
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University of Sussex
/ Sussex Business School
/ Department of Accounting and Finance
Research profile
author of:
- Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia (RePEc:arx:papers:1404.1351)
by Carol Alexander & Johannes Rauch - Model-Free Discretisation-Invariant Swap Contracts (RePEc:arx:papers:1602.00235)
by Carol Alexander & Johannes Rauch - Tail Risk Premia for Long-Term Equity Investors (RePEc:arx:papers:1602.00865)
by Johannes Rauch & Carol Alexander - The Aggregation Property and its Applications to Realised Higher Moments (RePEc:arx:papers:1709.08188)
by Carol Alexander & Johannes Rauch - Analytic Moments for GARCH Processes (RePEc:arx:papers:1808.09666)
by Carol Alexander & Emese Lazar & Silvia Stanescu - Model Risk in Real Option Valuation (RePEc:arx:papers:1809.00817)
by Carol Alexander & Xi Chen - Targetting Kollo Skewness with Random Orthogonal Matrix Simulation (RePEc:arx:papers:2004.06586)
by Carol Alexander & Xiaochun Meng & Wei Wei - Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading (RePEc:arx:papers:2101.01261)
by Carol Alexander & Jun Deng & Bin Zou - Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules (RePEc:arx:papers:2101.12693)
by Carol Alexander & Michael Coulon & Yang Han & Xiaochun Meng - The Role of Binance in Bitcoin Volatility Transmission (RePEc:arx:papers:2107.00298)
by Carol Alexander & Daniel Heck & Andreas Kaeck - Inverse and Quanto Inverse Options in a Black-Scholes World (RePEc:arx:papers:2107.12041)
by Carol Alexander & Ding Chen & Arben Imeraj - Net Buying Pressure and the Information in Bitcoin Option Trades (RePEc:arx:papers:2109.02776)
by Carol Alexander & Jun Deng & Jianfen Feng & Huning Wan - Risk-Adjusted Valuation for Real Option Decisions (RePEc:arx:papers:2109.04793)
by Carol Alexander & Xi Chen & Charles Ward - Principal Component Models for Generating Large GARCH Covariance Matrices (RePEc:bla:ecnote:v:31:y:2002:i:2:p:337-359)
by Carol Alexander - Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics (RePEc:bla:eufman:v:19:y:2013:i:3:p:470-496)
by Andreas Kaeck & Carol Alexander - Crypto quanto and inverse options (RePEc:bla:mathfi:v:33:y:2023:i:4:p:1005-1043)
by Carol Alexander & Ding Chen & Arben Imeraj - The Changing Relationship between Productivity, Wages and Unemployment in the UK (RePEc:bla:obuest:v:55:y:1993:i:1:p:87-102)
by Alexander, Carol O - Modelling Regime‐Specific Stock Price Volatility (RePEc:bla:obuest:v:71:y:2009:i:6:p:761-797)
by Carol Alexander & Emese Lazar - Generalized beta-generated distributions (RePEc:eee:csdana:v:56:y:2012:i:6:p:1880-1897)
by Alexander, Carol & Cordeiro, Gauss M. & Ortega, Edwin M.M. & Sarabia, José María - Are foreign exchange markets really efficient? (RePEc:eee:ecolet:v:40:y:1992:i:4:p:449-453)
by Alexander, C. O. & Johnson, A. - A parsimonious parametric model for generating margin requirements for futures (RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43)
by Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit - A general property for time aggregation (RePEc:eee:ejores:v:291:y:2021:i:2:p:536-548)
by Alexander, Carol & Rauch, Johannes - Targeting Kollo skewness with random orthogonal matrix simulation (RePEc:eee:ejores:v:299:y:2022:i:1:p:362-376)
by Alexander, Carol & Meng, Xiaochun & Wei, Wei - Hedging with automatic liquidation and leverage selection on bitcoin futures (RePEc:eee:ejores:v:306:y:2023:i:1:p:478-493)
by Alexander, Carol & Deng, Jun & Zou, Bin - The (de)merits of minimum-variance hedging: Application to the crack spread (RePEc:eee:eneeco:v:36:y:2013:i:c:p:698-707)
by Alexander, Carol & Prokopczuk, Marcel & Sumawong, Anannit - Continuous-time VIX dynamics: On the role of stochastic volatility of volatility (RePEc:eee:finana:v:28:y:2013:i:c:p:46-56)
by Kaeck, Andreas & Alexander, Carol - Forecasting VaR using analytic higher moments for GARCH processes (RePEc:eee:finana:v:30:y:2013:i:c:p:36-45)
by Alexander, Carol & Lazar, Emese & Stanescu, Silvia - Price discovery and microstructure in ether spot and derivative markets (RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301502)
by Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin - Net buying pressure and the information in bitcoin option trades (RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000544)
by Alexander, Carol & Deng, Jun & Feng, Jianfen & Wan, Huning - Price discovery in Bitcoin: The impact of unregulated markets (RePEc:eee:finsta:v:50:y:2020:i:c:s1572308920300759)
by Alexander, Carol & Heck, Daniel F. - Analytic moments for GJR-GARCH (1, 1) processes (RePEc:eee:intfor:v:37:y:2021:i:1:p:105-124)
by Alexander, Carol & Lazar, Emese & Stanescu, Silvia - Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models (RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096)
by Alexander, Carol & Han, Yang & Meng, Xiaochun - Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects (RePEc:eee:jbfina:v:28:y:2004:i:12:p:2957-2980)
by Alexander, Carol - Model-free hedge ratios and scale-invariant models (RePEc:eee:jbfina:v:31:y:2007:i:6:p:1839-1861)
by Alexander, Carol & Nogueira, Leonardo M. - Developing a stress testing framework based on market risk models (RePEc:eee:jbfina:v:32:y:2008:i:10:p:2220-2236)
by Alexander, Carol & Sheedy, Elizabeth - Hedging index exchange traded funds (RePEc:eee:jbfina:v:32:y:2008:i:2:p:326-337)
by Alexander, C. & Barbosa, A. - Regime dependent determinants of credit default swap spreads (RePEc:eee:jbfina:v:32:y:2008:i:6:p:1008-1021)
by Alexander, Carol & Kaeck, Andreas - Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (RePEc:eee:jbfina:v:36:y:2012:i:11:p:3110-3121)
by Kaeck, Andreas & Alexander, Carol - Risk-adjusted valuation for real option decisions (RePEc:eee:jeborg:v:191:y:2021:i:c:p:1046-1064)
by Alexander, Carol & Chen, Xi & Ward, Charles - Diversification with volatility products (RePEc:eee:jimfin:v:65:y:2016:i:c:p:213-235)
by Alexander, Carol & Korovilas, Dimitris & Kapraun, Julia - Further properties of random orthogonal matrix simulation (RePEc:eee:matcom:v:83:y:2012:i:c:p:56-79)
by Ledermann, Daniel & Alexander, Carol - Indexing, cointegration and equity market regimes (RePEc:ijf:ijfiec:v:10:y:2005:i:3:p:213-231)
by Carol Alexander & Anca Dimitriu - Seasonal unit roots in trade variables (RePEc:ivi:wpasec:1997-13)
by Carol Alexander & Manuel Cantavella Jordá - Normal mixture GARCH(1,1): applications to exchange rate modelling (RePEc:jae:japmet:v:21:y:2006:i:3:p:307-336)
by Emese Lazar & Carol Alexander - The Present and Future of Financial Risk Management (RePEc:oup:jfinec:v:3:y:2005:i:1:p:3-25)
by Carol Alexander - Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations (RePEc:oup:oxecpp:v:48:y:1996:i:2:p:242-53)
by Alexander, C O & Ledermann, W - Bayesian Methods for Measuring Operational Risk (RePEc:rdg:icmadp:icma-dp2000-02)
by Carol Alexander - Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices (RePEc:rdg:icmadp:icma-dp2000-06)
by Carol Alexander - Principal Component Analysis of Volatility Smiles and Skews (RePEc:rdg:icmadp:icma-dp2000-10)
by Carol Alexander - Cointegration and Asset Allocation: A New Fund Strategy (RePEc:rdg:icmadp:icma-dp2001-03)
by Carol Alexander & Ian Giblin & Wayne Weddington III - Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility (RePEc:rdg:icmadp:icma-dp2001-10)
by Carol Alexander & Sujit Narayanan - Understanding the Internal Measurement Approach to Assessing Operational Risk Capital (RePEc:rdg:icmadp:icma-dp2001-13)
by Carol Alexander - Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency (RePEc:rdg:icmadp:icma-dp2003-02)
by Carol Alexander & Anca Dimitriu - Statistical Properties of Forward Libor Rates (RePEc:rdg:icmadp:icma-dp2003-03)
by Carol Alexander & Dimitri Lvov - Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model (RePEc:rdg:icmadp:icma-dp2003-06)
by Carol Alexander - Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding (RePEc:rdg:icmadp:icma-dp2003-08)
by Carol Alexander & Anca Dimitriu - Bivariate Normal Mixture Spread Option Valuation (RePEc:rdg:icmadp:icma-dp2003-15)
by Carol Alexandra & Andrew Scourse - The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations (RePEc:rdg:icmadp:icma-dp2004-01)
by Carol Alexander & Anca Dimitriu - A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds (RePEc:rdg:icmadp:icma-dp2004-03)
by Carol Alexander & Anca Dimitriu - Hedging with Stochastic and Local Volatility (RePEc:rdg:icmadp:icma-dp2004-10)
by Carol Alexander & Leonardo M. Nogueira - The Spider in the Hedge (RePEc:rdg:icmadp:icma-dp2005-05)
by Carol Alexander & Andreza Barbosa - Detecting Switching Strategies in Equity Hedge Funds (RePEc:rdg:icmadp:icma-dp2005-07)
by Carol Alexander & Anca Dimitriu - Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds (RePEc:rdg:icmadp:icma-dp2005-16)
by Carol Alexander & Andreza Barbosa - Hedging Options with Scale-Invariant Models (RePEc:rdg:icmadp:icma-dp2006-03)
by Carol Alexander & Leonardo M. Nogueira - Minimum Variance Hedging and Stock Index Market Efficiency (RePEc:rdg:icmadp:icma-dp2006-04)
by Carol Alexander & Andreza Barbosa - Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices (RePEc:rdg:icmadp:icma-dp2006-08)
by Carol Alexander & Andreas Kaeck - Hedging and Cross-hedging ETFs (RePEc:rdg:icmadp:icma-dp2007-01)
by Carol Alexander & Andreza Barbosa - Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk (RePEc:rdg:icmadp:icma-dp2007-02)
by Carol Alexander & Elizabeth Sheedy - Analytic Approximations for Spread Options (RePEc:rdg:icmadp:icma-dp2007-11)
by Carol Alexander & Aanand Venkatramanan - Markov Switching GARCH Diffusion (RePEc:rdg:icmadp:icma-dp2008-01)
by Carol Alexander & Emese Lazar - Stochastic Local Volatility (RePEc:rdg:icmadp:icma-dp2008-02)
by Carol Alexander & Leonardo Nogueira - Analytic Approximations for Multi-Asset Option Pricing (RePEc:rdg:icmadp:icma-dp2009-05)
by Carol Alexander & Aanand Venkatramanan - Analytic Approximations for Spread Options (RePEc:rdg:icmadp:icma-dp2009-06)
by Carol Alexander & Aanand Venkatramanan - Exact Moment Simulation using Random Orthogonal Matrices (RePEc:rdg:icmadp:icma-dp2009-09)
by Carol Alexander & Walter Ledermann & Daniel Ledermann - Does model fit matter for hedging? Evidence from FTSE 100 options (RePEc:rdg:icmadp:icma-dp2010-05)
by Carol Alexander & Andreas Kaeck - Stochastic Volatility Jump-Diffusions for Equity Index Dynamics (RePEc:rdg:icmadp:icma-dp2010-06)
by Andreas Kaeck & Carol Alexander - Endogenizing Model Risk to Quantile Estimates (RePEc:rdg:icmadp:icma-dp2010-07)
by Carol Alexander & Jose Maria Sarabia - Generalized Beta-Generated Distributions (RePEc:rdg:icmadp:icma-dp2010-09)
by Carol Alexander & Jose Maria Sarabia - Regime-Dependent Smile-Adjusted Delta Hedging (RePEc:rdg:icmadp:icma-dp2010-10)
by Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis - VIX Dynamics with Stochastic Volatility of Volatility (RePEc:rdg:icmadp:icma-dp2010-11)
by Andreas Kaeck & Carol Alexander - The Hazards of Volatility Diversification (RePEc:rdg:icmadp:icma-dp2011-04)
by Carol Alexander & Dimitris Korovilas - Generalized Beta-Generated Distributions (RePEc:rdg:icmadp:icma-dp2011-05)
by Carol Alexander & Gauss M. Cordeiro & Edwin M. M. Ortega & José MarÃa Sarabia - Analytic Moments for GARCH Processes (RePEc:rdg:icmadp:icma-dp2011-07)
by Carol Alexander & Emese Lazar & Silvia Stanescu - Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL (RePEc:rdg:icmadp:icma-dp2011-08)
by Carol Alexander & Emese Lazar & Silvia Stanescu - Model Risk in Variance Swap Rates (RePEc:rdg:icmadp:icma-dp2011-10)
by Carol Alexander & Stamatis Leontsinis - The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread (RePEc:rdg:icmadp:icma-dp2012-01)
by Carol Alexander & Marcel Prokopczuk & Anannit Sumawon - A General Approach to Real Option Valuation with Applications to Real Estate Investments (RePEc:rdg:icmadp:icma-dp2012-04)
by Carol Alexander & Xi Chen - Diversification of Equity with VIX Futures: Personal Views and Skewness Preference (RePEc:rdg:icmadp:icma-dp2012-07)
by Carol Alexander & Dimitris Korovilas - ROM Simulation: Applications to Stress Testing and VaR (RePEc:rdg:icmadp:icma-dp2012-09)
by Carol Alexander & Daniel Ledermann - Risk-adjusted Valuation of the Real Option to Invest (RePEc:rdg:icmadp:icma-dp2014-19)
by Carol Alexander & Xi Chen - Seasonality and Cointegration of Regional House Prices in the UK (RePEc:sae:urbstu:v:31:y:1994:i:10:p:1667-1689)
by Carol Alexander & Michael Barrow - Model risk in real option valuation (RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03273-4)
by Carol Alexander & Xi Chen - Evaluating the discrimination ability of proper multi-variate scoring rules (RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-022-04611-9)
by C. Alexander & M. Coulon & Y. Han & X. Meng - Assessment of Operational Risk Capital (RePEc:spr:sprchp:978-3-540-26993-9_14)
by Carol Alexander - Seasonal price movements and unit roots in Indonesian rice market integration (RePEc:sus:susedp:01/95)
by Alexander, Carol & John Wyeth - Cofeatures in international bond and equity markets (RePEc:sus:susedp:0194)
by Alexander, Carol - Seasonal price movements and unit roots in Indonesian rice market integration (RePEc:sus:susedp:0195)
by Alexander, Carol & John Wyeth - Cofeatures in international bond and equity markets (RePEc:sus:susedp:1/94)
by Alexander, Carol - Are foreign exchange markets really efficient? (RePEc:sus:susedp:1092)
by Alexander, C O & A Johnson - The changing relationship between productivity, wages and unemployment in the U.K (RePEc:sus:susedp:1192)
by Alexander, C O - Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations (RePEc:sus:susedp:12/94)
by Alexander, Carol & W Ledermann - Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations (RePEc:sus:susedp:1294)
by Alexander, Carol & W Ledermann - GARCH volatility models (RePEc:sus:susedp:1392)
by Alexander, C O & N S Riyait - Bargaining sets and bargaining solutions for firm-union negotiations (RePEc:sus:susedp:1492)
by Alexander, C O & W Ledermann - Common volatility in the foreign exchange market (RePEc:sus:susedp:4/93)
by Alexander, Carol - Common volatility in the foreign exchange market (RePEc:sus:susedp:493)
by Alexander, Carol - Closed Form Approximations for Spread Options (RePEc:taf:apmtfi:v:18:y:2011:i:5:p:447-472)
by Aanand Venkatramanan & Carol Alexander - The Role of Binance in Bitcoin Volatility Transmission (RePEc:taf:apmtfi:v:29:y:2022:i:1:p:1-32)
by Carol Alexander & Daniel F. Heck & Andreas Kaeck - The continuous limit of weak GARCH (RePEc:taf:emetrv:v:40:y:2021:i:2:p:197-216)
by Carol Alexander & Emese Lazar - Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon (RePEc:taf:jdevst:v:32:y:1995:i:1:p:144-146)
by Carol Alexander & John Wyeth - Arithmetic variance swaps (RePEc:taf:quantf:v:17:y:2017:i:4:p:551-569)
by Stamatis Leontsinis & Carol Alexander - A critical investigation of cryptocurrency data and analysis (RePEc:taf:quantf:v:20:y:2020:i:2:p:173-188)
by C. Alexander & M. Dakos - Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios (RePEc:taf:quantf:v:23:y:2023:i:3:p:393-427)
by Carol Alexander & Michael Dakos - Delta hedging bitcoin options with a smile (RePEc:taf:quantf:v:23:y:2023:i:5:p:799-817)
by Carol Alexander & Arben Imeraj - Equity indexing: Optimize your passive investments (RePEc:taf:quantf:v:4:y:2004:i:3:p:30-33)
by Carol Alexander & Anca Dimitriu - Bivariate normal mixture spread option valuation (RePEc:taf:quantf:v:4:y:2004:i:6:p:637-648)
by Carol Alexander & Andrew Scourse - Model-free price hedge ratios for homogeneous claims on tradable assets (RePEc:taf:quantf:v:7:y:2007:i:5:p:473-479)
by Carol Alexander & Leonardo Nogueira - Matching Kollo measures (RePEc:taf:tjorxx:v:75:y:2024:i:7:p:1279-1293)
by Carol Alexander & Wei Wei & Xi Chen - Trading and Investing in Volatility Products (RePEc:wly:finmar:v:24:y:2015:i:4:p:313-347)
by Carol Alexander & Julia Kapraun & Dimitris Korovilas - Normal mixture GARCH(1,1): applications to exchange rate modelling (RePEc:wly:japmet:v:21:y:2006:i:3:p:307-336)
by Carol Alexander & Emese Lazar - Model risk adjusted hedge ratios (RePEc:wly:jfutmk:v:29:y:2009:i:11:p:1021-1049)
by Carol Alexander & Andreas Kaeck & Leonardo M. Nogueira - Regime‐dependent smile‐adjusted delta hedging (RePEc:wly:jfutmk:v:32:y:2012:i:3:p:203-229)
by Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis - Does model fit matter for hedging? Evidence from FTSE 100 options (RePEc:wly:jfutmk:v:32:y:2012:i:7:p:609-638)
by Carol Alexander & Andreas Kaeck - BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness (RePEc:wly:jfutmk:v:40:y:2020:i:1:p:23-43)
by Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn - Quantile Uncertainty and Value‐at‐Risk Model Risk (RePEc:wly:riskan:v:32:y:2012:i:8:p:1293-1308)
by Carol Alexander & José María Sarabia - Pricing And Hedging Convertible Bonds: Delayed Calls And Uncertain Volatility (RePEc:wsi:ijtafx:v:09:y:2006:i:03:n:s0219024906003573)
by Ali Bora Yiǧitbaşioǧlu & Carol Alexander