Carol Alexander
Names
first: |
Carol |
middle: |
O |
last: |
Alexander |
Identifer
Contact
Affiliations
-
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
Papers, arXiv.org (2014)
by Carol Alexander & Johannes Rauch
(ReDIF-paper, arx:papers:1404.1351) - Model-Free Discretisation-Invariant Swap Contracts
Papers, arXiv.org (2016)
by Carol Alexander & Johannes Rauch
(ReDIF-paper, arx:papers:1602.00235) - Tail Risk Premia for Long-Term Equity Investors
Papers, arXiv.org (2016)
by Johannes Rauch & Carol Alexander
(ReDIF-paper, arx:papers:1602.00865) - The Aggregation Property and its Applications to Realised Higher Moments
Papers, arXiv.org (2017)
by Carol Alexander & Johannes Rauch
(ReDIF-paper, arx:papers:1709.08188) - Analytic Moments for GARCH Processes
Papers, arXiv.org (2018)
by Carol Alexander & Emese Lazar & Silvia Stanescu
(ReDIF-paper, arx:papers:1808.09666) - Model Risk in Real Option Valuation
Papers, arXiv.org (2018)
by Carol Alexander & Xi Chen
(ReDIF-paper, arx:papers:1809.00817) - Targetting Kollo Skewness with Random Orthogonal Matrix Simulation
Papers, arXiv.org (2020)
by Carol Alexander & Xiaochun Meng & Wei Wei
(ReDIF-paper, arx:papers:2004.06586) - Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
Papers, arXiv.org (2021)
by Carol Alexander & Jun Deng & Bin Zou
(ReDIF-paper, arx:papers:2101.01261) - Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
Papers, arXiv.org (2021)
by Carol Alexander & Michael Coulon & Yang Han & Xiaochun Meng
(ReDIF-paper, arx:papers:2101.12693) - The Role of Binance in Bitcoin Volatility Transmission
Papers, arXiv.org (2021)
by Carol Alexander & Daniel Heck & Andreas Kaeck
(ReDIF-paper, arx:papers:2107.00298) - Inverse and Quanto Inverse Options in a Black-Scholes World
Papers, arXiv.org (2021)
by Carol Alexander & Ding Chen & Arben Imeraj
(ReDIF-paper, arx:papers:2107.12041) - Net Buying Pressure and the Information in Bitcoin Option Trades
Papers, arXiv.org (2021)
by Carol Alexander & Jun Deng & Jianfen Feng & Huning Wan
(ReDIF-paper, arx:papers:2109.02776) - Risk-Adjusted Valuation for Real Option Decisions
Papers, arXiv.org (2021)
by Carol Alexander & Xi Chen & Charles Ward
(ReDIF-paper, arx:papers:2109.04793) - Principal Component Models for Generating Large GARCH Covariance Matrices
Economic Notes, Banca Monte dei Paschi di Siena SpA (2002)
by Carol Alexander
(ReDIF-article, bla:ecnote:v:31:y:2002:i:2:p:337-359) - Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics
European Financial Management, European Financial Management Association (2013)
by Andreas Kaeck & Carol Alexander
(ReDIF-article, bla:eufman:v:19:y:2013:i:3:p:470-496) - The Changing Relationship between Productivity, Wages and Unemployment in the UK
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1993)
by Alexander, Carol O
(ReDIF-article, bla:obuest:v:55:y:1993:i:1:p:87-102) - Modelling Regime‐Specific Stock Price Volatility
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2009)
by Carol Alexander & Emese Lazar
(ReDIF-article, bla:obuest:v:71:y:2009:i:6:p:761-797) - Generalized beta-generated distributions
Computational Statistics & Data Analysis, Elsevier (2012)
by Alexander, Carol & Cordeiro, Gauss M. & Ortega, Edwin M.M. & Sarabia, José María
(ReDIF-article, eee:csdana:v:56:y:2012:i:6:p:1880-1897) - Are foreign exchange markets really efficient?
Economics Letters, Elsevier (1992)
by Alexander, C. O. & Johnson, A.
(ReDIF-article, eee:ecolet:v:40:y:1992:i:4:p:449-453) - A parsimonious parametric model for generating margin requirements for futures
European Journal of Operational Research, Elsevier (2019)
by Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit
(ReDIF-article, eee:ejores:v:273:y:2019:i:1:p:31-43) - A general property for time aggregation
European Journal of Operational Research, Elsevier (2021)
by Alexander, Carol & Rauch, Johannes
(ReDIF-article, eee:ejores:v:291:y:2021:i:2:p:536-548) - The (de)merits of minimum-variance hedging: Application to the crack spread
Energy Economics, Elsevier (2013)
by Alexander, Carol & Prokopczuk, Marcel & Sumawong, Anannit
(ReDIF-article, eee:eneeco:v:36:y:2013:i:c:p:698-707) - Continuous-time VIX dynamics: On the role of stochastic volatility of volatility
International Review of Financial Analysis, Elsevier (2013)
by Kaeck, Andreas & Alexander, Carol
(ReDIF-article, eee:finana:v:28:y:2013:i:c:p:46-56) - Forecasting VaR using analytic higher moments for GARCH processes
International Review of Financial Analysis, Elsevier (2013)
by Alexander, Carol & Lazar, Emese & Stanescu, Silvia
(ReDIF-article, eee:finana:v:30:y:2013:i:c:p:36-45) - Price discovery and microstructure in ether spot and derivative markets
International Review of Financial Analysis, Elsevier (2020)
by Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin
(ReDIF-article, eee:finana:v:71:y:2020:i:c:s1057521920301502) - Price discovery in Bitcoin: The impact of unregulated markets
Journal of Financial Stability, Elsevier (2020)
by Alexander, Carol & Heck, Daniel F.
(ReDIF-article, eee:finsta:v:50:y:2020:i:c:s1572308920300759) - Analytic moments for GJR-GARCH (1, 1) processes
International Journal of Forecasting, Elsevier (2021)
by Alexander, Carol & Lazar, Emese & Stanescu, Silvia
(ReDIF-article, eee:intfor:v:37:y:2021:i:1:p:105-124) - Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects
Journal of Banking & Finance, Elsevier (2004)
by Alexander, Carol
(ReDIF-article, eee:jbfina:v:28:y:2004:i:12:p:2957-2980) - Model-free hedge ratios and scale-invariant models
Journal of Banking & Finance, Elsevier (2007)
by Alexander, Carol & Nogueira, Leonardo M.
(ReDIF-article, eee:jbfina:v:31:y:2007:i:6:p:1839-1861) - Developing a stress testing framework based on market risk models
Journal of Banking & Finance, Elsevier (2008)
by Alexander, Carol & Sheedy, Elizabeth
(ReDIF-article, eee:jbfina:v:32:y:2008:i:10:p:2220-2236) - Hedging index exchange traded funds
Journal of Banking & Finance, Elsevier (2008)
by Alexander, C. & Barbosa, A.
(ReDIF-article, eee:jbfina:v:32:y:2008:i:2:p:326-337) - Regime dependent determinants of credit default swap spreads
Journal of Banking & Finance, Elsevier (2008)
by Alexander, Carol & Kaeck, Andreas
(ReDIF-article, eee:jbfina:v:32:y:2008:i:6:p:1008-1021) - Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions
Journal of Banking & Finance, Elsevier (2012)
by Kaeck, Andreas & Alexander, Carol
(ReDIF-article, eee:jbfina:v:36:y:2012:i:11:p:3110-3121) - Risk-adjusted valuation for real option decisions
Journal of Economic Behavior & Organization, Elsevier (2021)
by Alexander, Carol & Chen, Xi & Ward, Charles
(ReDIF-article, eee:jeborg:v:191:y:2021:i:c:p:1046-1064) - Diversification with volatility products
Journal of International Money and Finance, Elsevier (2016)
by Alexander, Carol & Korovilas, Dimitris & Kapraun, Julia
(ReDIF-article, eee:jimfin:v:65:y:2016:i:c:p:213-235) - Further properties of random orthogonal matrix simulation
Mathematics and Computers in Simulation (MATCOM), Elsevier (2012)
by Ledermann, Daniel & Alexander, Carol
(ReDIF-article, eee:matcom:v:83:y:2012:i:c:p:56-79) - Indexing, cointegration and equity market regimes
International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2005)
by Carol Alexander & Anca Dimitriu
(ReDIF-article, ijf:ijfiec:v:10:y:2005:i:3:p:213-231) - Seasonal unit roots in trade variables
Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (1997)
by Carol Alexander & Manuel Cantavella Jordá
(ReDIF-paper, ivi:wpasec:1997-13) - Normal mixture GARCH(1,1): applications to exchange rate modelling
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006)
by Emese Lazar & Carol Alexander
(ReDIF-article, jae:japmet:v:21:y:2006:i:3:p:307-336) - The Present and Future of Financial Risk Management
The Journal of Financial Econometrics, Society for Financial Econometrics (2005)
by Carol Alexander
(ReDIF-article, oup:jfinec:v:3:y:2005:i:1:p:3-25) - Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations
Oxford Economic Papers, Oxford University Press (1996)
by Alexander, C O & Ledermann, W
(ReDIF-article, oup:oxecpp:v:48:y:1996:i:2:p:242-53) - Bayesian Methods for Measuring Operational Risk
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2000)
by Carol Alexander
(ReDIF-paper, rdg:icmadp:icma-dp2000-02) - Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2000)
by Carol Alexander
(ReDIF-paper, rdg:icmadp:icma-dp2000-06) - Principal Component Analysis of Volatility Smiles and Skews
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading ()
by Carol Alexander
(ReDIF-paper, rdg:icmadp:icma-dp2000-10) - Cointegration and Asset Allocation: A New Fund Strategy
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2001)
by Carol Alexander & Ian Giblin & Wayne Weddington III
(ReDIF-paper, rdg:icmadp:icma-dp2001-03) - Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2001)
by Carol Alexander & Sujit Narayanan
(ReDIF-paper, rdg:icmadp:icma-dp2001-10) - Understanding the Internal Measurement Approach to Assessing Operational Risk Capital
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2001)
by Carol Alexander
(ReDIF-paper, rdg:icmadp:icma-dp2001-13) - Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2003)
by Carol Alexander & Anca Dimitriu
(ReDIF-paper, rdg:icmadp:icma-dp2003-02) - Statistical Properties of Forward Libor Rates
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2003)
by Carol Alexander & Dimitri Lvov
(ReDIF-paper, rdg:icmadp:icma-dp2003-03) - Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2002)
by Carol Alexander
(ReDIF-paper, rdg:icmadp:icma-dp2003-06) - Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2003)
by Carol Alexander & Anca Dimitriu
(ReDIF-paper, rdg:icmadp:icma-dp2003-08) - Bivariate Normal Mixture Spread Option Valuation
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2003)
by Carol Alexandra & Andrew Scourse
(ReDIF-paper, rdg:icmadp:icma-dp2003-15) - The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2004)
by Carol Alexander & Anca Dimitriu
(ReDIF-paper, rdg:icmadp:icma-dp2004-01) - A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2004)
by Carol Alexander & Anca Dimitriu
(ReDIF-paper, rdg:icmadp:icma-dp2004-03) - Hedging with Stochastic and Local Volatility
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2004)
by Carol Alexander & Leonardo M. Nogueira
(ReDIF-paper, rdg:icmadp:icma-dp2004-10) - The Spider in the Hedge
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2005)
by Carol Alexander & Andreza Barbosa
(ReDIF-paper, rdg:icmadp:icma-dp2005-05) - Detecting Switching Strategies in Equity Hedge Funds
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2005)
by Carol Alexander & Anca Dimitriu
(ReDIF-paper, rdg:icmadp:icma-dp2005-07) - Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2005)
by Carol Alexander & Andreza Barbosa
(ReDIF-paper, rdg:icmadp:icma-dp2005-16) - Hedging Options with Scale-Invariant Models
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2006)
by Carol Alexander & Leonardo M. Nogueira
(ReDIF-paper, rdg:icmadp:icma-dp2006-03) - Minimum Variance Hedging and Stock Index Market Efficiency
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2006)
by Carol Alexander & Andreza Barbosa
(ReDIF-paper, rdg:icmadp:icma-dp2006-04) - Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2006)
by Carol Alexander & Andreas Kaeck
(ReDIF-paper, rdg:icmadp:icma-dp2006-08) - Hedging and Cross-hedging ETFs
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2007)
by Carol Alexander & Andreza Barbosa
(ReDIF-paper, rdg:icmadp:icma-dp2007-01) - Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2007)
by Carol Alexander & Elizabeth Sheedy
(ReDIF-paper, rdg:icmadp:icma-dp2007-02) - Analytic Approximations for Spread Options
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2007)
by Carol Alexander & Aanand Venkatramanan
(ReDIF-paper, rdg:icmadp:icma-dp2007-11) - Markov Switching GARCH Diffusion
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2008)
by Carol Alexander & Emese Lazar
(ReDIF-paper, rdg:icmadp:icma-dp2008-01) - Stochastic Local Volatility
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2004)
by Carol Alexander & Leonardo Nogueira
(ReDIF-paper, rdg:icmadp:icma-dp2008-02) - Analytic Approximations for Multi-Asset Option Pricing
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2008)
by Carol Alexander & Aanand Venkatramanan
(ReDIF-paper, rdg:icmadp:icma-dp2009-05) - Analytic Approximations for Spread Options
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2007)
by Carol Alexander & Aanand Venkatramanan
(ReDIF-paper, rdg:icmadp:icma-dp2009-06) - Exact Moment Simulation using Random Orthogonal Matrices
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2009)
by Carol Alexander & Walter Ledermann & Daniel Ledermann
(ReDIF-paper, rdg:icmadp:icma-dp2009-09) - Does model fit matter for hedging? Evidence from FTSE 100 options
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2010)
by Carol Alexander & Andreas Kaeck
(ReDIF-paper, rdg:icmadp:icma-dp2010-05) - Stochastic Volatility Jump-Diffusions for Equity Index Dynamics
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2010)
by Andreas Kaeck & Carol Alexander
(ReDIF-paper, rdg:icmadp:icma-dp2010-06) - Endogenizing Model Risk to Quantile Estimates
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2010)
by Carol Alexander & Jose Maria Sarabia
(ReDIF-paper, rdg:icmadp:icma-dp2010-07) - Generalized Beta-Generated Distributions
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2010)
by Carol Alexander & Jose Maria Sarabia
(ReDIF-paper, rdg:icmadp:icma-dp2010-09) - Regime-Dependent Smile-Adjusted Delta Hedging
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2010)
by Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis
(ReDIF-paper, rdg:icmadp:icma-dp2010-10) - VIX Dynamics with Stochastic Volatility of Volatility
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2010)
by Andreas Kaeck & Carol Alexander
(ReDIF-paper, rdg:icmadp:icma-dp2010-11) - The Hazards of Volatility Diversification
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2011)
by Carol Alexander & Dimitris Korovilas
(ReDIF-paper, rdg:icmadp:icma-dp2011-04) - Generalized Beta-Generated Distributions
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2011)
by Carol Alexander & Gauss M. Cordeiro & Edwin M. M. Ortega & José MarÃa Sarabia
(ReDIF-paper, rdg:icmadp:icma-dp2011-05) - Analytic Moments for GARCH Processes
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2010)
by Carol Alexander & Emese Lazar & Silvia Stanescu
(ReDIF-paper, rdg:icmadp:icma-dp2011-07) - Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2011)
by Carol Alexander & Emese Lazar & Silvia Stanescu
(ReDIF-paper, rdg:icmadp:icma-dp2011-08) - Model Risk in Variance Swap Rates
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2011)
by Carol Alexander & Stamatis Leontsinis
(ReDIF-paper, rdg:icmadp:icma-dp2011-10) - The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2012)
by Carol Alexander & Marcel Prokopczuk & Anannit Sumawon
(ReDIF-paper, rdg:icmadp:icma-dp2012-01) - A General Approach to Real Option Valuation with Applications to Real Estate Investments
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2012)
by Carol Alexander & Xi Chen
(ReDIF-paper, rdg:icmadp:icma-dp2012-04) - Diversification of Equity with VIX Futures: Personal Views and Skewness Preference
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2012)
by Carol Alexander & Dimitris Korovilas
(ReDIF-paper, rdg:icmadp:icma-dp2012-07) - ROM Simulation: Applications to Stress Testing and VaR
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2012)
by Carol Alexander & Daniel Ledermann
(ReDIF-paper, rdg:icmadp:icma-dp2012-09) - Risk-adjusted Valuation of the Real Option to Invest
ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2014)
by Carol Alexander & Xi Chen
(ReDIF-paper, rdg:icmadp:icma-dp2014-19) - Seasonality and Cointegration of Regional House Prices in the UK
Urban Studies, Urban Studies Journal Limited (1994)
by Carol Alexander & Michael Barrow
(ReDIF-article, sae:urbstu:v:31:y:1994:i:10:p:1667-1689) - Model risk in real option valuation
Annals of Operations Research, Springer (2021)
by Carol Alexander & Xi Chen
(ReDIF-article, spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03273-4) - Assessment of Operational Risk Capital
Springer Books, Springer (2005)
by Carol Alexander
(ReDIF-chapter, spr:sprchp:978-3-540-26993-9_14) - Cofeatures in international bond and equity markets
Discussion Papers in Economics, Department of Economics, University of Sussex Business School (1994)
by Alexander, Carol
(ReDIF-paper, sus:susedp:0194) - Seasonal price movements and unit roots in Indonesian rice market integration
Discussion Papers in Economics, Department of Economics, University of Sussex Business School (1995)
by Alexander, Carol & John Wyeth
(ReDIF-paper, sus:susedp:0195) - Are foreign exchange markets really efficient?
Discussion Papers in Economics, Department of Economics, University of Sussex Business School (1992)
by Alexander, C O & A Johnson
(ReDIF-paper, sus:susedp:1092) - The changing relationship between productivity, wages and unemployment in the U.K
Discussion Papers in Economics, Department of Economics, University of Sussex Business School (1992)
by Alexander, C O
(ReDIF-paper, sus:susedp:1192) - Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations
Discussion Papers in Economics, Department of Economics, University of Sussex Business School (1994)
by Alexander, Carol & W Ledermann
(ReDIF-paper, sus:susedp:1294) - GARCH volatility models
Discussion Papers in Economics, Department of Economics, University of Sussex Business School (1992)
by Alexander, C O & N S Riyait
(ReDIF-paper, sus:susedp:1392) - Bargaining sets and bargaining solutions for firm-union negotiations
Discussion Papers in Economics, Department of Economics, University of Sussex Business School (1992)
by Alexander, C O & W Ledermann
(ReDIF-paper, sus:susedp:1492) - Common volatility in the foreign exchange market
Discussion Papers in Economics, Department of Economics, University of Sussex Business School (1993)
by Alexander, Carol
(ReDIF-paper, sus:susedp:493) - Closed Form Approximations for Spread Options
Applied Mathematical Finance, Taylor & Francis Journals (2011)
by Aanand Venkatramanan & Carol Alexander
(ReDIF-article, taf:apmtfi:v:18:y:2011:i:5:p:447-472) - The continuous limit of weak GARCH
Econometric Reviews, Taylor & Francis Journals (2021)
by Carol Alexander & Emese Lazar
(ReDIF-article, taf:emetrv:v:40:y:2021:i:2:p:197-216) - Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon
Journal of Development Studies, Taylor & Francis Journals (1995)
by Carol Alexander & John Wyeth
(ReDIF-article, taf:jdevst:v:32:y:1995:i:1:p:144-146) - Arithmetic variance swaps
Quantitative Finance, Taylor & Francis Journals (2017)
by Stamatis Leontsinis & Carol Alexander
(ReDIF-article, taf:quantf:v:17:y:2017:i:4:p:551-569) - A critical investigation of cryptocurrency data and analysis
Quantitative Finance, Taylor & Francis Journals (2020)
by C. Alexander & M. Dakos
(ReDIF-article, taf:quantf:v:20:y:2020:i:2:p:173-188) - Equity indexing: Optimize your passive investments
Quantitative Finance, Taylor & Francis Journals (2004)
by Carol Alexander & Anca Dimitriu
(ReDIF-article, taf:quantf:v:4:y:2004:i:3:p:30-33) - Bivariate normal mixture spread option valuation
Quantitative Finance, Taylor & Francis Journals (2004)
by Carol Alexander & Andrew Scourse
(ReDIF-article, taf:quantf:v:4:y:2004:i:6:p:637-648) - Model-free price hedge ratios for homogeneous claims on tradable assets
Quantitative Finance, Taylor & Francis Journals (2007)
by Carol Alexander & Leonardo Nogueira
(ReDIF-article, taf:quantf:v:7:y:2007:i:5:p:473-479) - Normal mixture GARCH(1,1): applications to exchange rate modelling
Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006)
by Carol Alexander & Emese Lazar
(ReDIF-article, wly:japmet:v:21:y:2006:i:3:p:307-336) - Model risk adjusted hedge ratios
Journal of Futures Markets, John Wiley & Sons, Ltd. (2009)
by Carol Alexander & Andreas Kaeck & Leonardo M. Nogueira
(ReDIF-article, wly:jfutmk:v:29:y:2009:i:11:p:1021-1049) - Regime‐dependent smile‐adjusted delta hedging
Journal of Futures Markets, John Wiley & Sons, Ltd. (2012)
by Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis
(ReDIF-article, wly:jfutmk:v:32:y:2012:i:3:p:203-229) - Does model fit matter for hedging? Evidence from FTSE 100 options
Journal of Futures Markets, John Wiley & Sons, Ltd. (2012)
by Carol Alexander & Andreas Kaeck
(ReDIF-article, wly:jfutmk:v:32:y:2012:i:7:p:609-638) - BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
Journal of Futures Markets, John Wiley & Sons, Ltd. (2020)
by Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn
(ReDIF-article, wly:jfutmk:v:40:y:2020:i:1:p:23-43) - Quantile Uncertainty and Value‐at‐Risk Model Risk
Risk Analysis, John Wiley & Sons (2012)
by Carol Alexander & José María Sarabia
(ReDIF-article, wly:riskan:v:32:y:2012:i:8:p:1293-1308) - Pricing And Hedging Convertible Bonds: Delayed Calls And Uncertain Volatility
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2006)
by Ali Bora Yiǧitbaşioǧlu & Carol Alexander
(ReDIF-article, wsi:ijtafx:v:09:y:2006:i:03:n:s0219024906003573)