Vitali Alexeev

Names

Identifer

Contact

Affiliations

• University of Technology Sydney / Business School / Finance Discipline Group (weight: 80%)
  • EDIRC entry
  • location:
• University of Guelph / Gordon Lang School of Business and Economics / Department of Economics and Finance (weight: 10%)
  • EDIRC entry
  • location:
• University of Tasmania / Tasmanian School of Business and Economics / School of Economics and Finance (weight: 10%)
  • EDIRC entry
  • location:

Research profile

author of:

• Modelling Financial Contagion Using High Frequency Data (RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330)
  by Wenying Yao & Mardi Dungey & Vitali Alexeev
• Biases in variance of decomposed portfolio returns (RePEc:bla:irvfin:v:21:y:2021:i:4:p:1152-1178)
  by Vitali Alexeev & Katja Ignatieva
• Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals (RePEc:bpj:sndecm:v:25:y:2021:i:2:p:20:n:1)
  by Alexeev Vitali & Ignatieva Katja & Liyanage Thusitha
• Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging (RePEc:bpj:sndecm:v:27:y:2023:i:5:p:733-763:n:1)
  by Alexeev Vitali & Chen Jun & Ignatieva Katja
• Localized level crossing random walk test robust to the presence of structural breaks (RePEc:eee:csdana:v:56:y:2012:i:11:p:3322-3344)
  by Alexeev, Vitali & Maynard, Alex
• Testing weak form efficiency on the Toronto Stock Exchange (RePEc:eee:empfin:v:18:y:2011:i:4:p:661-691)
  by Alexeev, Vitali & Tapon, Francis
• Time-varying continuous and jump betas: The role of firm characteristics and periods of stress (RePEc:eee:empfin:v:40:y:2017:i:c:p:1-19)
  by Alexeev, Vitali & Dungey, Mardi & Yao, Wenying
• Sensitivity to sentiment: News vs social media (RePEc:eee:finana:v:67:y:2020:i:c:s105752191930273x)
  by Gan, Baoqing & Alexeev, Vitali & Bird, Ron & Yeung, Danny
• Predictive blends: Fundamental Indexing meets Markowitz (RePEc:eee:jbfina:v:100:y:2019:i:c:p:28-42)
  by Pysarenko, Sergiy & Alexeev, Vitali & Tapon, Francis
• Asymmetric jump beta estimation with implications for portfolio risk management (RePEc:eee:reveco:v:62:y:2019:i:c:p:20-40)
  by Alexeev, Vitali & Urga, Giovanni & Yao, Wenying
• Continuous and Jump Betas: Implications for Portfolio Diversification (RePEc:gam:jecnmx:v:4:y:2016:i:2:p:27-:d:71231)
  by Vitali Alexeev & Mardi Dungey & Wenying Yao
• Non-Standard Errors (RePEc:grz:wpsses:2021-08)
  by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Díaz & Menachem Abudy & To
• Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks (RePEc:gue:guelph:2010-01.)
  by Vitali Alexeev & Alex Maynard
• Testing Weak Form Efficiency on the Toronto Stock Exchange (RePEc:gue:guelph:2010-02.)
  by Vitali Alexeev & Francis Tapon
• Non-Standard Errors (RePEc:hal:cesptp:halshs-03500882)
  by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí
• Non-Standard Errors (RePEc:hal:journl:halshs-03500882)
  by Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí
• Non-Standard Errors (RePEc:hhs:lunewp:2021_017)
  by Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena
• Non-Standard Errors (RePEc:inn:wpaper:2021-31)
  by Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi
• Concurrent momentum and contrarian strategies in the Australian stock market (RePEc:sae:ausman:v:41:y:2016:i:1:p:77-106)
  by Minh Phuong Doan & Vitali Alexeev & Robert Brooks
• Exchange rate risk exposure and the value of European firms (RePEc:taf:eurjfi:v:23:y:2017:i:2:p:111-129)
  by Fabio Parlapiano & Vitali Alexeev & Mardi Dungey
• Equity portfolio diversification with high frequency data (RePEc:taf:quantf:v:15:y:2015:i:7:p:1205-1215)
  by Vitali Alexeev & Mardi Dungey
• Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets (RePEc:tas:wpaper:17313)
  by Alexeev, Vitali & Tapon, Francis
• What Australian investors need to know to diversity their portfolios (RePEc:tas:wpaper:17314)
  by Alexeev, Vitali & Tapon, Francis
• Equity portfolio diversification with high frequency data (RePEc:tas:wpaper:17316)
  by Alexeev, Vitali & Dungey, Mardi
• Concurrent momentum and contrarian strategies in the Australian stock market (RePEc:tas:wpaper:17830)
  by Doan, Minh Phuong & Alexeev, Vitali & Brooks, Robert
• How many stocks are enough for diversifying Canadian institutional portfolios? (RePEc:tas:wpaper:17836)
  by Alexeev, Vitali & Tapon, Francis
• Exchange Rate Risk Exposure and the Value of European Firms (RePEc:tas:wpaper:201209)
  by Parlapiano, Fabio & Alexeev, Vitali
• Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios? (RePEc:uts:ppaper:2014-3)
  by Vitali Alexeev & Francis Tapon
• The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets (RePEc:uts:ppaper:2014-4)
  by Vitali Alexeev & Francis Tapon