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Details about Carol Alexander

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Homepage:http://www.carolalexander.org
Workplace:Department of Business and Management, School of Business, Management and Economics, University of Sussex, (more information at EDIRC)

Access statistics for papers by Carol Alexander.

Last updated 2015-06-12. Update your information in the RePEc Author Service.

Short-id: pal264


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Working Papers

2016

  1. Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia
    Papers, arXiv.org Downloads

2014

  1. Risk-adjusted Valuation of the Real Option to Invest
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2012

  1. A General Approach to Real Option Valuation with Applications to Real Estate Investments
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Diversification of Equity with VIX Futures: Personal Views and Skewness Preference
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)
  3. ROM Simulation: Applications to Stress Testing and VaR
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  4. The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
    See also Journal Article in Energy Economics (2013)

2011

  1. Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Analytic Moments for GARCH Processes
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Generalized Beta-Generated Distributions
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    Also in ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University (2010) Downloads View citations (1)

    See also Journal Article in Computational Statistics & Data Analysis (2012)
  4. Model Risk in Variance Swap Rates
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  5. The Hazards of Volatility Diversification
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2010

  1. Does model fit matter for hedging? Evidence from FTSE 100 options
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of Futures Markets (2012)
  2. Endogenizing Model Risk to Quantile Estimates
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Regime-Dependent Smile-Adjusted Delta Hedging
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
    See also Journal Article in Journal of Futures Markets (2012)
  4. Stochastic Volatility Jump-Diffusions for Equity Index Dynamics
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  5. VIX Dynamics with Stochastic Volatility of Volatility
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)

2009

  1. Analytic Approximations for Multi-Asset Option Pricing
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  2. Analytic Approximations for Spread Options
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
    Also in ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University (2007) Downloads View citations (1)
  3. Exact Moment Simulation using Random Orthogonal Matrices
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2008

  1. Markov Switching GARCH Diffusion
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  2. Stochastic Local Volatility
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (3)

2007

  1. Hedging and Cross-hedging ETFs
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)

2006

  1. Hedging Options with Scale-Invariant Models
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  2. Minimum Variance Hedging and Stock Index Market Efficiency
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  3. Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (3)

2005

  1. Detecting Switching Strategies in Equity Hedge Funds
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (4)
  2. 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, Reading University Downloads
  3. The Spider in the Hedge
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (4)

2004

  1. A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (2)
  2. Hedging with Stochastic and Local Volatility
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  3. The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (6)

2003

  1. Bivariate Normal Mixture Spread Option Valuation
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2004)
  2. Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (3)
  3. Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  4. Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  5. Statistical Properties of Forward Libor Rates
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (4)

2001

  1. Cointegration and Asset Allocation: A New Fund Strategy
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (1)
  2. Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (4)
  3. Understanding the Internal Measurement Approach to Assessing Operational Risk Capital
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

2000

  1. Bayesian Methods for Measuring Operational Risk
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads
  2. Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads View citations (8)
  3. Principal Component Analysis of Volatility Smiles and Skews
    ICMA Centre Discussion Papers in Finance, Henley Business School, Reading University Downloads

1997

  1. Seasonal unit roots in trade variables
    Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Downloads

Journal Articles

2013

  1. Continuous-time VIX dynamics: On the role of stochastic volatility of volatility
    International Review of Financial Analysis, 2013, 28, (C), 46-56 Downloads View citations (3)
  2. Forecasting VaR using analytic higher moments for GARCH processes
    International Review of Financial Analysis, 2013, 30, (C), 36-45 Downloads View citations (1)
  3. The (de)merits of minimum-variance hedging: Application to the crack spread
    Energy Economics, 2013, 36, (C), 698-707 Downloads View citations (4)
    See also Working Paper (2012)

2012

  1. Does model fit matter for hedging? Evidence from FTSE 100 options
    Journal of Futures Markets, 2012, 32, (7), 609-638
    See also Working Paper (2010)
  2. Further properties of random orthogonal matrix simulation
    Mathematics and Computers in Simulation (MATCOM), 2012, 83, (C), 56-79 Downloads View citations (1)
  3. Generalized beta-generated distributions
    Computational Statistics & Data Analysis, 2012, 56, (6), 1880-1897 Downloads View citations (6)
    See also Working Paper (2011)
  4. Regime‐dependent smile‐adjusted delta hedging
    Journal of Futures Markets, 2012, 32, (3), 203-229
    See also Working Paper (2010)
  5. Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions
    Journal of Banking & Finance, 2012, 36, (11), 3110-3121 Downloads View citations (9)

2011

  1. Closed Form Approximations for Spread Options
    Applied Mathematical Finance, 2011, 18, (5), 447-472 Downloads View citations (7)

2009

  1. Model risk adjusted hedge ratios
    Journal of Futures Markets, 2009, 29, (11), 1021-1049 Downloads
  2. Modelling Regime-Specific Stock Price Volatility
    Oxford Bulletin of Economics and Statistics, 2009, 71, (6), 761-797 Downloads View citations (8)

2008

  1. Developing a stress testing framework based on market risk models
    Journal of Banking & Finance, 2008, 32, (10), 2220-2236 Downloads View citations (24)
  2. Hedging index exchange traded funds
    Journal of Banking & Finance, 2008, 32, (2), 326-337 Downloads View citations (11)
  3. Regime dependent determinants of credit default swap spreads
    Journal of Banking & Finance, 2008, 32, (6), 1008-1021 Downloads View citations (76)

2007

  1. Model-free hedge ratios and scale-invariant models
    Journal of Banking & Finance, 2007, 31, (6), 1839-1861 Downloads View citations (9)
  2. Model-free price hedge ratios for homogeneous claims on tradable assets
    Quantitative Finance, 2007, 7, (5), 473-479 Downloads View citations (2)

2006

  1. Normal mixture GARCH(1,1): applications to exchange rate modelling
    Journal of Applied Econometrics, 2006, 21, (3), 307-336 Downloads View citations (53)

2005

  1. Indexing, cointegration and equity market regimes
    International Journal of Finance & Economics, 2005, 10, (3), 213-231 Downloads View citations (18)
  2. The Present and Future of Financial Risk Management
    Journal of Financial Econometrics, 2005, 3, (1), 3-25 Downloads View citations (8)

2004

  1. Bivariate normal mixture spread option valuation
    Quantitative Finance, 2004, 4, (6), 637-648 Downloads View citations (3)
    See also Working Paper (2003)
  2. Equity indexing: Optimize your passive investments
    Quantitative Finance, 2004, 4, (3), 30-33 Downloads View citations (2)
  3. Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects
    Journal of Banking & Finance, 2004, 28, (12), 2957-2980 Downloads View citations (15)

2002

  1. Principal Component Models for Generating Large GARCH Covariance Matrices
    Economic Notes, 2002, 31, (2), 337-359 Downloads View citations (5)

1996

  1. Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations
    Oxford Economic Papers, 1996, 48, (2), 242-53 Downloads View citations (2)

1994

  1. Seasonality and Cointegration of Regional House Prices in the UK
    Urban Studies, 1994, 31, (10), 1667-1689 Downloads View citations (12)

1993

  1. The Changing Relationship between Productivity, Wages and Unemployment in the UK
    Oxford Bulletin of Economics and Statistics, 1993, 55, (1), 87-102 View citations (7)

1992

  1. Are foreign exchange markets really efficient?
    Economics Letters, 1992, 40, (4), 449-453 Downloads View citations (14)
 
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