Details about Carol Alexander

E-mail:
Homepage:	http://www.carolalexander.org
Workplace:	Department of Accounting and Finance, Sussex Business School, University of Sussex, (more information at EDIRC)

Access statistics for papers by Carol Alexander.

Last updated 2024-11-06. Update your information in the RePEc Author Service.

Short-id: pal264

---

Jump to Journal Articles Chapters

Working Papers

2022

1. Inverse and Quanto Inverse Options in a Black-Scholes World
   Papers, arXiv.org
2. Net Buying Pressure and the Information in Bitcoin Option Trades
   Papers, arXiv.org View citations (4)
   See also Journal Article Net buying pressure and the information in bitcoin option trades, Journal of Financial Markets, Elsevier (2023) View citations (4) (2023)

2021

3. Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules
   Papers, arXiv.org View citations (1)
   See also Journal Article Evaluating the discrimination ability of proper multi-variate scoring rules, Annals of Operations Research, Springer (2024) (2024)
4. Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading
   Papers, arXiv.org View citations (5)
5. Risk-Adjusted Valuation for Real Option Decisions
   Papers, arXiv.org View citations (2)
   See also Journal Article Risk-adjusted valuation for real option decisions, Journal of Economic Behavior & Organization, Elsevier (2021) View citations (2) (2021)
6. Targetting Kollo Skewness with Random Orthogonal Matrix Simulation
   Papers, arXiv.org
   See also Journal Article Targeting Kollo skewness with random orthogonal matrix simulation, European Journal of Operational Research, Elsevier (2022) (2022)
7. The Role of Binance in Bitcoin Volatility Transmission
   Papers, arXiv.org View citations (6)
   See also Journal Article The Role of Binance in Bitcoin Volatility Transmission, Applied Mathematical Finance, Taylor & Francis Journals (2022) View citations (5) (2022)

2018

8. Analytic Moments for GARCH Processes
   Papers, arXiv.org
   Also in ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2011) View citations (2)
9. Model Risk in Real Option Valuation
   Papers, arXiv.org
   See also Journal Article Model risk in real option valuation, Annals of Operations Research, Springer (2021) View citations (3) (2021)

2017

10. The Aggregation Property and its Applications to Realised Higher Moments
    Papers, arXiv.org

2016

11. Model-Free Discretisation-Invariant Swap Contracts
    Papers, arXiv.org View citations (2)
12. Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia
    Papers, arXiv.org
13. Tail Risk Premia for Long-Term Equity Investors
    Papers, arXiv.org View citations (4)

2014

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

2012

15. 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
16. Diversification of Equity with VIX Futures: Personal Views and Skewness Preference
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (6)
17. ROM Simulation: Applications to Stress Testing and VaR
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (7)
18. The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
    See also Journal Article The (de)merits of minimum-variance hedging: Application to the crack spread, Energy Economics, Elsevier (2013) View citations (31) (2013)

2011

19. 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
20. Generalized Beta-Generated Distributions
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
    Also in ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading (2010) View citations (5)
    See also Journal Article Generalized beta-generated distributions, Computational Statistics & Data Analysis, Elsevier (2012) View citations (38) (2012)
21. Model Risk in Variance Swap Rates
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
22. The Hazards of Volatility Diversification
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (8)

2010

23. Does model fit matter for hedging? Evidence from FTSE 100 options
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
    See also Journal Article Does model fit matter for hedging? Evidence from FTSE 100 options, Journal of Futures Markets, John Wiley & Sons, Ltd. (2012) View citations (5) (2012)
24. Endogenizing Model Risk to Quantile Estimates
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
25. Regime-Dependent Smile-Adjusted Delta Hedging
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
    See also Journal Article Regime‐dependent smile‐adjusted delta hedging, Journal of Futures Markets, John Wiley & Sons, Ltd. (2012) View citations (7) (2012)
26. Stochastic Volatility Jump-Diffusions for Equity Index Dynamics
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
27. VIX Dynamics with Stochastic Volatility of Volatility
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (7)

2009

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

2008

31. Markov Switching GARCH Diffusion
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
32. Stochastic Local Volatility
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (4)

2007

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

2006

35. Hedging Options with Scale-Invariant Models
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
36. Minimum Variance Hedging and Stock Index Market Efficiency
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
37. Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (6)

2005

38. Detecting Switching Strategies in Equity Hedge Funds
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (5)
39. 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 View citations (1)
40. The Spider in the Hedge
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (7)

2004

41. A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (3)
42. Hedging with Stochastic and Local Volatility
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (3)
43. The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (11)

2003

44. Bivariate Normal Mixture Spread Option Valuation
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (3)
    See also Journal Article Bivariate normal mixture spread option valuation, Quantitative Finance, Taylor & Francis Journals (2004) View citations (4) (2004)
45. 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 View citations (7)
46. Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading
47. 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 View citations (1)
48. Statistical Properties of Forward Libor Rates
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (5)

2001

49. Cointegration and Asset Allocation: A New Fund Strategy
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (2)
50. 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 View citations (6)
51. Understanding the Internal Measurement Approach to Assessing Operational Risk Capital
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading

2000

52. Bayesian Methods for Measuring Operational Risk
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)
53. Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (15)
54. Principal Component Analysis of Volatility Smiles and Skews
    ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading View citations (1)

1997

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

1995

56. Seasonal price movements and unit roots in Indonesian rice market integration
    Discussion Papers in Economics, Department of Economics, University of Sussex Business School View citations (3)

1994

57. 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 View citations (1)
    See also Journal Article Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations, Oxford Economic Papers, Oxford University Press (1996) View citations (7) (1996)
58. Cofeatures in international bond and equity markets
    Discussion Papers in Economics, Department of Economics, University of Sussex Business School

1993

59. Common volatility in the foreign exchange market
    Discussion Papers in Economics, Department of Economics, University of Sussex Business School View citations (2)

Journal Articles

2024

1. Evaluating the discrimination ability of proper multi-variate scoring rules
   Annals of Operations Research, 2024, 334, (1), 857-883
   See also Working Paper Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules, Papers (2021) View citations (1) (2021)
2. Matching Kollo measures
   Journal of the Operational Research Society, 2024, 75, (7), 1279-1293

2023

3. Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios
   Quantitative Finance, 2023, 23, (3), 393-427 View citations (1)
4. Crypto quanto and inverse options
   Mathematical Finance, 2023, 33, (4), 1005-1043
5. Delta hedging bitcoin options with a smile
   Quantitative Finance, 2023, 23, (5), 799-817 View citations (6)
6. Hedging with automatic liquidation and leverage selection on bitcoin futures
   European Journal of Operational Research, 2023, 306, (1), 478-493 View citations (3)
7. Net buying pressure and the information in bitcoin option trades
   Journal of Financial Markets, 2023, 63, (C) View citations (4)
   See also Working Paper Net Buying Pressure and the Information in Bitcoin Option Trades, Papers (2022) View citations (4) (2022)
8. Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models
   International Journal of Forecasting, 2023, 39, (3), 1078-1096

2022

9. Targeting Kollo skewness with random orthogonal matrix simulation
   European Journal of Operational Research, 2022, 299, (1), 362-376
   See also Working Paper Targetting Kollo Skewness with Random Orthogonal Matrix Simulation, Papers (2021) (2021)
10. The Role of Binance in Bitcoin Volatility Transmission
    Applied Mathematical Finance, 2022, 29, (1), 1-32 View citations (5)
    See also Working Paper The Role of Binance in Bitcoin Volatility Transmission, Papers (2021) View citations (6) (2021)

2021

11. A general property for time aggregation
    European Journal of Operational Research, 2021, 291, (2), 536-548
12. Analytic moments for GJR-GARCH (1, 1) processes
    International Journal of Forecasting, 2021, 37, (1), 105-124 View citations (5)
13. Model risk in real option valuation
    Annals of Operations Research, 2021, 299, (1), 1025-1056 View citations (3)
    See also Working Paper Model Risk in Real Option Valuation, Papers (2018) (2018)
14. Risk-adjusted valuation for real option decisions
    Journal of Economic Behavior & Organization, 2021, 191, (C), 1046-1064 View citations (2)
    See also Working Paper Risk-Adjusted Valuation for Real Option Decisions, Papers (2021) View citations (2) (2021)
15. The continuous limit of weak GARCH
    Econometric Reviews, 2021, 40, (2), 197-216

2020

16. A critical investigation of cryptocurrency data and analysis
    Quantitative Finance, 2020, 20, (2), 173-188 View citations (73)
17. BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness
    Journal of Futures Markets, 2020, 40, (1), 23-43 View citations (47)
18. Price discovery and microstructure in ether spot and derivative markets
    International Review of Financial Analysis, 2020, 71, (C) View citations (14)
19. Price discovery in Bitcoin: The impact of unregulated markets
    Journal of Financial Stability, 2020, 50, (C) View citations (37)

2019

20. A parsimonious parametric model for generating margin requirements for futures
    European Journal of Operational Research, 2019, 273, (1), 31-43 View citations (7)

2017

21. Arithmetic variance swaps
    Quantitative Finance, 2017, 17, (4), 551-569 View citations (3)

2016

22. Diversification with volatility products
    Journal of International Money and Finance, 2016, 65, (C), 213-235 View citations (17)

2015

23. Trading and Investing in Volatility Products
    Financial Markets, Institutions & Instruments, 2015, 24, (4), 313-347

2013

24. Continuous-time VIX dynamics: On the role of stochastic volatility of volatility
    International Review of Financial Analysis, 2013, 28, (C), 46-56 View citations (29)
25. Forecasting VaR using analytic higher moments for GARCH processes
    International Review of Financial Analysis, 2013, 30, (C), 36-45 View citations (13)
26. Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics
    European Financial Management, 2013, 19, (3), 470-496 View citations (14)
27. The (de)merits of minimum-variance hedging: Application to the crack spread
    Energy Economics, 2013, 36, (C), 698-707 View citations (31)
    See also Working Paper The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread, ICMA Centre Discussion Papers in Finance (2012) View citations (1) (2012)

2012

28. Does model fit matter for hedging? Evidence from FTSE 100 options
    Journal of Futures Markets, 2012, 32, (7), 609-638 View citations (5)
    See also Working Paper Does model fit matter for hedging? Evidence from FTSE 100 options, ICMA Centre Discussion Papers in Finance (2010) (2010)
29. Further properties of random orthogonal matrix simulation
    Mathematics and Computers in Simulation (MATCOM), 2012, 83, (C), 56-79 View citations (4)
30. Generalized beta-generated distributions
    Computational Statistics & Data Analysis, 2012, 56, (6), 1880-1897 View citations (38)
    See also Working Paper Generalized Beta-Generated Distributions, ICMA Centre Discussion Papers in Finance (2011) View citations (1) (2011)
31. Quantile Uncertainty and Value‐at‐Risk Model Risk
    Risk Analysis, 2012, 32, (8), 1293-1308 View citations (13)
32. Regime‐dependent smile‐adjusted delta hedging
    Journal of Futures Markets, 2012, 32, (3), 203-229 View citations (7)
    See also Working Paper Regime-Dependent Smile-Adjusted Delta Hedging, ICMA Centre Discussion Papers in Finance (2010) (2010)
33. 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 View citations (42)

2011

34. Closed Form Approximations for Spread Options
    Applied Mathematical Finance, 2011, 18, (5), 447-472 View citations (14)

2009

35. Model risk adjusted hedge ratios
    Journal of Futures Markets, 2009, 29, (11), 1021-1049 View citations (8)
36. Modelling Regime‐Specific Stock Price Volatility*
    Oxford Bulletin of Economics and Statistics, 2009, 71, (6), 761-797 View citations (19)

2008

37. Developing a stress testing framework based on market risk models
    Journal of Banking & Finance, 2008, 32, (10), 2220-2236 View citations (36)
38. Hedging index exchange traded funds
    Journal of Banking & Finance, 2008, 32, (2), 326-337 View citations (29)
39. Regime dependent determinants of credit default swap spreads
    Journal of Banking & Finance, 2008, 32, (6), 1008-1021 View citations (149)

2007

40. Model-free hedge ratios and scale-invariant models
    Journal of Banking & Finance, 2007, 31, (6), 1839-1861 View citations (24)
41. Model-free price hedge ratios for homogeneous claims on tradable assets
    Quantitative Finance, 2007, 7, (5), 473-479 View citations (4)

2006

42. Normal mixture GARCH(1,1): applications to exchange rate modelling
    Journal of Applied Econometrics, 2006, 21, (3), 307-336 View citations (19)
    Also in Journal of Applied Econometrics, 2006, 21, (3), 307-336 (2006) View citations (86)
43. PRICING AND HEDGING CONVERTIBLE BONDS: DELAYED CALLS AND UNCERTAIN VOLATILITY
    International Journal of Theoretical and Applied Finance (IJTAF), 2006, 09, (03), 415-453 View citations (2)

2005

44. Indexing, cointegration and equity market regimes
    International Journal of Finance & Economics, 2005, 10, (3), 213-231 View citations (28)
45. The Present and Future of Financial Risk Management
    Journal of Financial Econometrics, 2005, 3, (1), 3-25 View citations (16)

2004

46. Bivariate normal mixture spread option valuation
    Quantitative Finance, 2004, 4, (6), 637-648 View citations (4)
    See also Working Paper Bivariate Normal Mixture Spread Option Valuation, ICMA Centre Discussion Papers in Finance (2003) View citations (3) (2003)
47. Equity indexing: Optimize your passive investments
    Quantitative Finance, 2004, 4, (3), 30-33 View citations (4)
48. Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects
    Journal of Banking & Finance, 2004, 28, (12), 2957-2980 View citations (27)

2002

49. Principal Component Models for Generating Large GARCH Covariance Matrices
    Economic Notes, 2002, 31, (2), 337-359 View citations (46)

1996

50. Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations
    Oxford Economic Papers, 1996, 48, (2), 242-53 View citations (7)
    See also Working Paper Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations, Discussion Papers in Economics (1994) View citations (1) (1994)

1995

51. Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon
    Journal of Development Studies, 1995, 32, (1), 144-146 View citations (3)

1994

52. Seasonality and Cointegration of Regional House Prices in the UK
    Urban Studies, 1994, 31, (10), 1667-1689 View citations (93)

1993

53. The Changing Relationship between Productivity, Wages and Unemployment in the UK
    Oxford Bulletin of Economics and Statistics, 1993, 55, (1), 87-102 View citations (16)

1992

54. Are foreign exchange markets really efficient?
    Economics Letters, 1992, 40, (4), 449-453 View citations (16)

Chapters

2005

1. Assessment of Operational Risk Capital
   Springer View citations (1)