Details about Vitali Alexeev
Access statistics for papers by Vitali Alexeev.
Last updated 2022-04-06. Update your information in the RePEc Author Service.
Short-id: pal430
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Working Papers
2021
- Non-Standard Errors
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL 
Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (1) Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) View citations (1) Post-Print, HAL (2021)
2014
- Concurrent momentum and contrarian strategies in the Australian stock market
Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (4)
See also Journal Article in Australian Journal of Management (2016)
- Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios?
Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (1)
- How many stocks are enough for diversifying Canadian institutional portfolios?
Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (1)
- The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets
Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney View citations (2)
2013
- Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets
Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (5)
- Equity portfolio diversification with high frequency data
Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (1)
See also Journal Article in Quantitative Finance (2015)
- What Australian investors need to know to diversity their portfolios
Working Papers, University of Tasmania, Tasmanian School of Business and Economics
2012
- Exchange Rate Risk Exposure and the Value of European Firms
Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (4)
See also Journal Article in The European Journal of Finance (2017)
2010
- Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks
Working Papers, University of Guelph, Department of Economics and Finance 
See also Journal Article in Computational Statistics & Data Analysis (2012)
- Testing Weak Form Efficiency on the Toronto Stock Exchange
Working Papers, University of Guelph, Department of Economics and Finance View citations (1)
See also Journal Article in Journal of Empirical Finance (2011)
Journal Articles
2021
- Biases in variance of decomposed portfolio returns
International Review of Finance, 2021, 21, (4), 1152-1178
- Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals
Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (2), 20 View citations (1)
2020
- Modelling Financial Contagion Using High Frequency Data
The Economic Record, 2020, 96, (314), 314-330
- Sensitivity to sentiment: News vs social media
International Review of Financial Analysis, 2020, 67, (C) View citations (18)
2019
- Asymmetric jump beta estimation with implications for portfolio risk management
International Review of Economics & Finance, 2019, 62, (C), 20-40 View citations (3)
- Predictive blends: Fundamental Indexing meets Markowitz
Journal of Banking & Finance, 2019, 100, (C), 28-42
2017
- Exchange rate risk exposure and the value of European firms
The European Journal of Finance, 2017, 23, (2), 111-129 View citations (14)
See also Working Paper (2012)
- Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
Journal of Empirical Finance, 2017, 40, (C), 1-19 View citations (15)
2016
- Concurrent momentum and contrarian strategies in the Australian stock market
Australian Journal of Management, 2016, 41, (1), 77-106 View citations (2)
See also Working Paper (2014)
- Continuous and Jump Betas: Implications for Portfolio Diversification
Econometrics, 2016, 4, (2), 1-15 View citations (3)
2015
- Equity portfolio diversification with high frequency data
Quantitative Finance, 2015, 15, (7), 1205-1215 View citations (5)
See also Working Paper (2013)
2012
- Localized level crossing random walk test robust to the presence of structural breaks
Computational Statistics & Data Analysis, 2012, 56, (11), 3322-3344 View citations (1)
See also Working Paper (2010)
2011
- Testing weak form efficiency on the Toronto Stock Exchange
Journal of Empirical Finance, 2011, 18, (4), 661-691 View citations (23)
See also Working Paper (2010)
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