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

Working Papers

2021

1. 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

2. 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)
3. 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)
4. How many stocks are enough for diversifying Canadian institutional portfolios?
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (1)
5. 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

6. 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)
7. 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)
8. What Australian investors need to know to diversity their portfolios
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics

2012

9. 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

10. 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)
11. 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

1. Biases in variance of decomposed portfolio returns
   International Review of Finance, 2021, 21, (4), 1152-1178
2. Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals
   Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (2), 20 View citations (1)

2020

3. Modelling Financial Contagion Using High Frequency Data
   The Economic Record, 2020, 96, (314), 314-330
4. Sensitivity to sentiment: News vs social media
   International Review of Financial Analysis, 2020, 67, (C) View citations (18)

2019

5. Asymmetric jump beta estimation with implications for portfolio risk management
   International Review of Economics & Finance, 2019, 62, (C), 20-40 View citations (3)
6. Predictive blends: Fundamental Indexing meets Markowitz
   Journal of Banking & Finance, 2019, 100, (C), 28-42

2017

7. 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)
8. 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

9. 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)
10. Continuous and Jump Betas: Implications for Portfolio Diversification
    Econometrics, 2016, 4, (2), 1-15 View citations (3)

2015

11. Equity portfolio diversification with high frequency data
    Quantitative Finance, 2015, 15, (7), 1205-1215 View citations (5)
    See also Working Paper (2013)

2012

12. 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

13. 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)