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Details about Vitali Alexeev

E-mail:
Homepage:http://valexeev.yolasite.com/
Postal address:UTS Business School University of Technology Sydney PO Box 123 Broadway NSW 2007 Australia
Workplace:Finance Discipline Group, Business School, University of Technology Sydney, (more information at EDIRC)
School of Economics and Finance, Tasmanian School of Business and Economics, University of Tasmania, (more information at EDIRC)
Department of Economics and Finance, Gordon Lang School of Business and Economics, University of Guelph, (more information at EDIRC)

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

  1. Non-Standard Errors
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) Downloads View citations (1)
    Working Paper Series, Social and Economic Sciences, Faculty of Social and Economic Sciences, Karl-Franzens-University Graz (2021) Downloads View citations (1)
    Post-Print, HAL (2021) Downloads

2014

  1. Concurrent momentum and contrarian strategies in the Australian stock market
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (4)
    See also Journal Article in Australian Journal of Management (2016)
  2. 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)
  3. How many stocks are enough for diversifying Canadian institutional portfolios?
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (1)
  4. 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 Downloads View citations (2)

2013

  1. Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (5)
  2. Equity portfolio diversification with high frequency data
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (1)
    See also Journal Article in Quantitative Finance (2015)
  3. What Australian investors need to know to diversity their portfolios
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads

2012

  1. Exchange Rate Risk Exposure and the Value of European Firms
    Working Papers, University of Tasmania, Tasmanian School of Business and Economics Downloads View citations (4)
    See also Journal Article in The European Journal of Finance (2017)

2010

  1. Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks
    Working Papers, University of Guelph, Department of Economics and Finance Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  2. 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 Downloads
  2. Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals
    Studies in Nonlinear Dynamics & Econometrics, 2021, 25, (2), 20 Downloads View citations (1)

2020

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

2019

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

2017

  1. Exchange rate risk exposure and the value of European firms
    The European Journal of Finance, 2017, 23, (2), 111-129 Downloads View citations (14)
    See also Working Paper (2012)
  2. Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
    Journal of Empirical Finance, 2017, 40, (C), 1-19 Downloads View citations (15)

2016

  1. Concurrent momentum and contrarian strategies in the Australian stock market
    Australian Journal of Management, 2016, 41, (1), 77-106 Downloads View citations (2)
    See also Working Paper (2014)
  2. Continuous and Jump Betas: Implications for Portfolio Diversification
    Econometrics, 2016, 4, (2), 1-15 Downloads View citations (3)

2015

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

2012

  1. Localized level crossing random walk test robust to the presence of structural breaks
    Computational Statistics & Data Analysis, 2012, 56, (11), 3322-3344 Downloads View citations (1)
    See also Working Paper (2010)

2011

  1. Testing weak form efficiency on the Toronto Stock Exchange
    Journal of Empirical Finance, 2011, 18, (4), 661-691 Downloads View citations (23)
    See also Working Paper (2010)
 
Page updated 2023-05-28