Details about Vitali Alexeev

Access statistics for papers by Vitali Alexeev.

Last updated 2025-01-14. Update your information in the RePEc Author Service.

Short-id: pal430

Working Papers

2024

1. Nonstandard Errors
   Post-Print, HAL View citations (2)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024) View citations (2)
   Post-Print, HAL (2021)
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
   Working Papers, Lund University, Department of Economics (2021)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2021)
   See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) View citations (2) (2024)

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 Concurrent momentum and contrarian strategies in the Australian stock market, Australian Journal of Management, Australian School of Business (2016) View citations (5) (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 (2)
4. How many stocks are enough for diversifying Canadian institutional portfolios?
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (2)
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 (3)

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 (9)
7. Equity portfolio diversification with high frequency data
   Working Papers, University of Tasmania, Tasmanian School of Business and Economics View citations (2)
   See also Journal Article Equity portfolio diversification with high frequency data, Quantitative Finance, Taylor & Francis Journals (2015) View citations (8) (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 Exchange rate risk exposure and the value of European firms, The European Journal of Finance, Taylor & Francis Journals (2017) View citations (14) (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 Localized level crossing random walk test robust to the presence of structural breaks, Computational Statistics & Data Analysis, Elsevier (2012) View citations (1) (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 Testing weak form efficiency on the Toronto Stock Exchange, Journal of Empirical Finance, Elsevier (2011) View citations (29) (2011)

Journal Articles

2024

1. Nonstandard Errors
   Journal of Finance, 2024, 79, (3), 2339-2390 View citations (2)
   See also Working Paper Nonstandard Errors, Post-Print (2024) View citations (2) (2024)

2023

2. Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging
   Studies in Nonlinear Dynamics & Econometrics, 2023, 27, (5), 733-763

2021

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

2020

5. Modelling Financial Contagion Using High Frequency Data
   The Economic Record, 2020, 96, (314), 314-330 View citations (1)
6. Sensitivity to sentiment: News vs social media
   International Review of Financial Analysis, 2020, 67, (C) View citations (32)

2019

7. Asymmetric jump beta estimation with implications for portfolio risk management
   International Review of Economics & Finance, 2019, 62, (C), 20-40 View citations (7)
8. Predictive blends: Fundamental Indexing meets Markowitz
   Journal of Banking & Finance, 2019, 100, (C), 28-42

2017

9. 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 Exchange Rate Risk Exposure and the Value of European Firms, Working Papers (2012) View citations (4) (2012)
10. 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 (20)

2016

11. Concurrent momentum and contrarian strategies in the Australian stock market
    Australian Journal of Management, 2016, 41, (1), 77-106 View citations (5)
    See also Working Paper Concurrent momentum and contrarian strategies in the Australian stock market, Working Papers (2014) View citations (4) (2014)
12. Continuous and Jump Betas: Implications for Portfolio Diversification
    Econometrics, 2016, 4, (2), 1-15 View citations (5)

2015

13. Equity portfolio diversification with high frequency data
    Quantitative Finance, 2015, 15, (7), 1205-1215 View citations (8)
    See also Working Paper Equity portfolio diversification with high frequency data, Working Papers (2013) View citations (2) (2013)

2012

14. 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 Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks, Working Papers (2010) (2010)

2011

15. Testing weak form efficiency on the Toronto Stock Exchange
    Journal of Empirical Finance, 2011, 18, (4), 661-691 View citations (29)
    See also Working Paper Testing Weak Form Efficiency on the Toronto Stock Exchange, Working Papers (2010) View citations (1) (2010)