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Carol Alexander

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Carol Alexander & Daniel Heck & Andreas Kaeck, 2021. "The Role of Binance in Bitcoin Volatility Transmission," Papers 2107.00298, arXiv.org, revised Aug 2021.

    Cited by:

    1. Alexander, Carol & Deng, Jun & Feng, Jianfen & Wan, Huning, 2023. "Net buying pressure and the information in bitcoin option trades," Journal of Financial Markets, Elsevier, vol. 63(C).
    2. Carol Alexander & Jun Deng & Jianfen Feng & Huning Wan, 2021. "Net Buying Pressure and the Information in Bitcoin Option Trades," Papers 2109.02776, arXiv.org, revised Mar 2022.
    3. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2023. "Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model," Emerging Markets Review, Elsevier, vol. 56(C).
    4. Nadhira Khezami & Nourcherif Gharbi & Bilel Neji & Naceur Benhadj Braiek, 2022. "Blockchain Technology Implementation in the Energy Sector: Comprehensive Literature Review and Mapping," Sustainability, MDPI, vol. 14(23), pages 1-45, November.

  2. Carol Alexander & Jun Deng & Jianfen Feng & Huning Wan, 2021. "Net Buying Pressure and the Information in Bitcoin Option Trades," Papers 2109.02776, arXiv.org, revised Mar 2022.

    Cited by:

    1. Julian Winkel & Wolfgang Karl Härdle, 2023. "Pricing Kernels and Risk Premia implied in Bitcoin Options," Risks, MDPI, vol. 11(5), pages 1-18, April.
    2. Maik Schmeling & Andreas Schrimpf & Karamfil Todorov, 2023. "Crypto carry," BIS Working Papers 1087, Bank for International Settlements.

  3. Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.

    Cited by:

    1. Alexander, Carol & Deng, Jun & Feng, Jianfen & Wan, Huning, 2023. "Net buying pressure and the information in bitcoin option trades," Journal of Financial Markets, Elsevier, vol. 63(C).
    2. Dirk G. Baur & Lee A. Smales, 2022. "Trading behavior in bitcoin futures: Following the “smart money”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1304-1323, July.
    3. Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Härdle, 2023. "Hedging cryptocurrency options," Review of Derivatives Research, Springer, vol. 26(1), pages 91-133, April.
    4. Artem Lensky & Mingyu Hao, 2023. "Learning to Predict Short-Term Volatility with Order Flow Image Representation," Papers 2304.02472, arXiv.org, revised Mar 2024.
    5. Jovanka Lili Matic & Natalie Packham & Wolfgang Karl Hardle, 2021. "Hedging Cryptocurrency Options," Papers 2112.06807, arXiv.org, revised Dec 2022.

  4. Carol Alexander & Xi Chen & Charles Ward, 2021. "Risk-Adjusted Valuation for Real Option Decisions," Papers 2109.04793, arXiv.org.

    Cited by:

    1. Haktanır, Elif & Kahraman, Cengiz, 2023. "Intuitionistic fuzzy risk adjusted discount rate and certainty equivalent methods for risky projects," International Journal of Production Economics, Elsevier, vol. 257(C).
    2. Raisa Pérez-Vas & Javier Hervés-Estévez & María Dolores Garza Gil & Raquel Fernández-González, 2024. "Valuation of an innovative investment project using real options approach: A case study of a viticulture company in Spain," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 70(2), pages 91-100.

  5. Carol Alexander & Michael Coulon & Yang Han & Xiaochun Meng, 2021. "Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules," Papers 2101.12693, arXiv.org.

    Cited by:

    1. Panagiotelis, Anastasios & Gamakumara, Puwasala & Athanasopoulos, George & Hyndman, Rob J., 2023. "Probabilistic forecast reconciliation: Properties, evaluation and score optimisation," European Journal of Operational Research, Elsevier, vol. 306(2), pages 693-706.

  6. Carol Alexander & Xi Chen, 2018. "Model Risk in Real Option Valuation," Papers 1809.00817, arXiv.org, revised Sep 2018.

    Cited by:

    1. Alexander, Carol & Chen, Xi & Ward, Charles, 2021. "Risk-adjusted valuation for real option decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1046-1064.
    2. Mesias Alfeus & James Collins, 2023. "A novel stochastic modeling framework for coal production and logistics through options pricing analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-19, December.

  7. Carol Alexander & Emese Lazar & Silvia Stanescu, 2018. "Analytic Moments for GARCH Processes," Papers 1808.09666, arXiv.org, revised Sep 2018.

    Cited by:

    1. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013. "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 36-45.
    2. Carol Alexander & Emese Lazar & Silvia Stanescu, 2011. "Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL," ICMA Centre Discussion Papers in Finance icma-dp2011-08, Henley Business School, University of Reading.

  8. Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.

    Cited by:

    1. Brignone, Riccardo & Gonzato, Luca & Lütkebohmert, Eva, 2023. "Efficient Quasi-Bayesian Estimation of Affine Option Pricing Models Using Risk-Neutral Cumulants," Journal of Banking & Finance, Elsevier, vol. 148(C).
    2. Finta, Marinela Adriana & Aboura, Sofiane, 2020. "Risk premium spillovers among stock markets: Evidence from higher-order moments," Journal of Financial Markets, Elsevier, vol. 49(C).
    3. Carol Alexander & Johannes Rauch, 2016. "Model-Free Discretisation-Invariant Swap Contracts," Papers 1602.00235, arXiv.org, revised Apr 2016.
    4. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.

  9. Carol Alexander & Johannes Rauch, 2016. "Model-Free Discretisation-Invariant Swap Contracts," Papers 1602.00235, arXiv.org, revised Apr 2016.

    Cited by:

    1. Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.
    2. Cui, Zhenyu & Lars Kirkby, J. & Nguyen, Duy, 2017. "A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps," European Journal of Operational Research, Elsevier, vol. 262(1), pages 381-400.

  10. Carol Alexander & Dimitris Korovilas, 2012. "Diversification of Equity with VIX Futures: Personal Views and Skewness Preference," ICMA Centre Discussion Papers in Finance icma-dp2012-07, Henley Business School, University of Reading.

    Cited by:

    1. Bahaji, Hamza & Aberkane, Salah, 2016. "How rational could VIX investing be?," Economic Modelling, Elsevier, vol. 58(C), pages 556-568.
    2. Jędrzej Białkowski & Huong Dieu Dang & Xiaopeng Wei, 2017. "Does the Tail Wag the Dog? Evidence from Fund Flow to VIX ETFs and ETNs," Working Papers in Economics 17/17, University of Canterbury, Department of Economics and Finance.
    3. Sebastian A. Gehricke & Jin E. Zhang, 2018. "Modeling VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 958-976, August.
    4. Adrian Fernandez‐Perez & Bart Frijns & Ilnara Gafiatullina & Alireza Tourani‐Rad, 2018. "Determinants of intraday price discovery in VIX exchange traded notes," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(5), pages 535-548, May.
    5. Park, Yang-Ho, 2015. "Volatility-of-volatility and tail risk hedging returns," Journal of Financial Markets, Elsevier, vol. 26(C), pages 38-63.
    6. Taylor, Nick, 2019. "Forecasting returns in the VIX futures market," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1193-1210.

  11. Carol Alexander & Daniel Ledermann, 2012. "ROM Simulation: Applications to Stress Testing and VaR," ICMA Centre Discussion Papers in Finance icma-dp2012-09, Henley Business School, University of Reading.

    Cited by:

    1. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2015. "The Spectral Stress VaR (SSVaR)," Documents de travail du Centre d'Economie de la Sorbonne 15052, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    2. Dominique Gu�gan & Bertrand Hassani & Kehan Li, 2015. "The Spectral Stress VaR (SSVaR)," Working Papers 2015:17, Department of Economics, University of Venice "Ca' Foscari".
    3. Takashi Isogai, 2014. "Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution," Bank of Japan Working Paper Series 14-E-1, Bank of Japan.
    4. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2015. "The Spectral Stress VaR (SSVaR)," Post-Print halshs-01169537, HAL.
    5. Dominique Guegan & Bertrand K. Hassani & Kehan Li, 2015. "The Spectral Stress VaR (SSVaR)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01169537, HAL.
    6. Carol Alexander & Xiaochun Meng & Wei Wei, 2020. "Targetting Kollo Skewness with Random Orthogonal Matrix Simulation," Papers 2004.06586, arXiv.org, revised Sep 2021.
    7. Michal Kováč, 2018. "Comparison of stress testing models for regulatory purposes by institutions using the IRBA method [Porovnání stres test modelů pro regulatorní účely institucí využívajících IRBA metodu]," Český finanční a účetní časopis, Prague University of Economics and Business, vol. 2018(3), pages 41-56.

  12. Carol Alexander & Marcel Prokopczuk & Anannit Sumawon, 2012. "The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread," ICMA Centre Discussion Papers in Finance icma-dp2012-01, Henley Business School, University of Reading.

    Cited by:

    1. Shrestha, Keshab & Subramaniam, Ravichandran & Rassiah, Puspavathy, 2017. "Pure martingale and joint normality tests for energy futures contracts," Energy Economics, Elsevier, vol. 63(C), pages 174-184.
    2. Roncoroni, Andrea & Id Brik, Rachid, 2017. "Hedging size risk: Theory and application to the US gas market," Energy Economics, Elsevier, vol. 64(C), pages 415-437.
    3. Liu, Pan & Vedenov, Dmitry & Power, Gabriel J., 2017. "Is hedging the crack spread no longer all it's cracked up to be?," Energy Economics, Elsevier, vol. 63(C), pages 31-40.
    4. Markus Hang & Jerome Geyer-Klingeberg & Andreas W. Rathgeber & Clémence Alasseur & Lena Wichmann, 2021. "Interaction effects of corporate hedging activities for a multi-risk exposure: evidence from a quasi-natural experiment," Review of Quantitative Finance and Accounting, Springer, vol. 56(2), pages 789-818, February.
    5. Beatriz Martínez Martínez & Hipolit Torro Enguix, 2017. "Hedging spark spread risk with futures," Working Papers. Serie EC 2017-01, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    6. Power, Gabriel J. & Vedenov, Dmitry, 2023. "Who's afraid of a Texas hedge?," Energy Economics, Elsevier, vol. 127(PB).
    7. Shi, Ruoding & Isengildina Massa, Olga, 2018. "Double-Edged Sword: Liquidity Implications of Futures Hedging," 2018 Annual Meeting, August 5-7, Washington, D.C. 274106, Agricultural and Applied Economics Association.
    8. Martínez, Beatriz & Torró, Hipòlit, 2015. "European Natural Gas Seasonal Effects on Futures Hedging," Energy: Resources and Markets 198462, Fondazione Eni Enrico Mattei (FEEM).
    9. Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2019. "What is a better cross-hedge for energy: Equities or other commodities?," Global Finance Journal, Elsevier, vol. 42(C).
    10. Furió, Dolores & Torró, Hipòlit, 2020. "Optimal hedging under biased energy futures markets," Energy Economics, Elsevier, vol. 88(C).
    11. Beatriz Martínez & Hipòlit Torró, 2016. "Anatomy of Risk Premium in UK Natural Gas Futures," Working Papers 2016.06, Fondazione Eni Enrico Mattei.
    12. Cui, Yan & Feng, Yun, 2020. "Composite hedge and utility maximization for optimal futures hedging," International Review of Economics & Finance, Elsevier, vol. 68(C), pages 15-32.
    13. Fousekis, Panos & Grigoriadis, Vasilis, 2017. "Price co-movement and the crack spread in the US futures markets," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 57-71.
    14. Donald Lien & Ziling Wang & Xiaojian Yu, 2021. "Optimal quantile hedging under Markov regime switching," Empirical Economics, Springer, vol. 60(5), pages 2177-2201, May.
    15. Olson, Eric & Vivian, Andrew & Wohar, Mark E., 2017. "Do commodities make effective hedges for equity investors?," Research in International Business and Finance, Elsevier, vol. 42(C), pages 1274-1288.
    16. Cao, Min & Conlon, Thomas, 2023. "Composite jet fuel cross-hedging," Journal of Commodity Markets, Elsevier, vol. 30(C).
    17. Ewald, Christian-Oliver & Nawar, Roy & Siu, Tak Kuen, 2013. "Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance," Energy Economics, Elsevier, vol. 36(C), pages 97-107.
    18. Martínez, Beatriz & Torró, Hipòlit, 2018. "Analysis of risk premium in UK natural gas futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 621-636.
    19. Ubukata, Masato, 2018. "Dynamic hedging performance and downside risk: Evidence from Nikkei index futures," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 270-281.
    20. Hamed Ghoddusi & Franz Wirl, 2019. "A Risk-Hedging View to Refinery Capacity Investment," Working Papers 1327, Economic Research Forum, revised 21 Aug 2019.
    21. Shi, Ruoding & Isengildina Massa, Olga, 2022. "Costs of Futures Hedging in Corn and Soybean Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 47(2), May.
    22. Shrestha, Keshab & Subramaniam, Ravichandran & Peranginangin, Yessy & Philip, Sheena Sara Suresh, 2018. "Quantile hedge ratio for energy markets," Energy Economics, Elsevier, vol. 71(C), pages 253-272.
    23. Kunlapath Sukcharoen & Hankyeung Choi & David J. Leatham, 2015. "Optimal gasoline hedging strategies using futures contracts and exchange-traded funds," Applied Economics, Taylor & Francis Journals, vol. 47(32), pages 3482-3498, July.
    24. Vedenov, Dmitry & Power, Gabriel J., 2022. "We don't need no fancy hedges! Or do we?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    25. Spencer, Simon & Bredin, Don & Conlon, Thomas, 2018. "Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 1-20.
    26. Chen, Xiangyu & Tongurai, Jittima, 2021. "Cross-commodity hedging for illiquid futures: Evidence from China's base metal futures market," Global Finance Journal, Elsevier, vol. 49(C).
    27. Sukcharoen, Kunlapath & Leatham, David J., 2017. "Hedging downside risk of oil refineries: A vine copula approach," Energy Economics, Elsevier, vol. 66(C), pages 493-507.
    28. Chai, Shanglei & Zhou, P., 2018. "The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems," Energy Economics, Elsevier, vol. 76(C), pages 64-75.

  13. Carol Alexander & Stamatis Leontsinis, 2011. "Model Risk in Variance Swap Rates," ICMA Centre Discussion Papers in Finance icma-dp2011-10, Henley Business School, University of Reading.

    Cited by:

    1. Tsukahara, Fábio Yasuhiro & Kimura, Herbert & Sobreiro, Vinicius Amorim & Zambrano, Juan Carlos Arismendi, 2016. "Validation of default probability models: A stress testing approach," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 70-85.
    2. Kaeck, Andreas & Alexander, Carol, 2012. "Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3110-3121.

  14. Carol Alexander & Dimitris Korovilas, 2011. "The Hazards of Volatility Diversification," ICMA Centre Discussion Papers in Finance icma-dp2011-04, Henley Business School, University of Reading.

    Cited by:

    1. David E. Allen & Michael McAleer & Robert Powell & Abhay K. Singh, 2013. "A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500," JRFM, MDPI, vol. 6(1), pages 1-25, October.
    2. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
    3. Michał Latoszek & Robert Ślepaczuk, 2019. "Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor," Working Papers 2019-14, Faculty of Economic Sciences, University of Warsaw.
    4. Martin Wallmeier, 2011. "Beyond payoff diagrams: how to present risk and return characteristics of structured products," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(3), pages 313-338, September.
    5. Paweł Sakowski & Daria Turovtseva, 2020. "Does Bitcoin Improve Investment Portfolio Efficiency?," Working Papers 2020-42, Faculty of Economic Sciences, University of Warsaw.
    6. Juliusz Jablecki & Robert Slepaczuk & Ryszard Kokoszczynski & Pawel Sakowski & Piotr Wojcik, 2014. "Does historical VIX term structure contain valuable information for predicting VIX futures?," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 14, pages 5-28.
    7. Juliusz Jabłecki & Ryszard Kokoszczyński & Paweł Sakowski & Robert Ślepaczuk & Piotr Wójcik, 2014. "Does historical volatility term structure contain valuable in-formation for predicting volatility index futures?," Working Papers 2014-18, Faculty of Economic Sciences, University of Warsaw.

  15. Andreas Kaeck & Carol Alexander, 2010. "VIX Dynamics with Stochastic Volatility of Volatility," ICMA Centre Discussion Papers in Finance icma-dp2010-11, Henley Business School, University of Reading.

    Cited by:

    1. He, Xin-Jiang & Zhu, Song-Ping, 2016. "An analytical approximation formula for European option pricing under a new stochastic volatility model with regime-switching," Journal of Economic Dynamics and Control, Elsevier, vol. 71(C), pages 77-85.
    2. Xin Zang & Jun Ni & Jing-Zhi Huang & Lan Wu, 2015. "Double-jump stochastic volatility model for VIX: evidence from VVIX," Papers 1506.07554, arXiv.org, revised Jul 2015.
    3. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
    4. Sha Lin & Xin-Jiang He, 2022. "Analytically Pricing European Options under a New Two-Factor Heston Model with Regime Switching," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1069-1085, March.
    5. Alexander Badran & Beniamin Goldys, 2015. "A Market Model for VIX Futures," Papers 1504.00428, arXiv.org.
    6. Xin Zang & Jun Ni & Jing-Zhi Huang & Lan Wu, 2017. "Double-jump diffusion model for VIX: evidence from VVIX," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 227-240, February.
    7. Martin Gremm, 2015. "The Stress-Dependent Random Walk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(08), pages 1-16, December.

  16. Carol Alexander & Andreas Kaeck, 2010. "Does model fit matter for hedging? Evidence from FTSE 100 options," ICMA Centre Discussion Papers in Finance icma-dp2010-05, Henley Business School, University of Reading.

    Cited by:

    1. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    2. Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2019. "Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 109-127, January.
    3. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
    4. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.
    5. Maciej Augustyniak & Mathieu Boudreault, 2017. "Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(4), pages 502-525, October.

  17. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2010. "Regime-Dependent Smile-Adjusted Delta Hedging," ICMA Centre Discussion Papers in Finance icma-dp2010-10, Henley Business School, University of Reading.

    Cited by:

    1. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    2. Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023. "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, vol. 153(C).
    3. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
    4. Maciej Augustyniak & Mathieu Boudreault, 2017. "Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(4), pages 502-525, October.
    5. Hull, John & White, Alan, 2017. "Optimal delta hedging for options," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 180-190.
    6. Johannes Ruf & Weiguan Wang, 2020. "Hedging with Linear Regressions and Neural Networks," Papers 2004.08891, arXiv.org, revised Jun 2021.
    7. Roberto Daluiso & Marco Pinciroli & Michele Trapletti & Edoardo Vittori, 2023. "CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning," Papers 2312.14044, arXiv.org.

  18. Andreas Kaeck & Carol Alexander, 2010. "Stochastic Volatility Jump-Diffusions for Equity Index Dynamics," ICMA Centre Discussion Papers in Finance icma-dp2010-06, Henley Business School, University of Reading.

    Cited by:

    1. Andreas Kaeck & Carol Alexander, 2010. "VIX Dynamics with Stochastic Volatility of Volatility," ICMA Centre Discussion Papers in Finance icma-dp2010-11, Henley Business School, University of Reading.

  19. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.

    Cited by:

    1. Emese Lazar & Ning Zhang, 2017. "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance icma-dp2017-10, Henley Business School, University of Reading.

  20. Carol Alexander & Jose Maria Sarabia, 2010. "Generalized Beta-Generated Distributions," ICMA Centre Discussion Papers in Finance icma-dp2010-09, Henley Business School, University of Reading.

    Cited by:

    1. Sajid Hussain & Muhammad Sajid Rashid & Mahmood Ul Hassan & Rashid Ahmed, 2022. "The Generalized Alpha Exponent Power Family of Distributions: Properties and Applications," Mathematics, MDPI, vol. 10(9), pages 1-19, April.
    2. Almalki, Saad J. & Nadarajah, Saralees, 2014. "Modifications of the Weibull distribution: A review," Reliability Engineering and System Safety, Elsevier, vol. 124(C), pages 32-55.
    3. Mameli, Valentina, 2015. "The Kumaraswamy skew-normal distribution," Statistics & Probability Letters, Elsevier, vol. 104(C), pages 75-81.
    4. Boikanyo Makubate & Fastel Chipepa & Broderick Oluyede & Peter O. Peter, 2021. "The Marshall-Olkin Half Logistic-G Family of Distributions With Applications," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 10(2), pages 120-120, March.
    5. Oseghale O. I. & Akomolafe A. A. & Gayawan E., 2022. "Exponentiated Cubic Transmuted Weibull Distribution: Properties and Application," Academic Journal of Applied Mathematical Sciences, Academic Research Publishing Group, vol. 8(1), pages 1-11, 12-2021.
    6. Ibrahim Elbatal & Farrukh Jamal & Christophe Chesneau & Mohammed Elgarhy & Sharifah Alrajhi, 2018. "The Modified Beta Gompertz Distribution: Theory and Applications," Mathematics, MDPI, vol. 7(1), pages 1-17, December.
    7. Tommaso Lando & Lucio Bertoli-Barsotti, 2020. "Stochastic dominance relations for generalised parametric distributions obtained through composition," METRON, Springer;Sapienza Università di Roma, vol. 78(3), pages 297-311, December.
    8. José María Sarabia & Vanesa Jorda, 2020. "Lorenz Surfaces Based on the Sarmanov–Lee Distribution with Applications to Multidimensional Inequality in Well-Being," Mathematics, MDPI, vol. 8(11), pages 1-17, November.
    9. Emrah Altun & Mustafa Ç. Korkmaz & Mahmoud El-Morshedy & Mohamed S. Eliwa, 2021. "A New Flexible Family of Continuous Distributions: The Additive Odd-G Family," Mathematics, MDPI, vol. 9(16), pages 1-17, August.
    10. Carol Alexander & Jose Maria Sarabia, 2010. "Endogenizing Model Risk to Quantile Estimates," ICMA Centre Discussion Papers in Finance icma-dp2010-07, Henley Business School, University of Reading.
    11. Masoud Faridi & Majid Jafari Khaledi, 2022. "The polar-generalized normal distribution: properties, Bayesian estimation and applications," Statistical Papers, Springer, vol. 63(2), pages 571-603, April.
    12. Showkat Ahmad Lone & Tabassum Naz Sindhu & Marwa K. H. Hassan & Tahani A. Abushal & Sadia Anwar & Anum Shafiq, 2023. "Theoretical Structure and Applications of a Newly Enhanced Gumbel Type II Model," Mathematics, MDPI, vol. 11(8), pages 1-18, April.
    13. Bernard, Carole & De Gennaro Aquino, Luca & Levante, Lucia, 2021. "Optimal annuity demand for general expected utility agents," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 70-79.
    14. Prataviera, Fábio & Ortega, Edwin M.M. & Cordeiro, Gauss M. & Pescim, Rodrigo R. & Verssani, Bruna A.W., 2018. "A new generalized odd log-logistic flexible Weibull regression model with applications in repairable systems," Reliability Engineering and System Safety, Elsevier, vol. 176(C), pages 13-26.
    15. Muhammad H. Tahir & Muhammad Adnan Hussain & Gauss M. Cordeiro & M. El-Morshedy & M. S. Eliwa, 2020. "A New Kumaraswamy Generalized Family of Distributions with Properties, Applications, and Bivariate Extension," Mathematics, MDPI, vol. 8(11), pages 1-28, November.
    16. Fiaz Ahmad Bhatti & G. G. Hamedani & Mustafa Ç. Korkmaz & Munir Ahmad, 2018. "The transmuted geometric-quadratic hazard rate distribution: development, properties, characterizations and applications," Journal of Statistical Distributions and Applications, Springer, vol. 5(1), pages 1-23, December.
    17. Jiong Liu & R. A. Serota, 2023. "Rethinking Generalized Beta family of distributions," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 96(2), pages 1-14, February.
    18. Ibrahim Elbatal & Francesca Condino & Filippo Domma, 2016. "Reflected Generalized Beta Inverse Weibull Distribution: definition and properties," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 78(2), pages 316-340, November.
    19. Emilio Gómez-Déniz & José María Sarabia, 2018. "A Family of Generalised Beta Distributions: Properties and Applications," Annals of Data Science, Springer, vol. 5(3), pages 401-420, September.
    20. Gokarna R. Aryal & Keshav P. Pokhrel & Netra Khanal & Chris P. Tsokos, 2019. "Reliability Models Using the Composite Generalizers of Weibull Distribution," Annals of Data Science, Springer, vol. 6(4), pages 807-829, December.
    21. M. C. Jones, 2015. "On Families of Distributions with Shape Parameters," International Statistical Review, International Statistical Institute, vol. 83(2), pages 175-192, August.
    22. Mehrzad Ghorbani & Seyed Fazel Bagheri & Mojtaba Alizadeh, 2017. "A New Family of Distributions: The Additive Modified Weibull Odd Log-logistic-G Poisson Family, Properties and Applications," Annals of Data Science, Springer, vol. 4(2), pages 249-287, June.
    23. Emanuela Ciapanna & Marco Taboga & Eliana Viviano, 2015. "Sectoral differences in managers’ compensation: insights from a matching model," Temi di discussione (Economic working papers) 1000, Bank of Italy, Economic Research and International Relations Area.
    24. Amal S. Hassan & Said G. Nassr, 2019. "Power Lindley-G Family of Distributions," Annals of Data Science, Springer, vol. 6(2), pages 189-210, June.
    25. Gauss M. Cordeiro & Antonio E. Gomes & Cibele Q. da-Silva & Edwin M. M. Ortega, 2017. "A useful extension of the Burr III distribution," Journal of Statistical Distributions and Applications, Springer, vol. 4(1), pages 1-15, December.
    26. Sanku Dey & Vikas Kumar Sharma & Mhamed Mesfioui, 2017. "A New Extension of Weibull Distribution with Application to Lifetime Data," Annals of Data Science, Springer, vol. 4(1), pages 31-61, March.
    27. Altemir Silva Braga & Gauss M. Cordeiro & Edwin M. M. Ortega & Giovana O. Silva, 2017. "The Odd Log-Logistic Student t Distribution: Theory and Applications," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 22(4), pages 615-639, December.
    28. José María Sarabia & Faustino Prieto & Vanesa Jordá & Stefan Sperlich, 2020. "A Note on Combining Machine Learning with Statistical Modeling for Financial Data Analysis," Risks, MDPI, vol. 8(2), pages 1-14, April.
    29. Mariem Tounsi, 2020. "The Extended Matrix-Variate Beta Probability Distribution on Symmetric Matrices," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 647-676, June.
    30. Greselin, Francesca & Zitikis, Ricardas, 2015. "Measuring economic inequality and risk: a unifying approach based on personal gambles, societal preferences and references," MPRA Paper 65892, University Library of Munich, Germany.
    31. Fastel Chipepa & Broderick O. Oluyede & Boikanyo Makubate, 2019. "A New Generalized Family of Odd Lindley-G Distributions With Application," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 8(6), pages 1-1, November.
    32. Francesca Greselin & Ričardas Zitikis, 2018. "From the Classical Gini Index of Income Inequality to a New Zenga-Type Relative Measure of Risk: A Modeller’s Perspective," Econometrics, MDPI, vol. 6(1), pages 1-20, January.
    33. Jiong Liu & R. A. Serota, 2022. "Rethinking Generalized Beta Family of Distributions," Papers 2209.05225, arXiv.org.
    34. Francesca Condino & Filippo Domma, 2017. "A new distribution function with bounded support: the reflected generalized Topp-Leone power series distribution," METRON, Springer;Sapienza Università di Roma, vol. 75(1), pages 51-68, April.
    35. V. S. Akilandeswari & R. Poornima & V. Saavithri, 2017. "Lehmann-Type Laplace distribution-Type I software reliability growth model," OPSEARCH, Springer;Operational Research Society of India, vol. 54(2), pages 233-259, June.
    36. Saralees Nadarajah & Gauss Cordeiro & Edwin Ortega, 2013. "The exponentiated Weibull distribution: a survey," Statistical Papers, Springer, vol. 54(3), pages 839-877, August.
    37. Beatriz R. Lanjoni & Edwin M. M. Ortega & Gauss M. Cordeiro, 2016. "Extended Burr XII Regression Models: Theory and Applications," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(1), pages 203-224, March.
    38. Muhammad H Tahir & Gauss M. Cordeiro, 2016. "Compounding of distributions: a survey and new generalized classes," Journal of Statistical Distributions and Applications, Springer, vol. 3(1), pages 1-35, December.

  21. Carol Alexander & Aanand Venkatramanan, 2008. "Analytic Approximations for Multi-Asset Option Pricing," ICMA Centre Discussion Papers in Finance icma-dp2009-05, Henley Business School, University of Reading, revised Jun 2009.

    Cited by:

    1. Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, University of Reading, revised Jun 2009.

  22. Carol Alexander & Emese Lazar, 2008. "Markov Switching GARCH Diffusion," ICMA Centre Discussion Papers in Finance icma-dp2008-01, Henley Business School, University of Reading.

    Cited by:

    1. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
    2. Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.

  23. Carol Alexander & Elizabeth Sheedy, 2007. "Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk," ICMA Centre Discussion Papers in Finance icma-dp2007-02, Henley Business School, University of Reading.

    Cited by:

    1. Allan Brace & Mark Lauer & Milo Rado, 2008. "A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse," Research Paper Series 224, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Ali, Asghar & Daly, Kevin, 2010. "Macroeconomic determinants of credit risk: Recent evidence from a cross country study," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 165-171, June.

  24. Carol Alexander & Aanand Venkatramanan, 2007. "Analytic Approximations for Spread Options," ICMA Centre Discussion Papers in Finance icma-dp2007-11, Henley Business School, University of Reading.

    Cited by:

    1. Andrea Klimešová & Tomáš Václavík, 2016. "Gas Swing Options: Introduction and Pricing using Monte Carlo Methods," Acta Oeconomica Pragensia, Prague University of Economics and Business, vol. 2016(1), pages 15-32.
    2. Emmanuel Hanert & Aanand Venkatramanan, 2008. "Meshfree Approximation for Multi-Asset Options," ICMA Centre Discussion Papers in Finance icma-dp2009-07, Henley Business School, University of Reading, revised Jun 2009.

  25. Carol Alexander & Andreza Barbosa, 2007. "Hedging and Cross-hedging ETFs," ICMA Centre Discussion Papers in Finance icma-dp2007-01, Henley Business School, University of Reading.

    Cited by:

    1. Leo Schubert & David Schubert, 2017. "Estimation of holding periods applied to the case of short and leveraged ETFs," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 1, pages 1-1, June.
    2. Leo Schubert, 2011. "Hedge ratios for short and leveraged ETFs," Economic Analysis Working Papers (2002-2010). Atlantic Review of Economics (2011-2016), Colexio de Economistas de A Coruña, Spain and Fundación Una Galicia Moderna, vol. 1, pages 1-1, June.

  26. Carol Alexander & Leonardo M. Nogueira, 2006. "Hedging Options with Scale-Invariant Models," ICMA Centre Discussion Papers in Finance icma-dp2006-03, Henley Business School, University of Reading.

    Cited by:

    1. Paolo Foschi & Andrea Pascucci, 2008. "Path dependent volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 31(1), pages 13-32, May.

  27. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, University of Reading.

    Cited by:

    1. Schreiber, Irene & Müller, Gernot & Klüppelberg, Claudia & Wagner, Niklas, 2012. "Equities, credits and volatilities: A multivariate analysis of the European market during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 24(C), pages 57-65.
    2. Niels C. Thygesen & Robert N. McCauley & Guonan Ma & William R. White & Jakob de Haan & Willem van den End & Jon Frost & Christiaan Pattipeilohy & Mostafa Tabbae & Ernest Gnan & Morten Balling & Paul , 2013. "50 Years of Money and Finance: Lessons and Challenges," SUERF 50th Anniversary Volume - 50 Years of Money and Finance: Lessons and Challenges, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan, March.
    3. Mustafa Akay & Berat Bayram & Abdullah Kazdal & Muhammed Hasan Yilmaz, 2020. "Investigating Regime-Dependent Dynamics in Country Risk Premium: Evidence from Turkey and Emerging Markets," CBT Research Notes in Economics 2008, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    4. William Arrata & Alejandro Bernales & Virginie Coudert, 2013. "The Effects of Derivatives on Underlying Financial Markets: Equity Options, Commodity Derivatives and Credit Default Swaps," SUERF 50th Anniversary Volume Chapters, in: Morten Balling & Ernest Gnan (ed.), 50 Years of Money and Finance: Lessons and Challenges, chapter 13, pages 445-473, SUERF - The European Money and Finance Forum.
    5. Virginie Coudert & Mathieu Gex, 2011. "The Interactions Between the Credit Default Swap and the Bond Markets in Financial Turmoil," Working Papers 2011-02, CEPII research center.

  28. Carol Alexander & Andreza Barbosa, 2005. "The Spider in the Hedge," ICMA Centre Discussion Papers in Finance icma-dp2005-05, Henley Business School, University of Reading.

    Cited by:

    1. John Cotter & Jim Hanly, 2011. "Hedging Effectiveness under Conditions of Asymmetry," Working Papers 200843, Geary Institute, University College Dublin.
    2. S. Narend & M. Thenmozhi, 2019. "Do Country ETFs Influence Foreign Stock Market Index? Evidence from India ETFs," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 59-86, April.
    3. Carol Alexander & Andreza Barbosa, 2005. "Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds," ICMA Centre Discussion Papers in Finance icma-dp2005-16, Henley Business School, University of Reading.
    4. Alexander, C. & Barbosa, A., 2008. "Hedging index exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 326-337, February.
    5. Spencer, Simon & Bredin, Don & Conlon, Thomas, 2018. "Energy and agricultural commodities revealed through hedging characteristics: Evidence from developing and mature markets," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 1-20.

  29. Carol Alexander & Anca Dimitriu, 2005. "Detecting Switching Strategies in Equity Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2005-07, Henley Business School, University of Reading.

    Cited by:

    1. Anastasios G. Malliaris & Ramaprasad Bhar, 2011. "Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium Across Economic Regimes," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 3(1), pages 27-53, April.
    2. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 199-217, January.
    3. Johannes Hauptmann & Anja Hoppenkamps & Aleksey Min & Franz Ramsauer & Rudi Zagst, 2014. "Forecasting market turbulence using regime-switching models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 139-164, May.
    4. Hammoudeh, Shawkat & Bhar, Ramaprasad & Thompson, Mark A., 2010. "Re-examining the dynamic causal oil-macroeconomy relationship," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 298-305, September.
    5. Celso Brunetti & Jeffrey H. Harris & Bahattin Büyükşahin, 2024. "Crude Oil Price Movements and Institutional Traders," Commodities, MDPI, vol. 3(1), pages 1-23, February.

  30. Carol Alexander & Andreza Barbosa, 2005. "Is Minimum Variance Hedging Necessary for Equity Indices? A study of Hedging and Cross-Hedging Exchange Traded Funds," ICMA Centre Discussion Papers in Finance icma-dp2005-16, Henley Business School, University of Reading.

    Cited by:

    1. Staer, Arsenio & Sottile, Pedro, 2018. "Equivalent volume and comovement," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 143-157.

  31. Carol Alexander & Leonardo Nogueira, 2004. "Stochastic Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2008-02, Henley Business School, University of Reading, revised Mar 2008.

    Cited by:

    1. Julio Guerrero & Giuseppe Orlando, 2022. "Stochastic Local Volatility models and the Wei-Norman factorization method," Papers 2201.11241, arXiv.org.
    2. Antonie Kotzé & Rudolf Oosthuizen & Edson Pindza, 2015. "Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options," JRFM, MDPI, vol. 8(1), pages 1-40, January.
    3. Aur'elien Alfonsi & C'eline Labart & J'er^ome Lelong, 2013. "Stochastic Local Intensity Loss Models with Interacting Particle Systems," Papers 1302.2009, arXiv.org.

  32. Carol Alexander & Anca Dimitriu, 2004. "A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2004-03, Henley Business School, University of Reading.

    Cited by:

    1. Roßbach, Peter & Karlow, Denis, 2011. "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series 164, Frankfurt School of Finance and Management.
    2. Mayordomo, Sergio & Peña, Juan Ignacio & Romo, Juan, 2009. "Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs," DEE - Working Papers. Business Economics. WB wb096303, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    3. Subhrangshu Sekhar Sarkar & Santanu Dutta & Pinky Dutta, 2013. "A Review of Indian Index Funds," Global Business Review, International Management Institute, vol. 14(1), pages 89-98, February.

  33. Carol Alexander & Anca Dimitriu, 2004. "The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations," ICMA Centre Discussion Papers in Finance icma-dp2004-01, Henley Business School, University of Reading.

    Cited by:

    1. Panopoulou, Ekaterini & Vrontos, Spyridon, 2015. "Hedge fund return predictability; To combine forecasts or combine information?," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 103-122.
    2. Jawadi, Fredj & Khanniche, Sabrina, 2012. "Modeling hedge fund exposure to risk factors," Economic Modelling, Elsevier, vol. 29(4), pages 1003-1018.
    3. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
    4. Giamouridis, Daniel & Vrontos, Ioannis D., 2007. "Hedge fund portfolio construction: A comparison of static and dynamic approaches," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 199-217, January.
    5. Spyridon D Vrontos & Ioannis D Vrontos & Loukia Meligkotsidou, 2013. "Asset-liability management for pension funds in a time-varying volatility environment," Journal of Asset Management, Palgrave Macmillan, vol. 14(5), pages 306-333, October.
    6. Vrontos, Spyridon D. & Vrontos, Ioannis D. & Giamouridis, Daniel, 2008. "Hedge fund pricing and model uncertainty," Journal of Banking & Finance, Elsevier, vol. 32(5), pages 741-753, May.
    7. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.
    8. Sheng Li & Oliver Linton, 2007. "Evaluating hedge fund performance: a stochastic dominance approach," FMG Discussion Papers dp591, Financial Markets Group.
    9. Lee, Tae Kyun & Sohn, So Young, 2023. "Alpha-factor integrated risk parity portfolio strategy in global equity fund of funds," International Review of Financial Analysis, Elsevier, vol. 88(C).
    10. Harris, Richard D.F. & Mazibas, Murat, 2010. "Dynamic hedge fund portfolio construction," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 351-357, December.

  34. Carol Alexander & Leonardo M. Nogueira, 2004. "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2004-10, Henley Business School, University of Reading, revised Dec 2004.

    Cited by:

    1. Lu, Xiaoping & Putri, Endah R.M., 2020. "A semi-analytic valuation of American options under a two-state regime-switching economy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 538(C).
    2. Hilliard, Jimmy E. & Hilliard, Jitka, 2019. "A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 137-155.
    3. Abdelkoddousse Ahdida & Aurélien Alfonsi, 2013. "A Mean-Reverting SDE on Correlation matrices," Post-Print hal-00617111, HAL.

  35. Carol Alexander & Anca Dimitriu, 2003. "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2003-02, Henley Business School, University of Reading.

    Cited by:

    1. Erie Febrian & Aldrin Herwany, 2010. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Business, Management and Finance 201005, Department of Management and Business, Padjadjaran University, revised May 2010.
    2. Krishna M. Kasibhatla & David Stewart & Swapan Sen & John Malindretos, 2006. "Are Daily Stock Price Indices in the Major European Equity Markets Cointegrated? Tests and Evidence," The American Economist, Sage Publications, vol. 50(2), pages 47-57, October.
    3. Lior Sidi, 2020. "Improving S&P stock prediction with time series stock similarity," Papers 2002.05784, arXiv.org.
    4. Febrian, Erie & Herwany, Aldrin, 2007. "Co-integration and Causality Among Jakarta Stock Exchange, Singapore Stock Exchange, and Kuala Lumpur Stock Exchange," MPRA Paper 9632, University Library of Munich, Germany.
    5. Aldrin Herwany & Erie Febrian, 2010. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," Working Papers in Business, Management and Finance 201001, Department of Management and Business, Padjadjaran University, revised Jan 2010.

  36. Carol Alexandra & Andrew Scourse, 2003. "Bivariate Normal Mixture Spread Option Valuation," ICMA Centre Discussion Papers in Finance icma-dp2003-15, Henley Business School, University of Reading.

    Cited by:

    1. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004. "The effects of systemic crises when investors can be crisis ignorant," ERIM Report Series Research in Management ERS-2004-027-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. Jing Li & Lingfei Li & Rafael Mendoza-Arriaga, 2016. "Additive subordination and its applications in finance," Finance and Stochastics, Springer, vol. 20(3), pages 589-634, July.
    3. Tavin, Bertrand, 2015. "Detection of arbitrage in a market with multi-asset derivatives and known risk-neutral marginals," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 158-178.
    4. Douglas Cumming & Lars Helge Haß & Denis Schweizer, 2014. "Strategic Asset Allocation and the Role of Alternative Investments," European Financial Management, European Financial Management Association, vol. 20(3), pages 521-547, June.
    5. Steffen Mahringer & Marcel Prokopczuk, 2010. "An Empirical Model Comparison for Valuing Crack Spread Options," ICMA Centre Discussion Papers in Finance icma-dp2010-01, Henley Business School, University of Reading.

  37. Carol Alexander & Dimitri Lvov, 2003. "Statistical Properties of Forward Libor Rates," ICMA Centre Discussion Papers in Finance icma-dp2003-03, Henley Business School, University of Reading.

    Cited by:

    1. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers 05-083/2, Tinbergen Institute.
    2. Marcio Laurini & Alberto Ohashi, 2014. "A Noisy Principal Component Analysis for Forward Rate Curves," Papers 1408.6279, arXiv.org.
    3. Carol Alexandra, 2002. "Common Correlation and Calibrating the Lognormal Forward Rate Model," ICMA Centre Discussion Papers in Finance icma-dp2002-18, Henley Business School, University of Reading, revised Jan 2003.

  38. Carol Alexander & Anca Dimitriu, 2003. "Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding," ICMA Centre Discussion Papers in Finance icma-dp2003-08, Henley Business School, University of Reading, revised Oct 2003.

    Cited by:

    1. Hang Zhang & Evangelos Giouvris, 2022. "Measures of Volatility, Crises, Sentiment and the Role of U.S. ‘Fear’ Index (VIX) on Herding in BRICS (2007–2021)," JRFM, MDPI, vol. 15(3), pages 1-42, March.

  39. Carol Alexander & Sujit Narayanan, 2001. "Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility," ICMA Centre Discussion Papers in Finance icma-dp2001-10, Henley Business School, University of Reading, revised Dec 2001.

    Cited by:

    1. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004. "The effects of systemic crises when investors can be crisis ignorant," ERIM Report Series Research in Management ERS-2004-027-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 259-287, March.
    3. Halperin, Igor, 2022. "Non-equilibrium skewness, market crises, and option pricing: Non-linear Langevin model of markets with supersymmetry," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    4. Damiano Brigo, 2008. "The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation," Papers 0812.4052, arXiv.org.
    5. Fleming, Jeff & Paye, Bradley S., 2011. "High-frequency returns, jumps and the mixture of normals hypothesis," Journal of Econometrics, Elsevier, vol. 160(1), pages 119-128, January.
    6. Igor Halperin, 2020. "Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry," Papers 2011.01417, arXiv.org, revised Dec 2021.

  40. Carol Alexander & Ian Giblin & Wayne Weddington III, 2001. "Cointegration and Asset Allocation: A New Fund Strategy," ICMA Centre Discussion Papers in Finance icma-dp2001-03, Henley Business School, University of Reading.

    Cited by:

    1. Ali K k olak & Figen B y kak n & Necla Ilter Kucukcolak, 2019. "Cointegration of Equity and Gold Markets: Evidence from Turkey," International Journal of Economics and Financial Issues, Econjournals, vol. 9(2), pages 32-40.
    2. Mayordomo, Sergio & Peña, Juan Ignacio & Romo, Juan, 2009. "Are There Arbitrage Opportunities in Credit Derivatives Markets? A New Test and an Application to the Case of CDS and ASPs," DEE - Working Papers. Business Economics. WB wb096303, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

  41. Carol Alexander, 2000. "Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices," ICMA Centre Discussion Papers in Finance icma-dp2000-06, Henley Business School, University of Reading.

    Cited by:

    1. Marshall, Andrew & Maulana, Tubagus & Tang, Leilei, 2009. "The estimation and determinants of emerging market country risk and the dynamic conditional correlation GARCH model," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 250-259, December.
    2. Sofiane Aboura & Julien Chevallier, 2015. "Cross-market volatility index with Factor-DCC," Post-Print halshs-01348723, HAL.
    3. Aboura, Sofiane & Chevallier, Julien, 2014. "Cross-market index with Factor-DCC," Economic Modelling, Elsevier, vol. 40(C), pages 158-166.
    4. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch Small und Mid Caps?," Sonderforschungsbereich 504 Publications 05-10, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    5. Sébastien Laurent & Jeroen V. K. Rombouts & Francesco Violante, 2012. "On the forecasting accuracy of multivariate GARCH models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 934-955, September.
    6. Aboura, Sofiane & Chevallier, Julien, 2015. "A cross-volatility index for hedging the country risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 38(C), pages 25-41.
    7. Płuciennik Piotr, 2012. "Influence of the American Financial Market on Other Markets During the Subprime Crisis," Folia Oeconomica Stetinensia, Sciendo, vol. 12(2), pages 19-30, December.
    8. Sofiane Aboura & Julien Chevallier, 2014. "The cross-market index for volatility surprise," Journal of Asset Management, Palgrave Macmillan, vol. 15(1), pages 7-23, February.
    9. Laurent, Sébastien & Rombouts, Jeroen V.K. & Violante, Francesco, 2013. "On loss functions and ranking forecasting performances of multivariate volatility models," Journal of Econometrics, Elsevier, vol. 173(1), pages 1-10.
    10. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
    11. Alfredo Trespalacios Carrasquilla & José Miguel Sánchez, 2018. "Sobre la volatilidad de la curva de rendimientos del mercado colombiano de deuda pública," Revista Ecos de Economía, Universidad EAFIT, vol. 22(46), pages 28-59, June.
    12. Borgsen, Sina & Glaser, Markus, 2005. "Diversifikationseffekte durch small und mid caps? : Eine empirische Untersuchung basierend auf europäischen Aktienindizes," Papers 05-10, Sonderforschungsbreich 504.
    13. Panayiotis F. Diamandis & Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2012. "Asset allocation in the Athens stock exchange: a variance sensitivity analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(2), pages 167-181, April.

  42. Alexander, Carol & John Wyeth, 1995. "Seasonal price movements and unit roots in Indonesian rice market integration," Discussion Papers in Economics 0195, Department of Economics, University of Sussex Business School.

    Cited by:

    1. Theingi Myint & Siegfried Bauer, 2010. "Market Integration and Price Causality in the Myanmar Rice Market," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 7(2), pages 91-105, December.
    2. Asuming-Brempong, Samuel & Osei-Asare, Yaw Bonsu, 2008. "Has Imported Rice Crowded-out Domestic Rice Production in Ghana? What has Been the Role of Policy?," 2007 Second International Conference, August 20-22, 2007, Accra, Ghana 52002, African Association of Agricultural Economists (AAAE).
    3. Myint, Theingi & Bauer, Siegfried, 2010. "Market Integration and Price Causality in the Myanmar Rice Market," Asian Journal of Agriculture and Development, Southeast Asian Regional Center for Graduate Study and Research in Agriculture (SEARCA), vol. 7(2), pages 1-15, December.

  43. Alexander, C O & A Johnson, 1992. "Are foreign exchange markets really efficient?," Discussion Papers in Economics 1092, Department of Economics, University of Sussex Business School.

    Cited by:

    1. Sequeira, John M., 1997. "Econometric modelling of long-run relationships in the Singapore currency futures market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 421-427.
    2. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001.
    3. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    4. Shyh-Wei Chen, 2010. "Testing the hypothesis of market efficiency in the Taiwan-US forward exchange market since 1990," Applied Economics, Taylor & Francis Journals, vol. 42(1), pages 121-132.
    5. Sarwar, Ghulam, 1997. "Efficiency of black markets in foreign currencies in Southeast Asia," Journal of Multinational Financial Management, Elsevier, vol. 7(4), pages 333-344, December.
    6. Tse, Y. K. & Ng, L. K., 1997. "The cointegration of Asian currencies revisited," Japan and the World Economy, Elsevier, vol. 9(1), pages 109-114, March.
    7. Duan, Jin-Chuan & Pliska, Stanley R., 2004. "Option valuation with co-integrated asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 727-754, January.
    8. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.

  44. Carol Alexander, "undated". "Principal Component Analysis of Volatility Smiles and Skews," ICMA Centre Discussion Papers in Finance icma-dp2000-10, Henley Business School, University of Reading, revised Jun 2000.

    Cited by:

    1. Robert Stok & Paul Bilokon, 2023. "From Deep Filtering to Deep Econometrics," Papers 2311.06256, arXiv.org.

Articles

  1. Alexander, Carol & Chen, Xi & Ward, Charles, 2021. "Risk-adjusted valuation for real option decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1046-1064.
    See citations under working paper version above.
  2. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.

    Cited by:

    1. Carnero, M. Angeles & León, Angel & Ñíguez, Trino-Manuel, 2023. "Skewness in energy returns: estimation, testing and retain-->implications for tail risk," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 178-189.
    2. James Ming Chen & Mobeen Ur Rehman, 2021. "A Pattern New in Every Moment: The Temporal Clustering of Markets for Crude Oil, Refined Fuels, and Other Commodities," Energies, MDPI, vol. 14(19), pages 1-58, September.
    3. Chen, James Ming & Rehman, Mobeen Ur & Vo, Xuan Vinh, 2021. "Clustering commodity markets in space and time: Clarifying returns, volatility, and trading regimes through unsupervised machine learning," Resources Policy, Elsevier, vol. 73(C).

  3. Carol Alexander & Xi Chen, 2021. "Model risk in real option valuation," Annals of Operations Research, Springer, vol. 299(1), pages 1025-1056, April.
    See citations under working paper version above.
  4. Carol Alexander & Jaehyuk Choi & Heungju Park & Sungbin Sohn, 2020. "BitMEX bitcoin derivatives: Price discovery, informational efficiency, and hedging effectiveness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 23-43, January.

    Cited by:

    1. Lai T. Hoang & Dirk G. Baur, 2020. "Forecasting bitcoin volatility: Evidence from the options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1584-1602, October.
    2. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
    3. Erdinc Akyildirim & Oguzhan Cepni & Shaen Corbet & Gazi Salah Uddin, 2023. "Forecasting mid-price movement of Bitcoin futures using machine learning," Annals of Operations Research, Springer, vol. 330(1), pages 553-584, November.
    4. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Post-Print halshs-04250269, HAL.
    5. Parthajit Kayal & Purnima Rohilla, 2021. "Bitcoin in the economics and finance literature: a survey," SN Business & Economics, Springer, vol. 1(7), pages 1-21, July.
    6. Alexander, Carol & Deng, Jun & Feng, Jianfen & Wan, Huning, 2023. "Net buying pressure and the information in bitcoin option trades," Journal of Financial Markets, Elsevier, vol. 63(C).
    7. Andrei Shynkevich, 2021. "Impact of bitcoin futures on the informational efficiency of bitcoin spot market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 115-134, January.
    8. Bilel Sanhaji & Julien Chevallier, 2023. "Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum," Econometrics, MDPI, vol. 11(3), pages 1-36, August.
    9. Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.
    10. Erdong Chen & Mengzhong Ma & Zixin Nie, 2024. "Perpetual Future Contracts in Centralized and Decentralized Exchanges: Mechanism and Traders' Behavior," Papers 2402.03953, arXiv.org, revised Feb 2024.
    11. Oliver Entrop & Bart Frijns & Marco Seruset, 2020. "The determinants of price discovery on bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(5), pages 816-837, May.
    12. Jun Deng & Huifeng Pan & Shuyu Zhang & Bin Zou, 2021. "Optimal Bitcoin trading with inverse futures," Annals of Operations Research, Springer, vol. 304(1), pages 139-163, September.
    13. Alexander, Carol & Deng, Jun & Zou, Bin, 2023. "Hedging with automatic liquidation and leverage selection on bitcoin futures," European Journal of Operational Research, Elsevier, vol. 306(1), pages 478-493.
    14. Alexander, Carol & Heck, Daniel F., 2020. "Price discovery in Bitcoin: The impact of unregulated markets," Journal of Financial Stability, Elsevier, vol. 50(C).
    15. Helder Miguel Correia Virtuoso Sebastião & Paulo José Osório Rupino Da Cunha & Pedro Manuel Cortesão Godinho, 2021. "Cryptocurrencies and blockchain. Overview and future perspectives," International Journal of Economics and Business Research, Inderscience Enterprises Ltd, vol. 21(3), pages 305-342.
    16. Guillermo Angeris & Tarun Chitra & Alex Evans & Matthew Lorig, 2022. "A primer on perpetuals," Papers 2209.03307, arXiv.org.
    17. Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu, 2021. "Liquidation, leverage and optimal margin in bitcoin futures markets," Applied Economics, Taylor & Francis Journals, vol. 53(47), pages 5415-5428, October.
    18. Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
    19. Pati, Pratap Chandra, 2022. "Informativeness of CME Micro Bitcoin Futures in Pricing of Bitcoin: Intraday Evidence," Finance Research Letters, Elsevier, vol. 49(C).
    20. Dirk G. Baur & Lee A. Smales, 2022. "Trading behavior in bitcoin futures: Following the “smart money”," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(7), pages 1304-1323, July.
    21. Julien Chevallier & Dominique Guégan & Stéphane Goutte, 2021. "Is It Possible to Forecast the Price of Bitcoin?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-04250269, HAL.
    22. Carol Alexander & Jun Deng & Jianfen Feng & Huning Wan, 2021. "Net Buying Pressure and the Information in Bitcoin Option Trades," Papers 2109.02776, arXiv.org, revised Mar 2022.
    23. Songrun He & Asaf Manela & Omri Ross & Victor von Wachter, 2022. "Fundamentals of Perpetual Futures," Papers 2212.06888, arXiv.org, revised Jul 2023.
    24. Efe Caglar Cagli & Pinar Evrim Mandaci, 2021. "Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 394-402.
    25. Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin, 2020. "Price discovery and microstructure in ether spot and derivative markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    26. Takahiro Hattori & Ryo Ishida, 2021. "The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 105-114, January.
    27. Yeguang Chi & Wenyan Hao, 2020. "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers 2010.07402, arXiv.org.
    28. Gemayel, Roland & Franus, Tatiana & Bowden, James, 2023. "Price discovery between Bitcoin spot markets and exchange traded products," Economics Letters, Elsevier, vol. 228(C).
    29. Chi, Yeguang & Hao, Wenyan, 2021. "Volatility models for cryptocurrencies and applications in the options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    30. Guo, Zi-Yi, 2021. "Price volatilities of bitcoin futures," Finance Research Letters, Elsevier, vol. 43(C).
    31. Hattori, Takahiro & Ishida, Ryo, 2021. "Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    32. Riccardo De Blasis & Alexander Webb, 2022. "Arbitrage, contract design, and market structure in Bitcoin futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 492-524, March.
    33. Bouteska, Ahmed & Harasheh, Murad, 2023. "Bitcoin volatility and the introduction of bitcoin futures: A portfolio construction approach," Finance Research Letters, Elsevier, vol. 57(C).
    34. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Post-Print halshs-04344131, HAL.
    35. Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff, 2021. "Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets," Papers 2108.09750, arXiv.org.
    36. Guo, Zi-Yi, 2022. "Risk management of Bitcoin futures with GARCH models," Finance Research Letters, Elsevier, vol. 45(C).

  5. Alexander, Carol & Heck, Daniel F., 2020. "Price discovery in Bitcoin: The impact of unregulated markets," Journal of Financial Stability, Elsevier, vol. 50(C).

    Cited by:

    1. Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022. "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series 41, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
    2. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    3. Lo, Yuen & Medda, Francesca, 2020. "Uniswap and the rise of the decentralized exchange," MPRA Paper 103925, University Library of Munich, Germany.
    4. Lars Hornuf & Paul P. Momtaz & Rachel J. Nam & Ye Yuan, 2023. "Cybercrime on the Ethereum Blockchain," CESifo Working Paper Series 10598, CESifo.
    5. Shimeng Shi, 2022. "Bitcoin futures risk premia," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2190-2217, December.
    6. Ruan, Qingsong & Meng, Lu & Lv, Dayong, 2021. "Effect of introducing Bitcoin futures on the underlying Bitcoin market efficiency: A multifractal analysis," Chaos, Solitons & Fractals, Elsevier, vol. 153(P1).
    7. Luo, Di & Mishra, Tapas & Yarovaya, Larisa & Zhang, Zhuang, 2021. "Investing during a Fintech Revolution: Ambiguity and return risk in cryptocurrencies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 73(C).
    8. Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022. "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 104-109, May.
    9. Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.
    10. Dean Fantazzini & Raffaella Calabrese, 2021. "Crypto Exchanges and Credit Risk: Modeling and Forecasting the Probability of Closure," JRFM, MDPI, vol. 14(11), pages 1-23, October.
    11. Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    12. Weige Huang & Xiang Gao, 2023. "Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies," SAGE Open, , vol. 13(1), pages 21582440231, January.
    13. Pattnaik, Debidutta & Hassan, M. Kabir & Dsouza, Arun & Tiwari, Aviral & Devji, Shridev, 2023. "Ex-post facto analysis of cryptocurrency literature over a decade using bibliometric technique," Technological Forecasting and Social Change, Elsevier, vol. 189(C).
    14. Hoang, Lai T. & Baur, Dirk G., 2022. "Loaded for bear: Bitcoin private wallets, exchange reserves and prices," Journal of Banking & Finance, Elsevier, vol. 144(C).
    15. Lien, Donald, 2022. "Comparisons of Alternative Information Share Measures," Finance Research Letters, Elsevier, vol. 50(C).
    16. Ferko, Alex & Moin, Amani & Onur, Esen & Penick, Michael, 2023. "Who trades bitcoin futures and why?," Global Finance Journal, Elsevier, vol. 55(C).
    17. Pierre J. Venter & Eben Maré, 2021. "Univariate and Multivariate GARCH Models Applied to Bitcoin Futures Option Pricing," JRFM, MDPI, vol. 14(6), pages 1-14, June.
    18. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    19. Efe Caglar Cagli & Pinar Evrim Mandaci, 2021. "Information transmission between bitcoin derivatives and spot markets: high-frequency causality analysis with Fourier approximation," Economics and Business Letters, Oviedo University Press, vol. 10(4), pages 394-402.
    20. Caferra, Rocco, 2022. "Sentiment spillover and price dynamics: Information flow in the cryptocurrency and stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    21. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    22. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    23. Carol Alexander & Ding Chen & Arben Imeraj, 2021. "Inverse and Quanto Inverse Options in a Black-Scholes World," Papers 2107.12041, arXiv.org, revised Oct 2022.
    24. Shrestha, Keshab & Naysary, Babak & Philip, Sheena Sara Suresh, 2023. "Price discovery in carbon exchange traded fund markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    25. Jakob Albers & Mihai Cucuringu & Sam Howison & Alexander Y. Shestopaloff, 2021. "Fragmentation, Price Formation, and Cross-Impact in Bitcoin Markets," Papers 2108.09750, arXiv.org.
    26. Bruce Mizrach, 2022. "Stablecoins: Survivorship, Transactions Costs and Exchange Microstructure," Papers 2201.01392, arXiv.org, revised Feb 2023.

  6. Alexander, Carol & Choi, Jaehyuk & Massie, Hamish R.A. & Sohn, Sungbin, 2020. "Price discovery and microstructure in ether spot and derivative markets," International Review of Financial Analysis, Elsevier, vol. 71(C).

    Cited by:

    1. Muneer M. Alshater & Mayank Joshipura & Rim El Khoury & Nohade Nasrallah, 2023. "Initial Coin Offerings: a Hybrid Empirical Review," Small Business Economics, Springer, vol. 61(3), pages 891-908, October.
    2. Prashant Sharma & Prashant Gupta & Dinesh Kumar Sharma & Gaurav Agarwal, 2022. "Investigating the Efficiency of Bitcoin Futures in Price Discovery," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 104-109, May.
    3. Weige Huang & Xiang Gao, 2023. "Forecasting Bitcoin Futures: A Lasso-BMA Two-Step Predictor Selection for Investment and Hedging Strategies," SAGE Open, , vol. 13(1), pages 21582440231, January.
    4. Lien, Donald, 2022. "Comparisons of Alternative Information Share Measures," Finance Research Letters, Elsevier, vol. 50(C).
    5. Urquhart, Andrew, 2022. "Under the hood of the Ethereum blockchain," Finance Research Letters, Elsevier, vol. 47(PA).
    6. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    7. Papavassiliou, Vassilios G. & Kinateder, Harald, 2021. "Information shares and market quality before and during the European sovereign debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    8. Takahiro Hattori & Ryo Ishida, 2021. "The relationship between arbitrage in futures and spot markets and Bitcoin price movements: Evidence from the Bitcoin markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 105-114, January.
    9. Yeguang Chi & Wenyan Hao, 2020. "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers 2010.07402, arXiv.org.
    10. Chi, Yeguang & Hao, Wenyan, 2021. "Volatility models for cryptocurrencies and applications in the options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    11. Kirill D. Shilov & Andrei V. Zubarev, 2023. "Factors of Ethereum Profitability as a Platform for Creating Decentrilized Applications," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 1, pages 95-115, February.

  7. C. Alexander & M. Dakos, 2020. "A critical investigation of cryptocurrency data and analysis," Quantitative Finance, Taylor & Francis Journals, vol. 20(2), pages 173-188, February.

    Cited by:

    1. Mensi, Walid & Al-Yahyaee, Khamis Hamed & Al-Jarrah, Idries Mohammad Wanas & Vo, Xuan Vinh & Kang, Sang Hoon, 2020. "Dynamic volatility transmission and portfolio management across major cryptocurrencies: Evidence from hourly data," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    2. Kingstone Nyakurukwa & Yudhvir Seetharam, 2023. "Higher moment connectedness of cryptocurrencies: a time-frequency approach," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(3), pages 793-814, September.
    3. Vidal-Tomás, David, 2021. "The entry and exit dynamics of the cryptocurrency market," Research in International Business and Finance, Elsevier, vol. 58(C).
    4. Catania, Leopoldo & Grassi, Stefano, 2022. "Forecasting cryptocurrency volatility," International Journal of Forecasting, Elsevier, vol. 38(3), pages 878-894.
    5. Hu, Yang & Hou, Yang (Greg) & Oxley, Les & Corbet, Shaen, 2021. "Does blockchain patent-development influence Bitcoin risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 70(C).
    6. Briola, Antonio & Vidal-Tomás, David & Wang, Yuanrong & Aste, Tomaso, 2023. "Anatomy of a Stablecoin’s failure: The Terra-Luna case," Finance Research Letters, Elsevier, vol. 51(C).
    7. Grobys, Klaus & Huynh, Toan Luu Duc, 2022. "When Tether says “JUMP!” Bitcoin asks “How low?”," Finance Research Letters, Elsevier, vol. 47(PA).
    8. Rudkin, Simon & Rudkin, Wanling & Dłotko, Paweł, 2023. "On the topology of cryptocurrency markets," International Review of Financial Analysis, Elsevier, vol. 89(C).
    9. Costantini, Mauro & Maaitah, Ahmad & Mishra, Tapas & Sousa, Ricardo M., 2023. "Bitcoin market networks and cyberattacks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 630(C).
    10. Jiri Kukacka & Ladislav Kristoufek, 2023. "Fundamental and speculative components of the cryptocurrency pricing dynamics," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-23, December.
    11. Antonio Briola & David Vidal-Tom'as & Yuanrong Wang & Tomaso Aste, 2022. "Anatomy of a Stablecoin's failure: the Terra-Luna case," Papers 2207.13914, arXiv.org, revised Sep 2022.
    12. Aurelio F. Bariviera & Ignasi Merediz‐Solà, 2021. "Where Do We Stand In Cryptocurrencies Economic Research? A Survey Based On Hybrid Analysis," Journal of Economic Surveys, Wiley Blackwell, vol. 35(2), pages 377-407, April.
    13. Wang, Fang & Gacesa, Marko, 2023. "Semi-strong efficient market of Bitcoin and Twitter: An analysis of semantic vector spaces of extracted keywords and light gradient boosting machine models," International Review of Financial Analysis, Elsevier, vol. 88(C).
    14. Hu, Yang & Hou, Yang Greg & Oxley, Les, 2020. "What role do futures markets play in Bitcoin pricing? Causality, cointegration and price discovery from a time-varying perspective?," International Review of Financial Analysis, Elsevier, vol. 72(C).
    15. Bakhtiar, Tiam & Luo, Xiaojun & Adelopo, Ismail, 2023. "Network effects and store-of-value features in the cryptocurrency market," Technology in Society, Elsevier, vol. 74(C).
    16. Carlos Trucíos & James W. Taylor, 2023. "A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(4), pages 989-1007, July.
    17. Baur, Dirk G. & Hoang, Lai, 2021. "The Bitcoin gold correlation puzzle," Journal of Behavioral and Experimental Finance, Elsevier, vol. 32(C).
    18. Carol Alexander & Jun Deng & Jianfen Feng & Huning Wan, 2021. "Net Buying Pressure and the Information in Bitcoin Option Trades," Papers 2109.02776, arXiv.org, revised Mar 2022.
    19. David Vidal-Tom'as & Antonio Briola & Tomaso Aste, 2023. "FTX's downfall and Binance's consolidation: The fragility of centralised digital finance," Papers 2302.11371, arXiv.org, revised Dec 2023.
    20. Lorenzo Lucchini & Laura Alessandretti & Bruno Lepri & Angela Gallo & Andrea Baronchelli, 2020. "From code to market: Network of developers and correlated returns of cryptocurrencies," Papers 2004.07290, arXiv.org, revised Dec 2020.
    21. He Siyun & Ibragimov Rustam, 2022. "Predictability of cryptocurrency returns: evidence from robust tests," Dependence Modeling, De Gruyter, vol. 10(1), pages 191-206, January.
    22. Aurelio F. Bariviera, 2020. "One model is not enough: heterogeneity in cryptocurrencies' multifractal profiles," Papers 2003.09720, arXiv.org, revised Jun 2020.
    23. Sadaqat, Mohsin & Butt, Hilal Anwar, 2023. "Stop-loss rules and momentum payoffs in cryptocurrencies," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    24. Duc Huynh, Toan Luu & Burggraf, Tobias & Wang, Mei, 2020. "Gold, platinum, and expected Bitcoin returns," Journal of Multinational Financial Management, Elsevier, vol. 56(C).
    25. M. Bel'en Arouxet & Aurelio F. Bariviera & Ver'onica E. Pastor & Victoria Vampa, 2020. "Covid-19 impact on cryptocurrencies: evidence from a wavelet-based Hurst exponent," Papers 2009.05652, arXiv.org.
    26. Inés Jiménez & Andrés Mora-Valencia & Javier Perote, 2022. "Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies," Risk Management, Palgrave Macmillan, vol. 24(1), pages 81-99, March.
    27. Foley, Sean & Krekel, William & Mollica, Vito & Svec, Jiri, 2023. "Not so fast: Identifying and remediating slow and imprecise cryptocurrency exchange data," Finance Research Letters, Elsevier, vol. 51(C).
    28. Emilio Barucci & Giancarlo Giuffra Moncayo & Daniele Marazzina, 2022. "Cryptocurrencies and stablecoins: a high-frequency analysis," Digital Finance, Springer, vol. 4(2), pages 217-239, September.
    29. Conlon, Thomas & McGee, Richard, 2020. "Safe haven or risky hazard? Bitcoin during the Covid-19 bear market," Finance Research Letters, Elsevier, vol. 35(C).
    30. Fan Fang & Carmine Ventre & Michail Basios & Leslie Kanthan & David Martinez-Rego & Fan Wu & Lingbo Li, 2022. "Cryptocurrency trading: a comprehensive survey," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-59, December.
    31. Zhao, Jinsha & Miao, Jia, 2023. "Is Bitcoin used to evade financial sanction?," Finance Research Letters, Elsevier, vol. 55(PB).
    32. Yeguang Chi & Wenyan Hao, 2020. "A Horserace of Volatility Models for Cryptocurrency: Evidence from Bitcoin Spot and Option Markets," Papers 2010.07402, arXiv.org.
    33. Elsayed, Ahmed H. & Gozgor, Giray & Yarovaya, Larisa, 2022. "Volatility and return connectedness of cryptocurrency, gold, and uncertainty: Evidence from the cryptocurrency uncertainty indices," Finance Research Letters, Elsevier, vol. 47(PB).
    34. Tang, Tao & Wang, Yanchen, 2022. "Liquidity Shocks, Price Volatilities, and Risk-managed Strategy: Evidence from Bitcoin and Beyond," Journal of Multinational Financial Management, Elsevier, vol. 64(C).
    35. Chi, Yeguang & Hao, Wenyan, 2021. "Volatility models for cryptocurrencies and applications in the options market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
    36. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2020. "Cyber Attacks, Spillovers and Contagion in the Cryptocurrency Markets," CESifo Working Paper Series 8324, CESifo.
    37. Shuzhen Yang, 2021. "Compensatory model for quantile estimation and application to VaR," Papers 2112.07278, arXiv.org.
    38. Vidal-Tomás, David, 2022. "Which cryptocurrency data sources should scholars use?," International Review of Financial Analysis, Elsevier, vol. 81(C).
    39. Akyildirim, Erdinc & Corbet, Shaen & Sensoy, Ahmet & Yarovaya, Larisa, 2020. "The impact of blockchain related name changes on corporate performance," Journal of Corporate Finance, Elsevier, vol. 65(C).
    40. Crépellière, Tommy & Pelster, Matthias & Zeisberger, Stefan, 2023. "Arbitrage in the market for cryptocurrencies," Journal of Financial Markets, Elsevier, vol. 64(C).
    41. Łęt Blanka & Sobański Konrad & Świder Wojciech & Włosik Katarzyna, 2022. "Is the cryptocurrency market efficient? Evidence from an analysis of fundamental factors for Bitcoin and Ethereum," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 58(4), pages 351-370, December.
    42. Toan Luu Duc Huynh, 2023. "When Elon Musk Changes his Tone, Does Bitcoin Adjust Its Tune?," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 639-661, August.
    43. Abakah, Emmanuel Joel Aikins & Gil-Alana, Luis Alberiko & Madigu, Godfrey & Romero-Rojo, Fatima, 2020. "Volatility persistence in cryptocurrency markets under structural breaks," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 680-691.
    44. Adediran, Idris A. & Yinusa, Olalekan D. & Lakhani, Kanwal Hammad, 2021. "Where lies the silver lining when uncertainty hang dark clouds over the global financial markets?," Resources Policy, Elsevier, vol. 70(C).
    45. Fieberg, Christian & Günther, Steffen & Poddig, Thorsten & Zaremba, Adam, 2024. "Non-standard errors in the cryptocurrency world," International Review of Financial Analysis, Elsevier, vol. 92(C).
    46. Serdar Neslihanoglu, 2021. "Linearity extensions of the market model: a case of the top 10 cryptocurrency prices during the pre-COVID-19 and COVID-19 periods," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-27, December.
    47. Conlon, Thomas & Corbet, Shaen & McGee, Richard J., 2020. "Are cryptocurrencies a safe haven for equity markets? An international perspective from the COVID-19 pandemic," Research in International Business and Finance, Elsevier, vol. 54(C).
    48. Onur Özdemir, 2022. "Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-38, December.
    49. Vidal-Tomás, David & Briola, Antonio & Aste, Tomaso, 2023. "FTX's downfall and Binance's consolidation: the fragility of centralised digital finance," LSE Research Online Documents on Economics 119902, London School of Economics and Political Science, LSE Library.

  8. Alexander, Carol & Kaeck, Andreas & Sumawong, Anannit, 2019. "A parsimonious parametric model for generating margin requirements for futures," European Journal of Operational Research, Elsevier, vol. 273(1), pages 31-43.

    Cited by:

    1. Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
    2. Carol Alexander & Jun Deng & Bin Zou, 2021. "Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading," Papers 2101.01261, arXiv.org, revised Aug 2021.
    3. Philippe Raimbourg & Paul Zimmermann, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," Post-Print hal-04011013, HAL.
    4. Alexander, Carol & Deng, Jun & Zou, Bin, 2023. "Hedging with automatic liquidation and leverage selection on bitcoin futures," European Journal of Operational Research, Elsevier, vol. 306(1), pages 478-493.
    5. Raimbourg, Philippe & Zimmermann, Paul, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," European Journal of Operational Research, Elsevier, vol. 298(1), pages 351-367.
    6. Zhiyong Cheng & Jun Deng & Tianyi Wang & Mei Yu, 2021. "Liquidation, leverage and optimal margin in bitcoin futures markets," Applied Economics, Taylor & Francis Journals, vol. 53(47), pages 5415-5428, October.

  9. Stamatis Leontsinis & Carol Alexander, 2017. "Arithmetic variance swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 551-569, April.

    Cited by:

    1. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
    2. Ana‐Maria Fuertes & Zhenya Liu & Weiqing Tang, 2022. "Risk‐neutral skewness and commodity futures pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 751-785, April.
    3. Alexander, Carol & Rauch, Johannes, 2021. "A general property for time aggregation," European Journal of Operational Research, Elsevier, vol. 291(2), pages 536-548.

  10. Alexander, Carol & Korovilas, Dimitris & Kapraun, Julia, 2016. "Diversification with volatility products," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 213-235.

    Cited by:

    1. Qadan, Mahmoud & Nisani, Doron & Eichel, Ron, 2022. "Irregularities in forward-looking volatility," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 489-501.
    2. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
    3. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2021. "A Markov-Switching VSTOXX Trading Algorithm for Enhancing EUR Stock Portfolio Performance," Mathematics, MDPI, vol. 9(9), pages 1-28, May.
    4. Badshah, Ihsan & Bekiros, Stelios & Lucey, Brian M. & Uddin, Gazi Salah, 2018. "Asymmetric linkages among the fear index and emerging market volatility indices," Emerging Markets Review, Elsevier, vol. 37(C), pages 17-31.
    5. Per Bjarte Solibakke, 2022. "Projecting and Forecasting the Latent Volatility for the Nasdaq OMX Nordic/Baltic Financial Electricity Market Applying Stochastic Volatility Market Characteristics," Energies, MDPI, vol. 15(10), pages 1-20, May.
    6. Milan Bašta & Peter Molnár, 2019. "Long‐term dynamics of the VIX index and its tradable counterpart VXX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 322-341, March.
    7. Kim Christensen & Charlotte Christiansen & Anders M. Posselt, 2019. "The Economic Value of VIX ETPs," CREATES Research Papers 2019-14, Department of Economics and Business Economics, Aarhus University.
    8. Sebastian A. Gehricke & Jin E. Zhang, 2020. "Modeling VXX under jump diffusion with stochastic long‐term mean," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1508-1534, October.
    9. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
    10. Oscar V. De la Torre-Torres & Francisco Venegas-Martínez & Mᵃ Isabel Martínez-Torre-Enciso, 2021. "Enhancing Portfolio Performance and VIX Futures Trading Timing with Markov-Switching GARCH Models," Mathematics, MDPI, vol. 9(2), pages 1-22, January.
    11. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2019. "A Test of Using Markov-Switching GARCH Models in Oil and Natural Gas Trading," Energies, MDPI, vol. 13(1), pages 1-24, December.
    12. Gehricke, Sebastian A. & Zhang, Jin E., 2021. "Tracking performance of VIX futures ETPs," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 103-117.
    13. Kaya, Orçun & Mostowfi, Mehdi, 2022. "Low-volatility strategies for highly liquid cryptocurrencies," Finance Research Letters, Elsevier, vol. 46(PB).
    14. Jonathan Dark & Xin Gao & Thijs van der Heijden & Federico Nardari, 2022. "Forecasting variance swap payoffs," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(12), pages 2135-2164, December.
    15. Huang, Hong-Gia & Tsai, Wei-Che & Weng, Pei-Shih & Yang, J. Jimmy, 2023. "Intraday momentum in the VIX futures market," Journal of Banking & Finance, Elsevier, vol. 148(C).

  11. Andreas Kaeck & Carol Alexander, 2013. "Stochastic Volatility Jump†Diffusions for European Equity Index Dynamics," European Financial Management, European Financial Management Association, vol. 19(3), pages 470-496, June.

    Cited by:

    1. Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018. "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 44-63.
    2. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
    3. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
    4. Leonidas S. Rompolis & Elias Tzavalis, 2017. "Pricing and hedging contingent claims using variance and higher order moment swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 531-550, April.
    5. Maciej Augustyniak & Frédéric Godin & Clarence Simard, 2017. "Assessing the effectiveness of local and global quadratic hedging under GARCH models," Quantitative Finance, Taylor & Francis Journals, vol. 17(9), pages 1305-1318, September.
    6. Ioannis Kyriakou & Nikos K. Nomikos & Nikos C. Papapostolou & Panos K. Pouliasis, 2016. "Affine†Structure Models and the Pricing of Energy Commodity Derivatives," European Financial Management, European Financial Management Association, vol. 22(5), pages 853-881, November.
    7. Hsu, Pao-Peng, 2017. "Examination of Taiwan's travel and tourism market cycle through a two-period Markov regime-switching model," Tourism Management, Elsevier, vol. 63(C), pages 201-208.
    8. Liu, Guangqiang & Wang, Yan & Chen, Xiaodan & Zhang, Yifeng & Shang, Yue, 2020. "Forecasting volatility of the Chinese stock markets using TVP HAR-type models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
    9. Johannes Rauch & Carol Alexander, 2016. "Tail Risk Premia for Long-Term Equity Investors," Papers 1602.00865, arXiv.org.
    10. Maciej Augustyniak & Mathieu Boudreault, 2017. "Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 21(4), pages 502-525, October.
    11. Xinyu WU & Hailin ZHOU, 2016. "GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 327-342.
    12. Stamatis Leontsinis & Carol Alexander, 2017. "Arithmetic variance swaps," Quantitative Finance, Taylor & Francis Journals, vol. 17(4), pages 551-569, April.
    13. Xinyu WU & Senchun REN & Hailin ZHOU, 2017. "Empirical Pricing Kernels: Evidence from the Hong Kong Stock Market," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 51(4), pages 263-278.
    14. Tunaru, Radu & Zheng, Teng, 2017. "Parameter estimation risk in asset pricing and risk management: A Bayesian approach," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 80-93.

  12. Alexander, Carol & Prokopczuk, Marcel & Sumawong, Anannit, 2013. "The (de)merits of minimum-variance hedging: Application to the crack spread," Energy Economics, Elsevier, vol. 36(C), pages 698-707.
    See citations under working paper version above.
  13. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013. "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 36-45.

    Cited by:

    1. Ding, Shusheng & Cui, Tianxiang & Zhang, Yongmin, 2022. "Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect," International Review of Financial Analysis, Elsevier, vol. 83(C).
    2. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
    3. Li, Jianping & Li, Jingyu & Zhu, Xiaoqian & Yao, Yinhong & Casu, Barbara, 2020. "Risk spillovers between FinTech and traditional financial institutions: Evidence from the U.S," International Review of Financial Analysis, Elsevier, vol. 71(C).
    4. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
    5. Duan, Kun & Liu, Yang & Yan, Cheng & Huang, Yingying, 2023. "Differences in carbon risk spillovers with green versus traditional assets: Evidence from a full distributional analysis," Energy Economics, Elsevier, vol. 127(PA).
    6. Wei Kuang, 2022. "Oil tail-risk forecasts: from financial crisis to COVID-19," Risk Management, Palgrave Macmillan, vol. 24(4), pages 420-460, December.
    7. Zhang, Ning & Su, Xiaoman & Qi, Shuyuan, 2023. "An empirical investigation of multiperiod tail risk forecasting models," International Review of Financial Analysis, Elsevier, vol. 86(C).
    8. Chunyang Zhou & Xiao Qin & Xundi Diao & Yingchen He, 2016. "Estimating multi-period Value at Risk of oil futures prices," Applied Economics, Taylor & Francis Journals, vol. 48(32), pages 2994-3004, July.
    9. Chakraborty, Sandip & Kakani, Ram Kumar & Sampath, Aravind, 2022. "Portfolio risk and stress across the business cycle," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    10. Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.
    11. Chikashi Tsuji, 2016. "Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1220711-122, December.

  14. Kaeck, Andreas & Alexander, Carol, 2013. "Continuous-time VIX dynamics: On the role of stochastic volatility of volatility," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 46-56.

    Cited by:

    1. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    2. Bu, Ruijun & Fu, Xi & Jawadi, Fredj, 2019. "Does the volatility of volatility risk forecast future stock returns?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 16-36.
    3. Xin Zang & Jun Ni & Jing-Zhi Huang & Lan Wu, 2015. "Double-jump stochastic volatility model for VIX: evidence from VVIX," Papers 1506.07554, arXiv.org, revised Jul 2015.
    4. Campos, I. & Cortazar, G. & Reyes, T., 2017. "Modeling and predicting oil VIX: Internet search volume versus traditional mariables," Energy Economics, Elsevier, vol. 66(C), pages 194-204.
    5. Morelli, Giacomo & Santucci de Magistris, Paolo, 2019. "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, vol. 108(C).
    6. Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2019. "Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility," Papers 1909.10187, arXiv.org.
    7. Gongyue Jiang & Gaoxiu Qiao & Feng Ma & Lu Wang, 2022. "Directly pricing VIX futures with observable dynamic jumps based on high‐frequency VIX," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(8), pages 1518-1548, August.
    8. Chen & Jo-Hui & Hussain & Sabbor & Chen & Fu-Ying, 2023. "The Relationship between VIX and Technical Indicator: The Analysis of Shared-Frailty Model," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 13(3), pages 1-5.
    9. Zhigang Tong, 2017. "Modelling VIX and VIX derivatives with reducible diffusions," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 153-175.
    10. Gaoxiu Qiao & Gongyue Jiang, 2023. "VIX futures pricing based on high‐frequency VIX: A hybrid approach combining SVR with parametric models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(9), pages 1238-1260, September.
    11. Simon Lalancette & Jean†Guy Simonato, 2017. "The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation," European Financial Management, European Financial Management Association, vol. 23(2), pages 325-354, March.
    12. Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
    13. Chen Tong & Zhuo Huang & Tianyi Wang, 2022. "Do VIX futures contribute to the valuation of VIX options?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1644-1664, September.
    14. Mora-Valencia, Andrés & Rodríguez-Raga, Santiago & Vanegas, Esteban, 2021. "Skew index: Descriptive analysis, predictive power, and short-term forecast," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
    15. Andrea Barletta & Elisa Nicolato & Stefano Pagliarani, 2019. "The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 928-966, July.
    16. Kenourgios, Dimitris, 2014. "On financial contagion and implied market volatility," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 21-30.
    17. Aboura, Sofiane & Chevallier, Julien, 2015. "Geographical diversification with a World Volatility Index," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 62-82.
    18. Ömer ÖNALAN, 2022. "Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 68-84, April.
    19. Xin Zang & Jun Ni & Jing-Zhi Huang & Lan Wu, 2017. "Double-jump diffusion model for VIX: evidence from VVIX," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 227-240, February.
    20. Bo Jing & Shenghong Li & Yong Ma, 2020. "Pricing VIX options with volatility clustering," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 928-944, June.
    21. Gonzalez-Perez, Maria T., 2015. "Model-free volatility indexes in the financial literature: A review," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 141-159.
    22. Chen Tong & Zhuo Huang, 2021. "Pricing VIX options with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1180-1200, August.
    23. Jiling Cao & Xinfeng Ruan & Shu Su & Wenjun Zhang, 2020. "Pricing VIX derivatives with infinite‐activity jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 329-354, March.
    24. Xiaoyu Tan & Chengxiang Wang & Wei Lin & Jin E. Zhang & Shenghong Li & Xuejun Zhao & Zili Zhang, 2021. "The term structure of the VXX option smirk: Pricing VXX option with a two‐factor model and asymmetry jumps," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(4), pages 439-457, April.
    25. Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2021. "Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 559-576, May.
    26. Hongkai Cao & Alexandru Badescu & Zhenyu Cui & Sarath Kumar Jayaraman, 2020. "Valuation of VIX and target volatility options with affine GARCH models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1880-1917, December.
    27. Xingguo Luo & Jin E. Zhang & Wenjun Zhang, 2019. "Instantaneous squared VIX and VIX derivatives," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1193-1213, October.

  15. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2012. "Regime‐dependent smile‐adjusted delta hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(3), pages 203-229, March.
    See citations under working paper version above.
  16. Kaeck, Andreas & Alexander, Carol, 2012. "Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions," Journal of Banking & Finance, Elsevier, vol. 36(11), pages 3110-3121.

    Cited by:

    1. Yoo, Eun Gyu & Yoon, Sun-Joong, 2020. "CBOE VIX and Jump-GARCH option pricing models," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 839-859.
    2. Xavier Calmet & Nathaniel Wiesendanger Shaw, 2020. "An analytical perturbative solution to the Merton–Garman model using symmetries," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(1), pages 3-22, January.
    3. Tong, Zhigang & Liu, Allen, 2022. "Pricing variance swaps under subordinated Jacobi stochastic volatility models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 593(C).
    4. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2017. "Equity index variance: Evidence from flexible parametric jump–diffusion models," Journal of Banking & Finance, Elsevier, vol. 83(C), pages 85-103.
    5. Mehrdoust, Farshid & Noorani, Idin & Hamdi, Abdelouahed, 2023. "Two-factor Heston model equipped with regime-switching: American option pricing and model calibration by Levenberg–Marquardt optimization algorithm," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 204(C), pages 660-678.
    6. Chris Bardgett & Elise Gourier & Markus Leippold, 2016. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets," Working Papers 780, Queen Mary University of London, School of Economics and Finance.
    7. Peter Christoffersen & Bruno Feunou & Yoontae Jeon, 2014. "Option Valuation with Observable Volatility and Jump Dynamics," CREATES Research Papers 2015-07, Department of Economics and Business Economics, Aarhus University.
    8. Chaoqun Ma & Shengjie Yue & Hui Wu & Yong Ma, 2020. "Pricing Vulnerable Options with Stochastic Volatility and Stochastic Interest Rate," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 391-429, August.
    9. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
    10. Nicolas Langren'e & Geoffrey Lee & Zili Zhu, 2015. "Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model," Papers 1507.02847, arXiv.org, revised Mar 2016.
    11. Zhiyuan Pan & Yudong Wang & Li Liu & Qing Wang, 2019. "Improving volatility prediction and option valuation using VIX information: A volatility spillover GARCH model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(6), pages 744-776, June.
    12. Tsuji, Chikashi, 2020. "Correlation and spillover effects between the US and international banking sectors: New evidence and implications for risk management," International Review of Financial Analysis, Elsevier, vol. 70(C).
    13. Nicolas Langrené & Geoffrey Lee & Zili Zhu, 2016. "Switching To Nonaffine Stochastic Volatility: A Closed-Form Expansion For The Inverse Gamma Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(05), pages 1-37, August.
    14. Morelli, Giacomo & Santucci de Magistris, Paolo, 2019. "Volatility tail risk under fractionality," Journal of Banking & Finance, Elsevier, vol. 108(C).
    15. Shi, Guangping & Liu, Xiaoxing & Tang, Pan, 2016. "Pricing options under the non-affine stochastic volatility models: An extension of the high-order compact numerical scheme," Finance Research Letters, Elsevier, vol. 16(C), pages 220-229.
    16. Hu, Jun & Kanniainen, Juho, 2015. "Asymptotic expansion of European options with mean-reverting stochastic volatility dynamics," Finance Research Letters, Elsevier, vol. 14(C), pages 1-10.
    17. Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2019. "Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility," Papers 1909.10187, arXiv.org.
    18. Kanniainen, Juho & Lin, Binghuan & Yang, Hanxue, 2014. "Estimating and using GARCH models with VIX data for option valuation," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 200-211.
    19. Simon Lalancette & Jean†Guy Simonato, 2017. "The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation," European Financial Management, European Financial Management Association, vol. 23(2), pages 325-354, March.
    20. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
    21. Calvet, Laurent E. & Fearnley, Marcus & Fisher, Adlai J. & Leippold, Markus, 2015. "What is beneath the surface? Option pricing with multifrequency latent states," Journal of Econometrics, Elsevier, vol. 187(2), pages 498-511.
    22. Xavier Calmet & Nathaniel Wiesendanger Shaw, 2019. "An analytical perturbative solution to the Merton Garman model using symmetries," Papers 1909.01413, arXiv.org, revised Jan 2021.
    23. Wan, Xiangwei & Yang, Nian, 2021. "Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
    24. Jun-Biao Lin, 2015. "Hedging Strategy Comparisons Of Volatility Index Options Using Diffusion Models," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 9(3), pages 59-69.
    25. Qiao, Gaoxiu & Yang, Jiyu & Li, Weiping, 2020. "VIX forecasting based on GARCH-type model with observable dynamic jumps: A new perspective," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    26. Qi Wang & Zerong Wang, 2021. "VIX futures and its closed‐form pricing through an affine GARCH model with realized variance," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(1), pages 135-156, January.
    27. Xinyu WU & Hailin ZHOU, 2016. "GARCH DIFFUSION MODEL, iVIX, AND VOLATILITY RISK PREMIUM," ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, Faculty of Economic Cybernetics, Statistics and Informatics, vol. 50(1), pages 327-342.
    28. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    29. Kaustav Das & Nicolas Langren'e, 2020. "Explicit approximations of option prices via Malliavin calculus in a general stochastic volatility framework," Papers 2006.01542, arXiv.org, revised Jan 2024.
    30. Wu, Xinyu & Zhao, An & Liu, Li, 2023. "Forecasting VIX using two-component realized EGARCH model," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
    31. Juho Kanniainen & Ye Yue, 2019. "The Arrival of News and Return Jumps in Stock Markets: A Nonparametric Approach," Papers 1901.02691, arXiv.org.
    32. Kaeck, Andreas & Rodrigues, Paulo & Seeger, Norman J., 2018. "Model Complexity and Out-of-Sample Performance: Evidence from S&P 500 Index Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 1-29.
    33. Hsiang-Hsi Liu & Yu-Cheng Lin, 2021. "Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance," Bulletin of Applied Economics, Risk Market Journals, vol. 8(1), pages 121-148.
    34. Changfu Ma & Wei Xu & Yue Kuen Kwok, 2020. "Willow tree algorithms for pricing VIX derivatives under stochastic volatility models," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-28, March.
    35. Jaegi Jeon & Geonwoo Kim & Jeonggyu Huh, 2021. "Consistent and efficient pricing of SPX and VIX options under multiscale stochastic volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(5), pages 559-576, May.
    36. Jiling Cao & Xinfeng Ruan & Wenjun Zhang, 2020. "Inferring information from the S&P 500, CBOE VIX, and CBOE SKEW indices," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(6), pages 945-973, June.
    37. Ruan, Xinfeng & Zhang, Jin E., 2018. "Equilibrium variance risk premium in a cost-free production economy," Journal of Economic Dynamics and Control, Elsevier, vol. 96(C), pages 42-60.

  17. Carol Alexander & Andreas Kaeck, 2012. "Does model fit matter for hedging? Evidence from FTSE 100 options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(7), pages 609-638, July.
    See citations under working paper version above.
  18. Ledermann, Daniel & Alexander, Carol, 2012. "Further properties of random orthogonal matrix simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 83(C), pages 56-79.

    Cited by:

    1. Alexander, Carol & Meng, Xiaochun & Wei, Wei, 2022. "Targeting Kollo skewness with random orthogonal matrix simulation," European Journal of Operational Research, Elsevier, vol. 299(1), pages 362-376.
    2. Geyer, Alois & Hanke, Michael & Weissensteiner, Alex, 2014. "No-Arbitrage ROM simulation," Journal of Economic Dynamics and Control, Elsevier, vol. 45(C), pages 66-79.
    3. Hanke, Michael & Penev, Spiridon & Schief, Wolfgang & Weissensteiner, Alex, 2017. "Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness," European Journal of Operational Research, Elsevier, vol. 263(2), pages 510-523.
    4. Carol Alexander & Xiaochun Meng & Wei Wei, 2020. "Targetting Kollo Skewness with Random Orthogonal Matrix Simulation," Papers 2004.06586, arXiv.org, revised Sep 2021.

  19. Carol Alexander & José María Sarabia, 2012. "Quantile Uncertainty and Value‐at‐Risk Model Risk," Risk Analysis, John Wiley & Sons, vol. 32(8), pages 1293-1308, August.

    Cited by:

    1. Radu Tunaru, 2015. "Model Risk in Financial Markets:From Financial Engineering to Risk Management," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 9524, January.
    2. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    3. Cosma, Simona & Rimo, Giuseppe & Torluccio, Giuseppe, 2023. "Knowledge mapping of model risk in banking," International Review of Financial Analysis, Elsevier, vol. 89(C).
    4. Gourieroux, Christian & Tiomo, Andre, 2019. "The Evaluation of Model Risk for Probability of Default and Expected Loss," MPRA Paper 95795, University Library of Munich, Germany.
    5. Emese Lazar & Ning Zhang, 2017. "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance icma-dp2017-10, Henley Business School, University of Reading.
    6. Sun, Xuting & Chung, Sai-Ho & Choi, Tsan-Ming & Sheu, Jiuh-Biing & Ma, Hoi Lam, 2020. "Combating lead-time uncertainty in global supply chain's shipment-assignment: Is it wise to be risk-averse?," Transportation Research Part B: Methodological, Elsevier, vol. 138(C), pages 406-434.
    7. Georges Tsafack & James Cataldo, 2021. "Backtesting and estimation error: value-at-risk overviolation rate," Empirical Economics, Springer, vol. 61(3), pages 1351-1396, September.
    8. Valeriane Jokhadze & Wolfgang M. Schmidt, 2020. "Measuring Model Risk In Financial Risk Management And Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-37, April.
    9. Li, Dan & Clements, Adam & Drovandi, Christopher, 2023. "A Bayesian approach for more reliable tail risk forecasts," Journal of Financial Stability, Elsevier, vol. 64(C).
    10. Stepankova, Barbora & Teply, Petr, 2023. "Consistency of banks' internal probability of default estimates: Empirical evidence from the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 154(C).
    11. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
    12. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.

  20. Alexander, Carol & Cordeiro, Gauss M. & Ortega, Edwin M.M. & Sarabia, José María, 2012. "Generalized beta-generated distributions," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1880-1897.
    See citations under working paper version above.
  21. Aanand Venkatramanan & Carol Alexander, 2011. "Closed Form Approximations for Spread Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(5), pages 447-472, January.

    Cited by:

    1. Arismendi, Juan & Genaro, Alan De, 2016. "A Monte Carlo multi-asset option pricing approximation for general stochastic processes," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 75-99.
    2. Jing Li & Lingfei Li & Rafael Mendoza-Arriaga, 2016. "Additive subordination and its applications in finance," Finance and Stochastics, Springer, vol. 20(3), pages 589-634, July.
    3. Tommaso Paletta & Arturo Leccadito & Radu Tunaru, 2013. "Pricing and Hedging Basket Options with Exact Moment Matching," Papers 1312.4443, arXiv.org.
    4. Andrew Ang & Bingxu Chen & Suresh Sundaresan, 2013. "Liability Investment with Downside Risk," NBER Working Papers 19030, National Bureau of Economic Research, Inc.
    5. Elisa Al`os & Michael Coulon, 2018. "On the optimal choice of strike conventions in exchange option pricing," Papers 1807.05396, arXiv.org.
    6. Chun-Sing Lau & Chi-Fai Lo, 2014. "The pricing of basket-spread options," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1971-1982, November.
    7. Alessandro Ramponi, 2022. "Spread Option Pricing in Regime-Switching Jump Diffusion Models," Mathematics, MDPI, vol. 10(9), pages 1-15, May.
    8. Elisa Alòs & Jorge A. León, 2013. "On the closed-form approximation of short-time random strike options," Economics Working Papers 1347, Department of Economics and Business, Universitat Pompeu Fabra.
    9. Bertrand Tavin & Lorenz Schneider, 2018. "From the Samuelson volatility effect to a Samuelson correlation effect : An analysis of crude oil calendar spread options," Post-Print hal-02311970, HAL.
    10. Juan Arismendi, 2014. "A Multi-Asset Option Approximation for General Stochastic Processes," ICMA Centre Discussion Papers in Finance icma-dp2014-03, Henley Business School, University of Reading.
    11. Schneider, Lorenz & Tavin, Bertrand, 2018. "From the Samuelson volatility effect to a Samuelson correlation effect: An analysis of crude oil calendar spread options," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 185-202.
    12. Lorenz Schneider & Bertrand Tavin, 2014. "From the Samuelson Volatility Effect to a Samuelson Correlation Effect: Evidence from Crude Oil Calendar Spread Options," Papers 1401.7913, arXiv.org, revised Feb 2015.
    13. Song, Shiyu & Tang, Dan & Xu, Guangli & Yin, Xunbai, 2023. "An analytical GARCH valuation model for spread options with default risk," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 1-20.
    14. Caldana, Ruggero & Fusai, Gianluca, 2013. "A general closed-form spread option pricing formula," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4893-4906.

  22. Carol Alexander & Emese Lazar, 2009. "Modelling Regime‐Specific Stock Price Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 761-797, December.

    Cited by:

    1. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
    2. Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
    3. Massimo Guidolin & Stuart Hyde & David McMillan & Sadayuki Ono, 2010. "Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence," Working Papers 2010-039, Federal Reserve Bank of St. Louis.
    4. Kurter, Zeynep O., 2022. "How macroeconomic conditions affect systemic risk in the short and long-run?," The Warwick Economics Research Paper Series (TWERPS) 1407, University of Warwick, Department of Economics.
    5. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2021. "Analytic moments for GJR-GARCH (1, 1) processes," International Journal of Forecasting, Elsevier, vol. 37(1), pages 105-124.
    6. Lolea Iulian-Cornel & Vilcu Lucian Constantin, 2018. "Measures of volatility for the Romanian Stock Exchange: a regime switching approach," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 12(1), pages 544-556, May.
    7. Jiro Hodoshima & Toshiyuki Yamawake, 2022. "Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 171-193, June.
    8. Yin-Wong Cheung & Sang-Kuck Chung, 2011. "A Long Memory Model with Normal Mixture GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 517-539, November.
    9. Trabelsi, Mohamed Ali & Hmida, Salma, 2017. "A Dynamic Correlation Analysis of Financial Contagion: Evidence from the Eurozone Stock Markets," MPRA Paper 83718, University Library of Munich, Germany, revised 2017.
    10. Qu, Hui & Duan, Qingling & Niu, Mengyi, 2018. "Modeling the volatility of realized volatility to improve volatility forecasts in electricity markets," Energy Economics, Elsevier, vol. 74(C), pages 767-776.
    11. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    12. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
    13. Cifter, Atilla, 2012. "Volatility Forecasting with Asymmetric Normal Mixture Garch Model: Evidence from South Africa," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 127-142, June.
    14. Focardi, Sergio M. & Fabozzi, Frank J. & Mazza, Davide, 2019. "Modeling local trends with regime shifting models with time-varying probabilities," International Review of Financial Analysis, Elsevier, vol. 66(C).
    15. Chon, Sora & Kim, Jaeho, 2021. "Does the Financial Leverage Effect Depend on Volatility Regimes?," Finance Research Letters, Elsevier, vol. 39(C).
    16. BenSaïda, Ahmed, 2015. "The frequency of regime switching in financial market volatility," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 63-79.

  23. Carol Alexander & Andreas Kaeck & Leonardo M. Nogueira, 2009. "Model risk adjusted hedge ratios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 29(11), pages 1021-1049, November.

    Cited by:

    1. Ke Nian & Thomas F. Coleman & Yuying Li, 2018. "Learning minimum variance discrete hedging directly from the market," Quantitative Finance, Taylor & Francis Journals, vol. 18(7), pages 1115-1128, July.
    2. Pascal François & Lars Stentoft, 2021. "Smile‐implied hedging with volatility risk," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(8), pages 1220-1240, August.
    3. Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023. "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, vol. 153(C).
    4. Hilliard, Jimmy E. & Hilliard, Jitka, 2019. "A jump-diffusion model for pricing and hedging with margined options: An application to Brent crude oil contracts," Journal of Banking & Finance, Elsevier, vol. 98(C), pages 137-155.
    5. Marcel T. P. Van Dijk & Cornelis S. L. De Graaf & Cornelis W. Oosterlee, 2018. "Between ℙ and ℚ: The ℙ ℚ Measure for Pricing in Asset Liability Management," JRFM, MDPI, vol. 11(4), pages 1-23, October.
    6. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
    7. Hull, John & White, Alan, 2017. "Optimal delta hedging for options," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 180-190.
    8. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.

  24. Alexander, C. & Barbosa, A., 2008. "Hedging index exchange traded funds," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 326-337, February.

    Cited by:

    1. Liu, Hung-Chun & Chiang, Shu-Mei & Cheng, Nick Ying-Pin, 2012. "Forecasting the volatility of S&P depositary receipts using GARCH-type models under intraday range-based and return-based proxy measures," International Review of Economics & Finance, Elsevier, vol. 22(1), pages 78-91.
    2. Tim Leung & Brian Ward, 2015. "The golden target: analyzing the tracking performance of leveraged gold ETFs," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(3), pages 278-297, August.
    3. Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
    4. Lyudmila A. Glik & Oleg L. Kritski, 2014. "Finding informed traders in futures and their inderlying assets in intraday trading," Papers 1402.6583, arXiv.org.
    5. Shimada, Junji & Tsukuda, Yoshihiko & Miyakoshi, Tatsuyoshi, 2021. "Who is the center of local currency Asian government bond markets?," Japan and the World Economy, Elsevier, vol. 59(C).
    6. Yu‐Sheng Lai, 2018. "Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1370-1390, November.
    7. Fang, Libing & Yu, Honghai & Huang, Yingbo, 2018. "The role of investor sentiment in the long-term correlation between U.S. stock and bond markets," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 127-139.
    8. Tim Leung & Brian Ward, 2018. "Dynamic Index Tracking and Risk Exposure Control Using Derivatives," Applied Mathematical Finance, Taylor & Francis Journals, vol. 25(2), pages 180-212, March.
    9. Marshall, Ben R. & Nguyen, Nhut H. & Visaltanachoti, Nuttawat, 2018. "Do liquidity proxies measure liquidity accurately in ETFs?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 94-111.
    10. Pan, Zhiyuan & Wang, Yudong & Yang, Li, 2014. "Hedging crude oil using refined product: A regime switching asymmetric DCC approach," Energy Economics, Elsevier, vol. 46(C), pages 472-484.
    11. Elias Cavalcante Junior & Fernando Moraes & Rodrigo De Losso, 2020. "Unskilled Fund Managers: Replicating Active Fund Performance With Few ETFs," Working Papers, Department of Economics 2020_14, University of São Paulo (FEA-USP), revised 15 Sep 2020.
    12. Kearney, Fearghal & Cummins, Mark & Murphy, Finbarr, 2014. "Outperformance in exchange-traded fund pricing deviations: Generalized control of data snooping bias," Journal of Financial Markets, Elsevier, vol. 19(C), pages 86-109.
    13. Yu‐Sheng Lai, 2019. "Flexible covariance dynamics, high‐frequency data, and optimal futures hedging," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1529-1548, December.
    14. Yu‐Sheng Lai, 2022. "Use of high‐frequency data to evaluate the performance of dynamic hedging strategies," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(1), pages 104-124, January.
    15. Jahangir Sultan & Antonios K. Alexandridis & Mohammad Hasan & Xuxi Guo, 2019. "Hedging performance of multiscale hedge ratios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(12), pages 1613-1632, December.
    16. Emilio Ricardo Carvalhais & Antonio Marcos Duarte Júnior, 2015. "Indexation of Fixed-Income Portfolios to the IMA-B," Brazilian Business Review, Fucape Business School, vol. 12(3), pages 116-142, May.
    17. John Hua Fan & Eduardo Roca & Alexandr Akimov, 2014. "Estimation and performance evaluation of optimal hedge ratios in the carbon market of the European Union Emissions Trading Scheme," Australian Journal of Management, Australian School of Business, vol. 39(1), pages 73-91, February.
    18. Christoph Schmidhammer & Sebastian Lobe & Klaus Röder, 2014. "The real benchmark of DAX index products and the influence of information dissemination: A natural experiment," Journal of Asset Management, Palgrave Macmillan, vol. 15(2), pages 129-149, April.
    19. Lai, Yu-Sheng, 2023. "Economic evaluation of dynamic hedging strategies using high-frequency data," Finance Research Letters, Elsevier, vol. 57(C).
    20. Afees A. Salisu & Abdulsalam Abidemi Sikiru & Philip C. Omoke, 2023. "COVID-19 pandemic and financial innovations," Quality & Quantity: International Journal of Methodology, Springer, vol. 57(4), pages 3885-3904, August.
    21. Chen, Mei-Ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2017. "Investor sentiment and country exchange traded funds: Does economic freedom matter?," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 285-299.
    22. Mikica Drenovak & Branko Urošević, 2010. "Exchange-Traded Funds Of The Euro Zone Sovereign Debt," Economic Annals, Faculty of Economics and Business, University of Belgrade, vol. 55(187), pages 31-60, October –.
    23. Cumming, Douglas & Dai, Na & Johan, Sofia, 2020. "Dodd-Franking the hedge Funds," Journal of Banking & Finance, Elsevier, vol. 119(C).
    24. Yu‐Sheng Lai, 2023. "Optimal futures hedging by using realized semicovariances: The information contained in signed high‐frequency returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(5), pages 677-701, May.
    25. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
    26. Nekhili, Ramzi & Bouri, Elie, 2023. "Higher-order moments and co-moments' contribution to spillover analysis and portfolio risk management," Energy Economics, Elsevier, vol. 119(C).
    27. Lee, Hsiang-Tai, 2010. "Regime switching correlation hedging," Journal of Banking & Finance, Elsevier, vol. 34(11), pages 2728-2741, November.

  25. Alexander, Carol & Sheedy, Elizabeth, 2008. "Developing a stress testing framework based on market risk models," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2220-2236, October.

    Cited by:

    1. Eyden Samunderu & Yvonne T. Murahwa, 2021. "Return Based Risk Measures for Non-Normally Distributed Returns: An Alternative Modelling Approach," JRFM, MDPI, vol. 14(11), pages 1-48, November.
    2. Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A Framework for Assessing the Systemic Risk of Major Financial Institutions," BIS Working Papers 281, Bank for International Settlements.
    3. Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2015. "Testing for structural breaks in correlations: Does it improve Value-at-Risk forecasting?," Journal of Empirical Finance, Elsevier, vol. 32(C), pages 135-152.
    4. Paraschiv, Florentina & Mudry, Pierre-Antoine & Andries, Alin Marius, 2015. "Stress-testing for portfolios of commodity futures," Economic Modelling, Elsevier, vol. 50(C), pages 9-18.
    5. Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
    6. Tsukahara, Fábio Yasuhiro & Kimura, Herbert & Sobreiro, Vinicius Amorim & Zambrano, Juan Carlos Arismendi, 2016. "Validation of default probability models: A stress testing approach," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 70-85.
    7. Sun, Tao, 2010. "Identifying Vulnerabilities in Systemically Important Financial Institutions in a Macro-Financial Linkages Framework," The Journal of Economic Asymmetries, Elsevier, vol. 7(2), pages 77-103.
    8. O’Brien, James & Szerszeń, Paweł J., 2017. "An evaluation of bank measures for market risk before, during and after the financial crisis," Journal of Banking & Finance, Elsevier, vol. 80(C), pages 215-234.
    9. McNeil, Alexander J. & Smith, Andrew D., 2012. "Multivariate stress scenarios and solvency," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 299-308.
    10. Karagiannidis, Iordanis & Sykes Wilford, D., 2015. "Modeling fund and portfolio risk: A bi-modal approach to analyzing risk in turbulent markets," Review of Financial Economics, Elsevier, vol. 25(C), pages 19-26.
    11. Christophe Perignon & D. Smith, 2009. "The Level and Quality of Value-at-Risk Disclosure by Commercial Banks," Post-Print hal-00496102, HAL.
    12. Kalkbrener, Michael & Packham, Natalie, 2018. "Correlation Under Stress In Normal Variance Mixture Models," IRTG 1792 Discussion Papers 2018-035, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    13. Dovern, Jonas & Meier, Carsten-Patrick & Vilsmeier, Johannes, 2010. "How resilient is the German banking system to macroeconomic shocks?," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1839-1848, August.
    14. Takashi Isogai, 2014. "Benchmarking of Unconditional VaR and ES Calculation Methods: A Comparative Simulation Analysis with Truncated Stable Distribution," Bank of Japan Working Paper Series 14-E-1, Bank of Japan.
    15. Siburg, Karl Friedrich & Stoimenov, Pavel & Weiß, Gregor N.F., 2015. "Forecasting portfolio-Value-at-Risk with nonparametric lower tail dependence estimates," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 129-140.
    16. Apergis, Emmanuel & Apergis, Iraklis & Apergis, Nicholas, 2019. "A new macro stress testing approach for financial realignment in the Eurozone," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 61(C), pages 52-80.
    17. Amira Dridi & Mohamed El Ghourabi & Mohamed Limam, 2012. "On monitoring financial stress index with extreme value theory," Quantitative Finance, Taylor & Francis Journals, vol. 12(3), pages 329-339, March.
    18. Koliai, Lyes, 2016. "Extreme risk modeling: An EVT–pair-copulas approach for financial stress tests," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 1-22.
    19. Basu, Sanjay, 2011. "Comparing simulation models for market risk stress testing," European Journal of Operational Research, Elsevier, vol. 213(1), pages 329-339, August.
    20. Dionne, Georges & Pacurar, Maria & Zhou, Xiaozhou, 2015. "Liquidity-adjusted Intraday Value at Risk modeling and risk management: An application to data from Deutsche Börse," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 202-219.
    21. Righi, Marcelo Brutti & Ceretta, Paulo Sergio, 2015. "A comparison of Expected Shortfall estimation models," Journal of Economics and Business, Elsevier, vol. 78(C), pages 14-47.
    22. Simone Varotto, 2010. "Stress Testing Credit Risk: The Great Depression Scenario," ICMA Centre Discussion Papers in Finance icma-dp2010-03, Henley Business School, University of Reading.
    23. Agata Gemzik-Salwach, 2012. "The Use Of A Value At Risk Measure For The Analysis Of Bank Interest Margins," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, vol. 8(4), pages 15-29, February.
    24. Alexander, Carol & Lazar, Emese & Stanescu, Silvia, 2013. "Forecasting VaR using analytic higher moments for GARCH processes," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 36-45.
    25. d’Addona, Stefano & Khanom, Najrin, 2022. "Estimating tail-risk using semiparametric conditional variance with an application to meme stocks," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 241-260.
    26. Chakraborty, Sandip & Kakani, Ram Kumar & Sampath, Aravind, 2022. "Portfolio risk and stress across the business cycle," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    27. Garcia-Jorcano, Laura & Sanchis-Marco, Lidia, 2021. "Systemic-systematic risk in financial system: A dynamic ranking based on expectiles," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 330-365.
    28. Ranković, Vladimir & Ivanović, Miloš & Urošević, Branko & Jelic, Ranko, 2017. "Market risk management in a post-Basel II regulatory environmentAuthor-Name: Drenovak, Mikica," European Journal of Operational Research, Elsevier, vol. 257(3), pages 1030-1044.
    29. So, Mike K.P. & Wong, Jerry & Asai, Manabu, 2013. "Stress testing correlation matrices for risk management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 310-322.
    30. Salhi, Khaled & Deaconu, Madalina & Lejay, Antoine & Champagnat, Nicolas & Navet, Nicolas, 2016. "Regime switching model for financial data: Empirical risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 461(C), pages 148-157.
    31. Packham, N. & Woebbeking, C.F., 2019. "A factor-model approach for correlation scenarios and correlation stress testing," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 92-103.
    32. Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
    33. Weiß, Gregor N.F., 2011. "Are Copula-GoF-tests of any practical use? Empirical evidence for stocks, commodities and FX futures," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 173-188, May.
    34. Rubia, Antonio & Sanchis-Marco, Lidia, 2013. "On downside risk predictability through liquidity and trading activity: A dynamic quantile approach," International Journal of Forecasting, Elsevier, vol. 29(1), pages 202-219.
    35. de Carvalho, Pablo Jose Campos & Gupta, Aparna, 2018. "A network approach to unravel asset price comovement using minimal dependence structure," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 119-132.
    36. Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.

  26. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.

    Cited by:

    1. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2014. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(2), pages 253-276, April.
    2. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    3. Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018. "Portfolio diversification in the sovereign credit swap markets," Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
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    2. Hain, Martin & Uhrig-Homburg, Marliese & Unger, Nils, 2018. "Risk factors and their associated risk premia: An empirical analysis of the crude oil market," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 44-63.
    3. Carol Alexander & Andreas Kaeck, 2012. "Does model fit matter for hedging? Evidence from FTSE 100 options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(7), pages 609-638, July.
    4. Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
    5. Xia, Kun & Yang, Xuewei & Zhu, Peng, 2023. "Delta hedging and volatility-price elasticity: A two-step approach," Journal of Banking & Finance, Elsevier, vol. 153(C).
    6. Andrea Barletta & Paolo Santucci de Magistris, 2018. "Analyzing the Risks Embedded in Option Prices with rndfittool," Risks, MDPI, vol. 6(2), pages 1-15, March.
    7. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
    8. Evgenii Vladimirov, 2023. "iCOS: Option-Implied COS Method," Papers 2309.00943, arXiv.org, revised Feb 2024.
    9. Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2015. "Random Time Forward Starting Options," Papers 1504.03552, arXiv.org.
    10. Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
    11. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2022. "Hedging option books using neural-SDE market models," Papers 2205.15991, arXiv.org.
    12. Carol Alexander & Alexander Rubinov & Markus Kalepky & Stamatis Leontsinis, 2010. "Regime-Dependent Smile-Adjusted Delta Hedging," ICMA Centre Discussion Papers in Finance icma-dp2010-10, Henley Business School, University of Reading.
    13. Dalderop, Jeroen, 2020. "Nonparametric filtering of conditional state-price densities," Journal of Econometrics, Elsevier, vol. 214(2), pages 295-325.
    14. Rolf Poulsen & Klaus Reiner Schenk-Hoppe & Christian-Oliver Ewald, 2009. "Risk minimization in stochastic volatility models: model risk and empirical performance," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 693-704.
    15. Barletta, Andrea & Santucci de Magistris, Paolo & Sloth, David, 2019. "It only takes a few moments to hedge options," Journal of Economic Dynamics and Control, Elsevier, vol. 100(C), pages 251-269.
    16. Hull, John & White, Alan, 2017. "Optimal delta hedging for options," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 180-190.
    17. Babu Jose & James Varghese, 2021. "Ideal Investment Protection in Optimistic Perceptions: Evidence From the Indian Equity Options Market," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 12(2), pages 327-340, April.
    18. Roberto Daluiso & Marco Pinciroli & Michele Trapletti & Edoardo Vittori, 2023. "CVA Hedging by Risk-Averse Stochastic-Horizon Reinforcement Learning," Papers 2312.14044, arXiv.org.
    19. Fengler, Matthias R. & Hin, Lin-Yee, 2015. "Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints," Journal of Econometrics, Elsevier, vol. 184(2), pages 242-261.
    20. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
    21. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  28. Carol Alexander & Leonardo Nogueira, 2007. "Model-free price hedge ratios for homogeneous claims on tradable assets," Quantitative Finance, Taylor & Francis Journals, vol. 7(5), pages 473-479.

    Cited by:

    1. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2014. "Quadratic hedging schemes for non-Gaussian GARCH models," Journal of Economic Dynamics and Control, Elsevier, vol. 42(C), pages 13-32.
    2. Rolf Poulsen & Klaus Reiner Schenk-Hoppe & Christian-Oliver Ewald, 2009. "Risk minimization in stochastic volatility models: model risk and empirical performance," Quantitative Finance, Taylor & Francis Journals, vol. 9(6), pages 693-704.
    3. Pascal François & Rémi Galarneau‐Vincent & Geneviève Gauthier & Frédéric Godin, 2022. "Venturing into uncharted territory: An extensible implied volatility surface model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(10), pages 1912-1940, October.
    4. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.

  29. Ali Bora Yiǧitbaşioǧlu & Carol Alexander, 2006. "Pricing And Hedging Convertible Bonds: Delayed Calls And Uncertain Volatility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 415-453.

    Cited by:

    1. Liu, Qiang & Guo, Shuxin, 2020. "An excellent approximation for the m out of n day provision," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    2. Radha Krishn Coonjobeharry & Désiré Yannick Tangman & Muddun Bhuruth, 2016. "A Two-Factor Jump-Diffusion Model For Pricing Convertible Bonds With Default Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-26, September.

  30. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.

    Cited by:

    1. Haas Markus, 2010. "Skew-Normal Mixture and Markov-Switching GARCH Processes," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(4), pages 1-56, September.
    2. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02505861, HAL.
    3. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008. "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies (CFS).
    4. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
    5. Wang, Xinyu & Qi, Zikang & Huang, Jianglu, 2023. "How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies," Economic Modelling, Elsevier, vol. 120(C).
    6. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
    7. Simon A. BRODA & Markus HAAS & Jochen KRAUSE & Marc S. PAOLELLA & Sven C. STEUDE, 2011. "Stable Mixture GARCH Models," Swiss Finance Institute Research Paper Series 11-39, Swiss Finance Institute.
    8. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc, 2006. "Accurate value-at-risk forecasting based on the normal-GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2295-2312, December.
    9. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Post-Print halshs-02505861, HAL.
    10. Paolella, Marc S. & Taschini, Luca, 2008. "An econometric analysis of emission allowance prices," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2022-2032, October.
    11. Maria Eugenia Sanin & Francesco Violante & Maria Mansanet-Bataller, 2015. "Understanding volatility dynamics in the EU-ETS market," Post-Print hal-02878047, HAL.
    12. Comte, Fabienne & Kappus, Johanna, 2015. "Density deconvolution from repeated measurements without symmetry assumption on the errors," Journal of Multivariate Analysis, Elsevier, vol. 140(C), pages 31-46.
    13. BOUADDI, Mohammed & ROMBOUTS, Jeroen V.K., 2007. "Mixed exponential power asymmetric conditional heteroskedasticity," LIDAM Discussion Papers CORE 2007097, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    14. Chlebus Marcin, 2017. "EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk," Central European Economic Journal, Sciendo, vol. 3(50), pages 01-25, December.
    15. Markus Haas & Stefan Mittnik & Bruce Mizrach, 2004. "Assessing Central Bank Credibility During the EMS Crises: Comparing Option and Spot Market-Based Forecasts," Departmental Working Papers 200424, Rutgers University, Department of Economics.
    16. Haas, Markus & Mittnik, Stefan, 2008. "Multivariate regimeswitching GARCH with an application to international stock markets," CFS Working Paper Series 2008/08, Center for Financial Studies (CFS).
    17. Xi, Yanhui & Peng, Hui & Qin, Yemei & Xie, Wenbiao & Chen, Xiaohong, 2015. "Bayesian analysis of heavy-tailed market microstructure model and its application in stock markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 117(C), pages 141-153.
    18. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    19. Badescu Alex & Kulperger Reg & Lazar Emese, 2008. "Option Valuation with Normal Mixture GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(2), pages 1-42, May.
    20. Li, Dan & Clements, Adam & Drovandi, Christopher, 2021. "Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo," Econometrics and Statistics, Elsevier, vol. 19(C), pages 22-46.
    21. Nomikos, Nikos K. & Pouliasis, Panos K., 2011. "Forecasting petroleum futures markets volatility: The role of regimes and market conditions," Energy Economics, Elsevier, vol. 33(2), pages 321-337, March.
    22. Kuang-Liang Chang, 2011. "The optimal value-at-risk hedging strategy under bivariate regime switching ARCH framework," Applied Economics, Taylor & Francis Journals, vol. 43(21), pages 2627-2640.
    23. Hartz, Christoph & Mittnik, Stefan & Paolella, Marc S., 2006. "Accurate Value-at-Risk forecast with the (good old) normal-GARCH model," CFS Working Paper Series 2006/23, Center for Financial Studies (CFS).
    24. Ausin, Maria Concepcion & Galeano, Pedro, 2007. "Bayesian estimation of the Gaussian mixture GARCH model," Computational Statistics & Data Analysis, Elsevier, vol. 51(5), pages 2636-2652, February.
    25. Pertaia Giorgi & Uryasev Stan, 2019. "Fitting heavy-tailed mixture models with CVaR constraints," Dependence Modeling, De Gruyter, vol. 7(1), pages 365-374, January.
    26. Ghassan, Hassan Belkacem & AlHajhoj, Hassan Rafdan, 2016. "Long run dynamic volatilities between OPEC and non-OPEC crude oil prices," Applied Energy, Elsevier, vol. 169(C), pages 384-394.
    27. de Souza Vasconcelos, Camila & Hadad Júnior, Eli, 2023. "Forecasting exchange rate: A bibliometric and content analysis," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 607-628.
    28. Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
    29. Wang, Xi & Yang, Jiao-Hui & Wang, Kai-Li & Fawson, Christopher, 2017. "Dynamic information spillovers in intraregionally-focused spot and forward currency markets," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 78-110.
    30. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012. "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," PSE-Ecole d'économie de Paris (Postprint) hal-00511965, HAL.
    31. Cheung, Yin-Wong & Chung, Sang-Kuck, 2009. "A Long Memory Model with Mixed Normal GARCH for US Inflation Data," Santa Cruz Department of Economics, Working Paper Series qt2202s99q, Department of Economics, UC Santa Cruz.
    32. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31, Puey Ungphakorn Institute for Economic Research.
    33. Marc S. Paolella, 2016. "Stable-GARCH Models for Financial Returns: Fast Estimation and Tests for Stability," Econometrics, MDPI, vol. 4(2), pages 1-28, May.
    34. Guglielmo Maria Caporale & Timur Zekokh, 2018. "Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models," CESifo Working Paper Series 7167, CESifo.
    35. Maciej Augustyniak & Mathieu Boudreault & Manuel Morales, 2018. "Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure," Methodology and Computing in Applied Probability, Springer, vol. 20(1), pages 165-188, March.
    36. Ñíguez, Trino-Manuel & Perote, Javier, 2016. "Multivariate moments expansion density: Application of the dynamic equicorrelation model," Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
    37. Jochen Krause & Marc S. Paolella, 2014. "A Fast, Accurate Method for Value-at-Risk and Expected Shortfall," Econometrics, MDPI, vol. 2(2), pages 1-25, June.
    38. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Post-Print halshs-00523371, HAL.
    39. Chorro, Christophe & Ielpo, Florian & Sévi, Benoît, 2020. "The contribution of intraday jumps to forecasting the density of returns," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
    40. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01442618, HAL.
    41. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
    42. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012. "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," Post-Print hal-00511965, HAL.
    43. Ñíguez, Trino-Manuel & Perote, Javier, 2017. "Moments expansion densities for quantifying financial risk," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 53-69.
    44. Kai Yang & Qingqing Zhang & Xinyang Yu & Xiaogang Dong, 2023. "Bayesian inference for a mixture double autoregressive model," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(2), pages 188-207, May.
    45. Yin-Wong Cheung & Sang-Kuck Chung, 2011. "A Long Memory Model with Normal Mixture GARCH," Computational Economics, Springer;Society for Computational Economics, vol. 38(4), pages 517-539, November.
    46. Maddalena Cavicchioli, 2021. "Statistical inference for mixture GARCH models with financial application," Computational Statistics, Springer, vol. 36(4), pages 2615-2642, December.
    47. Rubing Liang & Binbin Qin & Qiang Xia, 2024. "Bayesian Inference for Mixed Gaussian GARCH-Type Model by Hamiltonian Monte Carlo Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 193-220, January.
    48. Pouliasis, Panos K. & Papapostolou, Nikos C. & Kyriakou, Ioannis & Visvikis, Ilias D., 2018. "Shipping equity risk behavior and portfolio management," Transportation Research Part A: Policy and Practice, Elsevier, vol. 116(C), pages 178-200.
    49. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Option pricing for GARCH-type models with generalized hyperbolic innovations," Post-Print halshs-00469529, HAL.
    50. Atilla Çifter & Alper Özün, 2007. "The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 1(1), pages 7-34.
    51. Drachal, Krzysztof, 2016. "Forecasting spot oil price in a dynamic model averaging framework — Have the determinants changed over time?," Energy Economics, Elsevier, vol. 60(C), pages 35-46.
    52. Rita Laura D’Ecclesia & Daniele Clementi, 2021. "Volatility in the stock market: ANN versus parametric models," Annals of Operations Research, Springer, vol. 299(1), pages 1101-1127, April.
    53. Tanattrin Bunnag, 2015. "Hedging Petroleum Futures with Multivariate GARCH Models," International Journal of Energy Economics and Policy, Econjournals, vol. 5(1), pages 105-120.
    54. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
    55. Carol Alexandra & Emese Lazar, 2005. "The Continuous Limit of GARCH Processess," ICMA Centre Discussion Papers in Finance icma-dp2004-09, Henley Business School, University of Reading, revised Jul 2004.
    56. Mohamed Osman, 2015. "Dynamic Asymmetries in the Electric Consumption of the GCC Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 5(2), pages 461-467.
    57. Ames, Matthew & Bagnarosa, Guillaume & Peters, Gareth W., 2017. "Violations of uncovered interest rate parity and international exchange rate dependences," Journal of International Money and Finance, Elsevier, vol. 73(PA), pages 162-187.
    58. Jeffrey Chu & Saralees Nadarajah & Stephen Chan, 2015. "Statistical Analysis of the Exchange Rate of Bitcoin," PLOS ONE, Public Library of Science, vol. 10(7), pages 1-27, July.
    59. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
    60. Carol Alexander & Emese Lazar, 2009. "Modelling Regime‐Specific Stock Price Volatility," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 761-797, December.
    61. Harvey, Andrew & Sucarrat, Genaro, 2014. "EGARCH models with fat tails, skewness and leverage," Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 320-338.
    62. Wu, C.C. & Lee, Jack C., 2007. "Estimation of a utility-based asset pricing model using normal mixture GARCH(1,1)," Economic Modelling, Elsevier, vol. 24(2), pages 329-349, March.
    63. Yang Zhang & Yidong Peng & Xiuli Qu & Jing Shi & Ergin Erdem, 2021. "A Finite Mixture GARCH Approach with EM Algorithm for Energy Forecasting Applications," Energies, MDPI, vol. 14(9), pages 1-22, April.
    64. León, Ángel & Ñíguez, Trino-Manuel, 2021. "The transformed Gram Charlier distribution: Parametric properties and financial risk applications," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 323-349.
    65. Slim, Skander & Koubaa, Yosra & BenSaïda, Ahmed, 2017. "Value-at-Risk under Lévy GARCH models: Evidence from global stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 30-53.
    66. Pedro Correia S. Bezerra & Pedro Henrique M. Albuquerque, 2017. "Volatility forecasting via SVR–GARCH with mixture of Gaussian kernels," Computational Management Science, Springer, vol. 14(2), pages 179-196, April.
    67. Giannikis, D. & Vrontos, I.D. & Dellaportas, P., 2008. "Modelling nonlinearities and heavy tails via threshold normal mixture GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1549-1571, January.
    68. Hassan Ghassan & Prashanta Banerjee, 2015. "A threshold cointegration analysis of asymmetric adjustment of OPEC and non-OPEC monthly crude oil prices," Empirical Economics, Springer, vol. 49(1), pages 305-323, August.
    69. Chikashi Tsuji, 2016. "Does the fear gauge predict downside risk more accurately than econometric models? Evidence from the US stock market," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1220711-122, December.
    70. Bernard Njindan Iyke, 2019. "A Test Of The Efficiency Of The Foreign Exchange Market In Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 0(12th BMEB), pages 1-26, January.
    71. Chevallier, Julien & Ielpo, Florian, 2017. "Investigating the leverage effect in commodity markets with a recursive estimation approach," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 763-778.
    72. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    73. Chung, Sang-Kuck, 2009. "Bivariate mixed normal GARCH models and out-of-sample hedge performances," Finance Research Letters, Elsevier, vol. 6(3), pages 130-137, September.

  31. Carol Alexander & Anca Dimitriu, 2005. "Indexing, cointegration and equity market regimes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(3), pages 213-231.

    Cited by:

    1. Nafeesa Yunus, 2019. "Dynamic Linkages Among U.S. Real Estate Sectors Before and After the Housing Crisis," The Journal of Real Estate Finance and Economics, Springer, vol. 58(2), pages 264-289, February.
    2. Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2013. "No arbitrage and a linear portfolio selection model," Economics Bulletin, AccessEcon, vol. 33(2), pages 1247-1258.
    3. Klaus Grobys, 2011. "Are Different National Stock Markets Driven by the Same Stochastic Hidden Variable?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 3(1), pages 021-030, June.
    4. Ma, Jason Z. & Deng, Xiang & Ho, Kung-Cheng & Tsai, Sang-Bing, 2018. "Regime-switching determinants of emerging markets sovereign credit risk swaps spread," Economics Discussion Papers 2018-52, Kiel Institute for the World Economy (IfW Kiel).
    5. Focardi, Sergio M. & Fabozzi, Frank J. & Mitov, Ivan K., 2016. "A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 134-155.
    6. Klaus Grobys, 2010. "Correlation versus Cointegration: Do Cointegration based - Index-Tracking Portfolios perform better? Evidence from the Swedish Stock-Market," Zeitschrift für Nachwuchswissenschaftler - German Journal for Young Researchers, Zeitschrift für Nachwuchswissenschaftler - German Journal for Young Researchers, vol. 2(1), pages 72-78, May.
    7. Carol Alexander & Anca Dimitriu, 2005. "Detecting Switching Strategies in Equity Hedge Funds," ICMA Centre Discussion Papers in Finance icma-dp2005-07, Henley Business School, University of Reading.
    8. Yunus, Nafeesa, 2023. "Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 211-232.
    9. Hurvich, Cliiford & Wang, Yi, 2006. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 1413, University Library of Munich, Germany.
    10. Georgios Bampinas & Theodore Panagiotidis, 2016. "Hedging Inflation with Individual US stocks: A long-run portfolio analysis," Working Paper series 16-11, Rimini Centre for Economic Analysis.
    11. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
    12. João Frois Caldeira & Gulherme Valle Moura, 2013. "Selection of a Portfolio of Pairs Based on Cointegration: A Statistical Arbitrage Strategy," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(1), pages 49-80.
    13. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra.
    14. Renato Bruni & Francesco Cesarone & Andrea Scozzari & Fabio Tardella, 2012. "A new stochastic dominance approach to enhanced index tracking problems," Economics Bulletin, AccessEcon, vol. 32(4), pages 3460-3470.
    15. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, University of Reading.
    16. H. Kent Baker & Satish Kumar & Kirti Goyal & Prashant Gupta, 2023. "International journal of finance and economics: A bibliometric overview," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 9-46, January.
    17. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
    18. Selim Aren & Lutfihak Alpkan & Bulent Sezen & Ziya Alper Guncu, 2011. "Drivers of firms’ debt ratios: evidence from Taiwanese and Turkish firms," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 13(1), pages 53-70, May.
    19. Nafeesa Yunus, 2023. "Co‐movement among oil, stock, bond, and housing markets: An analysis of U.S., Asian, and European economies," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 393-436, June.
    20. Sant’Anna, Leonardo R. & Filomena, Tiago P. & Caldeira, João F., 2017. "Index tracking and enhanced indexing using cointegration and correlation with endogenous portfolio selection," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 146-157.
    21. Ravi Kashyap, 2019. "Concepts, Components and Collections of Trading Strategies and Market Color," Papers 1910.02144, arXiv.org, revised Jan 2020.
    22. Jason Z. Ma & Xiang Deng & Kung-Cheng Ho & Sang-Bing Tsai, 2018. "Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps," Sustainability, MDPI, vol. 10(8), pages 1-17, August.
    23. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.
    24. Nafeesa Yunus, 2013. "Dynamic interactions among property types," Journal of Property Investment & Finance, Emerald Group Publishing Limited, vol. 31(2), pages 135-159, March.
    25. Yunus, Nafeesa, 2020. "Time-varying linkages among gold, stocks, bonds and real estate," The Quarterly Review of Economics and Finance, Elsevier, vol. 77(C), pages 165-185.
    26. Canakgoz, N.A. & Beasley, J.E., 2009. "Mixed-integer programming approaches for index tracking and enhanced indexation," European Journal of Operational Research, Elsevier, vol. 196(1), pages 384-399, July.

  32. Carol Alexander, 2005. "The Present and Future of Financial Risk Management," Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 3-25.

    Cited by:

    1. Małgorzata Tarczynska-Luniewska & Iwona Bak & Uma Shankar Singh & Guru Ashish Singh, 2022. "Economic Crisis Impact Assessment and Risk Exposure Evaluation of Selected Energy Sector Companies from Bombay Stock Exchange," Energies, MDPI, vol. 15(22), pages 1-25, November.
    2. Lee, Chien-Chiang & Chiu, Yi-Bin, 2016. "Globalization and insurance activity: Evidence on the industrial and emerging countries," The North American Journal of Economics and Finance, Elsevier, vol. 36(C), pages 328-349.
    3. George Kouretas & Leonidas Zarangas, 2005. "Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets," Working Papers 0521, University of Crete, Department of Economics.
    4. Hayette Gatfaoui, 2010. "Deviation from normality and Sharpe ratio behavior: a brief simulation study," Post-Print hal-00568613, HAL.
    5. Anastassios A. Drakos & Georgios P. Kouretas & Leonidas P. Zarangas, 2010. "Forecasting financial volatility of the Athens stock exchange daily returns: an application of the asymmetric normal mixture GARCH model," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(4), pages 331-350.
    6. Puustelli, Anne & Koskinen, Lasse & Luoma, Arto, 2008. "Bayesian modelling of financial guarantee insurance," Insurance: Mathematics and Economics, Elsevier, vol. 43(2), pages 245-254, October.
    7. Diamandis, Panayiotis F. & Drakos, Anastassios A. & Kouretas, Georgios P. & Zarangas, Leonidas, 2011. "Value-at-risk for long and short trading positions: Evidence from developed and emerging equity markets," International Review of Financial Analysis, Elsevier, vol. 20(3), pages 165-176, June.
    8. Schlegel, Friederike & Hakenes, Hendrik, 2013. "Model Risk - an Agency Theoretic Approach," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79954, Verein für Socialpolitik / German Economic Association.
    9. Ravi Kashyap, 2023. "DeFi Security: Turning The Weakest Link Into The Strongest Attraction," Papers 2312.00033, arXiv.org.
    10. Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008. "Measuring Model Risk," Hannover Economic Papers (HEP) dp-409, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    11. Imola Drigă, 2012. "Financial Risks Analysis For A Commercial Bank In The Romanian Banking System," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 1(14), pages 1-14.

  33. Carol Alexander & Andrew Scourse, 2004. "Bivariate normal mixture spread option valuation," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 637-648.
    See citations under working paper version above.
  34. Alexander, Carol, 2004. "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2957-2980, December.

    Cited by:

    1. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
    2. Carol Alexander & Leonardo M. Nogueira, 2004. "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2004-10, Henley Business School, University of Reading, revised Dec 2004.
    3. Maria Eugenia Sanin & Francesco Violante & Maria Mansanet-Bataller, 2015. "Understanding volatility dynamics in the EU-ETS market," Post-Print hal-02878047, HAL.
    4. Emese Lazar & Carol Alexander, 2006. "Normal mixture GARCH(1,1): applications to exchange rate modelling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(3), pages 307-336.
    5. Hodoshima, Jiro & Misawa, Tetsuya & Miyahara, Yoshio, 2018. "Comparison of utility indifference pricing and mean-variance approach under normal mixture," Finance Research Letters, Elsevier, vol. 24(C), pages 221-229.
    6. Rania Hentati-Kaffel & Jean-Luc Prigent, 2014. "Portfolio Optimization within Mixture of Distributions," Working Papers hal-01066105, HAL.
    7. En-Der Su & Feng-Jeng Lin, 2012. "Two-State Volatility Transition Pricing and Hedging of TXO Options," Computational Economics, Springer;Society for Computational Economics, vol. 39(3), pages 259-287, March.
    8. Rania Hentati & Jean-Luc Prigent, 2011. "On the maximization of financial performance measures within mixture models," Post-Print hal-00608960, HAL.
    9. Rania Hentati & Jean-Luc Prigent, 2016. "Optimal positioning in financial derivatives under mixture distributions," Post-Print hal-01299840, HAL.
    10. Xin Liu, 2016. "Asset Pricing with Random Volatility," Papers 1610.01450, arXiv.org, revised Sep 2018.
    11. Pål Nicolai Henriksen, 2011. "Pricing barrier options by a regime switching model," Quantitative Finance, Taylor & Francis Journals, vol. 11(8), pages 1221-1231.
    12. Natasha Latif & Shafqat Ali Shad & Muhammad Usman & Chandan Kumar & Bahman B Motii & MD Mahfuzer Rahman & Khuram Shafi & Zahra Idrees, 2023. "Pragmatic Comparison Analysis of Alternative Option Pricing Models," Papers 2309.09890, arXiv.org.
    13. Dinghai Xu, 2009. "The Applications of Mixtures of Normal Distributions in Empirical Finance: A Selected Survey," Working Papers 0904, University of Waterloo, Department of Economics, revised Sep 2009.
    14. Carol Alexandra & Andrew Scourse, 2003. "Bivariate Normal Mixture Spread Option Valuation," ICMA Centre Discussion Papers in Finance icma-dp2003-15, Henley Business School, University of Reading.
    15. Hodoshima, Jiro & Yamawake, Toshiyuki, 2019. "Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility," Finance Research Letters, Elsevier, vol. 28(C), pages 74-81.
    16. Jiro Hodoshima & Toshiyuki Yamawake, 2022. "Comparing Dynamic and Static Performance Indexes in the Stock Market: Evidence From Japan," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(2), pages 171-193, June.
    17. Douglas Cumming & Lars Helge Haß & Denis Schweizer, 2014. "Strategic Asset Allocation and the Role of Alternative Investments," European Financial Management, European Financial Management Association, vol. 20(3), pages 521-547, June.
    18. Seiji Harikae & James S. Dyer & Tianyang Wang, 2021. "Valuing Real Options in the Volatile Real World," Production and Operations Management, Production and Operations Management Society, vol. 30(1), pages 171-189, January.
    19. Osazee Godwin Omorokunwa & Nosakhare Ikponmwosa, 2014. "Macroeconomic variables and stock price volatility in Nigeria," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 14(1), pages 259-268.
    20. Massimo Guidolin, 2013. "Markov switching models in asset pricing research," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 1, pages 3-44, Edward Elgar Publishing.
    21. Date, Paresh & Islyaev, Suren, 2015. "A fast calibrating volatility model for option pricing," European Journal of Operational Research, Elsevier, vol. 243(2), pages 599-606.
    22. Armstrong, John & Brigo, Damiano, 2022. "Coherent risk measures alone are ineffective in constraining portfolio losses," Journal of Banking & Finance, Elsevier, vol. 140(C).
    23. Donald Aingworth & Sanjiv Das & Rajeev Motwani, 2006. "A simple approach for pricing equity options with Markov switching state variables," Quantitative Finance, Taylor & Francis Journals, vol. 6(2), pages 95-105.
    24. Jiro Hodoshima & Toshiyuki Yamawake, 2020. "The Aumann–Serrano Performance Index for Multi-Period Gambles in Stock Data," JRFM, MDPI, vol. 13(11), pages 1-18, November.

  35. Carol Alexander & Anca Dimitriu, 2004. "Equity indexing: Optimize your passive investments," Quantitative Finance, Taylor & Francis Journals, vol. 4(3), pages 30-33.

    Cited by:

    1. Georgios Bampinas & Theodore Panagiotidis, 2016. "Hedging Inflation with Individual US stocks: A long-run portfolio analysis," Working Paper series 16-11, Rimini Centre for Economic Analysis.
    2. Doering, Jana & Kizys, Renatas & Juan, Angel A. & Fitó, Àngels & Polat, Onur, 2019. "Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends," Operations Research Perspectives, Elsevier, vol. 6(C).
    3. Mikica Drenovak & Branko Urošević & Ranko Jelic, 2014. "European Bond ETFs: Tracking Errors and the Sovereign Debt Crisis," European Financial Management, European Financial Management Association, vol. 20(5), pages 958-994, November.

  36. Carol Alexander, 2002. "Principal Component Models for Generating Large GARCH Covariance Matrices," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 31(2), pages 337-359, July.

    Cited by:

    1. Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, vol. 7(2), pages 1-24, May.
    2. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2008. "Asymmetric multivariate normal mixture GARCH," CFS Working Paper Series 2008/07, Center for Financial Studies (CFS).
    3. Claudio Morana, 2010. "Heteroskedastic Factor Vector Autoregressive Estimation of Persistent and Non Persistent Processes Subject to Structural Breaks," ICER Working Papers - Applied Mathematics Series 36-2010, ICER - International Centre for Economic Research.
    4. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    5. Eterovic, Nicolas A. & Eterovic, Dalibor S., 2013. "Separating the wheat from the chaff: Understanding portfolio returns in an emerging market," Emerging Markets Review, Elsevier, vol. 16(C), pages 145-169.
    6. Gian Piero Aielli, 2011. "Dynamic Conditional Correlation: On properties and estimation," "Marco Fanno" Working Papers 0142, Dipartimento di Scienze Economiche "Marco Fanno".
    7. Redouane Elkamhia & Denitsa Stefanova, 2011. "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers 11-028/2/DSF10, Tinbergen Institute.
    8. Oscar V. De la Torre-Torres & Evaristo Galeana-Figueroa & José Álvarez-García, 2020. "Markov-Switching Stochastic Processes in an Active Trading Algorithm in the Main Latin-American Stock Markets," Mathematics, MDPI, vol. 8(6), pages 1-22, June.
    9. Kearney, Colm & Muckley, Cal, 2008. "Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 870-885, December.
    10. Yip, Iris W.H. & So, Mike K.P., 2009. "Simplified specifications of a multivariate generalized autoregressive conditional heteroscedasticity model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 80(2), pages 327-340.
    11. Shimada, Junji & Tsukuda, Yoshihiko & Miyakoshi, Tatsuyoshi, 2021. "Who is the center of local currency Asian government bond markets?," Japan and the World Economy, Elsevier, vol. 59(C).
    12. Márcio Poletti Laurini & Roberto Baltieri Mauad & Fernando Antonio Lucena Aiube, 2016. "Multivariate Stochastic Volatility-Double Jump Model: an application for oil assets," Working Papers Series 415, Central Bank of Brazil, Research Department.
    13. Morana, Claudio, 2019. "Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices," Econometrics and Statistics, Elsevier, vol. 12(C), pages 42-65.
    14. Jian, Zhihong & Deng, Pingjun & Zhu, Zhican, 2018. "High-dimensional covariance forecasting based on principal component analysis of high-frequency data," Economic Modelling, Elsevier, vol. 75(C), pages 422-431.
    15. Nuno Cassola & Claudio Morana, 2010. "The 2007-? financial crisis: a euro area money market perspective," ICER Working Papers - Applied Mathematics Series 35-2010, ICER - International Centre for Economic Research.
    16. Bredin, Don & Hyde, Stuart, 2002. "Forex Risk: Measurement and Evaluation using Value-at-Risk," Research Technical Papers 6/RT/02, Central Bank of Ireland.
    17. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
    18. Rosenow, Bernd, 2008. "Determining the optimal dimensionality of multivariate volatility models with tools from random matrix theory," Journal of Economic Dynamics and Control, Elsevier, vol. 32(1), pages 279-302, January.
    19. Paolella, Marc S. & Polak, Paweł & Walker, Patrick S., 2021. "A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs," Journal of Banking & Finance, Elsevier, vol. 125(C).
    20. Pierret, D., 2013. "The systemic risk of energy markets," LIDAM Discussion Papers ISBA 2013061, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    21. Loann David Denis Desboulets, 2017. "Co-movements in Market Prices and Fundamentals: A Semiparametric Multivariate GARCH Approach," Working Papers halshs-02059302, HAL.
    22. Claudio, Morana, 2015. "Semiparametric Estimation of Multivariate GARCH Models," Working Papers 317, University of Milano-Bicocca, Department of Economics, revised 10 Dec 2015.
    23. Tu, Anthony H. & Chen, Cathy Yi-Hsuan, 2018. "A factor-based approach of bond portfolio value-at-risk: The informational roles of macroeconomic and financial stress factors," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 243-268.
    24. Aggarwal, Raj & Muckley, Cal B., 2010. "Assessing co-ordinated Asian exchange rate regimes: Proposal for a possible move towards a common currency," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 149-165, April.
    25. Martin Vojtek, 2004. "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers wp237, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    26. Claudio Morana, 2013. "New Insights on the US OIS Spreads Term Structure During the Recent Financial Turmoil," CeRP Working Papers 137, Center for Research on Pensions and Welfare Policies, Turin (Italy).
    27. Ding, Shusheng & Cui, Tianxiang & Wu, Xiangling & Du, Min, 2022. "Supply chain management based on volatility clustering: The effect of CBDC volatility," Research in International Business and Finance, Elsevier, vol. 62(C).
    28. Roy van der Weide, 2002. "GO-GARCH: a multivariate generalized orthogonal GARCH model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 549-564.
    29. Savona, Roberto, 2014. "Hedge fund systemic risk signals," European Journal of Operational Research, Elsevier, vol. 236(1), pages 282-291.
    30. Haas, Markus & Mittnik, Stefan & Paolella, Marc S., 2006. "Multivariate normal mixture GARCH," CFS Working Paper Series 2006/09, Center for Financial Studies (CFS).
    31. Hüttner, Amelie & Scherer, Matthias & Gräler, Benedikt, 2020. "Geostatistical modeling of dependent credit spreads: Estimation of large covariance matrices and imputation of missing data," Journal of Banking & Finance, Elsevier, vol. 118(C).
    32. Anthony H. Tu & Cathy Yi-Hsuan Chen, 2016. "What Derives the Bond Portfolio Value-at-Risk: Information Roles of Macroeconomic and Financial Stress Factors," SFB 649 Discussion Papers SFB649DP2016-006, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    33. Claudio Morana, 2013. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks: New Insights on the US OIS SPreads Term Structure," Working Papers 233, University of Milano-Bicocca, Department of Economics, revised Feb 2013.
    34. Kuper, Gerard H. & Lestano, 2006. "Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia," CCSO Working Papers 200602, University of Groningen, CCSO Centre for Economic Research.
    35. Kritski, Oleg & Ulyanova, Marina, 2007. "Assessment of Multivariate Financial Risks of a Stock Share Portfolio," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 8(4), pages 3-17.
    36. Walid Abass Mohammed, 2021. "Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets," JRFM, MDPI, vol. 14(6), pages 1-30, June.
    37. Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.

  37. Alexander, C O & Ledermann, W, 1996. "Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations," Oxford Economic Papers, Oxford University Press, vol. 48(2), pages 242-253, April.

    Cited by:

    1. Erkki Koskela & Rune Stenbacka, 2004. "Profit Sharing, Credit Market Imperfections and Equilibrium Unemployment," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(4), pages 677-701, December.
    2. Luciano Fanti & Domenico Buccella, 2018. "Union–Firm Bargaining Agenda Revisited: When Unions Have Distinct Preferences," Bulletin of Economic Research, Wiley Blackwell, vol. 70(1), pages 35-50, January.
    3. Harbaugh, Rick, 2005. "The effect of employee stock ownership on wage and employment bargaining," Journal of Comparative Economics, Elsevier, vol. 33(3), pages 565-583, September.
    4. Claus-Jochen Haake & Thorsten Upmann & Papatya Duman, 2020. "Wage Bargaining and Employment Revisited: Separability and Efficiency in Collective Bargaining," CESifo Working Paper Series 8422, CESifo.
    5. Claus‐Jochen Haake & Thorsten Upmann & Papatya Duman, 2023. "Wage bargaining and employment revisited: separability and efficiency in collective bargaining," Scandinavian Journal of Economics, Wiley Blackwell, vol. 125(2), pages 403-440, April.
    6. Claus-Jochen Haake & Thorsten Upmann & Papatya Duman, 2019. "The Decomposability of the Nash Bargaining Solution in Labor Markets," Working Papers CIE 128, Paderborn University, CIE Center for International Economics.
    7. L. Monroy & V. Rubiales & A. M. Mármol, 2017. "The conservative Kalai–Smorodinsky solution for multiple scenario bargaining," Annals of Operations Research, Springer, vol. 251(1), pages 285-299, April.

  38. Carol Alexander & John Wyeth, 1995. "Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon," Journal of Development Studies, Taylor & Francis Journals, vol. 32(1), pages 144-146.

    Cited by:

    1. Kadir Eryigit & Suleyman Karaman, 2011. "Testing for spatial market integration and law of one price in Turkish wheat markets," Quality & Quantity: International Journal of Methodology, Springer, vol. 45(6), pages 1519-1530, October.
    2. Rashid, Shahidur & Cummings, Ralph Jr. & Gulati, Ashok, 2005. "Grain marketing parastatals in Asia," MTID discussion papers 80, International Food Policy Research Institute (IFPRI).
    3. Yu JIANG & Yu WANG, 2013. "Is China's domestic agricultural market influenced by price fluctuations of the world agricultural commodities in the short-run?," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 59(12), pages 578-589.

  39. Carol Alexander & Michael Barrow, 1994. "Seasonality and Cointegration of Regional House Prices in the UK," Urban Studies, Urban Studies Journal Limited, vol. 31(10), pages 1667-1689, December.

    Cited by:

    1. Lo Cascio, Iolanda, 2021. "A wavelet analysis of the ripple effect in UK regional housing markets," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1093-1105.
    2. David Gray, 2005. "An examination of regional interaction and super-regions in Britain: An error correction model approach," Regional Studies, Taylor & Francis Journals, vol. 39(5), pages 619-632.
    3. Wang, Songtao & Yang, Zan & Liu, Hongyu, 2011. "Impact of urban economic openness on real estate prices: Evidence from thirty-five cities in China," China Economic Review, Elsevier, vol. 22(1), pages 42-54, March.
    4. Colin Jones & Chris Leishman, 2006. "Spatial Dynamics of the Housing Market: An Interurban Perspective," Urban Studies, Urban Studies Journal Limited, vol. 43(7), pages 1041-1059, June.
    5. Montagnoli, Alberto & Nagayasu, Jun, 2015. "UK house price convergence clubs and spillovers," Journal of Housing Economics, Elsevier, vol. 30(C), pages 50-58.
    6. Shuping Shi & Peter C.B. Phillips, 2020. "Diagnosing Housing Fever with an Econometric Thermometer," Cowles Foundation Discussion Papers 2248, Cowles Foundation for Research in Economics, Yale University.
    7. Steve Cook, 2012. "β-convergence and the Cyclical Dynamics of UK Regional House Prices," Urban Studies, Urban Studies Journal Limited, vol. 49(1), pages 203-218, January.
    8. Chen, Pei-Fen & Chien, Mei-Se & Lee, Chien-Chiang, 2011. "Dynamic modeling of regional house price diffusion in Taiwan," Journal of Housing Economics, Elsevier, vol. 20(4), pages 315-332.
    9. Leung, Charles Ka Yui & Shi, Song & Ho Tang, Edward Chi, 2013. "Commodity house prices," Regional Science and Urban Economics, Elsevier, vol. 43(6), pages 875-887.
    10. Huayi Yu, 2015. "The spillovers and heterogeneous responses of housing prices: a GVAR analysis of China's 35 major cities," Journal of the Asia Pacific Economy, Taylor & Francis Journals, vol. 20(4), pages 535-558, October.
    11. Carlos P. Barros & Luis A. Gil-Alana, 2013. "The Housing Markets in Spain and Portugal: Evidence of Persistence," Review of Economics & Finance, Better Advances Press, Canada, vol. 3, pages 19-32, November.
    12. Aikins Abakah, Emmanuel Joel & Gil-Alana, Luis A. & Tripathy, Trilochan, 2022. "Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks," Resources Policy, Elsevier, vol. 78(C).
    13. Meen, Geoffrey, 2002. "The Time-Series Behavior of House Prices: A Transatlantic Divide?," Journal of Housing Economics, Elsevier, vol. 11(1), pages 1-23, March.
    14. Haavio, Markus & Kauppi, Heikki, 2009. "House price fluctuations and residential sorting," Bank of Finland Research Discussion Papers 14/2009, Bank of Finland.
    15. Qin Xiao, 2023. "Equilibrating ripple effect, disturbing information cascade effect and regional disparity – A perspective from China's tiered housing markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(1), pages 858-875, January.
    16. Todd Kuethe & Valerien Pede, 2011. "Regional Housing Price Cycles: A Spatio-temporal Analysis Using US State-level Data," Regional Studies, Taylor & Francis Journals, vol. 45(5), pages 563-574.
    17. Gong, Yunlong & Hu, Jinxing & Boelhouwer, Peter J., 2016. "Spatial interrelations of Chinese housing markets: Spatial causality, convergence and diffusion," Regional Science and Urban Economics, Elsevier, vol. 59(C), pages 103-117.
    18. Tsai, I-Chun & Chiang, Shu-Hen, 2019. "Exuberance and spillovers in housing markets: Evidence from first- and second-tier cities in China," Regional Science and Urban Economics, Elsevier, vol. 77(C), pages 75-86.
    19. David Gray, 2018. "An application of two non-parametric techniques to the prices of British dwellings: An examination of cyclicality," Urban Studies, Urban Studies Journal Limited, vol. 55(10), pages 2286-2299, August.
    20. Efthymios Pavlidis & Ivan Paya & David Alan Peel & Alisa Yevgenyevna Yusupova, 2017. "Exuberance in the U.K. Regional Housing Markets," Working Papers 168117137, Lancaster University Management School, Economics Department.
    21. Lok Ho & Yue Ma & Donald Haurin, 2008. "Domino Effects Within a Housing Market: The Transmission of House Price Changes Across Quality Tiers," The Journal of Real Estate Finance and Economics, Springer, vol. 37(4), pages 299-316, November.
    22. Luis Alberiko Gil-Alaña & Shinhye Chang & Mehmet Balcilar & Goodness C. Aye & Rangan Gupta, 2015. "Persistence of precious metal prices: a fractional integration approach with structural breaks," NCID Working Papers 06/2015, Navarra Center for International Development, University of Navarra.
    23. S. Cook & C. Thomas, 2003. "An alternative approach to examining the ripple effect in UK house prices," Applied Economics Letters, Taylor & Francis Journals, vol. 10(13), pages 849-851.
    24. Steve Cook & Duncan Watson, 2016. "A new perspective on the ripple effect in the UK housing market: Comovement, cyclical subsamples and alternative indices," Urban Studies, Urban Studies Journal Limited, vol. 53(14), pages 3048-3062, November.
    25. Hooi Hooi Lean & Russell Smyth, 2013. "Regional House Prices and the Ripple Effect in Malaysia," Urban Studies, Urban Studies Journal Limited, vol. 50(5), pages 895-922, April.
    26. Alexey Akimov & Simon Stevenson & James Young, 2015. "Synchronisation and commonalities in metropolitan housing market cycles," Urban Studies, Urban Studies Journal Limited, vol. 52(9), pages 1665-1682, July.
    27. Rangan Gupta & Christophe André & Luis Gil-Alana, 2015. "Comovement in Euro area housing prices: A fractional cointegration approach," Urban Studies, Urban Studies Journal Limited, vol. 52(16), pages 3123-3143, December.
    28. Hassan Gholipour Fereidouni & Usama Al-Mulali & Janice Y. M. Lee & Abdul Hakim Mohammed, 2016. "Dynamic Relationship between House Prices in Malaysia's Major Economic Regions and Singapore House Prices," Regional Studies, Taylor & Francis Journals, vol. 50(4), pages 657-670, April.
    29. David Gray, 2020. "An international housing market in the British Isles: Evidence from business and medium-term cycles using a Friedman test," Urban Studies, Urban Studies Journal Limited, vol. 57(2), pages 307-322, February.
    30. David Gray, 2019. "Medium-term cycles and housing: Is regional integration different?," Urban Studies, Urban Studies Journal Limited, vol. 56(9), pages 1786-1800, July.
    31. Hsiao-Jung Teng & Chin-Oh Chang & Ming-Chi Chen, 2017. "Housing bubble contagion from city centre to suburbs," Urban Studies, Urban Studies Journal Limited, vol. 54(6), pages 1463-1481, May.
    32. Mark J. Holmes & Arthur Grimes, 2005. "Is there long-run convergence of regional house prices in the UK?," Working Papers 05_11, Motu Economic and Public Policy Research.
    33. Gavin Cameron & John Muellbauer & Anthony Murphy, 2005. "Booms, Busts and Ripples in British Regional Housing Markets," Macroeconomics 0512003, University Library of Munich, Germany.
    34. Chien-Fu Chen & Shu-hen Chiang, 2020. "Time-varying spillovers among first-tier housing markets in China," Urban Studies, Urban Studies Journal Limited, vol. 57(4), pages 844-864, March.
    35. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2010. "Unit Roots and Structural Change: An Application to US House-Price Indices," Working Papers 1004, University of Nevada, Las Vegas , Department of Economics.
    36. Zeno Adams & Roland Füss & Felix Schindler, 2015. "The Sources of Risk Spillovers among U.S. REITs: Financial Characteristics and Regional Proximity," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 43(1), pages 67-100, March.
    37. Liu, Chunping & Ou, Zhirong, 2021. "Revisiting the determinants of house prices in China's megacities: cross-sectional heterogeneity, interdependencies and spillovers," Cardiff Economics Working Papers E2021/4, Cardiff University, Cardiff Business School, Economics Section.
    38. Kim, Young Se & Rous, Jeffrey J., 2012. "House price convergence: Evidence from US state and metropolitan area panels," Journal of Housing Economics, Elsevier, vol. 21(2), pages 169-186.
    39. Chris Hudson & John Hudson & Bruce Morley, 2018. "Differing house price linkages across UK regions: A multi-dimensional recursive ripple model," Urban Studies, Urban Studies Journal Limited, vol. 55(8), pages 1636-1654, June.
    40. Lu Liu & Linda Qiu & Yuanyuan Yang, 2022. "Urban housing prices within a core urban agglomeration in China," SN Business & Economics, Springer, vol. 2(11), pages 1-38, November.
    41. Zohrabyan, Tatevik & Leatham, David J. & Bessler, David A., 2008. "Cointegration Analysis of Regional House Prices in U.S," 2007 Agricultural and Rural Finance Markets in Transition, October 4-5, 2007, St. Louis, Missouri 48138, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
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    55. Yuanyuan Cai & Yingming Zhu & Marco Helbich, 2022. "Club convergence of regional housing prices in China: evidence from 70 major Cities," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 69(1), pages 33-55, August.
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    61. Sihan Zhang & Ming‐ang Zhang & Weizeng Sun, 2022. "Administrative Division Adjustment and Housing Price Comovement: Evidence from City‐County Mergers in China," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 30(4), pages 149-173, July.
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  40. Alexander, Carol O, 1993. "The Changing Relationship between Productivity, Wages and Unemployment in the UK," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 55(1), pages 87-102, February.

    Cited by:

    1. Lo Cascio, Iolanda, 2021. "A wavelet analysis of the ripple effect in UK regional housing markets," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 1093-1105.
    2. Olfa Frini & Khoutem Ben Jedidia, 2018. "The age structure change of population and labour productivity impact," Economics Bulletin, AccessEcon, vol. 38(4), pages 1831-1844.
    3. José Abraham López Machuca & Jorge Eduardo Mendoza Cota, 2017. "Salarios, desempleo y productividad laboral en la industria manufacturera mexicana. (Wage, Unemployment and Labor Productivity in the Mexican Manufacturing Industry)," Ensayos Revista de Economia, Universidad Autonoma de Nuevo Leon, Facultad de Economia, vol. 0(2), pages 185-228, October.
    4. Chor Foon Tang, 2012. "The non‐monotonic effect of real wages on labour productivity," International Journal of Social Economics, Emerald Group Publishing Limited, vol. 39(6), pages 391-399, May.
    5. Melike Bildirici & Elçin Aykaç Alp, 2012. "Minimum wage is efficient wage in Turkish labor market: TAR–cointegration analysis," Quality & Quantity: International Journal of Methodology, Springer, vol. 46(4), pages 1261-1270, June.
    6. Saten Kumar & Don J. Webber & Geoff Perry, 2009. "Real wages, inflation and labour productivity in Australia," Working Papers 0921, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    7. Goh, Soo Khoon, 2009. "Is Productivity Linked To Wages? An Empirical Investigation in Malaysia," MPRA Paper 18095, University Library of Munich, Germany.
    8. Nurliyana Mohd Basri & Zulkefly Abdul Karim & Noorasiah Sulaiman, 2020. "The Effects of Factors of Production Shocks on Labor Productivity: New Evidence Using Panel VAR Analysis," Sustainability, MDPI, vol. 12(20), pages 1-23, October.
    9. Hernán Enríquez Sierra & Jacobo Campo Robledo & Antonio Avendaño Arosemena, 2015. "Relaciones regionales en los precios de vivienda nueva en Colombia," Revista Ecos de Economía, Universidad EAFIT, vol. 19(40), pages 25-47, June.
    10. Carol Alexander & Michael Barrow, 1994. "Seasonality and Cointegration of Regional House Prices in the UK," Urban Studies, Urban Studies Journal Limited, vol. 31(10), pages 1667-1689, December.
    11. Tang, Chor Foon, 2010. "A note on the nonlinear wages-productivity nexus for Malaysia," MPRA Paper 24355, University Library of Munich, Germany.
    12. Jeremy Wakeford, 2004. "Productivity, Wages and Employment in South Africa’s Manufacturing Sector, 1970-2002," Working Papers 04085, University of Cape Town, Development Policy Research Unit.
    13. Chaido Dritsaki, 2016. "Real wages, inflation, and labor productivity: Evidences from Bulgaria and Romania," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 4(5), pages 24-36, October.

  41. Alexander, C. O. & Johnson, A., 1992. "Are foreign exchange markets really efficient?," Economics Letters, Elsevier, vol. 40(4), pages 449-453, December.

    Cited by:

    1. Manamba Epaphra & Khatibu Kazungu, 2021. "Efficiency of Tanzania's foreign exchange market," African Development Review, African Development Bank, vol. 33(2), pages 368-381, June.
    2. Sequeira, John M., 1997. "Econometric modelling of long-run relationships in the Singapore currency futures market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(3), pages 421-427.
    3. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001.
    4. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
    5. Shyh-Wei Chen, 2010. "Testing the hypothesis of market efficiency in the Taiwan-US forward exchange market since 1990," Applied Economics, Taylor & Francis Journals, vol. 42(1), pages 121-132.
    6. Sarwar, Ghulam, 1997. "Efficiency of black markets in foreign currencies in Southeast Asia," Journal of Multinational Financial Management, Elsevier, vol. 7(4), pages 333-344, December.
    7. Tse, Y. K. & Ng, L. K., 1997. "The cointegration of Asian currencies revisited," Japan and the World Economy, Elsevier, vol. 9(1), pages 109-114, March.
    8. Ram Bhar, 1994. "Modelling Yen Futures Return Using Daily Data From IMM and Simex," Working Paper Series 39, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    9. Carol Alexander & Ian Giblin & Wayne Weddington III, 2001. "Cointegration and Asset Allocation: A New Fund Strategy," ICMA Centre Discussion Papers in Finance icma-dp2001-03, Henley Business School, University of Reading.
    10. Engel, Charles, 1996. "A note on cointegration and international capital market efficiency," Journal of International Money and Finance, Elsevier, vol. 15(4), pages 657-660, August.
    11. Duan, Jin-Chuan & Pliska, Stanley R., 2004. "Option valuation with co-integrated asset prices," Journal of Economic Dynamics and Control, Elsevier, vol. 28(4), pages 727-754, January.
    12. Kühl, Michael, 2010. "Bivariate cointegration of major exchange rates, cross-market efficiency and the introduction of the Euro," Journal of Economics and Business, Elsevier, vol. 62(1), pages 1-19, January.

Chapters

  1. Carol Alexander, 2005. "Assessment of Operational Risk Capital," Springer Books, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel (ed.), Risk Management, edition 0, pages 279-301, Springer.

    Cited by:

    1. Milan Stehlík & Rastislav Potocký & Helmut Waldl & Zdeněk Fabián, 2010. "On the favorable estimation for fitting heavy tailed data," Computational Statistics, Springer, vol. 25(3), pages 485-503, September.

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