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Citations of
Carol O Alexander

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. 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, Reading University. [Downloadable!]

    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. [Downloadable!]

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

    Cited by:

    1. Pascucci, Andrea & Foschi, Paolo, 2006. "Path dependent volatility," MPRA Paper 973, University Library of Munich, Germany. [Downloadable!]
      Other versions:

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

    Cited by:

    1. Cotter, John & Hanly, James, 2007. "Hedging Effectiveness under Conditions of Asymmetry," MPRA Paper 3501, University Library of Munich, Germany. [Downloadable!]
    2. Carol Alexander & Andreza Barbosa, 2007. "Hedging and Cross-hedging ETFs," ICMA Centre Discussion Papers in Finance icma-dp2007-01, Henley Business School, Reading University. [Downloadable!]

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

    Cited by:

    1. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers 05-083/2, Tinbergen Institute. [Downloadable!]
      Other versions:

  5. 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, Reading University. [Downloadable!]

    Cited by:

    1. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009. [Downloadable!]
    2. Aldrin Herwany & Erie Febrian, 2009. "Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection," Working Papers in Economics and Development Studies (WoPEDS) 200909, Department of Economics, Padjadjaran University, revised Sep 2009. [Downloadable!]
    3. 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. [Downloadable!]

  6. Carol Alexander, 2002. "Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model," ICMA Centre Discussion Papers in Finance icma-dp2003-06, Henley Business School, Reading University, revised Mar 2003. [Downloadable!]

    Cited by:

    1. Dietmar Leisen, 2004. "Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management," Computing in Economics and Finance 2004 48, Society for Computational Economics. [Downloadable!]

  7. 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, Reading University, revised Dec 2001. [Downloadable!]

    Cited by:

    1. Damiano Brigo, 2008. "The general mixture-diffusion SDE and its relationship with an uncertain-volatility option model with volatility-asset decorrelation," Quantitative Finance Papers 0812.4052, arXiv.org. [Downloadable!]

  8. 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, Reading University. [Downloadable!]

    Cited by:

    1. 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. [Downloadable!]
    2. Panayiotis Diamandis & Georgios Kouretas & Leonidas Zarangas, 2006. "Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis," Working Papers 0602, University of Crete, Department of Economics. [Downloadable!]

  9. Alexander, Carol & John Wyeth, 1995. "Seasonal price movements and unit roots in Indonesian rice market integration," Discussion Papers in Economics 01/95, Department of Economics, University of Sussex.

    Cited by:

    1. 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). [Downloadable!]

Articles

  1. 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. [Downloadable!] (restricted)

    Cited by:

    1. Olfa Maalaoui & Georges Dionne & Pascal François, 2009. "Credit Spread Changes within Switching Regimes," Cahiers de recherche 0905, CIRPEE. [Downloadable!]
    2. Georges Dionne & Pascal François & Olfa Maalaoui, 2009. "Detecting Regime Shifts in Corporate Credit Spreads," Cahiers de recherche 0929, CIRPEE. [Downloadable!]

  2. 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. [Downloadable!]

    Cited by:

    1. Markus Haas & Stefan Mittnik & Marc S. Paolella, 2006. "Multivariate Normal Mixture GARCH," CFS Working Paper Series 2006/09, Center for Financial Studies. [Downloadable!]
    2. Christoph Hartz & Stefan Mittnik & Marc S. Paolella, 2006. "Accurate Value-at-Risk Forecast with the (good old) Normal-GARCH Model," CFS Working Paper Series 2006/23, Center for Financial Studies. [Downloadable!]
    3. 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. [Downloadable!]
      Other versions:
    4. 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, Reading University. [Downloadable!]
    5. Mohammed Bouaddi & Jeroen V.K. Rombouts, 2007. "Mixed Exponential Power Asymmetric Conditional Heteroskedasticity," Cahiers de recherche 0749, CIRPEE. [Downloadable!]
      Other versions:
    6. Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, School of Economics and Management, University of Aarhus. [Downloadable!]
    7. Markus Haas, 2007. "Volatility Components and Long Memory-Effects Revisited," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 11(2). [Downloadable!]

  3. Ali Bora Yiç¦ItbaåžIoç¦Lu & 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. [Downloadable!] (restricted)

    Cited by:

    1. Min Dai & Yue Kwok, 2005. "Optimal policies of call with notice period requirement," Asia-Pacific Financial Markets, Springer, vol. 12(4), pages 353-373, December. [Downloadable!] (restricted)

  4. 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. [Downloadable!]

    Cited by:

    1. Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    2. 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. [Downloadable!]

  5. Carol Alexander, 2005. "The Present and Future of Financial Risk Management," Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 3-25. [Downloadable!] (restricted)

    Cited by:

    1. 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. [Downloadable!]
    2. Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008. "Measuring Model Risk," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-409, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]

  6. 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. [Downloadable!] (restricted)

    Cited by:

    1. 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. [Downloadable!]
    2. Donald D. Aingworth & Sanjiv R. Das & Rajeev Motwani, 2006. "A simple approach for pricing equity options with Markov switching state variables," Quantitative Finance, Taylor and Francis Journals, vol. 6(2), pages 95-105, April. [Downloadable!] (restricted)
    3. 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. [Downloadable!]

  7. 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 242-53, April. [Downloadable!] (restricted)

    Cited by:

    1. Rick Harbaugh, . "Employee Stock Ownership vs. Profit Sharing," Claremont Colleges Working Papers 2000-28, Claremont Colleges. [Downloadable!]
    2. Koskela, Erkki & Stenbacka, Rune, 2004. "Profit Sharing, Credit Market Imperfections and Equilibrium Unemployment," IZA Discussion Papers 1020, Institute for the Study of Labor (IZA). [Downloadable!]

  8. Alexander, Carol O, 1995. "Common Volatility in the Foreign Exchange Market," Applied Financial Economics, Taylor and Francis Journals, vol. 5(1), pages 1-10, February. [Downloadable!] (restricted)

    Cited by:

    1. Jorge Pérez-Rodríguez, 2006. "The Euro and Other Major Currencies Floating Against the U.S. Dollar," Atlantic Economic Journal, International Atlantic Economic Society, vol. 34(4), pages 367-384, December. [Downloadable!] (restricted)

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

    Cited by:

    1. 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. [Downloadable!]
      Other versions:

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This page was last updated on 2009-12-22.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.