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Information about:
Carol O Alexander

Personal Details | Affiliation | Works
This is information that was supplied by Carol Alexander in registering through RePEc. If you are Carol O Alexander , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Carol
Middle Name: O
Last Name: Alexander
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RePEc Short-ID: pal264

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Homepage: http://www.icmacentre.rdg.ac.uk/alexander
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Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months
  2. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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!]

  2. 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!]

  3. 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!]

  4. Carol Alexander & Andreza Barbosa, 2006. "Minimum Variance Hedging and Stock Index Market Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2006-04, Henley Business School, Reading University, revised Sep 2006. [Downloadable!]

  5. 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, Reading University. [Downloadable!]

  6. 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!]

  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, Reading University. [Downloadable!]

  8. 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, Reading University. [Downloadable!]

  9. 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, Reading University. [Downloadable!]

  10. 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, Reading University. [Downloadable!]

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

  12. 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!]

  13. 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, Reading University, revised Oct 2003. [Downloadable!]

  14. 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!]

  15. 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!]

  16. 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!]

  17. Carol Alexander, 2001. "Understanding the Internal Measurement Approach to Assessing Operational Risk Capital," ICMA Centre Discussion Papers in Finance icma-dp2001-13, Henley Business School, Reading University. [Downloadable!]

  18. 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, Reading University. [Downloadable!]

  19. 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!]

  20. Carol Alexander, 2000. "Bayesian Methods for Measuring Operational Risk," ICMA Centre Discussion Papers in Finance icma-dp2000-02, Henley Business School, Reading University. [Downloadable!]

  21. Carol Alexander, 2000. "Principal Component Analysis of Volatility Smiles and Skews," ICMA Centre Discussion Papers in Finance icma-dp2000-10, Henley Business School, Reading University, revised Jun 2001. [Downloadable!]

  22. 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.

  23. Alexander, Carol & W Ledermann, 1994. "Are Nash bargaining wage agreements unique: an investigation into bargaining sets for firm-union negotiations," Discussion Papers in Economics 12/94, Department of Economics, University of Sussex.

  24. Alexander, Carol, 1994. "Cofeatures in international bond and equity markets," Discussion Papers in Economics 1/94, Department of Economics, University of Sussex.

  25. Alexander, Carol, 1993. "Common volatility in the foreign exchange market," Discussion Papers in Economics 4/93, Department of Economics, University of Sussex.

Articles

  1. 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. [Downloadable!] (restricted)

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

  3. 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)

  4. Alexander, Carol & Nogueira, Leonardo M., 2007. "Model-free hedge ratios and scale-invariant models," Journal of Banking & Finance, Elsevier, vol. 31(6), pages 1839-1861, June. [Downloadable!] (restricted)

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

  6. 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)

  7. 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!]

  8. 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!]

  9. 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)

  10. 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)

  11. 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)

  12. 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)

  13. 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.

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

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This page was last updated on 2009-10-27.

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.