C. Alexander

发表

Model Risk Adjusted Hedge Ratios

Andreas Kaeck, C. Alexander, Leonardo M. Nogueira, 2009 .

Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options

Andreas Kaeck, C. Alexander, 2010 .

The continuous limit of weak GARCH

C. Alexander, Emese Lazar, 2018, Econometric Reviews.

On the Continuous Limit of GARCH

C. Alexander, Emese Lazar, 2005 .

Operational Risk: Regulation, Analysis and Management

C. Alexander, 2003 .

Seasonality and Cointegration of Regional House Prices in the UK

Michael Barrow, Carol Alexander, C. Alexander, 1994 .

Developing a stress testing framework based on market risk models

Carol Alexander, Elizabeth A. Sheedy, Elizabeth Sheedy, 2008 .

Correlation and Cointegration in Energy Markets

Carol Alexander, C. Alexander, 1999 .

A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds

C. Alexander, A. Dimitriu, 2004 .

Indexing, cointegration and equity market regimes

Carol Alexander, C. Alexander, Anca Dimitriu, 2005 .

Market Models: A Guide to Financial Data Analysis

Carol Alexander, C. Alexander, 2001 .

VIX Dynamics with Stochastic Volatility of Volatility

Andreas Kaeck, C. Alexander, 2010 .

Stochastic Local Volatility

Carol Alexander, C. Alexander, Leonardo M. Nogueira, 2008 .

On the Covariance Matrices Used in Value at Risk Models

Carol Alexander, C. Alexander, C. Leigh, 1997 .

Cointegration and Asset Allocation: A New Fund Strategy

C. Alexander, I. Giblin, W. Weddington, 2001 .

Endogenizing Model Risk to Quantile Estimates

J. Sarabia, C. Alexander, 2010 .

Sources of Outperformance in Equity Markets

C. Alexander, A. Dimitriu, 2004 .

The Hazards of Volatility Diversification

C. Alexander, Dimitris Korovilas, 2011 .

Detecting Switching Strategies in Equity Hedge Funds

C. Alexander, A. Dimitriu, 2005 .

To appear in : Mathematics and Computers in Simulation

C. Alexander, D. Ledermann, Peter J. Harris, 2012 .

Normal Mixture Garch(1,1): Applications to Exchange Rate Modelling

Carol Alexander, Emese Lazar, C. Alexander, 2004 .

Analytic Moments for GARCH Processes

C. Alexander, Emese Lazar, Silvia Stanescu, 2011, 1808.09666.

Regime dependent determinants of credit default swap spreads

Carol Alexander, Andreas Kaeck, C. Alexander, 2008 .

ROM Simulation with Rotation Matrices

C. Alexander, D. Ledermann, 2011 .

Optimal Hedging with Margin Constraints and Default Aversion and its Application to Bitcoin Perpetual Futures

C. Alexander, Jun Deng, B. Zou, 2021 .

Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency

C. Alexander, A. Dimitriu, 2003 .

Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy

C. Alexander, A. Dimitriu, 2003 .

Are foreign exchange markets really efficient

C. Alexander, A. Johnson, A. J. Johnson, 1992 .

Generalized Beta-Generated Distributions

Gauss M. Cordeiro, José María Sarabia, Edwin M. M. Ortega, 2010, Comput. Stat. Data Anal..

Hedging with Automatic Liquidation and Leverage Selection on Bitcoin Futures

C. Alexander, Jun Deng, B. Zou, 2022, European Journal of Operational Research.

Multivariate embedding methods: forecasting high-frequency financial data in the first INFFC

C. Alexander, I. Giblin, 1997 .

Minimum Variance Hedging and Stock Index Market Efficiency

C. Alexander, Andreza Barbosa, 2006 .

Leading Economic Indicators--New Approaches and Forecasting Records.

K. Lahiri, G. H. Moore, C. Alexander, 1993 .

Principal Component Analysis of Volatility Smiles and Skews

C. Alexander, 2001 .

Analytic Approximations for Spread Options

C. Alexander, Aanand Venkatramanan, 2007 .

Exact Moment Simulation Using Random Orthogonal Matrices

W. Ledermann, C. Alexander, D. Ledermann, 2009 .

Inverse and Quanto Inverse Options in a Black-Scholes World

C. Alexander, Ding-Rong Chen, Arben Imeraj, 2021, 2107.12041.

Causality testing in models of spatial market integration: A comment on an article by Stefan Dercon

C. Alexander, J. Wyeth, 1995 .

Effectiveness of Minimum-Variance Hedging

Carol Alexander, C. Alexander, Andreza Barbosa, 2007 .

Model risk in real option valuation

Carol Alexander, Xi Chen, C. Alexander, 2018, Annals of Operations Research.

ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING

Carol Alexander, C. Alexander, Aanand Venkatramanan, 2009 .

Hedging index exchange traded funds

Carol Alexander, C. Alexander, Andreza Barbosa, 2008 .

Modelling Regime-Specific Stock Price Volatility

Carol Alexander, Emese Lazar, C. Alexander, 2009 .

Cointegration and market integration: An application to the Indonesian rice market

Carol Alexander, C. Alexander, John Wyeth, 1994 .

Markov Switching GARCH Diffusion

Carol Alexander, Emese Lazar, C. Alexander, 2008 .

A Primer on the Orthogonal GARCH Model

Carol Alexander, C. Alexander, 2001 .

Evaluating the use of RiskMetrics as a risk measurement tool for your operation: advantages and limitations

C. Alexander, 1996 .

Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices

Carol Alexander, C. Alexander, 2000 .

Assessment of Operational Risk Capital

Carol Alexander, C. Alexander, 2005 .

Quantile Uncertainty and Value‐at‐Risk Model Risk

José María Sarabia, Carol Alexander, J. Sarabia, 2012, Risk analysis : an official publication of the Society for Risk Analysis.

The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations

Carol Alexander, C. Alexander, Anca Dimitriu, 2004 .

Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects

Carol Alexander, C. Alexander, 2004 .

Model risk in real option valuation

C. Alexander, Xi Chen, 2019, Annals of Operations Research.

Pricing, hedging and trading financial instruments

C. Alexander, 2008 .

1 – Rank alpha funds of hedge funds

C. Alexander, A. Dimitriu, 2006 .

Rank Alpha Funds of Hedge Funds

C. Alexander, A. Dimitriu, 2005 .

Data generation processes for spatial series: the example of ephemeral channel form

C. Alexander, H. Rendell, 2010 .

Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding

Carol Alexander, C. Alexander, Anca Dimitriu, 2003 .

Carol Alexander, C. Alexander, Andrew E Johnson, 2000 .

Time aggregation of normal mixture GARCH models

C. Alexander, Emese Lazar, 2004 .

Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL

C. Alexander, Emese Lazar, Silvia Stanescu, 2011 .

Random orthogonal matrix simulation

Daniel Ledermann, Carol Alexander, Walter Ledermann, 2011 .

Statistical Models of Operational Loss

Carol Alexander, C. Alexander, 2008 .

SM Statistical Models of Operational Loss

C. Alexander, 2008 .

Analytic moments for GJR-GARCH (1, 1) processes

Carol Alexander, Emese Lazar, Silvia Stanescu, 2021, International Journal of Forecasting.

Quantitative methods in finance

Carol Alexander, C. Alexander, 2008 .

The Present and Future of Financial Risk Management

C. Alexander, 2004 .

Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions

Carol Alexander, Andreas Kaeck, C. Alexander, 2012 .

The Role of Binance in Bitcoin Volatility Transmission

Andreas Kaeck, C. Alexander, Daniel F. Heck, 2021, SSRN Electronic Journal.

Evaluating the discrimination ability of proper multi-variate scoring rules

Carol Alexander, Xiaochun Meng, Michael Coulon, 2021, Annals of Operations Research.

THE BUSINESS SCHOOL FOR FINANCIAL MARKETS The University of Reading The Continuous Limit of GARCH Processes ISMA Centre Discussion Papers in Finance 2004-10 First Version : July 2004 This Version : February 2005

C. Alexander, 2005 .

Symmetric Normal Mixture GARCH

C. Alexander, Emese Lazar, 2004 .

The Equity Index Skew and Asymmetric Normal Mixture GARCH

Carol Alexander, Emese Lazar, C. Alexander, 2004 .

Model-free hedge ratios and scale-invariant models

C. Alexander, Leonardo M. Nogueira, 2007 .

THE FORCE AND INFLUENCE OF CHANGE ON AMERICAN SOCIETY An Annotated Bibliography

C. Alexander, 2011 .

The Aggregation Property and its Applications to Realised Higher Moments

C. Alexander, Jannes Rauch, 2017, 1709.08188.

Model-Free Discretisation-Invariant Swap Contracts

Carol Alexander, Johannes Rauch, C. Alexander, 2016, 1602.00235.

Discretisation-Invariant Swaps

C. Alexander, Jannes Rauch, 2014 .

Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia

C. Alexander, Jannes Rauch, 2014, 1404.1351.

Hedging Options with Scale-Invariant Models

C. Alexander, Leonardo M. Nogueira, 2006 .

A parsimonious parametric model for generating margin requirements for futures

Carol Alexander, Andreas Käck, Anannit Sumawong, 2019, Eur. J. Oper. Res..

Stochastic Volatility Jump‐Diffusions for European Equity Index Dynamics

Andreas Kaeck, C. Alexander, 2013 .

Stochastic Volatility Jump-Diffusions for Equity Index Dynamics

Andreas Kaeck, C. Alexander, 2010 .

Analytic Moments For Conditional And Aggregated GARCH Variances And Returns

C. Alexander, Emese Lazar, Silvia Stanescu, 2009 .

Model-free price hedge ratios for homogeneous claims on tradable assets

C. Alexander, Leonardo M. Nogueira, 2007 .

Diagnostic tests for volatility models

N. Shephard, P. Phillips, J. Davidson, 2008 .

The Spider in the Hedge

C. Alexander, Andreza Barbosa, 2005 .

Indexing and Statistical Arbitrage

Carol Alexander, C. Alexander, Anca Dimitriu, 2005 .

Practical financial econometrics

Carol Alexander, C. Alexander, 2008 .

Creating Order Out of Chaos

Carol Alexander, C. Alexander, I. Giblin, 1994 .

Price Discovery and Microstructure in Ether Spot and Derivative Markets

C. Alexander, S. Sohn, Jaehyuk Choi, 2020, International Review of Financial Analysis.

Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models

C. Alexander, Yangjue Han, 2020, International Journal of Forecasting.

Forecasting VaR using analytic higher moments for GARCH processes

C. Alexander, Emese Lazar, Silvia Stanescu, 2013 .

Further properties of random orthogonal matrix simulation

Daniel Ledermann, Carol Alexander, C. Alexander, 2012, Math. Comput. Simul..

ROM Simulation: Applications to Stress Testing and VaR

Daniel Ledermann, Carol Alexander, C. Alexander, 2012 .

Value-at-Risk Model Risk

J. Sarabia, C. Alexander, 2011 .

Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk

Elizabeth Sheedy, C. Alexander, 2008 .

Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model

C. Alexander, 2003 .

School of Social Sciences

C. Alexander, Mike Migalski, Pauline Manaka, 2012 .

Cofeatures in international bond and equity markets

C. Alexander, 1994 .

Applied Financial Economics , 1995 , 5 , 1-10 Common volatility in the foreign exchange market

C. Alexander, 2005 .

The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies

Carol Alexander, C. Alexander, Anca Dimitriu, 2002 .

A general property for time aggregation

Carol Alexander, Johannes Rauch, C. Alexander, 2020, Eur. J. Oper. Res..

Targeting Kollo skewness with random orthogonal matrix simulation

Carol Alexander, Xiaochun Meng, Wei Wei, 2020, Eur. J. Oper. Res..

Price Discovery in Bitcoin: The Impact of Unregulated Markets

C. Alexander, Daniel F. Heck, 2020, Journal of Financial Stability.

BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness

C. Alexander, Heungju Park, S. Sohn, 2019, Journal of Futures Markets.

Diversification with volatility products

C. Alexander, Dimitris Korovilas, Julia Kapraun, 2016 .

Option Pricing with Normal Mixture Returns: Modelling Excess Kurtosis and Uncertanity in Volatility

Carol Alexander, C. Alexander, Sujit Narayanan, 2001 .

Optimal hedging using cointegration

C. Alexander, C. Alexander, 1999, Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences.

Cointegration and asset allocation: a new active hedge fund strategy

Carol Alexander, C. Alexander, I. Giblin, 2002 .

The continuous limit of weak GARCH

C. Alexander, Emese Lazar, 2020, Econometric Reviews.

Hedging with Stochastic Local Volatility

C. Alexander, Leonardo M. Nogueira, 2004 .

HEDGING? EVIDENCE FROM FTSE 100 OPTIONS

Andreas Kaeck, C. Alexander, 2011 .

Correlation in crude oil and natural gas markets

C. Alexander, 2004 .

Understanding ETNs on VIX Futures

C. Alexander, Dimitris Korovilas, 2012 .

Regime‐dependent smile‐adjusted delta hedging

A. Rubinov, C. Alexander, Markus Kalepky, 2012 .

Regime-Dependent Smile-Adjusted Delta Hedging

A. Rubinov, C. Alexander, Markus Kalepky, 2010 .

Optimal Hedging and Scale Invariance: A Taxonomy of Option Pricing Models

C. Alexander, Leonardo M. Nogueira, 2005 .

The University of Reading Hedging with Stochastic and Local Volatility

C. Alexander, Leonardo M. Nogueira, 2004 .

Continuous-time VIX dynamics: On the role of stochastic volatility of volatility

Carol Alexander, Andreas Kaeck, C. Alexander, 2013 .

Assessing the accuracy of exponentially weighted moving average models for Value-at-Risk and Expected Shortfall of crypto portfolios

C. Alexander, Michael Dakos, 2023, SSRN Electronic Journal.

Effectiveness of Minimum-Variance Hedging The impact of electronic trading and exchange-traded funds

C. Alexander, Andreza Barbosa, 2006 .

The Impact of Electronic Trading and Exchange Traded Funds on the Effectiveness of Minimum Variance Hedging

C. Alexander, Andreza Barbosa, 2006 .

The (de)merits of minimum-variance hedging: Application to the crack spread☆

C. Alexander, Marcel Prokopczuk, Anannit Sumawong, 2013 .

The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread

C. Alexander, Marcel Prokopczuk, Anannit Sumawong, 2012 .

Is Minimum Variance Hedging Necessary for Equity Indices? A Study of Hedging and Cross-Hedging Exchange Traded Funds

C. Alexander, Andreza Barbosa, 2005 .

Hedging and Cross-hedging ETFs

C. Alexander, Andreza Barbosa, 2007 .

Extensions of Random Orthogonal Matrix Simulation for Targetting Kollo Skewness

Wei Wei, Carol Alexander, Xiaochun Meng, 2020 .

Regimes in CDS Spreads: A Markov Switching Model of Itraxx Europe Indices

Carol Alexander, Andreas Kaeck, C. Alexander, 2006 .

Net Buying Pressure and the Information in Bitcoin Option Trades

C. Alexander, Jun Deng, J. Feng, 2021, SSRN Electronic Journal.

Arithmetic variance swaps

Carol Alexander, C. Alexander, Stamatis Leontsinis, 2017 .

Model Risk in Variance Swap Rates

C. Alexander, Stamatis Leontsinis, 2011 .

Closed Form Approximations for Spread Options

C. Alexander, Aanand Venkatramanan, 2011 .

Spread Options as Compound Exchange Options with Applications to American Crack Spreads

Carol Alexander, C. Alexander, Aanand Venkatramanan, 2006 .