| . |
Ignatieva, Katja's
Scholarly Papers
Click on the title of any column to sort the table by that
column. |
|
|
| |
|
|
Aggregate Statistics |
|
Total
Downloads
421 |
Total
Citations
3 |
|
|
|
|
|
1.
|
|
Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics
|
Show Abstracts |
Hide Abstracts |
Versions (2)
|
hide multiple versions |
Export Bibliographic Info |
|
Ignatieva, Katja
University of New South Wales - Australian School of Business Rodrigues, Paulo
Maastricht University - Department of Finance Seeger, Norman
VU University Amsterdam
|
|
Posted:
|
|
16 Feb 09
|
|
Last Revised:
|
|
26 Mar 12
|
|
201
(75,191)
|
2
|
|
|
|
|
Ignatieva, Katja
University of New South Wales - Australian School of Business Rodrigues, Paulo
Maastricht University - Department of Finance Seeger, Norman
VU University Amsterdam
|
| Posted: |
|
21 Mar 09
|
|
Last Revised:
|
|
28 May 09
|
|
57
|
2
|
|
| |
|
| |
Stochastic volatility, Markov Chain Monte Carlo (MCMC), Bayesian inference Deviance information criteria (DIC), Bayes factor
|
|
|
|
|
|
|
Ignatieva, Katja
University of New South Wales - Australian School of Business Rodrigues, Paulo
Maastricht University - Department of Finance Seeger, Norman
VU University Amsterdam
|
| Posted: |
|
16 Feb 09
|
|
Last Revised:
|
|
26 Mar 12
|
|
144
|
2
|
|
| |
|
| |
Stochastic volatility, Markov Chain Monte Carlo (MCMC), Bayesian inference Deviance information criteria (DIC), Bayes factor
|
|
|
|
|
|
2.
|
|
|
Ignatieva, Katja
University of New South Wales - Australian School of Business Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
|
|
72
(168,259)
|
|
|
| |
|
| |
Electricity Markets, Copula, Dependence Modeling, Risk Management
|
|
|
3.
|
|
|
Ignatieva, Katja
University of New South Wales - Australian School of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
|
|
35
(233,137)
|
1
|
|
| |
|
| |
international equity market indices, Student-t distribution, symmetric generalized hyperbolic distribution, time-varying copula, Value-at-Risk, world stock index
|
|
|
4.
|
|
|
Gallagher, David R.
Centre for International Finance and Regulation Ignatieva, Katja
University of New South Wales - Australian School of Business McCulloch, James
University of Technology, Sydney
|
|
34
(235,470)
|
|
|
| |
|
| |
Industry concentration, competition, stock return
|
|
|
5.
|
|
|
Baldeaux, Jan F.
University of Technology, Sydney Fung, Man Chung
University of New South Wales (UNSW) Ignatieva, Katja
University of New South Wales - Australian School of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
|
| Posted: |
|
10 Nov 12
|
|
Last Revised:
|
|
16 Nov 12
|
|
33
(237,888)
|
|
|
| |
|
| |
growth optimal portfolio, time dependent constant elasticity of variance model, nonparametric kernel
|
|
|
6.
|
|
|
Baldeaux, Jan F.
University of Technology, Sydney Ignatieva, Katja
University of New South Wales - Australian School of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
|
|
19
(281,444)
|
|
|
| |
|
| |
growth optimal portfolio, constant elasticity of variance model, kernel estimation, diffusion coeffcient function, derivative hedging
|
|
|
7.
|
|
|
Ignatieva, Katja
University of New South Wales - Australian School of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics
|
| Posted: |
|
06 Oct 12
|
|
Last Revised:
|
|
15 Nov 12
|
|
14
(299,378)
|
|
|
| |
|
| |
Diffusion coefficient function, diversified world stock index, square root process, nonparametric estimation, kernel density
|
|
|
8.
|
|
|
Ignatieva, Katja
University of New South Wales - Australian School of Business Platen, Eckhard
University of Technology, Sydney (UTS) - School of Finance and Economics Rendek, Renatak
affiliation not provided to SSRN
|
|
11
(309,939)
|
|
|
| |
|
| |
diversified world stock index, Student-t distribution, time-varying copula, Value-at-Risk, expected shortfall
|
|
|
9.
|
|
|
Fung, Man Chung
University of New South Wales (UNSW) Ignatieva, Katja
University of New South Wales - Australian School of Business Sherris, Michael
University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
|
|
2
(339,165)
|
|
|
| |
|
| |
variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging
|
|
