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Alexander, Carol


 SSRN Author Rank: 204 by Downloads
 

University of Sussex - School of Business, Management and Economics


 Falmer, Brighton BN1 9SL
 United Kingdom
 HOME PAGE: http://www.sussex.ac.uk/bam
 email address

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. Alexander, Carol's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
41,798
Total
Citations
111
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
05 Aug 02
7,724
(345)
5

2.  
The Present and Future of Financial Risk Management | Show Abstract | Download This Paper |
ISMA Centre Discussion Paper No. DP2003-12
Number of Pages in PDF File: 25
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
26 Feb 04
3,104
(1,759)
1

3.  
Principal Component Analysis of Volatility Smiles and Skews | Show Abstract | Download This Paper |
EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Number of Pages in PDF File: 16
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
08 Dec 00
2,408
(2,806)
5

4.  
Bayesian Methods for Measuring Operational Risk | Show Abstract | Download This Paper |
Discussion Papers in Finance 2000-02
Number of Pages in PDF File: 22
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
06 Dec 00
2,390
(2,840)
5

5.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Korovilas, Dimitris
University of Reading - ICMA Centre
Posted:
22 Apr 12
Last Revised:
20 May 12
2,285
(3,068)
2

6.  
Common Correlation Structures for Calibrating the LIBOR Model | Show Abstract | Download This Paper |
ISMA Centre Finance Discussion Paper No. 2002-18
Number of Pages in PDF File: 18
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
24 Jun 02
2,132
(3,440)
3

7.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
09 May 04
1,831
(4,487)
7

8.  
Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy | Show Abstract | Download This Paper |
ISMA Centre Finance Discussion Paper No. 2003-02; EFMA 2003 Helsinki
Number of Pages in PDF File: 30
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
02 Apr 03
1,387
(7,262)
 

9.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Sheedy, Elizabeth A.
Macquarie University Department of Applied Finance and Actuarial Studies
Posted:
21 May 07
Last Revised:
25 Jul 08
1,362
(7,495)
3

10.   Incl. Electronic Paper
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
27 Jul 03
Last Revised:
11 Jun 04
1,356
(7,554)
1

11.  
Hedging with Stochastic Local Volatility | Show Abstract | Download This Paper |
ISMA Centre Discussion Paper No. DP2004-11
Number of Pages in PDF File: 42
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Nogueira, Leonardo M.
Banco Central do Brasil - Foreign Reserves Department
Posted:
27 Jul 04
1,280
(8,312)
3

12.  
The Hazards of Volatility Diversification | Show Abstract | Download This Paper |
ICMA Centre Discussion Paper in Finance No. DP2011-04
Number of Pages in PDF File: 24
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Korovilas, Dimitris
University of Reading - ICMA Centre
Posted:
01 Feb 11
Last Revised:
08 Feb 11
1,179
(9,537)
2

13.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Venkatramanan, Aanand
University of Reading - ICMA Centre
Posted:
06 Sep 07
Last Revised:
26 Jun 09
1,010
(12,194)
2

14.  
Bivariate Normal Mixture Spread Option Valuation | Show Abstract | Download This Paper |
ISMA Centre Discussion Papers in Finance No. DP2003-15
Number of Pages in PDF File: 28
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Scourse, Andrew
ABN AMRO
Posted:
01 Mar 04
959
(13,153)
5

15.  
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices | Show Abstract | Download This Paper |
ICMA Centre Discussion Paper No. DP2006-08
Number of Pages in PDF File: 27
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Kaeck, Andreas
ICMA Centre, Henley Business School, University of Reading, UK
Posted:
05 Sep 06
865
(15,401)
2

16.  
Detecting Switching Strategies in Equity Hedge Funds | Show Abstract | Download This Paper |
ISMA Centre Finance Discussion Paper No. DP2005-07
Number of Pages in PDF File: 11
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
24 Apr 05
808
(17,129)
3

17.  
Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling | Show Abstract | Download This Paper |
ISMA Centre Finance Discussion Paper No. 2004-06
Number of Pages in PDF File: 83
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Lazar, Emese
University of Reading - ICMA Centre
Posted:
23 Jun 04
784
(17,867)
11

18.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Barbosa, Andreza
University of Reading - ICMA Centre
Posted:
18 Dec 05
763
(18,559)
1

19.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Nogueira, Leonardo M.
Banco Central do Brasil - Foreign Reserves Department
Posted:
25 Mar 08
756
(18,805)
3

20.  
On the Aggregation of Firm-Wide Market and Credit Risks | Show Abstract | Download This Paper |
ISMA Centre Discussion Paper No. DP2003-13
Number of Pages in PDF File: 28
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Pezier, Jacques
University of Reading - ICMA Centre
Posted:
26 Feb 04
636
(24,097)
6

21.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Sarabia, José María
University of Cantabria - Department of Economics
Posted:
09 Feb 11
595
(26,414)
17

22.  
The Spider in the Hedge | Show Abstract | Download This Paper |
ISMA Centre Finance Discussion Paper No. DP2005-05
Number of Pages in PDF File: 34
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Barbosa, Andreza
University of Reading - ICMA Centre
Posted:
24 Apr 05
579
(27,455)
2

23.   Incl. Electronic Paper
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Venkatramanan, Aanand
University of Reading - ICMA Centre
Posted:
25 Jun 09
Last Revised:
23 Aug 12
559
(28,774)
1

24.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Korovilas, Dimitris
University of Reading - ICMA Centre
Posted:
24 Mar 12
Last Revised:
19 May 12
534
(30,667)
3

25.  
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model | Show Abstract | Download This Paper |
ISMA Centre Finance Discussion Paper No. 2003-06
Number of Pages in PDF File: 23
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
08 Jun 03
459
(37,301)
1

26.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Nogueira, Leonardo M.
Banco Central do Brasil - Foreign Reserves Department
Posted:
01 Aug 05
457
(37,492)
2

27.  
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices | Show Abstract | Download This Paper |
University of Reading Working Paper No. 2000-06
Number of Pages in PDF File: 23
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
27 Nov 00
421
(41,578)
3

28.  
On the Continuous Limit of GARCH | Show Abstract | Download This Paper |
ICMA Centre Discussion Paper No. DP2005-13
Number of Pages in PDF File: 20
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Lazar, Emese
University of Reading - ICMA Centre
Posted:
27 Jul 04
379
(47,252)
1

29.  
Symmetric Normal Mixture GARCH | Show Abstract | Download This Paper |
EFMA 2004 Basel Meetings Paper
Number of Pages in PDF File: 47
Lazar, Emese
University of Reading - ICMA Centre
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
10 May 04
363
(49,800)
3

30.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Ledermann, Dan
University of Reading - ICMA Centre
Posted:
01 May 12
Last Revised:
28 May 12
298
(62,788)
 

31.  
An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds | Show Abstract | Download This Paper |
ISMA Centre Discussion Papers in Finance Paper No. 2004-08
Number of Pages in PDF File: 42
Yigitbasioglu, Ali Bora
University of Reading - ICMA Centre
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
22 Jun 04
244
(78,057)
 

32.  
A General Approach to Real Option Valuation with Application to Real Estate Investments | Show Abstract | Download This Paper |
University of Reading, ICMA Centre Discussion Paper No. DP2012-04
Number of Pages in PDF File: 43
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Chen, Xi
University of Reading - ICMA Centre
Posted:
25 Jan 12
Last Revised:
28 Feb 13
240
(79,439)
 

33.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Kaeck, Andreas
affiliation not provided to SSRN
Nogueira, Leonardo M.
Banco Central do Brasil - Foreign Reserves Department
Posted:
09 May 10
195
(98,079)
1

34.  
The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread | Show Abstract | Download This Paper |
Energy Economics, Vol. 36, No. 1, 2013
Number of Pages in PDF File: 26
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Sumawong, Anannit
University of Sussex
Posted:
16 Jan 12
Last Revised:
29 Dec 13
194
(98,557)
 

35.  
Regime-Dependent Smile-Adjusted Delta Hedging | Show Abstract | Download This Paper |
ICMA Centre Discussion Paper in Finance No. DP2010-10
Number of Pages in PDF File: 24
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Rubinov, Alexander
Technical University Munich
Kalepky, Markus
Technical University Munich
Leontsinis, Stamatis
University of Reading - ICMA Centre
Posted:
19 Sep 10
Last Revised:
30 Apr 11
183
(104,097)
 

36.  
Model Risk in Variance Swap Rates | Show Abstract | Download This Paper |
ICMA Centre Discussion Papers in Finance No. DP2011-10
Number of Pages in PDF File: 25
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Leontsinis, Stamatis
University of Reading - ICMA Centre
Posted:
01 Jun 11
Last Revised:
17 Jun 11
170
(111,408)
 

37.  
Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options | Show Abstract | Download This Paper |
Henley University ICMA Centre Discussion Paper in Finance No. DP2010-05
Number of Pages in PDF File: 26
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Kaeck, Andreas
ICMA Centre, Henley Business School, University of Reading, UK
Posted:
04 Jun 10
165
(114,497)
 

38.  
Analytic Moments for GARCH Processes | Show Abstract | Download This Paper |
ICMA Centre Discussion Papers in Finance DP 2011-07
Number of Pages in PDF File: 59
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Lazar, Emese
University of Reading - ICMA Centre
Stanescu, Silvia
University of Kent, Canterbury - Kent Business School
Posted:
04 Nov 10
Last Revised:
14 Apr 11
153
(122,327)
2

39.  
Generalized Beta-Generated Distributions | Show Abstract | Download This Paper |
University of Reading ICMA Centre Finance Discussion Paper No. DP2010-09
Number of Pages in PDF File: 30
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Cordeiro, Gauss
Universidade Federal de Pernambuco - Departmento de Estatistica
Ortega, Edwin
University of Sao Paulo (USP)
Sarabia, José María
University of Cantabria - Department of Economics
Posted:
29 Jul 10
Last Revised:
11 Feb 11
151
(123,704)
1

40.  
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics | Show Abstract | Download This Paper |
University of Reading Henley Business School ICMA Centre Discussion Paper in Finance No. DP2010-06
Number of Pages in PDF File: 29
Kaeck, Andreas
ICMA Centre, Henley Business School, University of Reading, UK
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
04 Jun 10
104
(165,668)
1

41.  
Exact Moment Simulation Using Random Orthogonal Matrices | Show Abstract | Download This Paper |
ICMA Centre Discussion Papers in Finance DP 2009-09
Number of Pages in PDF File: 30
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Ledermann, Walter
affiliation not provided to SSRN
Ledermann, Dan
University of Reading - ICMA Centre
Posted:
03 Sep 09
Last Revised:
06 May 10
101
(169,092)
 

42.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Lazar, Emese
University of Reading - ICMA Centre
Stanescu, Silvia
University of Kent, Canterbury - Kent Business School
Posted:
13 May 11
89
(184,045)
 

43.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Chen, Xi
University of Reading - ICMA Centre
Ward, Charles W.R.
University of Reading
Posted:
01 Mar 13
Last Revised:
10 Mar 15
64
(223,098)
 

44.  
ROM Simulation with Random Rotation Matrices | Show Abstract | Download This Paper |
ICMA Centre Discussion Papers in Finance No. DP2011-06
Number of Pages in PDF File: 21
Ledermann, Dan
University of Reading - ICMA Centre
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
12 Apr 11
Last Revised:
30 Apr 11
48
(256,123)
 

45.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Rauch, Johannes
University of Sussex - School of Business, Management and Economics
Posted:
05 Apr 14
32
(298,633)
 

46.  
Modelling Regime-Specific Stock Price Volatility | Show Abstract | Add to Cart |
Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 6, pp. 761-797, December 2009
Number of Pages in PDF File: 37
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Lazar, Emese
University of Reading - ICMA Centre
Posted:
20 Oct 09
2
(425,425)
2

47.  
Stochastic Volatility Jump‐Diffusions for European Equity Index Dynamics | Show Abstract | Add to Cart |
European Financial Management, Vol. 19, Issue 3, pp. 470-496, 2013
Number of Pages in PDF File: 27
Kaeck, Andreas
ICMA Centre, Henley Business School, University of Reading, UK
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
05 Jun 13
0
(444,456)
1

48.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Korovilas, Dimitris
University of Reading - ICMA Centre
Posted:
20 May 12
 


Records 1 - 48 of 48 matches
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