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Alexander, Carol


 SSRN Author Rank: 193 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
40,302
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
7,415
(327)
5

2.  
The Present and Future of Financial Risk Management | Show Abstract | Download |
ISMA Centre Discussion Paper No. DP2003-12
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
26 Feb 04
3,042
(1,623)
1

3.  
Principal Component Analysis of Volatility Smiles and Skews | Show Abstract | Download |
EFMA 2001 Lugano Meetings; University of Reading Working Paper in Finance 2000-10
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
08 Dec 00
2,356
(2,603)
5

4.  
Bayesian Methods for Measuring Operational Risk | Show Abstract | Download |
Discussion Papers in Finance 2000-02
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
06 Dec 00
2,331
(2,649)
5

5.  
Common Correlation Structures for Calibrating the LIBOR Model | Show Abstract | Download |
ISMA Centre Finance Discussion Paper No. 2002-18
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
24 Jun 02
2,081
(3,203)
3

6.  
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
2,006
(3,414)
2

7.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
09 May 04
1,771
(4,257)
7

8.  
Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy | Show Abstract | Download |
ISMA Centre Finance Discussion Paper No. 2003-02; EFMA 2003 Helsinki
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
02 Apr 03
1,365
(6,662)
 

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
1,318
(7,043)
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
1,318
(7,043)
1

11.  
Hedging with Stochastic Local Volatility | Show Abstract | Download |
ISMA Centre Discussion Paper No. DP2004-11
Working Paper Series
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
1,263
(7,553)
3

12.  
The Hazards of Volatility Diversification | Show Abstract | Download |
ICMA Centre Discussion Paper in Finance No. DP2011-04
Working Paper Series
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
1,125
(9,176)
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
990
(11,243)
2

14.  
Bivariate Normal Mixture Spread Option Valuation | Show Abstract | Download |
ISMA Centre Discussion Papers in Finance No. DP2003-15
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Scourse, Andrew
ABN AMRO
Posted:
01 Mar 04
952
(11,935)
5

15.  
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices | Show Abstract | Download |
ICMA Centre Discussion Paper No. DP2006-08
Working Paper Series
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
847
(14,250)
2

16.  
Detecting Switching Strategies in Equity Hedge Funds | Show Abstract | Download |
ISMA Centre Finance Discussion Paper No. DP2005-07
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
24 Apr 05
785
(16,002)
3

17.  
Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling | Show Abstract | Download |
ISMA Centre Finance Discussion Paper No. 2004-06
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Lazar, Emese
University of Reading - ICMA Centre
Posted:
23 Jun 04
778
(16,194)
11

18.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Barbosa, Andreza
University of Reading - ICMA Centre
Posted:
18 Dec 05
744
(17,264)
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
723
(18,011)
3

20.  
On the Aggregation of Firm-Wide Market and Credit Risks | Show Abstract | Download |
ISMA Centre Discussion Paper No. DP2003-13
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Pezier, Jacques
University of Reading - ICMA Centre
Posted:
26 Feb 04
619
(22,449)
6

21.  
The Spider in the Hedge | Show Abstract | Download |
ISMA Centre Finance Discussion Paper No. DP2005-05
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Barbosa, Andreza
University of Reading - ICMA Centre
Posted:
24 Apr 05
573
(24,966)
2

22.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Sarabia, José María
University of Cantabria - Department of Economics
Posted:
09 Feb 11
554
(26,150)
17

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
544
(26,849)
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
486
(31,173)
3

25.  
Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model | Show Abstract | Download |
ISMA Centre Finance Discussion Paper No. 2003-06
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
08 Jun 03
456
(33,891)
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
438
(35,661)
2

27.  
Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices | Show Abstract | Download |
University of Reading Working Paper No. 2000-06
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
27 Nov 00
417
(37,965)
3

28.  
On the Continuous Limit of GARCH | Show Abstract | Download |
ICMA Centre Discussion Paper No. DP2005-13
Working Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Lazar, Emese
University of Reading - ICMA Centre
Posted:
27 Jul 04
372
(43,636)
1

29.  
Symmetric Normal Mixture GARCH | Show Abstract | Download |
EFMA 2004 Basel Meetings Paper
Working Paper Series
Lazar, Emese
University of Reading - ICMA Centre
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
10 May 04
358
(45,646)
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
280
(60,950)
 

31.  
An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds | Show Abstract | Download |
ISMA Centre Discussion Papers in Finance Paper No. 2004-08
Working Paper Series
Yigitbasioglu, Ali Bora
University of Reading - ICMA Centre
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
22 Jun 04
241
(71,684)
 

32.  
A General Approach to Real Option Valuation with Application to Real Estate Investments | Show Abstract | Download |
University of Reading, ICMA Centre Discussion Paper No. DP2012-04
Working Paper Series
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
209
(83,113)
 

33.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Prokopczuk, Marcel
Zeppelin University
Sumawong, Anannit
University of Sussex
Posted:
16 Jan 12
Last Revised:
29 Dec 13
179
(96,593)
 

34.  
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
172
(100,240)
1

35.  
Model Risk in Variance Swap Rates | Show Abstract | Download |
ICMA Centre Discussion Papers in Finance No. DP2011-10
Working Paper Series
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
158
(108,253)
 

36.  
Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options | Show Abstract | Download |
Henley University ICMA Centre Discussion Paper in Finance No. DP2010-05
Working Paper Series
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
158
(108,253)
 

37.  
Regime-Dependent Smile-Adjusted Delta Hedging | Show Abstract | Download |
ICMA Centre Discussion Paper in Finance No. DP2010-10
Working Paper Series
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
156
(109,515)
 

38.  
Analytic Moments for GARCH Processes | Show Abstract | Download |
ICMA Centre Discussion Papers in Finance DP 2011-07
Working Paper Series
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
139
(120,964)
2

39.  
Generalized Beta-Generated Distributions | Show Abstract | Download |
University of Reading ICMA Centre Finance Discussion Paper No. DP2010-09
Working Paper Series
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
134
(124,819)
1

40.  
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics | Show Abstract | Download |
University of Reading Henley Business School ICMA Centre Discussion Paper in Finance No. DP2010-06
Working Paper Series
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
98
(157,731)
1

41.  
Exact Moment Simulation Using Random Orthogonal Matrices | Show Abstract | Download |
ICMA Centre Discussion Papers in Finance DP 2009-09
Working Paper Series
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
95
(161,058)
 

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
86
(171,986)
 

43.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Bell, Adrian R.
University of Reading - ICMA Centre
Brooks, Chris
University of Reading - ICMA Centre
Moore, Tony K
University of Reading - ICMA Centre
Posted:
29 Nov 11
54
(222,034)
 

44.  
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
52
(226,043)
 

45.  
ROM Simulation with Random Rotation Matrices | Show Abstract | Download |
ICMA Centre Discussion Papers in Finance No. DP2011-06
Working Paper Series
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
45
(240,829)
 

46.  
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
17
(327,566)
 

47.  
Modelling Regime-Specific Stock Price Volatility | Show Abstract | Download |
Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 6, pp. 761-797, December 2009
Accepted Paper Series
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Lazar, Emese
University of Reading - ICMA Centre
Posted:
20 Oct 09
2
(390,424)
2

48.  
Stochastic Volatility Jump‐Diffusions for European Equity Index Dynamics | Show Abstract | Download |
European Financial Management, Vol. 19, Issue 3, pp. 470-496, 2013
Accepted Paper Series
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
(408,885)
1

49.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Korovilas, Dimitris
University of Reading - ICMA Centre
Posted:
20 May 12
 


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