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Alexander, Carol


 SSRN Author Rank: 210 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
42,530
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
7,888
(356)
5

2.  
The Present and Future of Financial Risk Management | Show Abstract | Download This Paper | Open PDF in Browser |
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
3,129
(1,825)
1

3.  
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
2,470
(2,828)
2

4.  
Principal Component Analysis of Volatility Smiles and Skews | Show Abstract | Download This Paper | Open PDF in Browser |
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
2,433
(2,898)
5

5.  
Bayesian Methods for Measuring Operational Risk | Show Abstract | Download This Paper | Open PDF in Browser |
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
2,422
(2,915)
5

6.  
Common Correlation Structures for Calibrating the LIBOR Model | Show Abstract | Download This Paper | Open PDF in Browser |
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
2,156
(3,559)
3

7.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
09 May 04
1,853
(4,624)
7

8.  
Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy | Show Abstract | Download This Paper | Open PDF in Browser |
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
1,395
(7,580)
 

9.   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
1,383
(7,688)
1

10.  
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
1,376
(7,740)
3

11.  
Hedging with Stochastic Local Volatility | Show Abstract | Download This Paper | Open PDF in Browser |
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
1,284
(8,681)
3

12.  
The Hazards of Volatility Diversification | Show Abstract | Download This Paper | Open PDF in Browser |
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
1,201
(9,731)
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
1,015
(12,712)
2

14.  
Bivariate Normal Mixture Spread Option Valuation | Show Abstract | Download This Paper | Open PDF in Browser |
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
961
(13,786)
5

15.  
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
869
(16,120)
2

16.  
Detecting Switching Strategies in Equity Hedge Funds | Show Abstract | Download This Paper | Open PDF in Browser |
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
810
(17,898)
3

17.  
Normal Mixture GARCH(1,1): Applications to Exchange Rate Modelling | Show Abstract | Download This Paper | Open PDF in Browser |
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
786
(18,651)
11

18.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Barbosa, Andreza
University of Reading - ICMA Centre
Posted:
18 Dec 05
772
(19,122)
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
768
(19,287)
3

20.  
On the Aggregation of Firm-Wide Market and Credit Risks | Show Abstract | Download This Paper | Open PDF in Browser |
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
646
(24,647)
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
611
(26,724)
17

22.  
The Spider in the Hedge | Show Abstract | Download This Paper | Open PDF in Browser |
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
583
(28,564)
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
562
(29,909)
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
553
(30,612)
3

25.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
08 Jun 03
462
(38,663)
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
460
(38,874)
2

27.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
27 Nov 00
426
(42,766)
3

28.  
On the Continuous Limit of GARCH | Show Abstract | Download This Paper | Open PDF in Browser |
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
384
(48,549)
1

29.  
Symmetric Normal Mixture GARCH | Show Abstract | Download This Paper | Open PDF in Browser |
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
366
(51,512)
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
302
(64,500)
 

31.  
A General Approach to Real Option Valuation with Application to Real Estate Investments | Show Abstract | Download This Paper | Open PDF in Browser |
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
245
(80,985)
 

32.  
An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds | Show Abstract | Download This Paper | Open PDF in Browser |
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
(81,333)
 

33.  
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
201
(99,138)
 

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
198
(100,560)
1

35.  
Regime-Dependent Smile-Adjusted Delta Hedging | Show Abstract | Download This Paper | Open PDF in Browser |
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
193
(103,020)
 

36.  
Model Risk in Variance Swap Rates | Show Abstract | Download This Paper | Open PDF in Browser |
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
171
(115,171)
 

37.  
Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options | Show Abstract | Download This Paper | Open PDF in Browser |
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
166
(118,309)
 

38.  
Generalized Beta-Generated Distributions | Show Abstract | Download This Paper | Open PDF in Browser |
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
161
(121,590)
1

39.  
Analytic Moments for GARCH Processes | Show Abstract | Download This Paper | Open PDF in Browser |
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
157
(124,343)
2

40.  
Stochastic Volatility Jump-Diffusions for Equity Index Dynamics | Show Abstract | Download This Paper | Open PDF in Browser |
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
109
(166,338)
1

41.  
Exact Moment Simulation Using Random Orthogonal Matrices | Show Abstract | Download This Paper | Open PDF in Browser |
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
(175,579)
 

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
97
(180,528)
 

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
70
(220,610)
 

44.  
ROM Simulation with Random Rotation Matrices | Show Abstract | Download This Paper | Open PDF in Browser |
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
(265,780)
 

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
Last Revised:
09 Jun 15
41
(283,418)
 

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
(440,115)
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
(459,951)
1

48.  
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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