Katja Ignatieva

University of New South Wales - Australian School of Business

UNSW Business School

High St

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

22

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16

CROSSREF CITATIONS

17

Scholarly Papers (22)

Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices

Seeger, N.J., Rodrigues, P.J.M. & Ignatieva, K. (2015). Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices. Journal of Business and Economic Statistics, 33(1), 68-75. 10.1080/07350015.2014.922471
Number of pages: 49 Posted: 16 Feb 2009 Last Revised: 13 Feb 2015
Katja Ignatieva, Paulo Rodrigues and Norman Seeger
University of New South Wales - Australian School of Business, Maastricht University - Department of Finance and VU University Amsterdam
Downloads 251 (121,054)
Citation 2

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Stochastic volatility, Markov Chain Monte Carlo (MCMC), Bayesian inference Deviance information criteria (DIC), Bayes factor

Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics

Number of pages: 42 Posted: 21 Mar 2009 Last Revised: 28 May 2009
Katja Ignatieva, Paulo Rodrigues and Norman Seeger
University of New South Wales - Australian School of Business, Maastricht University - Department of Finance and VU University Amsterdam
Downloads 99 (268,509)
Citation 4

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Stochastic volatility, Markov Chain Monte Carlo (MCMC), Bayesian inference Deviance information criteria (DIC), Bayes factor

2.

A Hybrid Model for Equity Indices and Stochastic Interest Rates

Number of pages: 32 Posted: 10 Nov 2012 Last Revised: 15 Sep 2013
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 165 (180,279)

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growth optimal portfolio, time dependent constant elasticity of variance model, nonparametric kernel

3.

Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management

Number of pages: 35 Posted: 25 Jan 2012 Last Revised: 03 Oct 2017
Katja Ignatieva and Stefan Trück
University of New South Wales - Australian School of Business and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Downloads 141 (205,385)
Citation 2

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Electricity Markets, Copula, Dependence Modeling, Risk Management

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

UNSW Australian School of Business Research Paper No. 2013ACTL15
Number of pages: 28 Posted: 15 Jun 2013 Last Revised: 30 Sep 2015
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 101 (264,856)
Citation 1

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variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities

Number of pages: 28 Posted: 15 Jun 2013 Last Revised: 17 Oct 2016
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 5 (642,450)
Citation 5

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variable annuity, guaranteed lifetime withdrawal benefits (GLWB), systematic mortality risk, parameter risk, model risk, static hedging

Industry Concentration, Excess Returns and Innovation in Australia

Accounting and Finance, Forthcoming
Number of pages: 31 Posted: 06 Oct 2012 Last Revised: 22 Apr 2014
David R. Gallagher, Katja Ignatieva and James McCulloch
Rozetta Institute, University of New South Wales - Australian School of Business and University of Technology, Sydney
Downloads 86 (294,415)

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Industry concentration, competition, stock return

Industry Concentration, Excess Returns and Innovation in Australia

Accounting & Finance, Vol. 55, Issue 2, pp. 443-466, 2015
Number of pages: 24 Posted: 10 Jun 2015
David R. Gallagher, Katja Ignatieva and James McCulloch
Rozetta Institute, University of New South Wales - Australian School of Business and University of Technology, Sydney
Downloads 1 (684,310)
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Competition, Industry concentration, Innovation, Schumpeter

6.

Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market

Number of pages: 33 Posted: 01 May 2016
José Da Fonseca and Katja Ignatieva
Auckland University of Technology - Faculty of Business & Law and University of New South Wales - Australian School of Business
Downloads 84 (296,143)
Citation 1

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Affine jump-diffusion models, Volatility indices, Jump activity, Model specification

7.

Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality

Number of pages: 30 Posted: 21 Apr 2016
Katja Ignatieva, Andrew Song and Jonathan Ziveyi
University of New South Wales - Australian School of Business, UNSW Australia Business School, School of Risk & Actuarial Studies and UNSW Australia
Downloads 77 (311,852)
Citation 2

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Variable annuity, Guaranteed Minimum Benefits (GMB), Fourier Space Time-stepping (FST) algorithm, mortality risk, interest rate risk

8.

Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives

UNSW Business School Research Paper No. 20015ACTL04
Number of pages: 29 Posted: 12 Mar 2015
Simon Man Chung Fung, Katja Ignatieva and Michael Sherris
Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 76 (314,289)

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longevity risk management; longevity swaps; longevity options; hedge effectiveness

9.

A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets

Studies in Nonlinear Dynamics and Econometrics, Forthcoming
Number of pages: 25 Posted: 03 Apr 2014 Last Revised: 22 Apr 2014
Katja Ignatieva
University of New South Wales - Australian School of Business
Downloads 73 (321,624)

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Electricity modeling, nonparametric estimation, futures pricing, market price of risk

10.

A Tractable Model for Indices Approximating the Growth Optimal Portfolio

Studies in Nonlinear Dynamics and Econometrics, Vol. 18, No. 1, 2014
Number of pages: 27 Posted: 17 Oct 2012 Last Revised: 22 Apr 2014
Jan F. Baldeaux, Katja Ignatieva and Eckhard Platen
Standard Chartered Bank, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 66 (339,626)
Citation 4

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growth optimal portfolio, constant elasticity of variance model, kernel estimation, diffusion coeffcient function, derivative hedging

11.

Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae

Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 265
Number of pages: 40 Posted: 03 Nov 2012
Katja Ignatieva and Eckhard Platen
University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 64 (345,095)

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international equity market indices, Student-t distribution, symmetric generalized hyperbolic distribution, time-varying copula, Value-at-Risk, world stock index

12.

A Hybrid Model for Pricing and Hedging of Long Dated Bonds

UNSW Business School Research Paper No. 2015ACTL06
Number of pages: 29 Posted: 13 Mar 2015 Last Revised: 30 Sep 2015
Standard Chartered Bank, Commonwealth Bank of Australia, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 62 (350,677)

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Long dated bond pricing, stochastic interest rate, growth optimal portfolio, nonparametric kernel

13.

Detecting Money Market Bubbles

Number of pages: 33 Posted: 17 Oct 2016
Jan F. Baldeaux, Katja Ignatieva and Eckhard Platen
Standard Chartered Bank, University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 60 (356,456)

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money market bubbles; strict local martingales; Markov chain Monte Carlo; stochastic volatility models; benchmark approach

14.

Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market

UNSW Business School Research Paper No. 2015ACTL05
Number of pages: 36 Posted: 13 Mar 2015 Last Revised: 01 Oct 2015
José Da Fonseca, Katja Ignatieva and Jonathan Ziveyi
Auckland University of Technology - Faculty of Business & Law, University of New South Wales - Australian School of Business and UNSW Australia
Downloads 59 (359,429)

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Oil futures, CDS spread, realized jumps, realized volatility

15.

Conditional Tail Risk Measures for Skewed Generalised Hyperbolic Family

Number of pages: 28 Posted: 04 Oct 2017
Katja Ignatieva and Zinoviy Landsman
University of New South Wales - Australian School of Business and University of Haifa, Department of Statistics
Downloads 51 (384,780)

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Tail Conditional Expectation, Skewed Generalised Hyperbolic Distributions, Conditional Tail Risk Measures

16.

Estimating the Diffusion Coefficient Function for a Diversified World Stock Index

Computational Statistic and Data Analysis, Forthcoming
Number of pages: 25 Posted: 06 Oct 2012 Last Revised: 22 Apr 2014
Katja Ignatieva and Eckhard Platen
University of New South Wales - Australian School of Business and University of Technology, Sydney (UTS) - Finance Discipline Group
Downloads 51 (384,780)
Citation 2

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Diffusion coefficient function, diversified world stock index, square root process, nonparametric estimation, kernel density

17.

Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Family

UNSW Business School Research Paper No. 2015ACTL07
Number of pages: 28 Posted: 13 Mar 2015 Last Revised: 30 Sep 2015
Katja Ignatieva and Zinoviy Landsman
University of New South Wales - Australian School of Business and University of Haifa, Department of Statistics
Downloads 50 (388,114)

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Tail value-at-risk, tail conditional expectation, tail variance premium, generalised hyperbolic distributions

18.

Forecasting High Frequency Intra-Day Electricity Demand Using Temperature

Number of pages: 35 Posted: 26 Apr 2017
James McCulloch and Katja Ignatieva
University of Technology, Sydney and University of New South Wales - Australian School of Business
Downloads 41 (420,348)
Citation 1

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High Frequency, Electricity, Instantaneous Demand, Temperature, Generalised Additive Model (GAM)

19.

Commodity Currencies and Commodity Prices: Modelling Static and Time-Varying Dependence

Number of pages: 37 Posted: 17 Oct 2016
Katja Ignatieva and Natalia Ponomareva
University of New South Wales - Australian School of Business and Macquarie University - Division of Economic and Financial Studies
Downloads 38 (432,396)

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independently floating exchange rates, commodity prices, dependence modelling, copulas

20.

A Multivariate Forward-Rate Mortality Framework

UNSW Business School Research Paper No. 2014ACTL08
Number of pages: 24 Posted: 18 Dec 2014 Last Revised: 02 Jan 2015
Daniel H. Alai, Katja Ignatieva and Michael Sherris
University of Kent, University of New South Wales - Australian School of Business and University of New South Wales - ARC Centre of Excellence in Population Ageing Research and School of Risk and Actuarial Studies
Downloads 38 (432,396)

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longevity risk, Olivier-Smith model, forward-rate mortality framework, minimum covariance pattern, copulas

21.

Biases in Variance of Decomposed Portfolio Returns

Number of pages: 34 Posted: 10 Jan 2018
Vitali Alexeev and Katja Ignatieva
University of Technology Sydney and University of New South Wales - Australian School of Business
Downloads 25 (493,127)

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22.

Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index

Quantitative Finance Research Centre, University of Technology, Sydney, Research Paper Number 284
Number of pages: 39 Posted: 03 Nov 2012
Katja Ignatieva, Eckhard Platen and Renatak Rendek
University of New South Wales - Australian School of Business, University of Technology, Sydney (UTS) - Finance Discipline Group and affiliation not provided to SSRN
Downloads 23 (504,269)
Citation 1

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diversified world stock index, Student-t distribution, time-varying copula, Value-at-Risk, expected shortfall