Alexandros Gabrielsen

Credit Suisse AG

Giesshübelstrasse 40

Zurich, 8002

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 42,320

SSRN RANKINGS

Top 42,320

in Total Papers Downloads

1,004

SSRN CITATIONS
Rank 40,667

SSRN RANKINGS

Top 40,667

in Total Papers Citations

2

CROSSREF CITATIONS

11

Scholarly Papers (5)

1.

Measuring Market Liquidity: An Introductory Survey

Quaderni DSE Working Paper No. 802
Number of pages: 39 Posted: 23 Dec 2011
Alexandros Gabrielsen, Massimiliano Marzo and Paolo Zagaglia
Credit Suisse AG, Department of Management, University of Bologna and University of Bologna
Downloads 356 (84,050)
Citation 10

Abstract:

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market microstructure, liquidity risk, frictions, transaction costs

2.

Forecasting Value-at-Risk with Time-Varying Variance, Skewness and Kurtosis in an Exponential Weighted Moving Average Framework

Quaderni DSE Working Paper No. 831
Number of pages: 35 Posted: 08 Jun 2012
Alexandros Gabrielsen, Paolo Zagaglia, Axel Kirchner and Zhuoshi Liu
Credit Suisse AG, University of Bologna, University of Edinburgh and Bank of England - Monetary Analysis
Downloads 229 (134,626)
Citation 7

Abstract:

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exponential weighted moving average, time-varying higher moments, Cornish- Fisher expansion, Gram-Charlier density, risk management, Value-at-Risk

3.

Modelling the Tail Risk in Private Equities and Hedge Funds

Number of pages: 24 Posted: 13 Mar 2014
Yasuaki Daisai and Alexandros Gabrielsen
Sumitomo Mitsui Banking Corporation Europe and Credit Suisse AG
Downloads 213 (144,269)

Abstract:

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private equity, hedge fund, skewness, kurtosis, autocorrelation, exponential weighted moving average, time-varying higher moments

4.

Optimal Hedge Ratio Estimation During the Credit Crisis: An Application of Higher Moments

Frontiers in Finance and Economics, Vol. 9, No. 2, 64-84
Number of pages: 21 Posted: 19 Dec 2012
Nicholas Apergis and Alexandros Gabrielsen
University of Piraeus and Credit Suisse AG
Downloads 113 (245,561)

Abstract:

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Optimal hedge ratios, conditional volatility, skewness and kurtosis, higher moments, equity indices

5.

The Bank Lending Channel and Lunar Phases: Evidence from a Panel of European Banks

Number of pages: 22 Posted: 07 Mar 2011
Nicholas Apergis and Alexandros Gabrielsen
University of Piraeus and Credit Suisse AG
Downloads 93 (280,314)

Abstract:

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Lunar phases, bank lending channel, European banks, GMM methodology