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Carol Alexander

SSRN Author Rank: 242 by Downloads and 4,777 by Citations

 

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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. Carol Alexander's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
45,045
Total
Citations
109
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
7,916
(391)
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
3,233
(2,172)
1

3.  
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
2,627
(3,157)
5

4.  
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
2,492
(2,694)
2

5.  
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
2,437
(3,336)
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
2,163
(4,178)
3

7.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Dimitriu, Anca
University of Reading - ISMA Centre
Posted:
09 May 04
1,857
(5,373)
7

8.   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
1,443
(8,839)
1

9.  
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
1,398
(8,971)
 

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
1,381
(9,014)
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
(10,303)
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
1,211
(10,788)
1

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
1,019
(15,059)
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
(16,629)
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
(18,774)
1

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
813
(20,735)
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
(22,060)
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
(21,692)
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
770
(21,021)
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
(27,994)
6

21.  
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
620
(31,516)
3

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
612
(28,922)
16

23.  
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
(33,519)
2

24.   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
581
(34,403)
1

25.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
08 Jun 03
462
(45,170)
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
461
(43,602)
3

27.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Posted:
27 Nov 00
426
(48,009)
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
385
(53,906)
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
(59,467)
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
305
(69,817)
 

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
247
(83,920)
 

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
(93,703)
 

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
203
(108,726)
 

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
199
(108,726)
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
RWC Asset Management
Posted:
19 Sep 10
Last Revised:
30 Apr 11
194
(103,939)
 

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
RWC Asset Management
Posted:
01 Jun 11
Last Revised:
17 Jun 11
171
(127,247)
 

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
(131,941)
 

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
162
(126,546)
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
(132,596)
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
(168,381)
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
103
(190,564)
 

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
98
(194,462)
 

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
72
(238,236)
 

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
50
(293,762)
 

45.  
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
(503,901)
2

46.  
Trading and Investing in Volatility Products | Show Abstract | Add to Cart |
Financial Markets, Institutions & Instruments, Vol. 24, Issue 4, pp. 313-347, 2015
Number of Pages in PDF File: 35
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Kapraun, Julia
WHU - Otto Beisheim School of Management
Korovilas, Dimitris
University of Reading - ICMA Centre
Posted:
13 Oct 15
0
(522,557)
 

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
(522,557)
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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