Vitali Alexeev

University of Technology Sydney

Senior Lecturer

UTS Business School

PO Box 123, Broadway

Sydney, NSW

Australia

http://valexeev.yolasite.com

SCHOLARLY PAPERS

9

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Top 26,440

in Total Papers Downloads

2,297

SSRN CITATIONS

6

CROSSREF CITATIONS

3

Scholarly Papers (9)

1.

Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets

FIRN Research Paper
Number of pages: 38 Posted: 29 Nov 2012
Vitali Alexeev and Francis Tapon
University of Technology Sydney and University of Guelph - Department of Economics
Downloads 2,061 (9,085)
Citation 6

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portfolio diversification, international investing, heavy tailed risk, expected shortfall, time series standard deviation, terminal wealth standard deviation

2.

Predictive Blends: Fundamental Indexing Meets Markowitz

Journal of Banking and Finance, Vol. 100, pp.28-42, 2019
Number of pages: 32 Posted: 06 Aug 2019
Sergiy Pysarenko, Vitali Alexeev and Francis Tapon
University of Guelph - Department of Economics, University of Technology Sydney and University of Guelph - Department of Economics
Downloads 66 (411,724)

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fundamental indexing, portfolio optimization, equities, forecast averaging, blended portfolio

3.

Sensitivity to Sentiment: News vs Social Media

International Review of Financial Analysis, Vol. 67, No. 101390, 2020
Number of pages: 55 Posted: 08 Mar 2020
Baoqing Gan, Vitali Alexeev, Ron Bird and Danny Yeung
University of Technology Sydney, University of Technology Sydney, University of Waikato - Management School and University of Technology Sydney (UTS)
Downloads 65 (414,976)

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Investor sentiment; Textual analysis; Vector autoregressive (VAR) model; Thomson Reuters MarketPsych Indices (TRMI)

4.

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 30 (564,248)

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5.

Equity Portfolio Diversification With High Frequency Data

Quantitative Finance, 2015, Vol. 15, No. 7, pp. 1205–1215
Number of pages: 24 Posted: 12 Aug 2019
Vitali Alexeev and Mardi H. Dungey
University of Technology Sydney and University of Tasmania (deceased)
Downloads 19 (635,889)

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portfolio diversification, high frequency, realized variance, realized correlation

6.

Asymmetric Jump Beta Estimation with Implications for Portfolio Risk Management

Alexeev, V., Urga, G., & Yao, W. (2019). Asymmetric jump beta estimation with implications for portfolio risk management. International Review of Economics & Finance, 62, 20–40. doi:10.1016/j.iref.2019.02.014
Number of pages: 47 Posted: 05 Aug 2019
Vitali Alexeev, Giovanni Urga and Wenying Yao
University of Technology Sydney, Centre for Econometric Analysis, Faculty of Finance, Cass Business School, London, UK and University of Bergamo, Italy and Deakin University - Department of Economics
Downloads 18 (642,945)

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Asymmetric jumps, Systematic risk, Portfolio diversification, Value-at-Risk

7.

Time-Varying Continuous and Jump Betas: The Role of Firm Characteristics and Periods of Stress

Journal of Empirical Finance, Vol. 40, pp.1-19, 2017
Number of pages: 29 Posted: 08 Aug 2019
Vitali Alexeev, Mardi H. Dungey and Wenying Yao
University of Technology Sydney, University of Tasmania (deceased) and Deakin University - Department of Economics
Downloads 15 (664,507)
Citation 4

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systematic risk, jumps, equity risk premium, high-frequency data

Modelling Financial Contagion Using High Frequency Data

Yao W, Dungey M, Alexeev V, Modelling Financial Contagion Using High Frequency Data, Economic Record, 2020 Forthcoming
Number of pages: 36 Posted: 07 Jul 2020
Wenying Yao, Mardi H. Dungey and Vitali Alexeev
Deakin University - Department of Economics, University of Tasmania (deceased) and University of Technology Sydney
Downloads 13 (705,276)

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Factor model, Crisis transmission, Jumps, High frequency data

Modelling Financial Contagion Using High Frequency Data

Economic Record, Vol. 96, Issue 314, pp. 314-330, 2020
Number of pages: 17 Posted: 06 Oct 2020
Wenying Yao, Mardi Dungey and Vitali Alexeev
Deakin University - Department of Economics, affiliation not provided to SSRN and University of Technology Sydney
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Exchange Rate Risk Exposure and the Value of European Firms

Fabio Parlapiano, Vitali Alexeev & Mardi Dungey (2017) Exchange rate risk exposure and the value of European firms, The European Journal of Finance, 23:2, 111-129
Number of pages: 31 Posted: 12 Aug 2019
Fabio Parlapiano, Vitali Alexeev and Mardi H. Dungey
Bank of Italy, University of Technology Sydney and University of Tasmania (deceased)
Downloads 10 (730,463)

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Exchange rate risk, firm value, European firms