Alexandra Dias

University of York

Freboys Lane

Heslington

York, North Yorkshire YO10 5DD

United Kingdom

SCHOLARLY PAPERS

8

DOWNLOADS

1,008

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

The Economic Value of Controlling for Large Losses in Portfolio Selection

Number of pages: 27 Posted: 30 Jan 2011
Alexandra Dias
University of York
Downloads 737 (66,046)
Citation 2

Abstract:

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portfolio selection, portfolio tail probability, multivariate extremes, risk management

2.

Semi-Parametric Estimation of Portfolio Large Losses

Number of pages: 27 Posted: 30 Jan 2011
Alexandra Dias
University of York
Downloads 161 (343,023)
Citation 1

Abstract:

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Portfolio management, tail probability, risk management, multivariate extreme value theory, Value-at-Risk

3.

The Influence of General Strikes against Government on Stock Market Behavior

Number of pages: 47 Posted: 28 Oct 2016 Last Revised: 12 Mar 2019
Open University, UK, University of Leicester and University of York
Downloads 110 (461,473)

Abstract:

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general strikes, stock prices, political effects

4.

Change-Point Analysis for Dependence Structures in Finance and Insurance

In: Risk Measures for the 21st Century, Giorgio Szegoe (Ed.), Wiley Finance Series, 2004, pp. 321-335.
Posted: 11 Jul 2014
Alexandra Dias and Paul Embrechts
University of York and Swiss Federal Institute of Technology Zurich

Abstract:

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Copula, change-point, likelihood ratio, bootstrap

5.

The Art of Dependence Modelling: The Latest Advances in Correlation Analysis

In: Alternative Risk Strategies, Morton Lane (Ed.), Risk Books, London, 2002, pp. 339-356.
Posted: 11 Jul 2014
Peter Blum, Alexandra Dias and Paul Embrechts
Independent, University of York and Swiss Federal Institute of Technology Zurich

Abstract:

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Risk Management, copula

6.

Market Capitalization and Value-at-Risk

Journal of Banking and Finance, Vol. 37, No. 12, 2013
Posted: 01 Jul 2014
Alexandra Dias
University of York

Abstract:

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Market capitalization, Quantitative risk management, Value-at-Risk, Financial crises

7.

Testing for Structural Changes in Exchange Rates Dependence Beyond Linear Correlation

The European Journal of Finance, Vol. 15, No. 7 & 8, pp. 619-37, 2009
Posted: 10 Sep 2010
Alexandra Dias and Paul Embrechts
University of York and Swiss Federal Institute of Technology Zurich

Abstract:

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Change-point tests, conditional dependence, copula, GARCH, risk management

8.

Modeling Exchange Rate Dependence Dynamics at Different Time Horizons

Journal of International Money and Finance, Vol. 29, pp. 1687-1705, 2010
Posted: 10 Sep 2010 Last Revised: 07 Mar 2011
Alexandra Dias and Paul Embrechts
University of York and Swiss Federal Institute of Technology Zurich

Abstract:

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Foreign exchange rates, Multivariate time series, Copula-GARCH, Conditional dependence, Dynamic copula