Carol Alexander

University of Sussex Business School

Professor

Falmer, Brighton BN1 9SL

United Kingdom

http://www.coalexander.com

Peking University HSBC Business School

SCHOLARLY PAPERS

57

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56,391

SSRN CITATIONS
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Top 6,878

in Total Papers Citations

85

CROSSREF CITATIONS

108

Scholarly Papers (57)

1.

The Cointegration Alpha: Enhanced Index Tracking and Long-Short Equity Market Neutral Strategies

ISMA Finance Discussion Paper No. 2002-08
Number of pages: 55 Posted: 05 Aug 2002
Carol Alexander and Anca Dimitriu
University of Sussex Business School and University of Reading - ISMA Centre
Downloads 10,118 (624)
Citation 21

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cointegration, enhanced index tracking, long-short equity, market neutral, hedge fund, alpha strategy

2.

Understanding ETNs on VIX Futures

Number of pages: 41 Posted: 22 Apr 2012 Last Revised: 20 May 2012
Carol Alexander and Dimitris Korovilas
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 3,917 (3,299)
Citation 13

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VIX Futures, Volatility ETNs, VXX, TVIX, Roll Cost, Exchange-Traded Notes, Hedging, Portfolio Performance

3.

The Present and Future of Financial Risk Management

ISMA Centre Discussion Paper No. DP2003-12
Number of pages: 25 Posted: 26 Feb 2004
Carol Alexander
University of Sussex Business School
Downloads 3,418 (4,144)
Citation 3

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Financial risk assessment, risk control, RAROC, economic capital, regulatory capital, optimal allocation of resources

4.

Principal Component Analysis of Volatility Smiles and Skews

Number of pages: 16 Posted: 08 Dec 2000
Carol Alexander
University of Sussex Business School
Downloads 3,071 (5,007)
Citation 6

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5.

Bayesian Methods for Measuring Operational Risk

Discussion Papers in Finance 2000-02
Number of pages: 22 Posted: 06 Dec 2000
Carol Alexander
University of Sussex Business School
Downloads 3,002 (5,199)
Citation 12

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6.

Common Correlation Structures for Calibrating the Libor Model

ISMA Centre Finance Discussion Paper No. 2002-18
Number of pages: 18 Posted: 24 Jun 2002
Carol Alexander
University of Sussex Business School
Downloads 2,338 (7,794)
Citation 4

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Calibration, Correlation, Common Principal Component Analysis, LIBOR Model, Log Normal Forward rate Model, Forward Rates, Interest Rate Models

7.

The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations

Number of pages: 38 Posted: 09 May 2004
Carol Alexander and Anca Dimitriu
University of Sussex Business School and University of Reading - ISMA Centre
Downloads 2,157 (8,842)
Citation 13

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Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding

Number of pages: 30 Posted: 09 May 2004
Carol Alexander and Anca Dimitriu
University of Sussex Business School and University of Reading - ISMA Centre
Downloads 913 (32,480)
Citation 1

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Common trends, mean reversion, herding, principal component analysis, abnormal returns, value strategies, behavioural finance

Sources of Over-Performance in Equity Markets: Mean Reversion, Common Trends and Herding

ISMA Centre Working Paper No. DP2003-08
Number of pages: 31 Posted: 27 Jul 2003
Carol Alexander and Anca Dimitriu
University of Sussex Business School and University of Reading - ISMA Centre
Downloads 724 (44,556)
Citation 1

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indexing, value strategies, optimisation models, principal component analysis, abnormal returns

9.

Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk

MAFC Research Paper No. 33
Number of pages: 49 Posted: 21 May 2007 Last Revised: 25 Jul 2008
Carol Alexander and Elizabeth A. Sheedy
University of Sussex Business School and Macquarie University Department of Applied Finance
Downloads 1,573 (14,705)
Citation 1

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Value-at-Risk models, stress testing, market risk, exchange rates, GARCH

10.

Abnormal Returns in Equity Markets: Evidence from a Dynamic Indexing Strategy

Number of pages: 30 Posted: 02 Apr 2003
Carol Alexander and Anca Dimitriu
University of Sussex Business School and University of Reading - ISMA Centre
Downloads 1,519 (15,575)
Citation 2

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index tracking, cointegration, Markov switching, dispersion, equity markets, long-run equilibrium prices

11.

The Hazards of Volatility Diversification

ICMA Centre Discussion Paper in Finance No. DP2011-04
Number of pages: 24 Posted: 01 Feb 2011 Last Revised: 08 Feb 2011
Carol Alexander and Dimitris Korovilas
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 1,491 (16,052)
Citation 7

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Black-Litterman Model, Institutional Investors, Mean-Variance Criterion, Optimal Asset Allocation, SPY ETF, VIX Futures

12.

Hedging with Stochastic Local Volatility

ISMA Centre Discussion Paper No. DP2004-11
Number of pages: 42 Posted: 27 Jul 2004
Carol Alexander and Leonardo M. Nogueira
University of Sussex Business School and Banco Central do Brasil - Foreign Reserves Department
Downloads 1,429 (17,101)
Citation 13

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Local volatility, stochastic volatility, implied volatility, hedging, dynamic delta hedging, volatility dynamics

13.

BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness

Journal of Futures Markets, 40(1):23-43, 2020
Number of pages: 35 Posted: 09 Apr 2019 Last Revised: 08 Dec 2019
Carol Alexander, Jaehyuk Choi, Heungju Park and Sungbin Sohn
University of Sussex Business School, Peking University - HSBC School of Business, Sungkyunkwan University - SKK Business School and Peking University - HSBC Business School
Downloads 1,208 (22,011)
Citation 11

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bitcoin, BitMEX, market efficiency, price discovery, spillover

14.

Stochastic Local Volatility

Number of pages: 25 Posted: 25 Mar 2008
Carol Alexander and Leonardo M. Nogueira
University of Sussex Business School and Banco Central do Brasil - Foreign Reserves Department
Downloads 1,198 (22,259)
Citation 11

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Local volatility, stochastic volatility, unified theory of volatility, local volatility dynamics

15.

Analytic Approximations for Spread Options

Number of pages: 22 Posted: 06 Sep 2007 Last Revised: 26 Jun 2009
Carol Alexander and Aanand Venkatramanan
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 1,121 (24,523)
Citation 5

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Spread options, exchange options, American options, analytic formula, Kirks approximation, correlation skew

16.

Bivariate Normal Mixture Spread Option Valuation

ISMA Centre Discussion Papers in Finance No. DP2003-15
Number of pages: 28 Posted: 01 Mar 2004
Carol Alexander and Andrew Scourse
University of Sussex Business School and ABN AMRO
Downloads 1,005 (28,717)
Citation 8

Abstract:

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Spread option, implied correlation, bivariate normal mixture density

17.

Regimes in CDS Spreads: A Markov Switching Model of Itraxx Europe Indices

ICMA Centre Discussion Paper No. DP2006-08
Number of pages: 27 Posted: 05 Sep 2006
Carol Alexander and Andreas Kaeck
University of Sussex Business School and ICMA Centre, Henley Business School, University of Reading, UK
Downloads 966 (30,401)
Citation 3

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iTraxx, Credit Default Swap Index, Markov Switching, Credit Spreads

18.

The Bitcoin VIX and its Variance Risk Premium

Forthcoming in the Journal of Alternative Investments
Number of pages: 28 Posted: 13 May 2019 Last Revised: 01 Jul 2021
Carol Alexander and Arben Imeraj
University of Sussex Business School and University of Sussex
Downloads 888 (34,178)
Citation 4

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Cryptocurrency, Derivatives, Futures, Implied Volatility, Options, Realised Volatility, Fear Gauge, VXBT

19.

Detecting Switching Strategies in Equity Hedge Funds

ISMA Centre Finance Discussion Paper No. DP2005-07
Number of pages: 11 Posted: 24 Apr 2005
Carol Alexander and Anca Dimitriu
University of Sussex Business School and University of Reading - ISMA Centre
Downloads 879 (34,642)
Citation 1

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Equity Hedge Funds, Markov Switching, Regimes

20.

Is Minimum Variance Hedging Necessary for Equity Indices? A Study of Hedging and Cross-Hedging Exchange Traded Funds

ICMA Centre Finance Discussion Paper No. 2005-16
Number of pages: 31 Posted: 18 Dec 2005
Carol Alexander and Andreza Barbosa
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 875 (34,883)
Citation 6

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Exchange Traded Fund, Hedging, Minimum Variance, Utility

21.

Normal Mixture Garch(1,1): Applications to Exchange Rate Modelling

ISMA Centre Finance Discussion Paper No. 2004-06
Number of pages: 83 Posted: 23 Jun 2004
Carol Alexander and Emese Lazar
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 852 (36,211)
Citation 11

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Volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasticity, GARCH models

22.

Value-at-Risk Model Risk

Number of pages: 24 Posted: 09 Feb 2011
Carol Alexander and José María Sarabia
University of Sussex Business School and University of Cantabria - Department of Economics
Downloads 832 (37,394)

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Basel II, Maximum entropy, Model risk, Quantile, Risk capital, Value-at-Risk, VaR

23.

Diversification of Equity with VIX Futures: Personal Views and Skewness Preference

Number of pages: 34 Posted: 24 Mar 2012 Last Revised: 19 May 2012
Carol Alexander and Dimitris Korovilas
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 798 (39,630)
Citation 4

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Black–Litterman Model, mean–variance criterion, optimal asset allocation, SPY, roll cost, VIX futures, VXX, volatility ETNs

24.

On the Aggregation of Firm-Wide Market and Credit Risks

ISMA Centre Discussion Paper No. DP2003-13
Number of pages: 28 Posted: 26 Feb 2004
Carol Alexander and Jacques Pezier
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 756 (42,653)
Citation 11

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Credit risk, economic capital, market risk, risk aggregation, risk diversification, value-at-risk, factor model, risk adjust return on capital

25.
Downloads 694 ( 47,859)
Citation 3

Analytic Approximations for Multi-Asset Option Pricing

ICMA Centre Discussion Papers in Finance DP2009-05
Number of pages: 44 Posted: 25 Jun 2009 Last Revised: 16 Aug 2010
Carol Alexander and Aanand Venkatramanan
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 693 (47,302)
Citation 4

Abstract:

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basket options, rainbow options, best-of and worst-of options, compound exchange options, analytic approximation

Analytic Approximations for Multi‐Asset Option Pricing

Mathematical Finance, Vol. 22, Issue 4, pp. 667-689, 2012
Number of pages: 23 Posted: 23 Aug 2012
Carol Alexander and Aanand Venkatramanan
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 1 (838,431)
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basket options, rainbow options, best‐of and worst‐of options, compound exchange options, analytic approximation

26.

Price Discovery, High-Frequency Trading and Jumps in Bitcoin Markets

Number of pages: 27 Posted: 13 May 2019 Last Revised: 12 Oct 2020
Carol Alexander and Daniel F. Heck
University of Sussex Business School and University of Sussex Business School
Downloads 668 (50,399)
Citation 6

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Bitcoin Reference Rate (BRR); Coinbase; Kraken; BitStamp; Gemini

27.

A Critical Investigation of Cryptocurrency Data and Analysis

Number of pages: 22 Posted: 13 May 2019
Carol Alexander and Michael Dakos
University of Sussex Business School and University of Sussex Business School
Downloads 652 (51,935)
Citation 15

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Cryptocurrency, Market Beta, Markov Switching GARCH, Price Data, Volatility

28.

The Spider in the Hedge

ISMA Centre Finance Discussion Paper No. DP2005-05
Number of pages: 34 Posted: 24 Apr 2005
Carol Alexander and Andreza Barbosa
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 629 (54,460)
Citation 6

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Exchange traded fund, hedging, futures, basis risk

29.

Optimal Hedging and Scale Invariance: A Taxonomy of Option Pricing Models

Number of pages: 38 Posted: 01 Aug 2005
Carol Alexander and Leonardo M. Nogueira
University of Sussex Business School and Banco Central do Brasil - Foreign Reserves Department
Downloads 532 (67,231)
Citation 3

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Scale-invariant volatility models, optimal hedging, pricing and hedging of options, minimum variance hedge ratios

30.

Orthogonal Methods for Generating Large Positive Semi-Definite Covariance Matrices

University of Reading Working Paper No. 2000-06
Number of pages: 23 Posted: 27 Nov 2000
Carol Alexander
University of Sussex Business School
Downloads 511 (70,744)
Citation 17

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31.

Price Discovery in Bitcoin: The Impact of Unregulated Markets

Journal of Financial Stability, Volume 50, October 2020, Article Number 100776
Number of pages: 34 Posted: 20 May 2020 Last Revised: 12 Oct 2020
Carol Alexander and Daniel F. Heck
University of Sussex Business School and University of Sussex Business School
Downloads 508 (71,381)
Citation 4

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Bitcoin ETF, Exchange-Traded Funds, Hedging, Information Shares, Impulse Response, Speculation, Manipulation

32.

Short and Long Term Smile Effects: The Binomial Normal Mixture Diffusion Model

ISMA Centre Finance Discussion Paper No. 2003-06
Number of pages: 23 Posted: 08 Jun 2003
Carol Alexander
University of Sussex Business School
Downloads 497 (73,144)

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Local Volatility, Stochastic Volatility, Smile Consistent Models, Term Structure of Option Prices, Normal Variance Mixtures

33.

On the Continuous Limit of GARCH

ICMA Centre Discussion Paper No. DP2005-13
Number of pages: 20 Posted: 27 Jul 2004
Carol Alexander and Emese Lazar
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 453 (81,821)
Citation 6

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GARCH diffusion, stochastic volatility, time aggregation, continuous limit

34.

Symmetric Normal Mixture GARCH

Number of pages: 47 Posted: 10 May 2004
Emese Lazar and Carol Alexander
University of Reading - ICMA Centre and University of Sussex Business School
Downloads 429 (87,226)
Citation 1

Abstract:

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volatility regimes, conditional excess kurtosis, normal mixture, heavy tails, exchange rates, conditional heteroscedasicity, GARCH models

35.

Regime-Dependent Smile-Adjusted Delta Hedging

ICMA Centre Discussion Paper in Finance No. DP2010-10
Number of pages: 24 Posted: 19 Sep 2010 Last Revised: 30 Apr 2011
University of Sussex Business School, Technical University Munich, Technical University Munich and RWC Asset Management
Downloads 400 (94,543)
Citation 3

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Delta-hedging, smile-adjustment, Black-Scholes-Merton, stickymodels, FTSE 100 options, Markov switching, principal components

36.

ROM Simulation: Applications to Stress Testing and VaR

Number of pages: 24 Posted: 01 May 2012 Last Revised: 28 May 2012
Carol Alexander and Dan Ledermann
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 378 (100,936)
Citation 1

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random orthogonal matrix, value-at-risk, stressed VaR, Basel II, market risk capital

37.

Price Discovery and Microstructure in Ether Spot and Derivative Markets

International Review of Financial Analysis, 71, 101506, 2020
Number of pages: 26 Posted: 16 Jan 2020 Last Revised: 04 Jun 2020
Carol Alexander, Jaehyuk Choi, Hamish Massie and Sungbin Sohn
University of Sussex Business School, Peking University - HSBC School of Business, University of Sussex Business School and Peking University - HSBC Business School
Downloads 331 (117,093)

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BitMEX, Cryptocurrency, Ethereum, Futures, Perpetual Swaps

38.

Model Risk Adjusted Hedge Ratios

Number of pages: 27 Posted: 09 May 2010
Carol Alexander, Andreas Kaeck and Leonardo M. Nogueira
University of Sussex Business School, affiliation not provided to SSRN and Banco Central do Brasil - Foreign Reserves Department
Downloads 297 (131,504)
Citation 4

Abstract:

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delta hedge, model risk

39.

An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds

ISMA Centre Discussion Papers in Finance Paper No. 2004-08
Number of pages: 42 Posted: 22 Jun 2004
Ali Bora Yigitbasioglu and Carol Alexander
University of Reading - ICMA Centre and University of Sussex Business School
Downloads 267 (146,810)
Citation 1

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Call notice period, call premium, convertible bond, delayed calls, equity-linked default, stochastic interest rates, volatility uncertainty

40.

The (De)merits of Minimum-Variance Hedging: Application to the Crack Spread

Energy Economics, Vol. 36, No. 1, 2013
Number of pages: 26 Posted: 16 Jan 2012 Last Revised: 29 Dec 2013
University of Sussex Business School, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management and University of Sussex
Downloads 255 (153,678)
Citation 4

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Hedging, Crack Spread, GARCH, Minimum-Variance Hedge

41.

Analytic Moments for GARCH Processes

ICMA Centre Discussion Papers in Finance DP 2011-07
Number of pages: 59 Posted: 04 Nov 2010 Last Revised: 14 Apr 2011
Carol Alexander, Emese Lazar and Silvia Stanescu
University of Sussex Business School, University of Reading - ICMA Centre and University of Kent - Kent Business School
Downloads 248 (158,030)

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approximate predictive distributions, conditional and unconditional moments, GARCH, kurtosis, skewness, simulation

42.

Generalized Beta-Generated Distributions

University of Reading ICMA Centre Finance Discussion Paper No. DP2010-09
Number of pages: 30 Posted: 29 Jul 2010 Last Revised: 11 Feb 2011
University of Sussex Business School, Universidade Federal de Pernambuco (UFPE) - Departmento de Estatistica, University of São Paulo (USP) and University of Cantabria - Department of Economics
Downloads 244 (160,522)
Citation 8

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Beta, Distribution, Entropy, Estimation, Exponentiated, Gamma, Generalized,Generated, Gumbel, Inverse Guassian, Kumaraswamy, Kurtosis, Laplace, McDonald, Minimax, MLE, MGF, Reliability, Skewness, Weibull

43.

Hedging with Bitcoin Futures: The Effect of Liquidation Loss Aversion and Aggressive Trading

Number of pages: 51 Posted: 19 Jan 2021 Last Revised: 10 Aug 2021
Carol Alexander, Jun Deng and Bin Zou
University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance and University of Connecticut - Department of Mathematics
Downloads 238 (164,452)
Citation 1

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Cryptocurrency; Leverage; Liquidation; Perpetual Swap; Extreme Value Theorem

44.

Model Risk in Variance Swap Rates

ICMA Centre Discussion Papers in Finance No. DP2011-10
Number of pages: 25 Posted: 01 Jun 2011 Last Revised: 17 Jun 2011
Carol Alexander and Stamatis Leontsinis
University of Sussex Business School and RWC Asset Management
Downloads 204 (190,186)
Citation 2

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Model Risk, Variance Swap, Volatility Index, VIX, FTSE 100, VFTSE

45.

Does Model Fit Matter for Hedging? Evidence from FTSE 100 Options

Henley University ICMA Centre Discussion Paper in Finance No. DP2010-05
Number of pages: 26 Posted: 04 Jun 2010
Carol Alexander and Andreas Kaeck
University of Sussex Business School and ICMA Centre, Henley Business School, University of Reading, UK
Downloads 201 (192,852)
Citation 2

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Hedging, European Options, Stochastic Volatility Models, Heston, Smile Adjustments

46.

Stochastic Volatility Jump-Diffusions for Equity Index Dynamics

University of Reading Henley Business School ICMA Centre Discussion Paper in Finance No. DP2010-06
Number of pages: 29 Posted: 04 Jun 2010
Andreas Kaeck and Carol Alexander
ICMA Centre, Henley Business School, University of Reading, UK and University of Sussex Business School
Downloads 145 (254,979)

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Equity Indices, Jump-Diffusions, Generalized Autoregressive Conditional Heteroscedasticity

47.

Analytic Approximations to GARCH Aggregated Returns Distributions with Applications to VaR and ETL

ICMA Centre Discussion Papers in Finance DP 2011-08
Number of pages: 28 Posted: 13 May 2011
Carol Alexander, Emese Lazar and Silvia Stanescu
University of Sussex Business School, University of Reading - ICMA Centre and University of Kent - Kent Business School
Downloads 131 (276,004)
Citation 1

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GARCH, higher conditional moments, approximate predictive distributions, Value-at-Risk, Conditional VaR, Expected tail loss, Expected shortfall

48.

Exact Moment Simulation Using Random Orthogonal Matrices

ICMA Centre Discussion Papers in Finance DP 2009-09
Number of pages: 30 Posted: 03 Sep 2009 Last Revised: 06 May 2010
Carol Alexander, Walter Ledermann and Dan Ledermann
University of Sussex Business School, affiliation not provided to SSRN and University of Reading - ICMA Centre
Downloads 124 (287,567)
Citation 1

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simulation, L-matrices, multivariate moments, value-at-risk

49.

Risk-Adjusted Valuation for Real Option Decisions

Number of pages: 28 Posted: 01 Mar 2013 Last Revised: 10 Sep 2021
Carol Alexander, Xi Chen and Charles W.R. Ward
University of Sussex Business School, University of Reading - ICMA Centre and University of Reading
Downloads 111 (311,134)

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Cost of capital, discount rate, hedging, idiosyncratic risk, implied return, required return

50.

ROM Simulation with Random Rotation Matrices

ICMA Centre Discussion Papers in Finance No. DP2011-06
Number of pages: 21 Posted: 12 Apr 2011 Last Revised: 30 Apr 2011
Dan Ledermann and Carol Alexander
University of Reading - ICMA Centre and University of Sussex Business School
Downloads 76 (394,718)
Citation 1

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Computational efficiency, L matrices, Ledermann matrix, Random Orthogonal Matrix (ROM), Rotation matrix, Simulation

51.

Net Buying Pressure and the Information in Bitcoin Option Trades

Number of pages: 27 Posted: 04 Oct 2021
Carol Alexander, Jun Deng, Jianfen Feng and Huning Wan
University of Sussex Business School, University of International Business and Economics (UIBE) - School of Banking and Finance, University of International Business and Economics (UIBE) - School of Banking and Finance and University of International Business and Economics (UIBE)
Downloads 60 (446,952)

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Deribit options; Informed traders; Market makers; Volatility information; Directional information;

52.

The Role of Binance in Bitcoin Volatility Transmission

Number of pages: 39 Posted: 08 Jul 2021 Last Revised: 06 Aug 2021
Carol Alexander, Daniel F. Heck and Andreas Kaeck
University of Sussex Business School, University of Sussex Business School and affiliation not provided to SSRN
Downloads 58 (454,327)

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Bitcoin ETF, Exchange-Traded Funds, Realised Volatility, Volatility Transmission, Cryptocurrency

53.

Modelling Regime-Specific Stock Price Volatility

Oxford Bulletin of Economics and Statistics, Vol. 71, Issue 6, pp. 761-797, December 2009
Number of pages: 37 Posted: 20 Oct 2009
Carol Alexander and Emese Lazar
University of Sussex Business School and University of Reading - ICMA Centre
Downloads 2 (790,093)
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54.

Inverse Options in a Black-Scholes World

Posted: 28 Jul 2021 Last Revised: 26 Oct 2021
Carol Alexander and Arben Imeraj
University of Sussex Business School and University of Sussex

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Bitcoin, Delta, Deribit, Ether, Gamma, Implied Volatility, Pricing Formula, Vega

55.

Trading and Investing in Volatility Products

Financial Markets, Institutions & Instruments, Vol. 24, Issue 4, pp. 313-347, 2015
Number of pages: 35 Posted: 13 Oct 2015
University of Sussex Business School, Goethe University Frankfurt - House of FinanceUniversity of Hamburg and University of Reading - ICMA Centre
Downloads 0 (819,021)
Citation 3
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VIX, VSTOXX, volatility futures, volatility ETPs, roll yield

56.

Stochastic Volatility Jump‐Diffusions for European Equity Index Dynamics

European Financial Management, Vol. 19, Issue 3, pp. 470-496, 2013
Number of pages: 27 Posted: 05 Jun 2013
Andreas Kaeck and Carol Alexander
ICMA Centre, Henley Business School, University of Reading, UK and University of Sussex Business School
Downloads 0 (819,021)
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equity indices, jump‐diffusions, generalised autoregressive conditional heteroscedasticity, GARCH, Markov chain Monte Carlo, MCMC

57.

Volatility Exchange-Traded Notes: Curse or Cure?

Posted: 20 May 2012
Carol Alexander and Dimitris Korovilas
University of Sussex Business School and University of Reading - ICMA Centre

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Exchange-traded notes, constant-maturity VIX futures, roll yield, manipulation-proof performance measure