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VIX dynamics with stochastic volatility of volatility

Kaeck, Andreas; Alexander, Carol - 2010

Persistent link: https://www.econbiz.de/10009375857

A parsimonious parametric model for generating margin requirements for futures

Alexander, Carol; Kaeck, Andreas; Sumawong, Anannit - In: European journal of operational research : EJOR 273 (2019) 1, pp. 31-43

Persistent link: https://www.econbiz.de/10011979406

Endogenizing model risk to quantile estimates

Alexander, Carol; Sarabia, José María - 2010

Persistent link: https://www.econbiz.de/10009375863

A general approach to real option valuation with applications to real estate investments

Alexander, Carol; Chen, Xi - 2012

Persistent link: https://www.econbiz.de/10009722151

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001

Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios

Alexander, Carol; Dakos, Michael - In: Quantitative finance 23 (2023) 3, pp. 393-427

Persistent link: https://www.econbiz.de/10014232660

Assessing the Accuracy of Exponentially Weighted Moving Average Models for Value-at-Risk and Expected Shortfall of Crypto Portfolios

Alexander, Carol; Dakos, Michael - 2022

A plethora of academic papers on generalized autoregressive conditional heteroscedasticity (GARCH) models for bitcoin and other cryptocurrencies have been published in academic journals. Yet few, if indeed any, of these are employed by practitioners. Previous academic studies produce results...

Persistent link: https://www.econbiz.de/10013292091

Model complexity and out-of-sample performance : evidence from S&P 500 index returns

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of economic dynamics & control 90 (2018), pp. 1-29

Persistent link: https://www.econbiz.de/10011974016

Equity index variance : evidence from flexible parametric jump-diffusion models

Kaeck, Andreas; Rodrigues, Paulo Jorge Maurício; … - In: Journal of banking & finance 83 (2017), pp. 85-103

Persistent link: https://www.econbiz.de/10011816827

Generalized Beta-Generated Distributions

Alexander, Carol; Cordeiro, Gauss M.; Ortega, Edwin M. M.; … - Henley Business School, University of Reading - 2011

Persistent link: https://www.econbiz.de/10010838056