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Principal component models for generating large GARCH covariance matrices

Alexander, Carol - In: Economic notes : economic review of Banca Monte dei … 31 (2002) 2, pp. 337-359

Persistent link: https://www.econbiz.de/10001676004

Developing a stress testing framework based on market risk models

Alexander, Carol; Sheedy, Elizabeth A. - In: Journal of banking & finance 32 (2008) 10, pp. 2220-2236

Persistent link: https://www.econbiz.de/10003778713

Normal mixture GARCH (1,1) : applications to exchange rate modelling

Alexander, Carol; Lazar, Emese - In: Journal of applied econometrics 21 (2006) 3, pp. 307-336

Persistent link: https://www.econbiz.de/10003315990

Modelling regime-specific stock price volatility

Alexander, Carol; Lazar, Emese - In: Oxford bulletin of economics and statistics 71 (2009) 6, pp. 761-797

Persistent link: https://www.econbiz.de/10003898987

Analytic approximations to GARCH aggregated returns distributions with applications to VaR and ETL

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - 2011

Persistent link: https://www.econbiz.de/10009375528

Analytic moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - 2011

Persistent link: https://www.econbiz.de/10009375529

The (de)merits of minimum-variance hedging : application to the crack spread

Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - In: Energy economics 36 (2013), pp. 698-707

Persistent link: https://www.econbiz.de/10009724605

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

The (de)merits of minimum-variance hedging : application to the crack spread

Alexander, Carol; Prokopczuk, Marcel; Sumawong, Anannit - 2012

Persistent link: https://www.econbiz.de/10009520538

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

Alexander, Carol - 2011

It is widely accepted that some of the most accurate predictions of aggregated asset returns are based on an appropriately specified GARCH process. As the forecast horizon is greater than the frequency of the GARCH model, such predictions either require time-consuming simulations or they can be...

Persistent link: https://www.econbiz.de/10013125613