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The role of binance in bitcoin volatility transmission
Alexander, Carol; Heck, Daniel F.; Kaeck, Andreas - In: Applied mathematical finance 29 (2022) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10013554065
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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
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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
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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
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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
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Analytic moments for GARCH processes
Alexander, Carol; Lazar, Emese; Stanescu, Silvia - 2011
Persistent link: https://www.econbiz.de/10009375529
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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
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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
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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
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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