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Stochastic volatility jump-dif...
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Alexander, Carol
32
Kaeck, Andreas
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4
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4
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Discussion paper / ICMA Centre, Henley Business School, University of Reading
4
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1
Model risk adjusted hedge ratios
Alexander, Carol
;
Kaeck, Andreas
;
Nogueira, Leonardo M.
- In:
The journal of futures markets
29
(
2009
)
11
,
pp. 1021-1049
Persistent link: https://www.econbiz.de/10003900965
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2
VIX dynamics with stochastic volatility of volatility
Kaeck, Andreas
;
Alexander, Carol
-
2010
Persistent link: https://www.econbiz.de/10009375857
Saved in:
3
Continuous-time VIX dynamics : on the role of stochastic volatility of volatility
Kaeck, Andreas
;
Alexander, Carol
- In:
International review of financial analysis
28
(
2013
),
pp. 46-56
Persistent link: https://www.econbiz.de/10009762709
Saved in:
4
Stochastic volatility jump-diffusions for European equity index dynamics
Kaeck, Andreas
;
Alexander, Carol
- In:
European financial management : the journal of the …
19
(
2013
)
3
,
pp. 470-496
Persistent link: https://www.econbiz.de/10010193749
Saved in:
5
Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas
;
Alexander, Carol
- In:
Journal of banking & finance
36
(
2012
)
11
,
pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
Saved in:
6
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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7
Moving average models for volatility and correlation, and covariance matrices
Alexander, Carol
-
2008
Persistent link: https://www.econbiz.de/10003765837
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8
Normal mixture diffusion with uncertain volatility : modelling short- and long-term smile effects
Alexander, Carol
- In:
Journal of banking & finance
28
(
2004
)
12
,
pp. 2957-2980
Persistent link: https://www.econbiz.de/10002410726
Saved in:
9
Pricing and hedging convertible bonds : delayed calls and uncertain volatility
Yiǧitbaşioǧlu, Ali Bora
;
Alexander, Carol
- In:
International journal of theoretical and applied finance
9
(
2006
)
3
,
pp. 415-453
Persistent link: https://www.econbiz.de/10003344330
Saved in:
10
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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