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Stochastic volatility jump-dif...
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Alexander, Carol
259
Kaeck, Andreas
43
Lazar, Emese
20
Dimitriu, Anca
17
Nogueira, Leonardo M.
12
Chen, Xi
11
Korovilas, Dimitris
11
Venkatramanan, Aanand
11
Leontsinis, Stamatis
9
Stanescu, Silvia
9
Barbosa, Andreza
7
Dakos, Michael
6
Deng, Jun
6
Imeraj, Arben
6
Kalepky, Markus
6
Prokopczuk, Marcel
6
Rubinov, Alexander
6
Seeger, Norman
6
Sumawong, Anannit
6
Ledermann, Daniel
5
Sarabia, José María
5
Sheedy, Elizabeth A.
5
Alexander, C.
4
Choi, Jaehyuk
4
Heck, Daniel F.
4
Sheedy, Elizabeth
4
Sohn, Sungbin
4
Barbosa, A.
3
Cordeiro, Gauss M.
3
Ledermann, Dan
3
Sarabia Alzaga, José Maria
3
Chen, Ding
2
Feng, Jianfen
2
Giblin, Ian
2
Johnson, A.
2
Kapraun, Julia
2
Ledermann, Walter
2
Meng, Xiaochun
2
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43
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4
Professional Risk Managers' International Association
3
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1
arXiv.org
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ICMA Centre Discussion Papers in Finance
45
Discussion paper / ICMA Centre, Henley Business School, University of Reading
16
Journal of banking & finance
15
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6
The journal of futures markets
6
European journal of operational research : EJOR
5
Discussion Papers in Economics
4
International review of financial analysis
4
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4
Market risk analysis / Carol Alexander
4
Oxford bulletin of economics and statistics
4
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ECONIS (ZBW)
158
RePEc
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OLC EcoSci
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USB Cologne (EcoSocSci)
14
Other ZBW resources
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1
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
Saved in:
2
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
Saved in:
3
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:
4
VIX dynamics with stochastic volatility of volatility
Kaeck, Andreas
;
Alexander, Carol
-
2010
Persistent link: https://www.econbiz.de/10009375857
Saved in:
5
Does model fit matter for hedging? : evidence from FTSE 100 options
Alexander, Carol
;
Kaeck, Andreas
-
2010
Persistent link: https://www.econbiz.de/10009375867
Saved in:
6
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:
7
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:
8
Does model fit matter for hedging? : evidence from FTSE 100 options
Alexander, Carol
;
Kaeck, Andreas
- In:
The journal of futures markets
32
(
2012
)
7
,
pp. 609-638
Persistent link: https://www.econbiz.de/10010218790
Saved in:
9
Regime dependent determinants of credit dafault swap spreads
Alexander, Carol
;
Kaeck, Andreas
- In:
Journal of banking & finance
32
(
2008
)
6
,
pp. 1008-1021
Persistent link: https://www.econbiz.de/10003733793
Saved in:
10
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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