Similar Search Results

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/10010083800

Quantile Uncertainty and Value‐at‐Risk Model Risk

Alexander, Carol; Sarabia, José María - In: Risk analysis : an international journal 32 (2012) 8, pp. 1293-1309

Persistent link: https://www.econbiz.de/10010002105

ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING

Alexander, Carol; Venkatramanan, Aanand - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 667-690

Persistent link: https://www.econbiz.de/10010012283

Modelling Regime-Specific Stock Price Volatility

Alexander, Carol; Lazar, Emese - In: Oxford bulletin of economics and statistics 71 (2009) 6, pp. 761-798

Persistent link: https://www.econbiz.de/10008320725

Developing a stress testing framework based on market risk models

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

Persistent link: https://www.econbiz.de/10008099621

Model-free hedge ratios and scale-invariant models

Alexander, Carol; Nogueira, Leonardo M. - In: Journal of banking & finance 31 (2007) 6, pp. 1839-1862

Persistent link: https://www.econbiz.de/10007727807

TRADING AND HEDGING STRATEGIES - EFFECTIVENESS OF MINIMUM-VARIANCE HEDGING

Alexander, Carol; Barbosa, Andreza - In: The journal of portfolio management : a publication of … 33 (2007) 2, pp. 46-59

Persistent link: https://www.econbiz.de/10007605605

PORTFOLIO OPTIMIZATION - Indexing and Statistical Arbitrage

Alexander, Carol; Dimitriu, Anca - In: The journal of portfolio management : a publication of … 31 (2005) 2, pp. 50-63

Persistent link: https://www.econbiz.de/10006543858

The Changing Relationship Between Productivity and Wages in the UK

Alexander, Carol - In: Oxford bulletin of economics and statistics 55 (1993) 1, pp. 87-102

Persistent link: https://www.econbiz.de/10006495512

Is Minimum Variance Hedging Necessary for Equity Indices? A Study of Hedging and Cross-Hedging Exchange Traded Funds

Alexander, Carol - 2006

This paper investigates the optimal short-term hedging of Exchange Traded Fund (ETF) portfolios with index futures. Using daily data from May 2000 to December 2004 on the four largest passive ETFs (the Spider, the Diamond, the Cubes and the Russell iShare) and their corresponding index futures...

Persistent link: https://www.econbiz.de/10012734927