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Academic Papers

 

Alexander C. and X. Chen (2021) Model Risk in Real Option Valuation. Annals of Operations Research,  299(1), 1025-1056 download

 

Alexander, C. and A. Imeraj (2021) The Crypto Investor Fear Gauge and the Bitcoin Variance Risk Premium. Journal of Alternative Investments,  23 (4) 84-109 download

Alexander, C. and J. Rauch (2021) A General Property for Time Aggregation. European Journal of Operational Research, 291(2), 536-548 download

 

Alexander, C. and E. Lazar (2021) The Continuous Limit of Weak GARCH. Econometric Reviews 40(2), 197-216 download

 

Alexander, C., Lazar, E. and S. Stanescu (2021) Analytic Moments for GARCH Processes. International Journal of Forecasting 37(1), 105-124 download

 

Alexander, C. and D. Heck (2020) Price Discovery in Bitcoin: The Impact of Unregulated Markets. Journal of Financial Stability 50, 1-18. download

 

Alexander, C., Choi, J., Massie, H. and S. Sohn (2020) Price Discovery and Microstructure in Ether Spot and Derivatives Markets. International Review of Financial Analysis, 71 download

 

Alexander C., Choi, J., Park, H., and S. Sohn (2019) BitMEX Bitcoin Derivatives: Price Discovery, Informational Eciency and Hedging Eectiveness. Journal of Futures Markets, 40(1) 23-43 download

Alexander C. and M. Dakos (2019) A Critical Investigation of Cryptocurrency Data and Analysis. Quantitative Finance, 20(2), 173-188 download

Alexander C., Kaeck, A. and Sumawong, A. (2019) A Parsimonious Parametric Model for Generating Margin Requirements for Futures. European Journal of Operational Research, 273(1), 31-43 download

Leontsinis, S., and C. Alexander (2017) Arithmetic Variance Swaps, Quantitative Finance, 17(4), 551-569 download

Alexander, C., Korovilas D. and J. Kapraun (2016) ‘Diversification with Volatility Products’ Journal of International Money and Finance 65, 213-235 download

Alexander, C., J. Kapruan and D. Korovilas (2015) ‘Trading and Investing in Volatility Products’ Financial Markets, Institutions and Instruments 24(4), 313-347 download

Alexander, C. and D. Korovilas (2013) ‘Volatility exchange-traded notes: curse or cure?’ Journal of Alternative Investments 16(2), 52-70 download

 

Kaeck, A. and C. Alexander (2013) ‘Stochastic volatility jump-diffusions for European equity index dynamics’ European Financial Management 19(3), 470-496 download

Alexander, C., Lazar, E. and S. Stanescu (2013) ‘Forecasting VaR using analytic higher moments for GARCH processes’ International Review of Financial Analysis 30, 36-45 download

Alexander, C., Propoczuk, M. and A. Sumawong (2013) ‘The (de)merits of minimum-variance hedging: Application to the crack spread’ Energy Economics 36, 698-707 download

Kaeck, A. and C. Alexander  (2013) ‘Continuous-time VIX dynamics: on the role of stochastic volatility of volatility’ International Review of Financial Analysis 28, 45-56 download

Alexander, C. and J-M. Sarabia (2012) ‘Quantile uncertainty and value-at-risk’ Risk Analysis: An International Journal 32(8), 1293-1308 download

Ledermann, D. and C. Alexander (2012) ‘Further properties of random orthogonal matrix simulation’ Mathematics and Computers in Simulation 83, 56-79 download

Kaeck, A. and C. Alexander (2012) ‘Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions’ Journal of Banking and Finance 36 (11), 3110-3121 download

Alexander, C., Cordeiro, G., Ortega, E. and J-M. Sarabia (2012) ‘Generalized beta generated distributions’ Computational Statistics and Data Analysis 56(6), 1880–1897 download

Alexander, C. and A. Venkatramanan (2012) ‘Analytic approximations for multi-asset option pricing’ Mathematical Finance 22(4), 667-689 download

Alexander, C. and A. Kaeck (2012) ‘Does model fit matter for hedging? Evidence from FTSE 100 options’ Journal of Futures Markets 32(7), 609–638 download

Alexander, C., A. Rubinov, M. Kalepky and S. Leontsinis (2012) ‘Regime-dependent smile-adjusted delta hedging’ Journal of Futures Markets 32(3), 202-229 download

Venkatramanan, A. and C. Alexander (2011) ‘Closed-form approximations for spread options’ Applied Mathematical Finance 18 (5), 447-472 download

Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random orthogonal matrix simulation’ Linear Algebra and its Applications 434, 1444-1467 download

Alexander, C. and E. Lazar (2009) ‘Modelling regime-specific stock price volatility’ Oxford Bulletin of Economics and Statistics, 71:6, 761 – 797   download

Alexander, C., A. Kaeck and L. Nogueira (2009) ‘Model risk adjusted hedge ratios’ Journal of Futures Markets, 29: 11, 1021-1045   download

Alexander, C. and E. Sheedy (2008) ‘Developing a stress testing framework based on market risk models’ Journal of Banking and Finance 32:10, 2220-2236   download

Alexander, C. and A. Kaeck (2008) ‘Regime dependent determinants of credit default swap spreads’ Journal of Banking and Finance 32:6, 1008 – 1021.   download

Alexander, C. and A. Barbosa (2008) ‘Hedging exchange traded funds’ Journal of Banking and Finance 32:2, 326-337   download

Alexander, C. and L. Nogueira (2007) ‘Model-free price hedge ratios for homogeneous claims on tradable assets’ Quantitative Finance 7:5, 473 – 479.   download

Alexander, C. and A. Barbosa (2007) ‘Effectiveness of minimum variance hedging’ Journal of Portfolio Management 33:2, 46 – 59   download

Alexander, C. and L. Nogueira (2007) ‘Model-free hedge ratios and scale-invariant models’ Journal of Banking and Finance, 31:6, 1839-1861   download

Yigitsbasioglu, A. and C. Alexander (2006) ‘Pricing and hedging convertible bonds: delayed calls and uncertain volatility’ International Journal of Theoretical and Applied Finance, 9:2, 415-437   download

Alexander, C. and E. Lazar (2006) ‘Normal mixture GARCH(1,1): applications to foreign exchange markets’ Journal of Applied Econometrics, 21:2 307-336   download / Appendix

Alexander, C. and A. Dimitriu (2005) ‘Rank alpha funds of hedge funds’, Journal of Alternative Investments, 8:2, 48-61   download

Alexander, C. and A. Dimitriu (2005) ‘Detecting switching strategies in equity hedge funds returns’, Journal of Alternative Investments, 8:1, 7-13.   download

Alexander, C. (2005) ‘The present and future of risk management’ Journal of Financial Econometrics, 3:1, 3-25   download

Alexander, C. and A. Barbosa (2005) ‘The spider in the hedge’ Review of Futures Markets, 11:1, 89-113   download

Alexander, C. and A. Dimitriu (2005) ‘Indexing and statistical arbitrage: tracking error or cointegration?’ Journal of Portfolio Management, 31:2, 50-63.   download

Alexander, C. and A. Dimitriu (2005) ‘Indexing, cointegration and equity market regimes’ International Journal of Finance and Economics, 10, 213-231.   download

Alexander, C. and A. Scourse (2004) ‘Bivariate normal mixture spread option valuation’ Quantitative Finance, 4:6 1-12.   download

Alexander, C. (2004) ‘Normal mixture diffusion with uncertain volatility: modelling short and long term smile effects’ Journal of Banking and Finance, 28:12 2957-2980   download

Alexander, C. and A. Dimitriu (2004) ‘Sources of out-performance in equity markets: common trends, mean reversion and herding’ Journal of Portfolio Management, 30:4, 170-185   download

Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’ Quantitative Finance, 4:3 C30 – C33   download

Alexander, C. (2002) ‘Principal component models for generating large covariance matrices’ Review of Banking, Finance and Monetary Economics, Economic Notes, 31:2, 337-359   download

Alexander, C., I. Giblin and W. Weddington (2002) ‘Cointegration and asset allocation: a new active hedge fund strategy’ Research in International Business and Finance, 16, 65-90.   download

Alexander, C. (2000) ‘Measuring operational risks with Bayesian belief networks’ Derivatives, Use Trading and Regulation 6:2 166-196

Alexander, C. (1999) ‘Optimal hedging using cointegration’ Philosophical Transactions of the Royal Society Series A 357 2039-2058   download

Alexander, C. and C. Leigh (1997) ‘On the covariance matrices used in VaR models’ Journal of Derivatives, 4:3 50-62

Alexander, C. and I. Giblin (1996) ‘Multivariate embedding methods: forecasting high-frequency data in the first INFFC’ Journal of Computational Intelligence in Finance 5:6 17-24   download

Alexander, C. and W. Ledermann (1996) ‘Are Nash bargaining wage agreements unique? An investigation into bargaining sets for firm/union negotiations’ Oxford Economic Papers 48:2 1-11   download

Alexander, C. and J. Wyeth (1996) ‘Causality testing in models of spatial market integration’ Journal of Development Studies, 32:1 144-146   download

Alexander, C. (1996) ‘Evaluating the use of RiskMetricsä as a risk measurement tool for your operation’ Derivatives: Use Trading and Regulation 2:3 277-285

Alexander, C. and H. Rendall (1995) ‘Data generation processes of spatial series: Analysis of ephemeral channel form’ Geographical Analysis 27:1 78-93

Alexander, C. (1995) ‘Common volatility in the foreign exchange market’ Applied Financial Economics 5:1 1-10.     download

Alexander, C. and J. Wyeth (1994) ‘Cointegration and market integration: an application to the Indonesian rice market’ Journal of Development Studies 30:2 303-308     download

Alexander, C. and M. Barrow (1994) ‘Seasonality and cointegration of regional house prices in the UK’ Urban Studies 31:10 1667-1689

Alexander, C. and W. Ledermann (1994) ‘The constrained Nash bargaining solution’ Journal of the Operational Research Society 45:5 954-958     download

Alexander, C. (1993) ‘The changing relationship between productivity, wages and unemployment in the U.K.’ Oxford Bulletin of Economics and Statistics 55:1 87-102

Alexander, C. and A. Johnson (1992) ‘Are foreign exchange markets really efficient?’ Economics Letters 40 449-453

Alexander, C., I. Giblin and D. Newton (1992) ‘The symmetry of fractals’ Mathematical Intelligencer 14:2 32-34

Alexander, C. (1992) ‘The Kalai-Smorodinsky bargaining solution in wage negotiations’ Journal of the Operational Research Society 43:8 779-786   download

Alexander, C. (1988) ‘On a converse to the Tschebotarev density theorem’ Journal of the Australian Mathematical Society Series A 44 287-293

Alexander, C. (1987) ‘Duality in non-normal quartic fields’ American Mathematical Monthly 94 279-284

Alexander, C. and W. Ledermann (1985) ‘Integral bases of dihedral number fields’ Journal of the Australian Mathematical Society Series A 38 351-371