Article

Alexander, Carol, Deng, Jun and Zou, Bin (2023) Hedging with automatic liquidation and leverage selection on bitcoin futures. European Journal of Operational Research, 306 (1). pp. 478-493. ISSN 0377-2217

Alexander, Carol and Imeraj, Arben (2023) Delta hedging bitcoin options with a smile. Quantitative Finance. pp. 1-19. ISSN 1469-7688 (Accepted)

Alexander, Carol and Dakos-Mantoudis, Michael (2023) Assessing the accuracy of exponentially weighted moving average models for value-at-risk and expected shortfall of crypto portfolios. Quantitative Finance. pp. 1-35. ISSN 1469-7688

Alexander, Carol, Heck, Daniel F and Kaeck, Andreas (2022) The role of binance in bitcoin volatility transmission. Applied Mathematical Finance, 29 (1). pp. 1-32. ISSN 1350-486X

Alexander, Carol, Deng, Jun, Feng, Jianfen and Wan, Huning (2022) Net buying pressure and the information in bitcoin option trades. Journal of Financial Markets. a100764. ISSN 1386-4181

Alexander, Carol, Han, Yang and Meng, Xiaochun (2022) Static and dynamic models for multivariate distribution forecasts: proper scoring rule tests of factor-quantile vs. multivariate GARCH models. International Journal of Forecasting. pp. 2-19. ISSN 0169-2070

Alexander, Carol, Meng, Xiaochun and Wei, Wei (2022) Targeting Kollo skewness with random orthogonal matrix simulation. European Journal of Operational Research, 299 (1). pp. 362-376. ISSN 0377-2217

Alexander, C, Coulon, M, Han, Y and Meng, X (2022) Evaluating the discrimination ability of proper multi-variate scoring rules. Annals of Operations Research. ISSN 0254-5330

Alexander, Carol and Imeraj, Arben (2022) Practical applications of The Bitcoin VIX and its variance risk premium. The Journal of Alternative Investments. jai.2021.pa447-jai.2021.pa447. ISSN 1520-3255

Alexander, Carol, Chen, Xi and Ward, Charles (2021) Risk-adjusted valuation for real option decisions. Journal of Economic Behavior and Organization, 191. pp. 1046-1064. ISSN 0167-2681

Alexander, Carol and Rauch, Johannes (2021) A general property for time aggregation. European Journal of Operational Research, 291 (2). pp. 536-548. ISSN 0377-2217

Alexander, Carol and Imeraj, Arben (2021) The Bitcoin VIX its variance risk premium. Journal of Alternative Investments, 23 (4). pp. 84-109. ISSN 1520-3255

Alexander, Carol and Chen, Xi (2021) Model risk in real option valuation. Annals of Operations Research, 299 (1-2). pp. 1025-1056. ISSN 0254-5330

Alexander, Carol and Lazar, Emese (2021) The continuous limit of weak GARCH. Econometric Reviews, 40 (2). pp. 197-216. ISSN 0747-4938

Alexander, Carol, Lazar, Emese and Stanescu, Silvia (2021) Analytic moments for GJR-GARCH (1,1) processes. International Journal of Forecasting, 37 (1). pp. 105-124. ISSN 0169-2070

Alexander, Carol, Choi, Jaehyuk, Massie, Hamish R A and Sohn, Sungbin (2020) Price discovery and microstructure in ether spot and derivative markets. International Review of Financial Analysis, 71. a101506 1-12. ISSN 1057-5219

Alexander, Carol and Heck, Daniel F (2020) Price discovery in Bitcoin: the impact of unregulated markets. Journal of Financial Stability, 50. a100776. ISSN 1572-3089

Alexander, Carol, Choi, Jaehjuk, Park, Heungji and Sohn, Sungbin (2019) BitMEX Bitcoin derivatives: price discovery, informational efficiency and hedging effectiveness. Journal of Futures Markets, 40 (1). pp. 23-43. ISSN 0270-7314

Alexander, C and Dakos, M (2019) A critical investigation of cryptocurrency data and analysis. Quantitative Finance. ISSN 1469-7688

Alexander, Carol, Kaeck, Andreas and Sumawong, Anannit (2019) A parsimonious parametric model for generating margin requirements for futures. European Journal of Operational Research, 273 (1). pp. 31-43. ISSN 0377-2217

Leontsinis, Stamatis and Alexander, Carol (2017) Arithmetic variance swaps. Quantitative Finance, 17 (4). pp. 551-569. ISSN 1469-7688

Alexander, Carol, Korovilas, Dimitris and Kapraun, Julia (2016) Diversification with volatility products. Journal of International Money and Finance, 65. pp. 213-235. ISSN 0261-5606

Alexander, Carol, Kapraun, Julia and Korovilas, Dimitris (2015) Trading and investing in volatility products. Financial Markets, Institutions and Instruments, 24 (4). pp. 313-347. ISSN 0963-8008

Kaeck, Andreas and Alexander, Carol (2013) Continuous-time VIX dynamics: on the role of stochastic volatility of volatility. International Review of Financial Analysis, 28. pp. 46-56. ISSN 10575219

Kaeck, Andreas and Alexander, Carol (2013) Stochastic volatility jump-diffusions for European equity index dynamics. European Financial Management, 19 (3). pp. 470-496. ISSN 1354-7798

Alexander, Carol, Prokopczuk, Marcel and Sumawong, Anannit (2013) The (de)merits of minimum-variance hedging: application to the crack spread. Energy Economics, 36. pp. 698-707. ISSN 0140-9883

Alexander, Carol, Lazar, Emese and Silvia, Stanescu (2013) Forecasting VaR using analytic higher moments for GARCH processes. International Review of Financial Analysis, 30. pp. 36-45. ISSN 1057-5219

Alexander, Carol and Korovilas, Dimitris (2013) Volatility exchange-traded notes: curse or cure? Journal of Alternative Investments, 16 (2). pp. 52-70. ISSN 1520-3255

Kaeck, Andreas and Alexander, Carol (2012) Volatility dynamics for the S&P 500: further evidence from non-affine, multi-factor jump diffusions. Journal of Banking and Finance, 36 (11). pp. 3110-3121. ISSN 0378-4266

Alexander, Carol and Venkatramanan, Aanand (2012) Analytic approximations for multi-asset option pricing. Mathematical Finance, 22 (4). pp. 667-689. ISSN 0960-1627

Ledermann, Daniel and Alexander, Carol (2012) Further properties of random orthogonal matrix simulation. Mathematics and Computers in Simulation, 83. pp. 56-79. ISSN 0378-4754

Alexander, Carol and Sarabia, José María (2012) Quantile uncertainty and value-at-risk model risk. Risk Analysis: An International Journal, 32 (8). pp. 1293-1308. ISSN 1539-6924

Alexander, Carol and Kaeck, Andreas (2012) Does model fit matter for hedging? Evidence from FTSE 100 options. Journal of Futures Markets, 32 (7). pp. 609-638. ISSN 0270-7314

Alexander, Carol, Cordeiro, Gauss M, Ortega, Edwin M M and Sarabia, José María (2012) Generalized beta-generated distributions. Computational Statistics and Data Analysis, 56 (6). pp. 1880-1897. ISSN 0167-9473

Alexander, Carol, Rubinov, Alexander, Kalepky, Markus and Leontsinis, Stamatis (2012) Regime-dependent smile-adjusted delta hedging. Journal of Futures Markets, 32 (3). pp. 203-229. ISSN 0270-7314

Venkatramanan, Aanand and Alexander, Carol (2011) Closed form approximations for spread options. Applied Mathematical Finance, 18 (5). pp. 447-472. ISSN 1350-486X

Ledermann, Walter, Alexander, Carol and Ledermann, Daniel (2011) Random orthogonal matrix simulation. Linear Algebra and its Applications, 434 (6). pp. 1444-1467. ISSN 0024-3795

Alexander, Carol and Lazar, Emese (2009) Modelling regime-specific stock price volatility. Oxford Bulletin of Economics and Statistics, 71 (6). pp. 761-797. ISSN 0305-9049

Alexander, Carol, Kaeck, Andreas and Nogueira, Leonardo M (2009) Model risk adjusted hedge ratios. Journal of Futures Markets, 29 (11). pp. 1021-1049. ISSN 0270-7314

Alexander, Carol and Sheedy, Elizabeth (2008) Developing a stress testing framework based on market risk models. Journal of Banking and Finance, 32 (10). pp. 2220-2236. ISSN 0378-4266

Alexander, C and Barbosa, A (2008) Hedging index exchange traded funds. Journal of Banking and Finance, 32 (2). pp. 326-337. ISSN 0378-4266

Alexander, Carol and Kaeck, Andreas (2008) Regime dependent determinants of credit default swap spreads. Journal of Banking and Finance, 32 (6). pp. 1008-1021. ISSN 0378-4266

Alexander, Carol and Nogueira, Leonardo M (2007) Model-free price hedge ratios for homogeneous claims on tradable assets. Quantitative Finance, 7 (5). pp. 473-479. ISSN 1469-7688

Alexander, Carol and Barbosa, Andreza (2007) Effectiveness of minimum-variance hedging. Journal of Portfolio Management, 33 (2). pp. 46-59. ISSN 0095-4918

Alexander, Carol and Nogueira, Leonardo M (2007) Model-free hedge ratios and scale-invariant models. Journal of Banking and Finance, 31 (6). pp. 1839-1861. ISSN 0378-4266

Yigitbasioglu, Ali Bora and Alexander, Carol (2006) Pricing and hedging convertible bonds: delayed calls and uncertain volatility. International Journal of Theoretical and Applied Finance, 9 (3). p. 415. ISSN 0219-0249

Alexander, Carol and Lazar, Emese (2006) Normal mixture GARCH (1, 1): applications to exchange rate modelling. Journal of Applied Econometrics, 21 (3). pp. 307-336. ISSN 0883-7252

Alexander, Carol (2005) The present and future of financial risk management. Journal of Financial Econometrics, 3 (1). pp. 3-25. ISSN 1479-8409

Alexander, Carol and Dimitriu, Anca (2005) Rank alpha funds of hedge funds. Journal of Alternative Investments, 8 (2). pp. 48-61. ISSN 1520-3255

Alexander, Carol and Dimitriu, Anca (2005) Indexing, cointegration and equity market regimes. International Journal of Finance & Economics, 10 (3). pp. 213-231. ISSN 1076-9307

Alexander, Carol and Dimitriu, Anca (2005) Detecting switching strategies in equity hedge funds returns. Journal of Alternative Investments, 8 (1). pp. 7-13. ISSN 1520-3255

Alexander, Carol and Dimitriu, Anca (2005) Indexing and statistical arbitrage. Journal of Portfolio Management, 31 (2). pp. 50-63. ISSN 0095-4918

Alexander, Carol and Barbosa, Andreza (2005) The spider in the hedge. Review of Futures Markets, 14 (1). pp. 93-116. ISSN 0898-011X

Alexander, Carol and Scourse, Andrew (2004) Bivariate normal mixture spread option valuation. Quantitative Finance, 4 (6). pp. 637-648. ISSN 1469-7688

Alexander, Carol and Dimitriu, Anca (2004) Equity indexing: optimize your passive investments. Quantitative Finance, 4 (3). C30-C33. ISSN 1469-7688

Alexander, Carol (2004) Normal mixture diffusion with uncertain volatility: modelling short- and long-term smile effects. Journal of Banking and Finance, 28 (12). pp. 2957-2980. ISSN 0378-4266

Alexander, Carol and Dimitriu, Anca (2004) Sources of outperformance in equity markets. Journal of Portfolio Management, 30 (4). pp. 170-185. ISSN 0095-4918

Alexander, Carol (2002) Principal component models for generating large GARCH covariance matrices. Economic Notes, 31 (2). pp. 337-359. ISSN 1468-0300

Alexander, Carol, Giblin, Ian and Weddington, Wayne (2002) Cointegration and asset allocation: a new active hedge fund strategy. Research in International Business and Finance, 16. pp. 65-90. ISSN 0275-5319

Alexander, Carol (2000) Measuring operational risks with Bayesian belief networks. Derivatives Use, Trading and Regulation, 6 (2). pp. 166-196. ISSN 1357-0927

Alexander, Carol (1999) Optimal hedging using cointegration. Philosophical Transactions A: Mathematical, Physical and Engineering Sciences, 357 (1758). pp. 2039-2058. ISSN 1471-2962

Alexander, Carol and Giblin, Ian (1997) Multivariate embedding methods: forecasting high-frequency financial data in the first INFFC. Journal of Computational Intelligence in Finance, 5 (6). pp. 17-24. ISSN 1092-7018

Alexander, C O and Leigh, C T (1997) On the covariance matrices used in value at risk models. Journal of Derivatives, 4 (3). pp. 50-62. ISSN 1074-1240

Alexander, C O and Ledermann, W (1996) Are Nash bargaining wage agreements unique? An investigation into bargaining sets for firm-union negotiations. Oxford Economic Papers, 48 (2). pp. 242-253. ISSN 0030-7653

Alexander, Carol (1996) Evaluating the use of RiskMetrics as a risk measurement tool for your operation: advantages and limitations. Derivatives: Use, Trading and Regulation, 2 (3). pp. 277-285. ISSN 1753-9641

Alexander, C O and Rendell, H M (1995) Data generation processes for spatial series: the example of ephemeral channel form. Geographical Analysis, 27 (1). pp. 78-93. ISSN 0016-7363

Alexander, Carol and Wyeth, John (1995) Causality testing in models of spatial market integration: a comment on an article by Stefan Dercon. Journal of Development Studies, 32 (1). pp. 144-146. ISSN 0022-0388

Alexander, Carol O (1995) Common volatility in the foreign exchange market. Applied Financial Economics, 5 (1). pp. 1-10. ISSN 0960-3107

Alexander, Carol and Barrow, Michael (1994) Seasonality and cointegration of regional house prices in the UK. Urban Studies, 31 (10). pp. 1667-1689. ISSN 0042-0980

Alexander, Carol and Wyeth, John (1994) Cointegration and market integration: an application to the Indonesian rice market. The Journal of Development Studies, 30 (2). pp. 303-334. ISSN 0022-0388

Alexander, C O and Ledermann, W (1994) The constrained Nash bargaining solution. Journal of the Operational Research Society, 45 (8). pp. 954-958. ISSN 0160-5682

Alexander, Carol O (1993) The changing relationship between productivity, wages and unemployment in the UK. Oxford Bulletin of Economics and Statistics, 55 (1). pp. 87-102. ISSN 0305-9049

Alexander, C O and Johnson, A (1992) Are foreign exchange markets really efficient? Economics Letters, 40 (4). pp. 449-453. ISSN 0165-1765

Alexander, Carol (1992) The Kalai-Smorodinsky bargaining solution in wage negotiations. Journal of the Operational Research Society, 43 (8). pp. 779-786. ISSN 0160-5682

Alexander, Carol, Giblin, Ian and Newton, David (1992) Symmetry groups of fractals. Mathematical Intelligencer, 14 (2). pp. 32-38. ISSN 0343-6993

van der Ploeg, Carol (1988) On a converse to the Tschebotarev density theorem. Journal of the Australian Mathematical Society (Series A), 44 (3). pp. 287-293. ISSN 1446-7887

van der Ploeg, Carol (1987) Duality in non-normal quartic fields. American Mathematical Monthly, 94. pp. 279-284. ISSN 0002-9890

Ledermann, Walter and van der Ploeg, Carol (1985) Integral bases of dihedral numberfields. I. Journal of the Australian Mathematical Society (Series A), 38 (3). pp. 351-371. ISSN 1446-7887

Book Section

Alexander, Carol and Venkatramanan, Aanand (2008) Commodity options. In: Fabozzi, Frank J, Fuss, Roland and Kaiser, Dieter G (eds.) The handbook of commodity investing. Frank J Fabozzi Series . Wiley, Hoboken, New Jersey, pp. 570-595. ISBN 978-0470117644

Book

Alexander, Carol (2008) Market risk analysis I: quantitative methods in finance. John Wiley & Sons, Chichester. ISBN 978-0470998007

Alexander, Carol (2008) Market risk analysis II: practical financial econometrics. John Wiley & Sons, Chichester. ISBN 978-0470998014

Alexander, Carol (2008) Market risk analysis III: pricing, hedging and trading financial instruments. John Wiley & Sons, Chichester. ISBN 978-0470997895

Alexander, Carol (2008) Market risk analysis IV: value-at-risk models. Wiley Finance Series, 4 . John Wiley & Sons, Chichester. ISBN 9780470997888

Alexander, Carol (2001) Market models: a guide to financial data analysis. John Wiley & Sons, Chichester. ISBN 9780471899754

Alexander, Carol, ed. (2000) Visions of risk. Financial Times/ Prentice Hall, Harlow. ISBN 978-0877783206

Alexander, Carol, ed. (1998) Risk management and analysis volume 1: measuring and modelling financial risk. Wiley Series in Financial Engineering, 1 . John Wiley & Sons, Chichester. ISBN 978-0471979579

Alexander, Carol, ed. (1998) Risk management and analysis volume 2: new markets and products. Wiley Series in Financial Engineering, 2 . John Wiley & Sons, Chichester. ISBN 978-0471979593

Alexander, Carol (1996) The handbook of risk management and analysis. John Wiley & Sons, Chichester. ISBN 9780471953098

Edited Book

Alexander, Carol and Sheedy, Elizabeth, eds. (2008) The professional risk manager's guide to financial instruments. PRMIA Risk Management Series . McGraw-Hill, New York. ISBN 9780071546492

Alexander, Carol and Sheedy, Elizabeth, eds. (2008) The professional risk managers' guide to finance theory and application. PRMIA Risk Management Series . McGraw-Hill, New York. ISBN 9780071546478

Alexander, Carol and Sheedy, Elizabeth, eds. (2008) The professional risk manager’s guide to financial markets. PRMIA Risk Management Series . McGraw-Hill, New York. ISBN 9780071546485

Alexander, Carol and Sheedy, Elizabeth, eds. (2005) The professional risk managers' handbook: a comprehensive guide to current theory and best practices. PRMIA Publications, New York & London. ISBN 9780976609704

Alexander, Carol, ed. (2003) Operational risk: regulation, analysis and management. Professional Finance Series . Pearson Education Ltd., Harlow. ISBN 9780273659662

Alexander, Carol, ed. (2001) Mastering risk volume 2: applications. Financial Times Mastering Series, 2 . Pearson Education Ltd., Harlow. ISBN 9780273654360