Market Models: A Guide to Financial Data Analysis

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Political uncertainty and stock market volatility in the Middle East and North African (MENA) countries (2014, background): “Most univariate GARCH models should encounter few convergence problems if model is well-specified and fits data reasonably well (Alexander, 2001).”
Glossary to ARCH (GARCH) (2008, methodology): “Estimation and inference in the OGARCH model are discussed in detail in Alexander (2001, 2008).”
A new approach to modeling the dynamics of implied distributions: Theory and evidence from the S&P 500 options (2004, background): “Kamal and Derman (1997), Skiadopoulos et al. (1999), Alexander (2001), Ane´ and Labidi (2001), Fengler et al. (2001), and Cont and da Fonseca (2002) have applied PCA to investigate the dynamics of implied volatilities.”
Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (2008, methodology): “It has been used in a number of applications in asset allocation and option pricing and hedging (see e.g., Alexander, 2001, for a description of the method and financial applications).”