Carol Alexander

Finance · 2001–2012

A researcher in the Science corpus: 14 papers; trusts 72 researchers and is trusted by 23 researchers here, as inferred from the citation graph.

Subfields

• Finance — 85 citations into it; #2,635 of 10,518 by trust here, #3,438 by citations
• Economics and Econometrics — 41 citations into it; #6,859 of 23,481 by trust here, #10,872 by citations
• Statistics and Probability — 25 citations into it; #4,874 of 12,932 by trust here, #4,014 by citations
• Demography — 9 citations into it
• Accounting — 8 citations into it
• Global and Planetary Change — 6 citations into it; #2,320 of 10,225 by trust here, #4,597 by citations

Whom Carol Alexander trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Robert F. Engle
2. Tim Bollerslev
3. Saralees Nadarajah
4. F. Longin
5. David S. Bates
6. Bjørn Eraker
7. John C. Hull
8. Alan L. Lewis
9. René L. Schilling
10. Kevin Dowd

Who trusts Carol Alexander overall

1. Tim Bollerslev
2. Matthias R. Fengler
3. Gregor N. F. Weiß
4. Eirini Konstantinidi
5. Gauss Moutinho Cordeiro
6. M. Chris Jones
7. Ariane Chapelle
8. Antonio Di Cesare
9. Mario Hernandez Tinoco
10. Mustafa Ç. Korkmaz

Papers from Carol Alexander's perspective

Ordered by how strongly the researchers Carol Alexander trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. The Pricing of Options and Corporate Liabilities
3. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach
4. Post-'87 crash fears in the S&P 500 futures option market
5. A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
6. The jump-risk premia implicit in options: evidence from an integrated time-series study $
7. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
8. Empirical option pricing: a retrospection
9. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
10. CONDITIONAL HETEROSKEDASTICITY IN ASSET RETURNS: A NEW APPROACH

Their papers

• Generalized beta-generated distributions (2012) — 394 citations
• Developing a stress testing framework based on market risk models (2008) — 155 citations
• Regime dependent determinants of credit default swap spreads (2008) — 298 citations
• Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions (2012) — 80 citations
• Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects (2004) — 62 citations
• ANALYTIC APPROXIMATIONS FOR MULTI‐ASSET OPTION PRICING (2009) — 49 citations
• Quantitative methods in finance (2008) — 77 citations
• Stochastic Local Volatility (2008) — 61 citations
• Model-free hedge ratios and scale-invariant models (2007) — 63 citations
• Indexing and Statistical Arbitrage (2005) — 111 citations
• Operational Risk: Regulation, Analysis and Management (2003) — 120 citations
• Principal component models for generating large GARCH covariance matrices (2002) — 86 citations
• Market Models: A Guide to Financial Data Analysis (2001) — 222 citations
• A Primer on the Orthogonal GARCH Model (2001) — 83 citations