Academic Journals

1. Alexander, C. and A. Imeraj (2020) ‘The Bitcoin VIX and its Variance Risk Premium’ Journal of Alternative Investments (forthcoming) download
2. 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 (forthcoming) download
3. Alexander, C., Lazar, E. and S. Stanescu (2020) ‘Analytic Moments for GJR-GARCH(1,1) Processes’ International Journal of Forecasting (available online) download
4. Alexander, C. and J. Rauch (2020) ‘A General Property for Time Aggregation’   European Journal of Operational Research.  (available online) download
5. Alexander C., Choi, J., Park, H., and S. Sohn (2020) ‘BitMEX Bitcoin Derivatives: Price Discovery, Informational Efficiency and Hedging Effectiveness.’ Journal of Futures Markets. 40 (1). pp. 23-43. ISSN 0270-7314 . download
6. Alexander C. and M. Dakos (2020) ‘A Critical Investigation of Cryptocurrency Data and Analysis’ Quantitative Finance. 20:2, 173-188, ISSN 1469-7688 download
7. Alexander C. and X. Chen. (2019) ‘Model Risk in Real Option Valuation’ Annals of Operations Research. download.
8. Alexander C., Kaeck, A. and A. Sumawong (2019) ‘A Parsimonious Parametric Model for Generating Margin Requirements for Futures’ European Journal of Operational Research.  273(1),  31-43. download
9. Leontsinis, S. and C. Alexander (2017) ‘Arithmetic Variance Swaps’ Quantitative Finance 17(4), 551-569 download
10. Alexander, C., Korovilas D. and J. Kapraun (2016) ‘Diversification with Volatility Products’ Journal of International Money and Finance 65, 213-235 download
11. Alexander, C., J. Kapruan and D. Korovilas (2015) ‘Trading and Investing in Volatility Products’ Financial Markets, Institutions and Instruments 24(4), 313-347 download
12. Alexander, C. and D. Korovilas (2013) ‘Volatility exchange-traded notes: curse or cure?’ Journal of Alternative Investments 16(2), 52-70 download
13. Kaeck, A. and C. Alexander (2013) ‘Stochastic volatility jump-diffusions for European equity index dynamics’ European Financial Management 19(3), 470-496 download
14. 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
15. 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
16. 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
17. Alexander, C. and J-M. Sarabia (2012) ‘Quantile uncertainty and value-at-risk’ Risk Analysis: An International Journal 32(8), 1293-1308 download
18. Ledermann, D. and C. Alexander (2012) ‘Further properties of random orthogonal matrix simulation’ Mathematics and Computers in Simulation 83, 56-79 download
19. 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
20. 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
21. Alexander, C. and A. Venkatramanan (2012) ‘Analytic approximations for multi-asset option pricing’ Mathematical Finance 22(4), 667-689 download
22. 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
23. 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
24. Venkatramanan, A. and C. Alexander (2011) ‘Closed-form approximations for spread options’ Applied Mathematical Finance 18 (5), 447-472 download
25. Ledermann, W., Alexander, C. and D. Ledermann (2011) ‘Random orthogonal matrix simulation’ Linear Algebra and its Applications 434, 1444-1467 download
26. Alexander, C. and E. Lazar (2009) ‘Modelling regime-specific stock price volatility’ Oxford Bulletin of Economics and Statistics, 71:6, 761 – 797   download
27. Alexander, C., A. Kaeck and L. Nogueira (2009) ‘Model risk adjusted hedge ratios’ Journal of Futures Markets, 29: 11, 1021-1045   download
28. 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
29. Alexander, C. and A. Kaeck (2008) ‘Regime dependent determinants of credit default swap spreads’ Journal of Banking and Finance 32:6, 1008 – 1021.   download
30. Alexander, C. and A. Barbosa (2008) ‘Hedging exchange traded funds’ Journal of Banking and Finance 32:2, 326-337   download
31. Alexander, C. and L. Nogueira (2007) ‘Model-free price hedge ratios for homogeneous claims on tradable assets’ Quantitative Finance 7:5, 473 – 479.   download
32. Alexander, C. and A. Barbosa (2007) ‘Effectiveness of minimum variance hedging’ Journal of Portfolio Management 33:2, 46 – 59   download
33. Alexander, C. and L. Nogueira (2007) ‘Model-free hedge ratios and scale-invariant models’ Journal of Banking and Finance, 31:6, 1839-1861   download
34. 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
35. 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
36. Alexander, C. and A. Dimitriu (2005) ‘Rank alpha funds of hedge funds’, Journal of Alternative Investments, 8:2, 48-61   download
37. Alexander, C. and A. Dimitriu (2005) ‘Detecting switching strategies in equity hedge funds returns’, Journal of Alternative Investments, 8:1, 7-13.   download
38. Alexander, C. (2005) ‘The present and future of risk management’ Journal of Financial Econometrics, 3:1, 3-25   download
39. Alexander, C. and A. Barbosa (2005) ‘The spider in the hedge’ Review of Futures Markets, 11:1, 89-113   download
40. Alexander, C. and A. Dimitriu (2005) ‘Indexing and statistical arbitrage: tracking error or cointegration?’ Journal of Portfolio Management, 31:2, 50-63.   download
41. Alexander, C. and A. Dimitriu (2005) ‘Indexing, cointegration and equity market regimes’ International Journal of Finance and Economics, 10, 213-231.   download
42. Alexander, C. and A. Scourse (2004) ‘Bivariate normal mixture spread option valuation’ Quantitative Finance, 4:6 1-12.   download
43. 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
44. 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
45. Alexander, C. and A. Dimitriu (2004) ‘Equity indexing: optimising passive investments’ Quantitative Finance, 4:3 C30 – C33   download
46. 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
47. 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
48. Alexander, C. (2000) ‘Measuring operational risks with Bayesian belief networks’ Derivatives, Use Trading and Regulation 6:2 166-196
49. Alexander, C. (1999) ‘Optimal hedging using cointegration’ Philosophical Transactions of the Royal Society Series A 357 2039-2058   download
50. Alexander, C. and C. Leigh (1997) ‘On the covariance matrices used in VaR models’ Journal of Derivatives, 4:3 50-62
51. 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
52. 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
53. Alexander, C. and J. Wyeth (1996) ‘Causality testing in models of spatial market integration’ Journal of Development Studies, 32:1 144-146   download
54. 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
55. Alexander, C. and H. Rendall (1995) ‘Data generation processes of spatial series: Analysis of ephemeral channel form’ Geographical Analysis 27:1 78-93
56. Alexander, C. (1995) ‘Common volatility in the foreign exchange market’ Applied Financial Economics 5:1 1-10.     download
57. 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
58. Alexander, C. and M. Barrow (1994) ‘Seasonality and cointegration of regional house prices in the UK’ Urban Studies 31:10 1667-1689
59. Alexander, C. and W. Ledermann (1994) ‘The constrained Nash bargaining solution’ Journal of the Operational Research Society 45:5 954-958     download
60. 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
61. Alexander, C. and A. Johnson (1992) ‘Are foreign exchange markets really efficient?’ Economics Letters 40 449-453
62. Alexander, C., I. Giblin and D. Newton (1992) ‘The symmetry of fractals’ Mathematical Intelligencer 14:2 32-34
63. Alexander, C. (1992) ‘The Kalai-Smorodinsky bargaining solution in wage negotiations’ Journal of the Operational Research Society 43:8 779-786   download
64. Alexander, C. (1988) ‘On a converse to the Tschebotarev density theorem’ Journal of the Australian Mathematical Society Series A 44 287-293
65. Alexander, C. (1987) ‘Duality in non-normal quartic fields’ American Mathematical Monthly 94 279-284
66. Alexander, C. and W. Ledermann (1985) ‘Integral bases of dihedral number fields’ Journal of the Australian Mathematical Society Series A 38 351-371