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Carol Alexander

Global rank #6454 92%

Institution: University of Sussex

Primary Field: Finance (weighted toward more recent publications)

Homepage: https://www.coalexander.com

First Publication: 1992

Most Recent: 2023

RePEc ID: pal264 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 2.01 0.00 2.01
Last 10 Years 0.00 0.00 2.68 0.00 2.68
All Time 0.00 0.67 13.74 0.00 16.09

Publication Statistics

Raw Publications 16
Coauthorship-Adjusted Count 16.49

Publications (16)

Year Article Journal Tier Authors
2023 Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models International Journal of Forecasting B 3
2021 Analytic moments for GJR-GARCH (1, 1) processes International Journal of Forecasting B 3
2021 Risk-adjusted valuation for real option decisions Journal of Economic Behavior and Organization B 3
2016 Diversification with volatility products Journal of International Money and Finance B 3
2013 The (de)merits of minimum-variance hedging: Application to the crack spread Energy Economics A 3
2012 Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions Journal of Banking & Finance B 2
2009 Modelling Regime‐Specific Stock Price Volatility* Oxford Bulletin of Economics and Statistics B 2
2008 Developing a stress testing framework based on market risk models Journal of Banking & Finance B 2
2008 Hedging index exchange traded funds Journal of Banking & Finance B 2
2008 Regime dependent determinants of credit default swap spreads Journal of Banking & Finance B 2
2007 Model-free hedge ratios and scale-invariant models Journal of Banking & Finance B 2
2006 Normal mixture GARCH(1,1): applications to exchange rate modelling Journal of Applied Econometrics B 2
2004 Normal mixture diffusion with uncertain volatility: Modelling short- and long-term smile effects Journal of Banking & Finance B 1
1996 Are Nash Bargaining Wage Agreements Unique? An Investigation into Bargaining Sets for Firm-Union Negotiations. Oxford Economic Papers C 2
1993 The Changing Relationship between Productivity, Wages and Unemployment in the UK. Oxford Bulletin of Economics and Statistics B 1
1992 Are foreign exchange markets really efficient? Economics Letters C 2