Browsing byAuthorAlexeev, V

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Showing results 1 to 17 of 17
Issue DateTitleAuthor(s)
2019-07-01Asymmetric jump beta estimation with implications for portfolio risk managementAlexeev, V; Urga, G; Yao, W
2020-07-15Biases in variance of decomposed portfolio returnsAlexeev, V; Ignatieva, K
2020Biases in Variance of Decomposed Portfolio ReturnsAlexeev, V; Ignatieva, KM
2016-06-01Continuous and jump betas: Implications for portfolio diversificationAlexeev, V; Dungey, M; Yao, W
2020Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic MarginalsAlexeev, V; Ignatieva, K; Liyanage, T
2014-10-14Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios?Alexeev, V; Tapon, F
2015-01-01Equity portfolio diversification with high frequency dataAlexeev, V; Dungey, M
2017Exchange rate risk exposure and the value of European firmsParlapiano, F; Alexeev, V; Dungey, M
2023Integrated Variance of Irregularly Spaced High-Frequency Data: A State Space Approach Based on Pre-AveragingAlexeev, V; Chen, J; Ignatieva, K
2012-11-01Localized level crossing random walk test robust to the presence of structural breaksAlexeev, V; Maynard, A
2020Modelling Financial Contagion Using High Frequency DataYao, W; Dungey, M; Alexeev, V
2014-12-01The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed marketsAlexeev, V; Tapon, F
2019-03-01Predictive blends: Fundamental Indexing meets MarkowitzPysarenko, S; Alexeev, V; Tapon, F
2020-01-01Sensitivity to sentiment: News vs social mediaGan, B; Alexeev, V; Bird, R; Yeung, D
2011-09-01Testing weak form efficiency on the Toronto Stock ExchangeAlexeev, V; Tapon, F
2017-01-01Time-varying continuous and jump betas: The role of firm characteristics and periods of stressAlexeev, V; Dungey, M; Yao, W
2013-01-01What Australian investors need to know: To Diversity their portfoliosAlexeev, V; Tapon, F