Some recent specifications for GARCH error processes explicitly assume a conditional
variance that is generated by a mixture of normal components, albeit with some parameter …

Written by leading market risk academic, Professor Carol Alexander, Value-at-Risk Models
forms part four of the Market Risk Analysis four volume set. Building on the three previous …

… Alexander… Also, when examining cryptocurrency futures and their role in price
discovery, synchronous data must be used—see eg (Alexander and Heck Citation2019 …

This article introduces generalized beta-generated (GBG) distributions. Sub-models include
all classical beta-generated, Kumaraswamy-generated and exponentiated distributions. …

Cointegration is a time-series modelling methodology that has many applications to financial
markets. When spreads are mean reverting, prices are cointegrated. Then a multivariate …

This article suggests improvements in the use of regression analysis to measure spatial
market integration. The procedure pioneered by Ravallion is still widespread but is valid only …

… two kilos of Toblerone that Carol Alexander-Pézier gave me … will discover one of the goals
that Carol gave herself in life: to … Carol takes the reader step by step through all these topics, …

Credit default swap (CDS) spreads display pronounced regime specific behaviour. A Markov
switching model of the determinants of changes in the iTraxx Europe indices demonstrates …

This article develops a methodology for quantifying model risk in quantile risk estimates. The
application of quantile estimates to risk assessment has become common practice in many …