References

Admati, A. and Pfeiderer, P. (1988) A theory of intraday patterns: Volume and price variability. Review of Financial Studies 1, 3–40.

Aїt-Sahalia, Y. (1996) Testing continuous-time models of the spot interest rate. Review of Financial Studies 9(2), 385–426.

Aїt-Sahalia, Y., Mykland, P. and Zhang, L. (2005) A tale of two time scales: Determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association 100, 1394–1411.

Alexander, C. (1999) Optimal hedging using cointegration. Philosophical Transactions of the Royal Society Series A 357, 2039–2058.

Alexander, C. (2001a) Market Models: A Guide to Financial Data Analysis. John Wiley & Sons, Ltd, Chichester.

Alexander, C. (2001b) Orthogonal GARCH. In C. Alexander (ed.), Mastering Risk, Volume 2, pp. 21–38. Financial Times Prentice Hall, Harlow.

Alexander, C. and Barbosa, A. (2007) Effectiveness of minimum variance hedging. Journal of Portfolio Management 33(2), 46–59.

Alexander, C. and Barbosa, A. (2008) Hedging exchange traded funds. Journal of Banking and Finance 32(2), 326–337.

Alexander, C. and Chibumba, A. (1996) Multivariate orthogonal factor GARCH. Working paper, Mathematics Department, University of Sussex.

Alexander, C. and Dimitriu, A. (2004) Sources of out-performance in equity markets: Common trends, mean reversion and herding. Journal of Portfolio Management 30(4), 170–185.

Alexander, C. and Dimitriu, A. (2005a) Indexing and statistical arbitrage: Tracking error or cointegration? ...

Get Market Risk Analysis Volume II: Practical Financial Econometrics now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.