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Bégin JF; Gómez F; Ignatieva K; Li H, 2025, 'The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets', Energy Economics, 144, http://dx.doi.org/10.1016/j.eneco.2025.108296
Ignatieva K; Landsman Z, 2025, 'Tail variance for generalised hyper-elliptical models', ASTIN Bulletin, 55, pp. 144 - 167, http://dx.doi.org/10.1017/asb.2024.39
Ignatieva K; Wong P, 2024, 'Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models', Journal of Empirical Finance, 78, pp. 101519, http://dx.doi.org/10.1016/j.jempfin.2024.101519
Gudkov N; Ignatieva K, 2024, 'A Nonparametric Model for High-Frequency Energy Prices', Studies in Nonlinear Dynamics and Econometrics, http://dx.doi.org/10.1515/snde-2022-0113
Ignatieva K; Ohashi K, 2024, 'The pre-FOMC announcement drift: short-lived or long-lasting? Evidence from financial and volatility markets', Applied Economics, http://dx.doi.org/10.1080/00036846.2024.2322573
Alexeev V; Chen J; Ignatieva K, 2023, 'Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging', Studies in Nonlinear Dynamics and Econometrics, 27, pp. 733 - 763, http://dx.doi.org/10.1515/snde-2021-0093
Ignatieva K; Wong P, 2022, 'Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models', Energy Economics, 108, http://dx.doi.org/10.1016/j.eneco.2022.105873
Alexeev V; Ignatieva K, 2021, 'Biases in variance of decomposed portfolio returns', International Review of Finance, 21, pp. 1152 - 1178, http://dx.doi.org/10.1111/irfi.12319
Ignatieva K; Landsman Z, 2021, 'A new class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures', Insurance: Mathematics and Economics, 101, pp. 437 - 465, http://dx.doi.org/10.1016/j.insmatheco.2021.08.011
Gudkov N; Ignatieva K, 2021, 'Electricity price modelling with stochastic volatility and jumps: An empirical investigation', Energy Economics, 98, pp. 105260, http://dx.doi.org/10.1016/j.eneco.2021.105260
McCulloch L; Ignatieva K, 2020, 'Intra-day Electricity Demand and Temperature', ENERGY JOURNAL, 41, pp. 161 - 181, http://dx.doi.org/10.5547/01956574.41.3.jmcc
Alexeev V; Ignatieva K; Liyanage T, 2020, 'Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals', Studies in Nonlinear Dynamics & Econometrics, 25, pp. 20180094, http://dx.doi.org/10.1515/snde-2018-0094
Alai DH; Ignatieva K; Sherris M, 2019, 'The investigation of a forward-rate mortality framework', Risks, 7, pp. 61, http://dx.doi.org/10.3390/risks7020061
Ignatieva K; Landsman Z, 2019, 'Conditional tail risk measures for the skewed generalised hyperbolic family', Insurance: Mathematics and Economics, 86, pp. 98 - 114, http://dx.doi.org/10.1016/j.insmatheco.2019.02.008
Gudkov N; Ignatieva K; Ziveyi J, 2019, 'Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method', Quantitative Finance, 19, pp. 501 - 518, http://dx.doi.org/10.1080/14697688.2018.1490806
Fung MC; Ignatieva K; Sherris M, 2019, 'Managing systematic mortality risk in life annuities: An application of longevity derivatives', Risks, 7, pp. 2, http://dx.doi.org/10.3390/risks7010002
Da Fonseca J; Ignatieva K, 2019, 'Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market', Journal of Banking and Finance, 99, pp. 45 - 62, http://dx.doi.org/10.1016/j.jbankfin.2018.11.014
Da Fonseca J; Ignatieva K, 2018, 'Volatility spillovers and connectedness among credit default swap sector indexes', Applied Economics, 50, pp. 3923 - 3936, http://dx.doi.org/10.1080/00036846.2018.1430344
Baldeaux J; Ignatieva K; Platen E, 2018, 'Detecting money market bubbles', Journal of Banking and Finance, 87, pp. 369 - 379, http://dx.doi.org/10.1016/j.jbankfin.2017.10.017
Ignatieva K; Song A; Ziveyi J, 2018, 'Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality', ASTIN Bulletin, 48, pp. 139 - 169, http://dx.doi.org/10.1017/asb.2017.23
Ignatieva K; Ponomareva N, 2017, 'Commodity currencies and commodity prices: modelling static and time-varying dependence', Applied Economics, 49, pp. 1491 - 1512, http://dx.doi.org/10.1080/00036846.2016.1221038
Ignatieva K; Song A; Ziveyi J, 2016, 'Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality', Insurance: Mathematics and Economics, 70, pp. 286 - 300, http://dx.doi.org/10.1016/j.insmatheco.2016.06.014
Ignatieva K; Trück S, 2016, 'Modeling spot price dependence in Australian electricity markets with applications to risk management', Computers and Operations Research, 66, pp. 415 - 433, http://dx.doi.org/10.1016/j.cor.2015.07.019
Da Fonseca J; Ignatieva K; Ziveyi J, 2016, 'Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market', Energy Economics, 56, pp. 215 - 228, http://dx.doi.org/10.1016/j.eneco.2016.03.022
Ignatieva K; Landsman Z, 2015, 'Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions', Insurance: Mathematics and Economics, 65, pp. 172 - 186, http://dx.doi.org/10.1016/j.insmatheco.2015.09.007
Baldeaux J; Fung MC; Ignatieva K; Platen E, 2015, 'A Hybrid Model for Pricing and Hedging of Long-dated Bonds', Applied Mathematical Finance, 22, pp. 366 - 398, http://dx.doi.org/10.1080/1350486X.2015.1050119
Gallagher DR; Ignatieva K; McCulloch J, 2015, 'Industry concentration, excess returns and innovation in Australia', Accounting and Finance, 55, pp. 443 - 466, http://dx.doi.org/10.1111/acfi.12074
Ignatieva K; Rodrigues P; Seeger N, 2015, 'Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices', Journal of Business & Economic Statistics, 33, pp. 68 - 75, http://dx.doi.org/10.1080/07350015.2014.922471
Fung MC; Ignatieva K; Sherris M, 2014, 'Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities', Insurance: Mathematics and Economics, 58, pp. 103 - 115, http://dx.doi.org/10.1016/j.insmatheco.2014.06.010
Baldeaux J; Ignatieva K; Platen E, 2014, 'A Tractable Model for Indices Approximating the Growth Optimal Portfolio', Studies In Nonlinear Dynamics and Econometrics, 18, pp. 1 - 21, http://dx.doi.org/10.1515/snde-2012-0054
Ignatieva K; Gallagher DR; McCulloch J, 2013, 'Industry Concentration, Excess Returns and Innovation in Australia', Accounting and Finance, 55, pp. 443 - 446, http://dx.doi.org/10.1111/acfi.12074
Ignatieva K, 2013, 'A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets', Studies in Nonlinear Dynamics and Econometrics, http://dx.doi.org/10.1515/snde-2012-0001
Ignatieva K; Platen E, 2012, 'Estimating the diffusion coefficient function for a diversified world stock index', Computational Statistics and Data Analysis, 56, pp. 1333 - 1349, http://dx.doi.org/10.1016/j.csda.2011.10.004
Ignatieva K; Platen E; Rendek R, 2011, 'Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index', Journal of Statistical Theory and Practice, 5, pp. 425 - 452, http://dx.doi.org/10.1080/15598608.2011.10412039
Ignatieva K; Platen E, 2010, 'Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae', Asia Pacific Financial Markets, 17, pp. 261 - 302, http://dx.doi.org/10.1007/s10690-010-9116-2
Fung MC; Ignatieva K; Sherris M, 'Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.2576575
Fung MC; Ignatieva K; Sherris M, 2015, Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives, http://dx.doi.org/10.48550/arxiv.1508.00090
Baldeaux JF; Fung MC; Ignatieva K; Platen E, A Hybrid Model for Equity Indices and Stochastic Interest Rates, http://dx.doi.org/10.2139/ssrn.2173273
Baldeaux JF; Fung MC; Ignatieva K; Platen E, A Hybrid Model for Pricing and Hedging of Long Dated Bonds, http://dx.doi.org/10.2139/ssrn.2577062
Alai DH; Ignatieva K; Sherris M, A Multivariate Forward-Rate Mortality Framework, http://dx.doi.org/10.2139/ssrn.2539434
Ignatieva K, A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets, http://dx.doi.org/10.2139/ssrn.2419398
Baldeaux JF; Ignatieva K; Platen E, A Tractable Model for Indices Approximating the Growth Optimal Portfolio, http://dx.doi.org/10.2139/ssrn.2162787
Alexeev VM; Ignatieva KM, Biases in Variance of Decomposed Portfolio Returns, http://dx.doi.org/10.2139/ssrn.3099335
Ignatieva K; Ponomareva N, Commodity Currencies and Commodity Prices: Modelling Static and Time-Varying Dependence, http://dx.doi.org/10.2139/ssrn.2853052
Ignatieva K; Landsman Z, Conditional Tail Risk Measures for Skewed Generalised Hyperbolic Family, http://dx.doi.org/10.2139/ssrn.3047095
Baldeaux JF; Ignatieva K; Platen E, Detecting Money Market Bubbles, http://dx.doi.org/10.2139/ssrn.2853051
Ignatieva K; Rodrigues P; Seeger N, Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices, http://dx.doi.org/10.2139/ssrn.1344226
Ignatieva K; Platen E, Estimating the Diffusion Coefficient Function for a Diversified World Stock Index, http://dx.doi.org/10.2139/ssrn.2157779
Ignatieva K; Landsman Z, Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Family, http://dx.doi.org/10.2139/ssrn.2577063
Da Fonseca J; Ignatieva K; Ziveyi J, Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market, http://dx.doi.org/10.2139/ssrn.2577060