By Associate Professor Katja Ignatieva

Journal articles

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

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

Preprints

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

McCulloch J; Ignatieva K, Forecasting High Frequency Intra-Day Electricity Demand Using Temperature, http://dx.doi.org/10.2139/ssrn.2958829

Gallagher DR; Ignatieva K; McCulloch J, Industry Concentration and Excess Returns in Australian Equity Markets, http://dx.doi.org/10.2139/ssrn.2157466

Da Fonseca J; Ignatieva K, Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market, http://dx.doi.org/10.2139/ssrn.2773076

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