By Associate Professor Katja Ignatieva

Preprints

Ignatieva K; Landsman Z, 2017, Conditional Tail Risk Measures for Skewed Generalised Hyperbolic Family, http://dx.doi.org/10.2139/ssrn.3047095

McCulloch J; Ignatieva K, 2017, Forecasting High Frequency Intra-Day Electricity Demand Using Temperature, http://dx.doi.org/10.2139/ssrn.2958829

Ignatieva K; Song A; Ziveyi J, 2016, Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality, http://dx.doi.org/10.2139/ssrn.2766927

Ignatieva K; Ponomareva N, 2016, Commodity Currencies and Commodity Prices: Modelling Static and Time-Varying Dependence, http://dx.doi.org/10.2139/ssrn.2853052

Baldeaux JF; Ignatieva K; Platen E, 2016, Detecting Money Market Bubbles, http://dx.doi.org/10.2139/ssrn.2853051

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, 2015, A Hybrid Model for Pricing and Hedging of Long Dated Bonds, http://dx.doi.org/10.2139/ssrn.2577062

Ignatieva K; Landsman Z, 2015, 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, 2015, Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market, http://dx.doi.org/10.2139/ssrn.2577060

Alai DH; Ignatieva K; Sherris M, 2014, A Multivariate Forward-Rate Mortality Framework, http://dx.doi.org/10.2139/ssrn.2539434

Ignatieva K, 2014, A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets, http://dx.doi.org/10.2139/ssrn.2419398

Fung SMC; Ignatieva K; Sherris M, 2013, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279274

Fung MC; Ignatieva K; Sherris M, 2013, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279283

Baldeaux JF; Fung MC; Ignatieva K; Platen E, 2012, A Hybrid Model for Equity Indices and Stochastic Interest Rates, http://dx.doi.org/10.2139/ssrn.2173273

Ignatieva K; Platen E, 2012, Estimating the Diffusion Coefficient Function for a Diversified World Stock Index, http://dx.doi.org/10.2139/ssrn.2157779

Gallagher DR; Ignatieva K; McCulloch J, 2012, Industry Concentration, Excess Returns and Innovation in Australia, http://dx.doi.org/10.2139/ssrn.2157466

Ignatieva K; Trueck S, 2012, Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management, http://dx.doi.org/10.2139/ssrn.1991452

Ignatieva K; Platen E, 2012, Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae, http://dx.doi.org/10.2139/ssrn.2170214

Ignatieva K; Platen E; Rendek R, 2012, Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index, http://dx.doi.org/10.2139/ssrn.2170183

Ignatieva K; Rodrigues P; Seeger N, 2009, Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics, http://dx.doi.org/10.2139/ssrn.1363959

Ignatieva K; Rodrigues P; Seeger N, 2009, Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices, http://dx.doi.org/10.2139/ssrn.1344226

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

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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