ORCID as entered in ROS

Select Publications
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
Ignatieva K; Trueck S, 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, Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae, http://dx.doi.org/10.2139/ssrn.2170214
Ignatieva K; Song A; Ziveyi J, Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality, http://dx.doi.org/10.2139/ssrn.2766927
Ignatieva K; Rodrigues P; Seeger N, Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics, http://dx.doi.org/10.2139/ssrn.1363959
Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279283
Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279274
Ignatieva K; Platen E; Rendek R, Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index, http://dx.doi.org/10.2139/ssrn.2170183