Katja Ignatieva
Katja Ignatieva
Senior Lecturer, School of Risk and Actuarial Studies, Business School, University of New South
Email verificata su unsw.edu.au - Home page
TitoloCitata daAnno
Industry Concentration, Excess Returns and Innovation in Australia
DR Gallagher, K Ignatieva, J McCulloch
51*2013
Modeling spot price dependence in Australian electricity markets with applications to risk management
K Ignatieva, S Trck
Computers & Operations Research 66, 415-433, 2016
442016
Modeling spot price dependence in Australian electricity markets with applications to risk management
K Ignatieva, S Trck
Computers & Operations Research 66, 415-433, 2016
442016
Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities
MC Fung, K Ignatieva, M Sherris
Insurance: Mathematics and Economics 58, 103-115, 2014
362014
Empirical analysis of affine versus nonaffine variance specifications in jump-diffusion models for equity indices
K Ignatieva, P Rodrigues, N Seeger
Journal of Business & Economic Statistics 33 (1), 68-75, 2015
182015
Modelling co-movements and tail dependency in the international stock market via copulae
K Ignatieva, E Platen
Asia-Pacific Financial Markets 17 (3), 261-302, 2010
162010
Modelling co-movements and tail dependency in the international stock market via copulae
K Ignatieva, E Platen
Asia-Pacific Financial Markets 17 (3), 261-302, 2010
162010
Estimating the diffusion coefficient function for a diversified world stock index
K Ignatieva, E Platen
Computational Statistics & Data Analysis 56 (6), 1333-1349, 2012
152012
Estimating the diffusion coefficient function for a diversified world stock index
K Ignatieva, E Platen
Computational Statistics & Data Analysis 56 (6), 1333-1349, 2012
152012
Explaining credit default swap spreads by means of realized jumps and volatilities in the energy market
J Da Fonseca, K Ignatieva, J Ziveyi
Energy Economics 56, 215-228, 2016
122016
Stochastic volatility and jumps: Exponentially affine yes or no? An empirical analysis of S&P500 dynamics
K Ignatieva, P Rodrigues, N Seeger
An Empirical Analysis of S&P500 Dynamics (March 18, 2009), 2009
112009
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
K Ignatieva, A Song, J Ziveyi
Insurance: Mathematics and Economics 70, 286-300, 2016
102016
A tractable model for indices approximating the growth optimal portfolio
J Baldeaux, K Ignatieva, E Platen
Studies in Nonlinear Dynamics and Econometrics 18 (1), 1-21, 2014
102014
Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality
K Ignatieva, A Song, J Ziveyi
ASTIN Bulletin: The Journal of the IAA 48 (1), 139-169, 2018
92018
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
K Ignatieva, E Platen, R Rendek
Journal of Statistical Theory and Practice 5 (3), 425-452, 2011
92011
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index
K Ignatieva, E Platen, R Rendek
Journal of Statistical Theory and Practice 5 (3), 425-452, 2011
92011
Detecting money market bubbles
J Baldeaux, K Ignatieva, E Platen
Journal of Banking & Finance 87, 369-379, 2018
52018
Commodity currencies and commodity prices: modelling static and time-varying dependence
K Ignatieva, N Ponomareva
Applied Economics 49 (15), 1491-1512, 2017
52017
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions
K Ignatieva, Z Landsman
Insurance: Mathematics and Economics 65, 172-186, 2015
52015
Concentration and stock returns: Australian evidence
K Ignatieva, D Gallagher
International Proceedings of Economics Development & Research 2, 2011
52011
Il sistema al momento non pu eseguire l'operazione. Riprova pi tardi.
Articoli 1–20