Vitali Alexeev
Cited by
Cited by
Testing weak form efficiency on the Toronto Stock Exchange
V Alexeev, F Tapon
Journal of Empirical Finance 18 (4), 661-691, 2011
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress
V Alexeev, M Dungey, W Yao
Journal of Empirical Finance 40, 1-19, 2017
Exchange rate risk exposure and the value of European firms
F Parlapiano, V Alexeev, M Dungey
The European Journal of Finance 23 (2), 111-129, 2017
Concurrent momentum and contrarian strategies in the Australian stock market
MP Doan, V Alexeev, R Brooks
Australian Journal of Management 41 (1), 77-106, 2016
Equity portfolio diversification: how many stocks are enough? evidence from five developed markets
V Alexeev, F Tapon
Evidence from Five Developed Markets (November 28, 2012). FIRN Research Paper, 2012
Sensitivity to sentiment: News vs social media
B Gan, V Alexeev, R Bird, D Yeung
International Review of Financial Analysis 67, 101390, 2020
Equity portfolio diversification with high frequency data
V Alexeev, M Dungey
Quantitative Finance 15 (7), 1205-1215, 2015
Equity portfolio diversification: how many stocks are enough
V Alexeev, F Tapon
Evidence from five developed markets, 2012
Predictive blends: Fundamental Indexing meets Markowitz
S Pysarenko, V Alexeev, F Tapon
Journal of Banking & Finance 100, 28-42, 2019
Continuous and jump betas: Implications for portfolio diversification
V Alexeev, M Dungey, W Yao
Econometrics 4 (2), 27, 2016
The number of stocks in your portfolio should be larger than you think: Diversification evidence from five developed markets
V Alexeev, F Tapon
Journal of Investment Strategies 4 (1), 1-40, 2014
Market reaction to negative environmental events: An event study of 10 Oil and Gas Companies
RS Colwell, TJ Noseworthy, VV Alexeev
Ontario N1G 2W1, Canada, 2010
Asymmetric jump beta estimation with implications for portfolio risk management
V Alexeev, G Urga, W Yao
International Review of Economics & Finance 62, 20-40, 2019
How many stocks are enough for diversifying Canadian institutional portfolios?
V Alexeev, F Tapon
University of Tasmania, 2014
Localized level crossing random walk test robust to the presence of structural breaks
V Alexeev, A Maynard
Computational Statistics & Data Analysis 56 (11), 3322-3344, 2012
To Rebalance or Not to Rebalance: Portfolio risk may be larger than you think!
V Alexeev, K Ignatieva
Working Paper, UTAS, 2014
M&A Announcements in Australia and Their Impact on Competitors
F Parlapiano, V Alexeev
Available at SSRN 2980654, 2013
Modelling financial contagion using high frequency data
W Yao, M Dungey, V Alexeev
Economic Record 96 (314), 314-330, 2020
Biases in variance of decomposed portfolio returns
V Alexeev, K Ignatieva
International Review of Finance, 2020
Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals
V Alexeev, K Ignatieva, T Liyanage
Studies in Nonlinear Dynamics & Econometrics, 2019
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