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Vitali Alexeev
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Cited by
Year
Testing weak form efficiency on the Toronto Stock Exchange
V Alexeev, F Tapon
Journal of Empirical Finance 18 (4), 661-691, 2011
692011
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
322017
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
302017
Sensitivity to sentiment: News vs social media
B Gan, V Alexeev, R Bird, D Yeung
International Review of Financial Analysis 67, 101390, 2020
292020
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
262012
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
252016
Equity portfolio diversification with high frequency data
V Alexeev, M Dungey
Quantitative Finance 15 (7), 1205-1215, 2015
162015
Equity portfolio diversification: how many stocks are enough
V Alexeev, F Tapon
Evidence from five developed markets, 2012
92012
Predictive blends: Fundamental Indexing meets Markowitz
S Pysarenko, V Alexeev, F Tapon
Journal of Banking & Finance 100, 28-42, 2019
82019
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
62019
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
62014
Continuous and jump betas: Implications for portfolio diversification
V Alexeev, M Dungey, W Yao
Econometrics 4 (2), 27, 2016
42016
How many stocks are enough for diversifying Canadian institutional portfolios?
V Alexeev, F Tapon
University of Tasmania, 2014
42014
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
42010
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
22012
Modelling financial contagion using high frequency data
W Yao, M Dungey, V Alexeev
Economic Record 96 (314), 314-330, 2020
12020
To Rebalance or Not to Rebalance: Portfolio risk may be larger than you think!
V Alexeev, K Ignatieva
Working Paper, UTAS, 2014
12014
M&A Announcements in Australia and Their Impact on Competitors
F Parlapiano, V Alexeev
Available at SSRN 2980654, 2013
12013
Biases in variance of decomposed portfolio returns
V Alexeev, K Ignatieva
International Review of Finance 21 (4), 1152-1178, 2021
2021
Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals
V Alexeev, K Ignatieva, T Liyanage
Studies in Nonlinear Dynamics & Econometrics 25 (2), 2021
2021
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Articles 1–20