2 citations · 2 across the 4 of their papers we have counts for
4 papers
The Aggregation Property and its Applications to Realised Higher Moments
Carol Alexander, Johannes Rauch
We develop a general multivariate aggregation property which encompasses the distinct versions of the property that were introduced by Neuberger [2012] and Bondarenko [2014] indepe…
Tail Risk Premia for Long-Term Equity Investors
Johannes Rauch, Carol Alexander
We use the P&L on a particular class of swaps, representing variance and higher moments for log returns, as estimators in our empirical study on the S&P500 that investigates the fa…
Model-Free Discretisation-Invariant Swap Contracts
Carol Alexander, Johannes Rauch
Realised pay-offs for discretisation-invariant swaps are those which satisfy a restricted `aggregation property' of Neuberger [2012] for twice continuously differentiable determini…
Model-Free Discretisation-Invariant Swaps and S&P 500 Higher-Moment Risk Premia
Carol Alexander, Johannes Rauch
We derive a general multivariate theory for realised characteristics of `model-free discretisation-invariant swaps', so-called because the standard no-arbitrage assumption of marti…