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Katja Ignatieva
Katja Ignatieva
Scientia Associate Professor, School of Risk and Actuarial Studies, Business School, University of
Verified email at unsw.edu.au - Homepage
Title
Cited by
Cited by
Year
Modeling spot price dependence in Australian electricity markets with applications to risk management
K Ignatieva, S Trück
Computers & Operations Research 66, 415-433, 2016
1022016
Industry Concentration, Excess Returns and Innovation in Australia
DR Gallagher, K Ignatieva, J McCulloch
69*2013
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
682014
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
512016
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
322015
Jump activity analysis for affine jump-diffusion models: evidence from the commodity market
J Da Fonseca, K Ignatieva
Journal of Banking & Finance 99, 45-62, 2019
292019
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
242016
Modelling co-movements and tail dependency in the international stock market via copulae
K Ignatieva, E Platen
Asia-Pacific Financial Markets 17, 261-302, 2010
242010
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
212015
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise …
N Gudkov, K Ignatieva, J Ziveyi
Quantitative Finance 19 (3), 501-518, 2019
192019
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
192018
Estimating the diffusion coefficient function for a diversified world stock index
K Ignatieva, E Platen
Computational Statistics & Data Analysis 56 (6), 1333-1349, 2012
192012
Conditional tail risk measures for the skewed generalised hyperbolic family
K Ignatieva, Z Landsman
Insurance: Mathematics and Economics 86, 98-114, 2019
182019
Volatility spillovers and connectedness among credit default swap sector indexes
J Da Fonseca, K Ignatieva
Applied Economics 50 (36), 3923-3936, 2018
162018
Managing systematic mortality risk in life annuities: an application of longevity derivatives
MC Fung, K Ignatieva, M Sherris
Risks 7 (1), 2, 2019
15*2019
Detecting money market bubbles
J Baldeaux, K Ignatieva, E Platen
Journal of Banking & Finance 87, 369-379, 2018
152018
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
152009
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
122014
Commodity currencies and commodity prices: modelling static and time-varying dependence
K Ignatieva, N Ponomareva
Applied Economics 49 (15), 1491-1512, 2017
112017
Electricity price modelling with stochastic volatility and jumps: An empirical investigation
N Gudkov, K Ignatieva
Energy Economics 98, 105260, 2021
102021
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