| Modeling spot price dependence in Australian electricity markets with applications to risk management K Ignatieva, S Trück Computers & Operations Research 66, 415-433, 2016 | 118 | 2016 |
| Industry Concentration, Excess Returns and Innovation in Australia DR Gallagher, K Ignatieva, J McCulloch | 83* | 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 | 75 | 2014 |
| 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 | 60 | 2016 |
| 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 | 36 | 2019 |
| 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 | 36 | 2015 |
| Electricity price modelling with stochastic volatility and jumps: An empirical investigation N Gudkov, K Ignatieva Energy Economics 98, 105260, 2021 | 29 | 2021 |
| 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 | 29 | 2015 |
| 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 | 27 | 2016 |
| Conditional tail risk measures for the skewed generalised hyperbolic family K Ignatieva, Z Landsman Insurance: Mathematics and Economics 86, 98-114, 2019 | 25 | 2019 |
| 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 | 24 | 2019 |
| 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 | 24 | 2018 |
| 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 | 22 | 2010 |
| Volatility spillovers and connectedness among credit default swap sector indexes J Da Fonseca, K Ignatieva Applied Economics 50 (36), 3923-3936, 2018 | 21 | 2018 |
| Estimating the diffusion coefficient function for a diversified world stock index K Ignatieva, E Platen Computational Statistics & Data Analysis 56 (6), 1333-1349, 2012 | 18 | 2012 |
| Detecting money market bubbles J Baldeaux, K Ignatieva, E Platen Journal of Banking & Finance 87, 369-379, 2018 | 16 | 2018 |
| 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 | 15 | 2009 |
| A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures K Ignatieva, Z Landsman Insurance: Mathematics and Economics 101, 437-465, 2021 | 14 | 2021 |
| Managing systematic mortality risk in life annuities: an application of longevity derivatives MC Fung, K Ignatieva, M Sherris Risks 7 (1), 2, 2019 | 14* | 2019 |
| 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 | 13 | 2014 |
Jonathan ZiveyiAssociate Professor, School of Risk and Actuarial Studies, UNSW Business SchoolVerified email at unsw.edu.au
