Web Access Research Portal
Individual Researchers Report
Researcher Bio
| Researcher: | Dr V Alexeev |
| School/Unit: | TSBE |
| Commenced with Institution: | 12/7/2010 |
| Commenced Current Job: | 1/7/2016 |
| UTAS Profile: | Visit my UTAS Profile page |
| Personal URL: | Visit my personal web page |
Citations sourced from WOS® and Scopus
| Top 3 Fields of Research |
|---|
| Investment and Risk Management |
| Financial Econometrics |
| Time-Series Analysis |
| Top 3 Research Objectives |
|---|
| Investment Services (excl. Superannuation) |
| Savings and Investments |
| Financial Services |
Fields of Research
| Investment and Risk Management |
| Financial Econometrics |
| Time-Series Analysis |
| Economic Development and Growth |
| Finance |
| Econometrics |
| Welfare Economics |
| Public Economics- Taxation and Revenue |
| Environment and Resource Economics |
Research Objectives
Research Funding
| Administered | Research Team | Initial Year | Duration (Years) | Funding Body/Client | Title of Project | Total Cash $ | Total In-Kind $ |
|---|---|---|---|---|---|---|---|
| University of Tasmania | Dr V Alexeev | 2015 | 1 | Accounting & Finance Association of Australia and New Zealand Ltd: Grant | Large scale robust portfolio optimisation with high-frequency data | 4,000 | |
| University of Tasmania | Dr V Alexeev | 2015 | 1 | University of Tasmania: Grant-Conference Support Scheme | ICFE 2015 : International Conference on Finance and Economics (ICFE) | 2,500 | |
| University of Tasmania | Dr V Alexeev | 2014 | 1 | Accounting & Finance Association of Australia and New Zealand Ltd: Grant | To Rebalance or Not to Rebalance: Portfolio risk may be larger than you think! | 4,050 | |
| University of Tasmania | Dr V Alexeev | 2013 | 1 | University of Tasmania: Grant-Research Enhancement (REGS) | Trading with Exchange-Traded Funds - A Low Cost One-Size-Fits-All Alternative? | 10,000 | |
| University of Tasmania | Dr V Alexeev; Professor MH Dungey | 2012 | 1 | Accounting & Finance Association of Australia and New Zealand Ltd: Grant | Equity portfolio diversification: how many stocks are too many? Evidence from developed markets | 9,500 | |
| University of Tasmania | Dr V Alexeev | 2011 | 1 | University of Tasmania: Grant-Conference Support Scheme | The Econometric Society Australasian Meeting 2011 4 TO 7 jULY 2011, Australia (June 2011) | 1,189 | |
| University of Tasmania | Dr V Alexeev | 2011 | 1 | University of Tasmania: Grant-New Appointees Research Grant Scheme (NARGS) | Event Study Methods: A Comparison, Applications and Extensions | 5,000 |
Graduate Research Supervision (Current)
No records found.
Graduate Research Supervision (Graduands)
| Name | Degree | Completed | Supervision | Commenced | Ceased | Title |
|---|---|---|---|---|---|---|
| Dinesh Prasad Gajurel | PhD | Co-supervisor | 1/12/2013 | 31/5/2014 | Essays on Financial Contagion and Financial Crises | |
| Dinesh Prasad Gajurel | PhD | Co-supervisor | 1/6/2014 | Essays on Financial Contagion and Financial Crises | ||
| Mohammad Abu Sayeed | PhD | 16/11/2017 | Co-supervisor | 16/7/2013 | 1/9/2014 | Essays on Jump Risk in The Indian Financial Market |
| Mohammad Abu Sayeed | PhD | 16/11/2017 | Co-supervisor | 2/9/2014 | 31/12/2014 | Essays on Jump Risk in The Indian Financial Market |
| Mohammad Abu Sayeed | PhD | 16/11/2017 | Co-supervisor | 1/1/2015 | 7/10/2015 | Essays on Jump Risk in The Indian Financial Market |
| Mohammad Abu Sayeed | PhD | 16/11/2017 | Primary Supervisor | 8/10/2015 | 26/6/2016 | Essays on Jump Risk in The Indian Financial Market |
| Maria Belen Yanotti | PhD | 20/2/2015 | Co-supervisor | 1/6/2014 | Idiosyncratic Risk Assessment in the Mortgage Market |
Career Best Publications
None Identified
Research Publications
| Journal Article |
|---|
| Alexeev, V and Dungey, M and Yao, W, “Time-varying continuous and jump betas: the role of firm characteristics and periods of stress”, Journal of Empirical Finance, 40 pp. 1-19. doi:10.1016/j.jempfin.2016.11.002 ISSN 0927-5398 (2017) [Refereed Article] |
| Parlapiano, F and Alexeev, V and Dungey, M, “Exchange rate risk exposure and the value of European Firms”, The European Journal of Finance, 23 (2) pp. 111-129. doi:10.1080/1351847X.2015.1072570 ISSN 1351-847X (2017) [Refereed Article] |
| Alexeev, V and Dungey, M and Yao, W, “Continuous and jump betas: implications for portfolio diversification”, Econometrics, 3 (27) pp. 1-15. doi:10.3390/econometrics4020027 ISSN 2225-1146 (2016) [Refereed Article] |
| Alexeev, V and Dungey, M, “Equity portfolio diversification with high frequency data”, Quantitative Finance, 15 (7) pp. 1205-1215. doi:10.1080/14697688.2014.973898 ISSN 1469-7688 (2015) [Refereed Article] |
| Alexeev, V and Tapon, F*, “How many stocks are enough for diversifying Canadian institutional portfolios?”, Canadian Investment Review pp. 1-12. ISSN 0840-6863 (2014) [Refereed Article] |
| Alexeev, V and Tapon, F*, “The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets”, The Journal of Investment Strategies, 4 (1) pp. 43-82. doi:10.21314/JOIS.2015.037 ISSN 2047-1238 (2014) [Refereed Article] |
| Doan, MP* and Alexeev, V and Brooks, R*, “Concurrent momentum and contrarian strategies in the Australian stock market”, Australian Journal of Management, 41 (1) pp. 77-106. doi:10.1177/0312896214534864 ISSN 0312-8962 (2014) [Refereed Article] |
| Alexeev, V and Tapon, F*, “What Australian Investors need to know to diversify their portfolios”, JASSA (4) pp. 14-20. ISSN 0313-5934 (2013) [Refereed Article] |
| Alexeev, V and Maynard, A*, “Localized level crossing random walk test robust to the presence of structural breaks”, Computational Statistics and Data Analysis, 56 (11) pp. 3322-3344. doi:10.1016/j.csda.2010.06.026 ISSN 0167-9473 (2012) [Refereed Article] |
| Alexeev, V and Tapon, F*, “Testing weak form efficiency on the Toronto Stock Exchange”, Journal of Empirical Finance, 18 (4) pp. 661-691. doi:10.1016/j.jempfin.2011.05.002 ISSN 0927-5398 (2011) [Refereed Article] |
* This author is not affiliated with the University of Tasmania.