Katja is a Sciential Associate Professor in the School of Risk and Actuarial Studies at UNSW Business School. She joined UNSW in November 2011 after completing her Co-tutelle PhD in Finance at Goethe University Frankfurt, Germany and Macquarie University Sydney. Prior to her PhD studies, Katja has completed MSc in Mathematics and Statistics from Humboldt University Berlin, Germany as well as Glasgow University, UK. Katja’s research interests lie in the area of quantitative finance, in particular, financial econometrics, derivative pricing and risk management. Katja performs empirical research in financial markets, commodity and energy markets, and insurance. Katja has published her research in the top tier international journals such as Journal of Business & Economic Statistics, Journal of Banking and Finance, Energy Economics and Insurance: Mathematics and Economics among others.
Bégin JF; Gómez F; Ignatieva K; Li H, 2025, 'The stochastic behavior of electricity prices under scrutiny: Evidence from spot and futures markets', Energy Economics, 144, http://dx.doi.org/10.1016/j.eneco.2025.108296
Journal articles | 2025
Ignatieva K; Landsman Z, 2025, 'Tail variance for generalised hyper-elliptical models', Astin Bulletin, 55, pp. 144 - 167, http://dx.doi.org/10.1017/asb.2024.39
Journal articles | 2025
Ignatieva K; Ohashi K, 2025, 'The pre-FOMC announcement drift: short-lived or long-lasting? Evidence from financial and volatility markets', Applied Economics, 57, pp. 2021 - 2037, http://dx.doi.org/10.1080/00036846.2024.2322573
Journal articles | 2024
Gudkov N; Ignatieva K, 2024, 'A Nonparametric Model for High-Frequency Energy Prices', Studies in Nonlinear Dynamics and Econometrics, http://dx.doi.org/10.1515/snde-2022-0113
Journal articles | 2024
Ignatieva K; Wong P, 2024, 'Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models', Journal of Empirical Finance, 78, pp. 101519, http://dx.doi.org/10.1016/j.jempfin.2024.101519
Journal articles | 2023
Alexeev V; Chen J; Ignatieva K, 2023, 'Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging', Studies in Nonlinear Dynamics and Econometrics, 27, pp. 733 - 763, http://dx.doi.org/10.1515/snde-2021-0093
Journal articles | 2022
Ignatieva K; Wong P, 2022, 'Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models', Energy Economics, 108, http://dx.doi.org/10.1016/j.eneco.2022.105873
Journal articles | 2021
Alexeev V; Ignatieva K, 2021, 'Biases in variance of decomposed portfolio returns', International Review of Finance, 21, pp. 1152 - 1178, http://dx.doi.org/10.1111/irfi.12319
Journal articles | 2021
Gudkov N; Ignatieva K, 2021, 'Electricity price modelling with stochastic volatility and jumps: An empirical investigation', Energy Economics, 98, pp. 105260, http://dx.doi.org/10.1016/j.eneco.2021.105260
Journal articles | 2021
Ignatieva K; Landsman Z, 2021, 'A new class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures', Insurance: Mathematics and Economics, 101, pp. 437 - 465, http://dx.doi.org/10.1016/j.insmatheco.2021.08.011
Journal articles | 2020
Alexeev V; Ignatieva K; Liyanage T, 2020, 'Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals', Studies in Nonlinear Dynamics & Econometrics, 25, pp. 20180094, http://dx.doi.org/10.1515/snde-2018-0094
Alai DH; Ignatieva K; Sherris M, 2019, 'The investigation of a forward-rate mortality framework', Risks, 7, pp. 61, http://dx.doi.org/10.3390/risks7020061
Journal articles | 2019
Da Fonseca J; Ignatieva K, 2019, 'Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market', Journal of Banking and Finance, 99, pp. 45 - 62, http://dx.doi.org/10.1016/j.jbankfin.2018.11.014
Journal articles | 2019
Fung MC; Ignatieva K; Sherris M, 2019, 'Managing systematic mortality risk in life annuities: An application of longevity derivatives', Risks, 7, pp. 2, http://dx.doi.org/10.3390/risks7010002
Journal articles | 2019
Gudkov N; Ignatieva K; Ziveyi J, 2019, 'Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method', Quantitative Finance, 19, pp. 501 - 518, http://dx.doi.org/10.1080/14697688.2018.1490806
Journal articles | 2019
Ignatieva K; Landsman Z, 2019, 'Conditional tail risk measures for the skewed generalised hyperbolic family', Insurance Mathematics and Economics, 86, pp. 98 - 114, http://dx.doi.org/10.1016/j.insmatheco.2019.02.008
Da Fonseca J; Ignatieva K, 2018, 'Volatility spillovers and connectedness among credit default swap sector indexes', Applied Economics, 50, pp. 3923 - 3936, http://dx.doi.org/10.1080/00036846.2018.1430344
Journal articles | 2018
Ignatieva K; Song A; Ziveyi J, 2018, 'Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality', Astin Bulletin, 48, pp. 139 - 169, http://dx.doi.org/10.1017/asb.2017.23
Journal articles | 2017
Ignatieva K; Ponomareva N, 2017, 'Commodity currencies and commodity prices: modelling static and time-varying dependence', Applied Economics, 49, pp. 1491 - 1512, http://dx.doi.org/10.1080/00036846.2016.1221038
Journal articles | 2016
Da Fonseca J; Ignatieva K; Ziveyi J, 2016, 'Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market', Energy Economics, 56, pp. 215 - 228, http://dx.doi.org/10.1016/j.eneco.2016.03.022
Journal articles | 2016
Ignatieva K; Song A; Ziveyi J, 2016, 'Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality', Insurance Mathematics and Economics, 70, pp. 286 - 300, http://dx.doi.org/10.1016/j.insmatheco.2016.06.014
Journal articles | 2016
Ignatieva K; Trück S, 2016, 'Modeling spot price dependence in Australian electricity markets with applications to risk management', Computers and Operations Research, 66, pp. 415 - 433, http://dx.doi.org/10.1016/j.cor.2015.07.019
Journal articles | 2015
Baldeaux J; Fung MC; Ignatieva K; Platen E, 2015, 'A Hybrid Model for Pricing and Hedging of Long-dated Bonds', Applied Mathematical Finance, 22, pp. 366 - 398, http://dx.doi.org/10.1080/1350486X.2015.1050119
Journal articles | 2015
Gallagher DR; Ignatieva K; McCulloch J, 2015, 'Industry concentration, excess returns and innovation in Australia', Accounting and Finance, 55, pp. 443 - 466, http://dx.doi.org/10.1111/acfi.12074
Journal articles | 2015
Ignatieva K; Landsman Z, 2015, 'Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions', Insurance: Mathematics and Economics, 65, pp. 172 - 186, http://dx.doi.org/10.1016/j.insmatheco.2015.09.007
Journal articles | 2015
Ignatieva K; Rodrigues P; Seeger N, 2015, 'Empirical Analysis of Affine vs. Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices', Journal of Business & Economic Statistics, 33, pp. 68 - 75, http://dx.doi.org/10.1080/07350015.2014.922471
Journal articles | 2014
Baldeaux J; Ignatieva K; Platen E, 2014, 'A Tractable Model for Indices Approximating the Growth Optimal Portfolio', Studies In Nonlinear Dynamics and Econometrics, 18, pp. 1 - 21, http://dx.doi.org/10.1515/snde-2012-0054
Journal articles | 2014
Fung MC; Ignatieva K; Sherris M, 2014, 'Systematic mortality risk: An analysis of guaranteed lifetime withdrawal benefits in variable annuities', Insurance Mathematics and Economics, 58, pp. 103 - 115, http://dx.doi.org/10.1016/j.insmatheco.2014.06.010
Journal articles | 2013
Ignatieva K; Gallagher DR; McCulloch J, 2013, 'Industry Concentration, Excess Returns and Innovation in Australia', Accounting and Finance, 55, pp. 443 - 446, http://dx.doi.org/10.1111/acfi.12074
Journal articles | 2013
Ignatieva K, 2013, 'A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets', Studies in Nonlinear Dynamics and Econometrics, http://dx.doi.org/10.1515/snde-2012-0001
Journal articles | 2012
Ignatieva K; Platen E, 2012, 'Estimating the diffusion coefficient function for a diversified world stock index', Computational Statistics and Data Analysis, 56, pp. 1333 - 1349, http://dx.doi.org/10.1016/j.csda.2011.10.004
Journal articles | 2011
Ignatieva K; Platen E; Rendek R, 2011, 'Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index', Journal of Statistical Theory and Practice, 5, pp. 425 - 452, http://dx.doi.org/10.1080/15598608.2011.10412039
Journal articles | 2010
Ignatieva K; Platen E, 2010, 'Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae', Asia Pacific Financial Markets, 17, pp. 261 - 302, http://dx.doi.org/10.1007/s10690-010-9116-2
Journal articles |
Fung MC; Ignatieva K; Sherris M, 'Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.2576575
Preprints | 2015
Fung MC; Ignatieva K; Sherris M, 2015, Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives, http://dx.doi.org/10.48550/arxiv.1508.00090
Da Fonseca J; Ignatieva K; Ziveyi J, Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market, http://dx.doi.org/10.2139/ssrn.2577060
Preprints |
Da Fonseca J; Ignatieva K, Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market, http://dx.doi.org/10.2139/ssrn.2773076
Preprints |
Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279274
Preprints |
Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, http://dx.doi.org/10.2139/ssrn.2279283
Ignatieva K; Landsman Z, Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Family, , http://dx.doi.org/10.2139/ssrn.2577063
Preprints |
Ignatieva K; Platen E; Rendek R, Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index, http://dx.doi.org/10.2139/ssrn.2170183
Ignatieva K; Ponomareva N, Commodity Currencies and Commodity Prices: Modelling Static and Time-Varying Dependence, http://dx.doi.org/10.2139/ssrn.2853052
Preprints |
Ignatieva K; Rodrigues P; Seeger N, Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices, http://dx.doi.org/10.2139/ssrn.1344226
Preprints |
Ignatieva K; Rodrigues P; Seeger N, Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics, http://dx.doi.org/10.2139/ssrn.1363959
Preprints |
Ignatieva K; Song A; Ziveyi J, Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality, http://dx.doi.org/10.2139/ssrn.2766927
Preprints |
Ignatieva K; Trueck S, Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management, http://dx.doi.org/10.2139/ssrn.1991452
Preprints |
Ignatieva K, A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets, , http://dx.doi.org/10.2139/ssrn.2419398
