Associate Professor Katja Ignatieva

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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.

Phone

56810

E-mail

k.ignatieva@unsw.edu.au

Journal articles | 2023

2023, 'Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging', Studies in Nonlinear Dynamics and Econometrics, http://dx.doi.org/10.1515/snde-2021-0093

Journal articles | 2022

2022, 'Modelling high frequency crude oil dynamics using affine and non-affine jump–diffusion models', Energy Economics, 108, pp. 105873 - 105873, http://dx.doi.org/10.1016/j.eneco.2022.105873

Journal articles | 2021

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 | 2021

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

2021, 'Electricity price modelling with stochastic volatility and jumps: An empirical investigation', Energy Economics, 98, http://dx.doi.org/10.1016/j.eneco.2021.105260

Journal articles | 2020

2020, 'Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals', Studies in Nonlinear Dynamics & Econometrics, 25, http://dx.doi.org/10.1515/snde-2018-0094

Journal articles | 2020

2020, 'Intra-day Electricity Demand and Temperature', ENERGY JOURNAL, 41, pp. 161 - 181, http://dx.doi.org/10.5547/01956574.41.3.jmcc

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

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

Journal articles | 2019

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

2019, 'Managing systematic mortality risk in life annuities: An application of longevity derivatives', Risks, 7, http://dx.doi.org/10.3390/risks7010002

Journal articles | 2019

2019, 'The investigation of a forward-rate mortality framework', Risks, 7, http://dx.doi.org/10.3390/risks7020061

Journal articles | 2018

Baldeaux J; Ignatieva K; Platen E, 2018, 'Detecting money market bubbles', Journal of Banking and Finance, 87, pp. 369 - 379, http://dx.doi.org/10.1016/j.jbankfin.2017.10.017

Journal articles | 2018

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; TrÃ¼ck 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; 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 | 2015

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

2015, 'Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives', SSRN Electronic Journal, http://dx.doi.org/10.2139/ssrn.2576575

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

Gallagher DR; Ignatieva K; 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, 18, pp. 483 - 505, 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
Preprints | 2015

2015, Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives, , http://dx.doi.org/10.48550/arxiv.1508.00090

Preprints |

A Hybrid Model for Equity Indices and Stochastic Interest Rates, , http://dx.doi.org/10.2139/ssrn.2173273

Preprints |

A Hybrid Model for Pricing and Hedging of Long Dated Bonds, , http://dx.doi.org/10.2139/ssrn.2577062

Preprints |

A Multivariate Forward-Rate Mortality Framework, , http://dx.doi.org/10.2139/ssrn.2539434

Preprints |

A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets, , http://dx.doi.org/10.2139/ssrn.2419398

Preprints |

A Tractable Model for Indices Approximating the Growth Optimal Portfolio, , http://dx.doi.org/10.2139/ssrn.2162787

Preprints |

Biases in Variance of Decomposed Portfolio Returns, , http://dx.doi.org/10.2139/ssrn.3099335

Preprints |

Commodity Currencies and Commodity Prices: Modelling Static and Time-Varying Dependence, , http://dx.doi.org/10.2139/ssrn.2853052

Preprints |

Conditional Tail Risk Measures for Skewed Generalised Hyperbolic Family, , http://dx.doi.org/10.2139/ssrn.3047095

Preprints |

Detecting Money Market Bubbles, , http://dx.doi.org/10.2139/ssrn.2853051

Preprints |

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 |

Estimating the Diffusion Coefficient Function for a Diversified World Stock Index, , http://dx.doi.org/10.2139/ssrn.2157779

Preprints |

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 |

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 |

Forecasting High Frequency Intra-Day Electricity Demand Using Temperature, , http://dx.doi.org/10.2139/ssrn.2958829

Preprints |

Industry Concentration and Excess Returns in Australian Equity Markets, , http://dx.doi.org/10.2139/ssrn.2157466

Preprints |

Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market, , http://dx.doi.org/10.2139/ssrn.2773076

Preprints |

Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management, , http://dx.doi.org/10.2139/ssrn.1991452

Preprints |

Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae, , http://dx.doi.org/10.2139/ssrn.2170214

Preprints |

Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality, , http://dx.doi.org/10.2139/ssrn.2766927

Preprints |

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 |

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, , http://dx.doi.org/10.2139/ssrn.2279274

Preprints |

Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, , http://dx.doi.org/10.2139/ssrn.2279283

Preprints |

Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index, , http://dx.doi.org/10.2139/ssrn.2170183

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Associate Professor Katja Ignatieva