Research

1. James McCulloch and Katja Ignatieva (2020) Intra-day Electricity Demand and Temperature (2019) (former title: Forecasting High Frequency Intra-Day Electricity Demand using Temperature, The Energy Journal, vol. 41(3), pp. 161-181 (ABDC: A)

2. Vitali Alexeev, Katja Ignatieva and Thusitha Liyanage (2020) Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals Family, Studies in Non-Linear Dynamics and Econometrics (ABDC: A)

3. Jose Da Fonseca and Katja Ignatieva(2019) Jump Activity Analysis for Affine Jump-diffusion Models: Evidence from the Commodity Market.Journal of Banking and Finance, vol. 99, pp. 45-62 (ABDC: A*)

4. Nikolay Gudkov, Katja Ignatievaand Jonathan Ziveyi (2019)Pricing of GMWB options in Variable Annuities under Stochastic Volatility, Stochastic Interest Rates and Stochastic Mortality via the Componentwise Splitting Method Quantitative Finance, vol. 19(3), pp. 501-518 (ABDC: A)

5.Katja Ignatieva and Zinoviy Landsman (2019) Conditional Tail Measure for Skewed Generalised Hyperbolic Family Insurance: Mathematics and Economics, vol. 86, pp. 98-114 (ABDC: A*)

6. Daniel Alai, Katja Ignatieva and Michael Sherris,Modelling Longevity Risk: Generalizations of the Oliver-Smith ModelAccepted: Risks (ABDC: B)

7. Man Chung Fung, Katja Ignatievaand Michael Sherris (2019) Managing Mortality Risk in Life Annuities: An Application of Longevity DerivativesRisks, vol. 7(1), 2-25(ABDC: B)

8. Jan Baldeaux, Katja Ignatievaand Eckhard Platen (2018) Detecting Money Market Bubbles. Journal of Banking and Finance, vol. 87, pp. 369-379 (ABDC: A*)

9. Jose Da Fonseca and Katja Ignatieva(2018) Volatility Spillovers and Connectedness Among Credit Default Swap Sector Indexes. Applied Economics, vol. 50, pp. 3923-3936(ABDC: A)

10. Katja Ignatieva, Andrew Song and Jonathan Ziveyi (2017) Fourier Space Time-Stepping Algorithm for Valuing Guaranteed Minimum Withdrawal Benefits in Variable Annuities Under Regime-Switching and Stochastic MortalityForthcoming: ASTIN Bulletin - The Journal of the International Actuarial Association, vol. 48(1), pp. 139-169(ABDC: A; School ranking: A*)

11. Katja Ignatievaand Natalia Ponomareva (2017) Commodity Currencies and Commodity Prices: Modelling Static and Time-Varying DependenceApplied Economics, vol. 49, pp. 1491-1512 (ABDC A)

12. Jose Da Fonseca, Katja Ignatievaand Jonathan Ziveyi (2016) Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market. Energy Economics, vol. 56, pp. 215-228 (ABDC: A*)

13. Katja Ignatieva, Andrew Song and Jonathan Ziveyi (2016) Pricing and Hedging of Guaranteed Minimum Benefits under Regime-Switching and Stochastic Mortality. Insurance: Mathematics and Economics, vol. 70, pp. 286-300 (ABDC: A*)

14. Katja Ignatievaand Stefan Trueck (2016) Modelling Spot Price Dependence in the Australian Electricity Markets with Applications to Risk Management. Computers and Operations Research, vol. 66, pp. 415-433 (ABDC: A)

15. Katja Ignatieva and Zinoviy Landsman (2015) Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Distributions. Insurance: Mathematics and Economics, vol. 65, pp. 172-186 (ABDC: A*)

16. Katja Ignatieva, Paulo Rodrigues and Norman Seeger (2015)Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices.Former title: Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P 500 Dynamics. Journal of Business and Economic Statistics, vol. 33, no.1, pp. 68-75 (ABDC: A*)

17. Jan Baldeaux, Man Chung Fung, Katja Ignatievaand Eckhard Platen (2015)A Hybrid Model for Pricing and Hedging of Long-dated BondsApplied Mathematical Finance, vol. 22, no. 4, pp. 366-398 (ABDC: B)

18. David R. Gallagher, Katja Ignatievaand James McCulloch (2015)Industry Concentration, Excess Returns and Innovation in Australia. Former title: Industry Concentration and Stock Returns: Australian Evidence, Accounting and Finance, vol. 55(2), pp. 443-466 (ABDC: A)

19. Man Chung Fung, Katja Ignatievaand Michael Sherris (2014)Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities. Insurance: Mathematics and Economics, vol. 58, no. 1, pp. 103-115 (ABDC: A*)

20. Katja Ignatieva(2014) A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets. Studies in Nonlinear Dynamics and Econometrics, vol. 18, no. 5, pp.483-505 (ABDC: A)

21. Jan Baldeaux, Katja Ignatievaand Eckhard Platen (2013)A Tractable Model for Indices Approximating the Growth Optimal Portfolio.Published: Studies in Nonlinear Dynamics and Econometrics, Vol. 18, No. 1, pp 1-21. (ABDC: A)

22.Katja Ignatieva and Eckhard Platen (2012) Estimating the Diffusion Coefficient Function for a Diversified World Stock Index. Computational Statistic and Data Analysis, Vol. 56, No. 6, pp 1333-1349. (ABDC: A)

23. Katja Ignatieva, Eckhard Platen and Renata Rendek (2011)Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index. Journal of Statistical Theory and Practice, Vol. 5, No. 3, pp 425-452.(ABDC: not ranked)

24. Katja Ignatievaand Eckhard Platen (2010)Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae. Asia-Pacific Financial Markets, Vol. 17, No. 3, pp 261-302.(ABDC: C)

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Note: Journal ranking is according to the Australian Business Dean Council (ABDC) list: https://abdc.edu.au/research/abdc-journal-list/