Associate Professor Katja Ignatieva

Associate Professor

Business School

School of Risk and Actuarial Studies

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 | 2024

Ignatieva K; Ohashi K, 2024, 'The pre-FOMC announcement drift: short-lived or long-lasting? Evidence from financial and volatility markets', Applied Economics,

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,

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,

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,

Journal articles | 2021

Alexeev V; Ignatieva K, 2021, 'Biases in variance of decomposed portfolio returns', International Review of Finance, 21, pp. 1152 - 1178,

Journal articles | 2021

Gudkov N; Ignatieva K, 2021, 'Electricity price modelling with stochastic volatility and jumps: An empirical investigation', Energy Economics, 98, pp. 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,

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,

Journal articles | 2020

McCulloch L; Ignatieva K, 2020, 'Intra-day Electricity Demand and Temperature', ENERGY JOURNAL, 41, pp. 161 - 181,

Journal articles | 2019

Alai DH; Ignatieva K; Sherris M, 2019, 'The investigation of a forward-rate mortality framework', Risks, 7, pp. 61,

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,

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,

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,

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,

Journal articles | 2018

Baldeaux J; Ignatieva K; Platen E, 2018, 'Detecting money market bubbles', Journal of Banking and Finance, 87, pp. 369 - 379,

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,

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,

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,

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,

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,

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,

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,

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,

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,

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,

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,

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,

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,

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,

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,

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,

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,

Journal articles |

Fung MC; Ignatieva K; Sherris M, 'Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives', SSRN Electronic Journal,
Preprints | 2015

Fung MC; Ignatieva K; Sherris M, 2015, Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives,

Preprints |

Alai DH; Ignatieva K; Sherris M, A Multivariate Forward-Rate Mortality Framework, ,

Preprints |

Alexeev VM; Ignatieva KM, Biases in Variance of Decomposed Portfolio Returns, ,

Preprints |

Baldeaux JF; Fung MC; Ignatieva K; Platen E, A Hybrid Model for Equity Indices and Stochastic Interest Rates,

Preprints |

Baldeaux JF; Fung MC; Ignatieva K; Platen E, A Hybrid Model for Pricing and Hedging of Long Dated Bonds,

Preprints |

Baldeaux JF; Ignatieva K; Platen E, A Tractable Model for Indices Approximating the Growth Optimal Portfolio,

Preprints |

Baldeaux JF; Ignatieva K; Platen E, Detecting Money Market Bubbles,

Preprints |

Da Fonseca J; Ignatieva K; Ziveyi J, Explaining Credit Default Swap Spreads by Means of Realized Jumps and Volatilities in the Energy Market,

Preprints |

Da Fonseca J; Ignatieva K, Jump Activity Analysis for Affine Jump-Diffusion Models: Evidences from the Commodity Market,

Preprints |

Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities,

Preprints |

Fung MC; Ignatieva K; Sherris M, Systematic Mortality Risk: An Analysis of Guaranteed Lifetime Withdrawal Benefits in Variable Annuities, ,

Preprints |

Gallagher DR; Ignatieva K; McCulloch J, Industry Concentration and Excess Returns in Australian Equity Markets, ,

Preprints |

Ignatieva K; Landsman Z, Conditional Tail Risk Measures for Skewed Generalised Hyperbolic Family,

Preprints |

Ignatieva K; Landsman Z, Estimating the Tails of Loss Severity via Conditional Risk Measures for the Family of Symmetric Generalised Hyperbolic Family, ,

Preprints |

Ignatieva K; Platen E; Rendek R, Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index,

Preprints |

Ignatieva K; Platen E, Estimating the Diffusion Coefficient Function for a Diversified World Stock Index,

Preprints |

Ignatieva K; Platen E, Modelling Co-Movements and Tail Dependency in the International Stock Market Via Copulae,

Preprints |

Ignatieva K; Ponomareva N, Commodity Currencies and Commodity Prices: Modelling Static and Time-Varying Dependence, ,

Preprints |

Ignatieva K; Rodrigues P; Seeger N, Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices,

Preprints |

Ignatieva K; Rodrigues P; Seeger N, Stochastic Volatility and Jumps: Exponentially Affine Yes or No? An Empirical Analysis of S&P500 Dynamics,

Preprints |

Ignatieva K; Song A; Ziveyi J, Pricing and Hedging of Guaranteed Minimum Benefits Under Regime-Switching and Stochastic Mortality,

Preprints |

Ignatieva K; Trueck S, Modeling Spot Price Dependence in Australian Electricity Markets with Applications to Risk Management,

Preprints |

Ignatieva K, A Nonparametric Model for Spot Price Dynamics and Pricing of Futures Contracts in Electricity Markets, ,

Preprints |

McCulloch J; Ignatieva K, Forecasting High Frequency Intra-Day Electricity Demand Using Temperature,

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Associate Professor Katja Ignatieva

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