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(University College Dublin. School of Economics, 1994-10)A simple and convenient artificial regression based LM tests of asymmetry in the logit model is derived. The test does not use the outer product gradient (OPG) form and in thus likely to have fairly good small sample properties.
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(University College Dublin. School of Business. Centre for Financial Markets, 2007)We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. ...
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(Emerald, 2012)We examine whether the hedging effectiveness of crude oil futures is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of both short and long hedgers. ...
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(University College Dublin. Department of Economics, 1997-04)Empirical research on interest rate linkages within the European Monetary System (EMS) has concentrated on the concepts of asymmetry and German dominance. Asymmetry is usually taken to mean that German monetary policy is ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2007)This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, ...
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(American Real Estate Society, 2008)This study examines asymmetries in real estate investment trust (REIT) returns using a variety of metrics, and compares them to several stock indexes and the U.S. long-term government bond index. The findings reveal that ...
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(2005)This paper examines the capital structure of 117 new technology-based firms in the Irish software sector. In apparent contradiction to the pecking order hypothesis (POH), most external finance is private equity, and debt ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-02)We use a very general multivariate GARCH-M model and G7 monthly data covering the 1957-2003 period to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth.Our evidence supports ...
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(University College Dublin. School of Economics, 2003-04)This paper presents a novel approach to examining multinationality which features the associated proximity versus concentration trade-off. Borrowing an important tool that is widely used in the strategic trade policy ...
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(University College Dublin. School of Economics, 1990-12-28)This paper examines the optimality of export subsidies in oligopolistic markets, when home and foreign firms have different costs and there is an opportunity cost to public funds. Subsidies are found to be optimal only for ...