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(2006-06-27)Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-frequency data, ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-06-14)Both in practice and in the academic literature, models for setting margin requirements in futures markets use daily closing price changes. However, financial markets have recently shown high intraday volatility, which ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures ...
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(UCD Geary Institute, 2012)This paper examines the impact of investor preferences on the optimal futures hedging strategy and associated hedging performance. Explicit risk aversion levels are often overlooked in hedging analysis. Applying a ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2006-10-04)We examine the impact and possible pillovers effects of unanticipated monetary policy on international bond returns. First, we decompose international bond returns into news regarding future returns, real interest rates ...
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(University College Dublin. Geary Institute, 2009-06)We incorporate previously omitted controls of external conditions in transportation and commodity markets into Porter's (1983) analysis of industry demand, conduct and stability of the JEC railroad cartel. We estimate the ...
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(Wiley, 2009)This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative ...
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(Wiley, 2004-02)Key to the imposition of appropriate minimum capital requirements on a daily basis is accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high-frequency UK futures ...
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(Wiley, 2006)Mixed results have been documented for the performance of hedging strategies with the use of futures. This article reinvestigates this issue with the use of an extensive set of performance-evaluation metrics across seven ...