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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from twelve European bourses, this paper presents VaR measures based on their unconditional and ...
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(Elsevier Science, 2007-12)Accurate forecasting of risk is the key to successful risk management techniques. Using the largest stock index futures from 12 European bourses, this paper presents VaR measures based on their unconditional and conditional ...
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(Blackwell, 2000-04)This study examines the distributional properties of futures prices for contracts traded on LIFFE. A filtering process is employed to remove day of the week and holiday effects, a maturity effect, moving average effects ...
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(Global Association of Risk Professionals, 2000)Accurate forecasting of risk is the key to successful risk management techniques. Correct modelling of a variable's extreme values located at the distributional tails accounting for the fat-tail phenomena is paramount, and ...
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(Risk Magazine Limited, 2009-04)In terms of risk measurement, probability and quantile risk estimation have developed enormously in the past decade, from value-at-risk measures to coherent measures such as expected shortfall. These measures allow an ...
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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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(Springer, 2011-08)This paper shows how an unwanted limit cycle can be exhibited by a second-order CMOS companding filter. The filter employs the quasi-quadratic law of the MOS transistor in strong inversion and saturation to achieve compression ...
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(Springer, 2009-06)Collaborative filtering (CF) techniques have proved to be a powerful and popular component of modern recommender systems. Common approaches such as user-based and item-based methods generate predictions from the past ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2006-06)Using daily data for a select set of four Asian exchange rates, namely the Hong Kong dollar, the Singapore dollar, the Taiwan dollar and the Thailand baht, from October 1985 to October 2002, we apply principal components ...
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(Springer Netherlands, 2006-05)This paper examines volatility in REITs using a multivariate GARCH based model. The Multivariate VAR-GARCH technique documents the return and volatility linkages between REIT sub-sectors and also examines the influence ...