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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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(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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(Elsevier Science, 2006)
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(Elsevier, 2010-04)This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2007-05-18)This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic ...
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(Taylor & Francis, 2005-08)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)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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(Emerald Group Publishing, 2011)Many important electronic systems are modelled by discrete-time equations with nonlinearities that are discontinuous and piecewise-linear, often arising as a result of quantization. Approximations based on linearization ...
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(BCRI, 2010-09)It is important that the assessment of bridges be as accurate as possible. Dynamic amplification is one area in which the codes are sometimes overly conservative. Bridge dynamics is well researched but the majority of ...
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(Elsevier, 2006-05)The paper considers the influence of the surface profile on the dynamic amplification of a simply supported bridge when subject to a quarter car vehicle model. The effect of the profile irregularities on the bridge dynamic ...