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(Elsevier, 2008)We examine the relation between trading volume and skewness in 11 international stock markets using daily and monthly data from January 1980 to August 2004. We construct single equation and VAR models of the relation ...
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(Palgrave Macmillan, 2007)
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(University College Cork. Department of Economics, 1994)
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(Institute for International Integration Studies, 2003-06)
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(IEEE Press, 2010-07)A significant problem in the area of stock selection is that of identifying the factors that affect a security’s return. While modern portfolio theory suggests a linear multi-factor model in the form of Arbitrage Pricing ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-10-21)We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an event study to assess the impact of unexpected changes in monetary ...
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(Irish Bankers' Federation, 2004)This paper assesses the viability of the Irish Stock Exchange. Overall the prognosis is positive with a few notable exceptions. On the downside some trading characteristics including thin trading and an uncompetitive ...
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(Elsevier, 2001-07)Using daily price and volume data on 112 of the largest takeover targets in Australia during the period from 1985 to 1993, we find that conditional price volatility declines after the takeover announcement. This decline ...
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(Elsevier Science, 2001-08)Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. This paper applies extreme value theory in computing unconditional optimal margin levels for a selection ...
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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 ...