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(University College Dublin. School of Business. Centre for Financial Markets, 2006)Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and ...
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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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(University College Dublin, School of Economics, 2006-11)We calculate the NAIRU for the U.S. in a framework where inflation and the unemployment rate can respond to each other. The NAIRU is defined as the component of the actual unemployment rate that is uncorrelated with inflation ...
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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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(University College Dublin. School of Business. Centre for Financial Markets, 2009-08)There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased ...
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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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(McGraw-Hill, 2009)
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(Central Bank of Ireland, 2004-10)This paper presents some new results on the effects of technology shocks on hours worked based on structural VAR specifications containing various measures of US productivity growth and hours. These specifications can ...
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(2007-09-01)Financial risk model evaluation or backtesting is a key part of the internal model’s approach to market risk management as laid out by the Basle Committee on Banking Supervision (2004). However there are a number of ...