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Browsing Centre for Financial Markets Working Papers by Title
Now showing items 27-46 of 73
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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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(University College Dublin. School of Business. Centre for Financial Markets, 2004-03)We examine the influence of US and UK macroeconomic and financial variables on Irish stock returns in a nonlinear framework. We allow for time variation via regime switching using a smooth transition regression (STR) ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)We investigate the influence of international interest rate changes on the Dublin inter bank money market rates (Dibor). Specifically, we analyse the impact of (un)expected changes in German(Euro) area and US policy rates ...
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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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(University College Dublin. School of Business. Centre for Financial Markets, 2009)This paper investigates the degree of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7. Our paper draws on the efficient market hypothesis and examines the extent of unexpected ...
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Is macroeconomic uncertainty bad for macroeconomic performance? Evidence from five Asian countries (University College Dublin. School of Business. Centre for Financial Markets, 2007-03)We use a very general bivariate GARCH-M model and quarterly data for five Asian countries to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth. Our evidence supports a number ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005)We examine the evidence of an emerging yen block in North and Southeast Asia using up to 27 years of weekly data on 9 bilateral yen exchange rates. The exchange rate returns are modelled in response to variations in their ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-09)This paper examines the financing of 117 privately held new technology-based firms (NTBFs) in the Irish software product sector. We advance the high-technology pecking order hypothesis (HTPOH) to explain the dominance of ...
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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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(University College Dublin. School of Business. Centre for Financial Markets, 2005)We use a very general bivariate GARCH-M model and EU monthly data covering the 1962-2003 period to test for the impact of real (output growth) and nominal (inflation) macroeconomic uncertainty on inflation and output growth. ...
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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)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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(University College Dublin. School of Business. Centre for Financial Markets, 2004-04-18)A quantity known as the Local Cross-Entropy (LCE) for a density is proposed, defined to be the local derivative of the Cross-Entropy between a density and a ’kernel-smoothed’ version of itself, with respect to bandwidth ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2006-11)One stylized feature of financial volatility impacting the modeling process is long memory. This paper examines long memory for alternative risk measures, observed absolute and squared returns for Daily REITs and compares ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-04-06)This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Extreme asset price movements have major consequences for an economy’s financial stability and monetary policies. The recent equity price movements associated with financial crises appear to be more pronounced and policy ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2007)This paper assesses the response of Real Estate Investment Trusts (REIT's) to unexpected changes in US monetary policy. A critical element in this study is the use of futures markets to isolate unexpected changes in the ...
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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. School of Business. Centre for Financial Markets, 2007)We investigate the influence of unanticipated changes in US monetary policy on Equity Real Estate Investment Trusts (REIT’s). Although a number of studies have investigated the issue of interest rate changes, the effect ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-04-25)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 of ...
Now showing items 27-46 of 73