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Browsing Centre for Financial Markets Working Papers by Title
Now showing items 1-20 of 73
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)In recent years the finance industry from an academic and practitioner perspective has placed heavy emphasis on the analysis of volatility models. This is understandable given the importance that volatility plays for ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2009)The European Union's Emissions Trading Scheme (ETS) is the key policy instrument of the European Commission's Climate Change Program aimed at reducing greenhouse gas emissions to eight percent below 1990 levels by 2012. A ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)We examine the return distributions of 332 funds of hedge funds and associated indices. Over half of the sample is significantly skewed according to the skewness statistic, and these are split 50/50 positive and negative. ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2007-08)This study assesses alternative Asian exchange rate regimes and finds short- and long-run currency dynamics more conducive to the possibility of introducing a common peg based on a basket of the European euro, the United ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2010-01)This study assesses prospective Asian exchange rate regimes and finds short- and longrun currency dynamics more conducive to the introduction of a common peg based on a basket of the European euro, the United States ...
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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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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Using a sample of 117 Irish software companies, we examine the capital structure of new technology-based firms. Consistent with the findings on financing for other small businesses, internal funds are the most important ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-10-28)Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and document their return characteristics. REITs ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2008-03-04)The definition of the decline of long term yields in the light of increasing short term yields as a conundrum by Chairman Greenspan in February 2005 has generated a significant amount of research. This paper presents a ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2007)This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2008-04)This study compares the takeover premiums for 55 private equity buyouts with 59 takeovers involving a public acquirer, from the US takeover market between 2004 and 2007. This investigation takes place amidst accusations ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2006-06)Unlike most prior literature in finance and economics, this paper focuses on events in the political economy and examines the integration of European equity markets over the 1988 through 2002 period using three innovative ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2003-09)The early years of the 21st century have been a difficult and challenging time for the managed funds industry. The neglected history of managed funds reveals prior episodes of sustained growth, questionable practices, ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Regardless of the form of restructuring, deregulated electricity industries share one common feature: the absence of any significant, rapid demand-side response to the wholesale (or, spot market) price. For a variety of ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2006-12-23)This paper presents non-parametric estimates of spectral risk measures applied to long and short positions in 5 prominent equity futures contracts. It also compares these to estimates of two popular alternative measures, ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-12)In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/euro area policy rates on ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2007-05)This paper examines the precision of estimators of Quantile-Based Risk Measures (Value at Risk, Expected Shortfall, Spectral Risk Measures). It first addresses the question of how to estimate the precision of these ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2007-03-20)Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their subjective risk-aversion. This paper examines spectral risk measures based on an exponential utility ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2008-10-06)Risk is an inherent feature of agricultural production and marketing and accurate measurement of it helps inform more efficient use of resources. This paper examines three tail quantile-based risk measures applied to the ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-12-14)This paper applies the Extreme-Value (EV) Generalised Pareto distribution to the extreme tails of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses tail estimators ...
Now showing items 1-20 of 73