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Search Results for Collection: Centre for Financial Markets Working Papers
Now showing items 11-20 of 23
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-12)A model is developed that can price path dependent options when the underlying process is an exponential Lévy process with closed form conditional characteristic function. The model is an extension of a recent quadrature ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)We address the venture capital financing issue from the firm’s perspective. Using survey data for 110 new technology-based firms (NTBFs) in the Irish software sector, we assess the extent to which 5 human capital and 3 ...
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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 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, 2004-10-12)We analyse the impact of volatility per se on exports for a a small open economy concentrating on Irish trade with the UK and the US. An important element is that we take account of the time lag between the trade decision ...
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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, 2004-04-30)The degree to which any deregulated market functions efficiently often depends on the ability of market agents to respond to fluctuating conditions. Many restructured electricity markets, however, have little demand response. ...
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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, 2004)We examine the performance and diversification potential of 332 funds of hedge funds (FOHFs) for the period from January 1990 to May 2003. Consistent with prior studies, we find that FOHFs appear to underperform the hedge ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-05-30)We investigate the influence of foreign monetary policy decisions on the volatility of the Irish stock market. Specifically, we examine the influence of US monetary policy announcements on the ISEQ. We find evidence of ...
Now showing items 11-20 of 23