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Search Results for Collection: Business Research Collection
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(University College Dublin. School of Business. Centre for Financial Markets, 2007)We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. ...
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(Springer Netherlands, 2006-05)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 ...
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(Palgrave Macmillan, 2007)This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, ...
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(Taylor & Francis, 2005-08)Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk ...
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(Wiley, 2009)This study presents nonparametric estimates of spectral risk measures (SRM) applied to long and short positions in five prominent equity futures contracts. It also compares these to estimates of two popular alternative ...
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(American Real Estate Society, 2007)Using a time-varying approach, this paper examines the dynamics of volatility in the real estate investment trust (REIT) sector. The results highlight the attractiveness and suitability of using GARCH based approaches in ...
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(Wiley, 2006)Mixed results have been documented for the performance of hedging strategies with the use of futures. This article reinvestigates this issue with the use of an extensive set of performance-evaluation metrics across seven ...
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(Taylor & Francis, 2006-10)Extreme price movements associated with market crashes and booms have catastrophic repercussions for all investors and it is necessary to make accurate predictions of the frequency and severity of these events. This paper ...
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(Euromoney Institutional Investor PLC., 2006-06)
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(Risk Magazine Limited, 2009-04)In terms of risk measurement, probability and quantile risk estimation have developed enormously in the past decade, from value-at-risk measures to coherent measures such as expected shortfall. These measures allow an ...