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Browsing College of Business and Law by Title
Now showing items 148-167 of 264
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(Elsevier Science, 2001-08)Futures exchanges require a margin requirement that ensures their competitiveness and protects against default risk. This paper applies extreme value theory in computing unconditional optimal margin levels for a selection ...
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(Elsevier Science, 2006)
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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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(2006-06-27)Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use daily closing price changes. However, as well documented by research on high-frequency data, ...
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(Financial Services Research Forum, 1997)his paper applies an event study methodology to 22 Irish equities between 1990-1995. A recursive-sample methodology is used to account for informational flows. The research design allows risk to vary in event time testing ...
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(Wiley Blackwell, 1997-06)
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(Elsevier, 2005)We use bivariate ARCH specifications to model the conditional mean and stock price volatility for 56 takeover bids from January 1985 and July 1994. Using daily data from one year prior to the takeover announcement until ...
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(Routledge, 2007)
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(Wiley Blackwell Publishing, 2010-09)This article uses case study data from a major Irish city council to investigate and explain public sector worker attitudes towards social partnership at local and national level. It is argued that the more sceptical ...
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(Wiley, 2004-02)Key to the imposition of appropriate minimum capital requirements on a daily basis is 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)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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(Wiley, 2008)One stylized feature of financial volatility impacting the modeling process is long memory. This article examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity real estate ...
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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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(Taylor & Francis, 2006)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 pitfall ...
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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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(Papazisis Press, 2004-11)Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market ...
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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 ...
Now showing items 148-167 of 264