Browsing College of Business and Law by Subject "Decomposition (Mathematics)"

DSpace/Manakin Repository

Now showing items 1-2 of 2

An empirical analysis of dynamic multiscale hedging using wavelet decomposition

Conlon, Thomas ; Cotter, John (Wiley-Blackwell, 2011-03-07)

This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance ...
Monetary policy surprises and international bond markets

Bredin, Donal ; Hyde, Stuart ; O'Reilly, Gerard (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 ...