Browsing College of Business and Law by Subject "GARCH"

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Browsing College of Business and Law by Subject "GARCH"

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  • Cotter, John ; Dowd, Kevin (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2006-10-31)
    This paper applies an AR(1)-GARCH (1, 1) process to detail the conditional distributions of the return distributions for the S&P500, FT100, DAX, Hang Seng, and Nikkei225 futures contracts. It then uses the conditional ...
  • Cotter, John (University College Dublin. School of Business. Centre for Financial Markets, 2004)
    This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. ...

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