Cotter, John; Longin, François(University College Dublin. School of Business. Centre for Financial Markets, 2006)
Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and ...
Cotter, John; Longin, François(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 ...
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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