Browsing College of Business and Law by Subject "Volatility modelling"

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Hedging : scaling and the investor horizon

Cotter, John ; Hanly, Jim (University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-08)

This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over ...
Multivariate modeling of daily REIT volatility

Cotter, John ; Stevenson, Simon (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 ...