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Search Results for Collection: College of Business and Law
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(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 ...
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(Elsevier Science, 2006)
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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, ...
Now showing items 1-3 of 3