RSS
- You are here:
- Research Repository UCD
- >
- College of Business and Law
- >
- Search
JavaScript is disabled for your browser. Some features of this site may not work without it.
Search
Search Results for Collection: College of Business and Law
-
(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 ...
-
(Elsevier, 2011-07-27)A key issue in the estimation of energy hedges is the hedgers’ attitude towards risk which is encapsulated in the form of the hedgers’ utility function. However, the literature typically uses only one form of utility ...
-
(Emerald, 2012)We examine whether the hedging effectiveness of crude oil futures is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of both short and long hedgers. ...
-
(2011)This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a ...
-
(University College Dublin. School of Business. Centre for Financial Markets, 2010-05-24)This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and ...
-
(Cambridge Journals, 2010-06)This paper proposes the use of wavelet methods to estimate U.S. core inflation. It explains wavelet methods and suggests they are ideally suited to this task. Comparisons are made with traditional CPI-based and regression-based ...
-
(2010-01)This paper investigates the risk-return relationship in determination of housing asset pricing. In so doing, the paper evaluates behavioral hypotheses advanced by Case and Shiller (1988, 2002, 2009) in studies of boom and ...
-
(Elsevier, 2010-03)Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate ...
-
(University College Dublin Geary Institute, 2012-08)In this paper, we explore the impact of investor time-horizon on an optimal downside hedged energy portfolio. Previous studies have shown that minimum-variance hedging effectiveness improves for longer horizons using variance ...
-
(UCD Geary Institute, 2012)This paper examines the impact of investor preferences on the optimal futures hedging strategy and associated hedging performance. Explicit risk aversion levels are often overlooked in hedging analysis. Applying a ...