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Search Results for Collection: College of Business and Law
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(Global Association of Risk Professionals, 2000)Accurate forecasting of risk is the key to successful risk management techniques. Correct modelling of a variable's extreme values located at the distributional tails accounting for the fat-tail phenomena is paramount, and ...
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(Institute for International Integration Studies, 2003-06)
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(Henry Stewart Publications, 2004)Focuses on the importance of the accurate modelling of market risk. Dates of extreme trading events experienced by derivative traders; Standard approach to modelling any market movement and its implications; Use of extreme ...
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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, ...
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(University College Dublin. School of Business, 2007)Uncertain times mean significant movements in asset prices from oil to equities. Current research by the Centre for Financial Markets, UCD School of Business may offer help to businesses in formulating more effective ...
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(Irish Bankers' Federation, 2004)This paper assesses the viability of the Irish Stock Exchange. Overall the prognosis is positive with a few notable exceptions. On the downside some trading characteristics including thin trading and an uncompetitive ...
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(2009-11-19)This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of the Goldstein-Khan two-country imperfect substitutes model for bilateral trade, we identify the overall ...
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(Blackwell, 2000-04)This study examines the distributional properties of futures prices for contracts traded on LIFFE. A filtering process is employed to remove day of the week and holiday effects, a maturity effect, moving average effects ...
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(Wiley, 2008)One stylized feature of financial volatility impacting the modeling process is long memory. This article examines long memory for alternative risk measures, observed absolute and squared returns for Daily Equity real estate ...