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Search Results for Collection: College of Business and Law
Now showing items 11-20 of 26
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-07-24)Mixed results have been documented for the performance of hedging strategies using futures. This paper reinvestigates this issue using an extensive set of performance evaluation metrics across seven international markets. ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-04-06)This letter uses the Block Maxima Extreme Value approach to quantify catastrophic risk in international equity markets. Risk measures are generated from a set threshold of the distribution of returns that avoids the ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-12)In this paper we investigate the stock market response to international monetary policy changes in the UK and Germany. Specifically, we analyse the impact of (un)expected changes in UK and German/euro area policy rates on ...
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(Taylor & Francis, 2005-08)Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-04-25)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 of ...
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(Routledge, 2005)This article uses Extreme Value Theory (EVT) to measure extreme risk in futures contracts with diverging underlying assets. The approach provides a framework for analysing the distributional properties of extreme returns. ...
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(Edward Elgar, 2005)
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(Taylor & Francis, 2005)This paper empirically analyses risk in the euro relative to other currencies. Comparisons are made between a subperiod encompassing the final transitional stage to full monetary union with a subperiod prior to this. ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005)
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(Midwest Finance Association, 2005)
Now showing items 11-20 of 26