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
-
(University College Dublin. School of Business. Centre for Financial Markets, 2006-08)A numerical method is developed that can price options, including exotic options that can be priced recursively such as Bermudan options, when the underlying process is an exponential Lévy process with closed form conditional ...
-
(University College Dublin. School of Business. Centre for Financial Markets, 2006-09-10)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 ...
-
(University College Dublin. School of Business. Centre for Financial Markets, 2006-06)Unlike most prior literature in finance and economics, this paper focuses on events in the political economy and examines the integration of European equity markets over the 1988 through 2002 period using three innovative ...
-
(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. School of Business, 2006-11)This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, ...
-
(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 ...
-
(Wiley, 2006)Mixed results have been documented for the performance of hedging strategies with the use of futures. This article reinvestigates this issue with the use of an extensive set of performance-evaluation metrics across seven ...
-
(Taylor & Francis, 2006-10)Extreme price movements associated with market crashes and booms have catastrophic repercussions for all investors and it is necessary to make accurate predictions of the frequency and severity of these events. This paper ...
-
(University College Dublin. School of Business. Centre for Financial Markets, 2006)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 ...
-
(Euromoney Institutional Investor PLC., 2006-06)
-
(Risk Magazine Limited, 2006-06)Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is understandable given the importance that volatility plays in risk management and the development of accurate ...