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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, 2004)We examine the return distributions of 332 funds of hedge funds and associated indices. Over half of the sample is significantly skewed according to the skewness statistic, and these are split 50/50 positive and negative. ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2006-10-04)We examine the impact and possible pillovers effects of unanticipated monetary policy on international bond returns. First, we decompose international bond returns into news regarding future returns, real interest rates ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)Key to the imposition of appropriate minimum capital requirements on a daily basis requires accurate volatility estimation. Here, measures are presented based on discrete estimation of aggregated high frequency UK futures ...
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(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 ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-02)We use a very general multivariate GARCH-M model and G7 monthly data covering the 1957-2003 period to test for the impact of real and nominal macroeconomic uncertainty on inflation and output growth.Our evidence supports ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2005-05)Using weekly observations on 9 Asian currencies from November 1976 to December 2003, we re-examine the evidence of an emerging yen block in North and Southeast Asia. In contrast to previous research that assumes instantaneous ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-09)This paper examines the financing of 117 privately held new technology-based firms (NTBFs) in the Irish software product sector. We advance the high-technology pecking order hypothesis (HTPOH) to explain the dominance of ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-12)A model is developed that can price path dependent options when the underlying process is an exponential Lévy process with closed form conditional characteristic function. The model is an extension of a recent quadrature ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004)We address the venture capital financing issue from the firm’s perspective. Using survey data for 110 new technology-based firms (NTBFs) in the Irish software sector, we assess the extent to which 5 human capital and 3 ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2004-04-18)A quantity known as the Local Cross-Entropy (LCE) for a density is proposed, defined to be the local derivative of the Cross-Entropy between a density and a ’kernel-smoothed’ version of itself, with respect to bandwidth ...