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Browsing Interdisciplinary Centres & Research Groups by Subject "G12"
Now showing items 1-12 of 12
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(University College Dublin. School of Business. Centre for Financial Markets, 2009)The European Union's Emissions Trading Scheme (ETS) is the key policy instrument of the European Commission's Climate Change Program aimed at reducing greenhouse gas emissions to eight percent below 1990 levels by 2012. A ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2007)We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific metrics to compare the hedging effectiveness of short and long hedgers using crude oil futures contracts. ...
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(University College Dublin. School of Business. Centre for Financial MarketsUniversity College Dublin. Geary Institute, 2009-08)This paper examines the volatility and covariance dynamics of cash and futures contracts that underlie the Optimal Hedge Ratio (OHR) across different hedging time horizons. We examine whether hedge ratios calculated over ...
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(University College Dublin. Geary Institute, 2009-11)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 ...
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(2009-11)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 ...
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(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 ...
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(University College Dublin. School of Business. Centre for Financial Markets, 2006)Value at risk (VaR) is a risk measure that has been widely implemented by financial institutions. This paper measures the correlation among asset price changes implied from VaR calculation. Empirical results using US and ...
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(Elsevier, 2005)We use bivariate ARCH specifications to model the conditional mean and stock price volatility for 56 takeover bids from January 1985 and July 1994. Using daily data from one year prior to the takeover announcement until ...
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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 MarketsUniversity College Dublin. Geary Institute, 2009-08)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 ...
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(2009)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 a ...
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(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 ...
Now showing items 1-12 of 12