Browsing Financial Mathematics Computation Cluster by Author "Dowd, Kevin"

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Extreme global equity market risk

Cotter, John ; Dowd, Kevin (Palgrave Macmillan, 2011-11)

Extreme asset price movements appear to be more pronounced over time and have major consequences for an economy’s financial stability and monetary policies. This article investigates the extreme behaviour of equity market ...
Intra-day seasonality in foreign exchange market transactions

Cotter, John ; Dowd, Kevin (Elsevier, 2010-04)

This paper examines the intra-day seasonality of transacted limit and market orders in the DEM/USD foreign exchange market. Empirical analysis of completed transactions data based on the Dealing 2000-2 electronic inter-dealer ...
U.S. core inflation : a wavelet analysis

Dowd, Kevin ; Cotter, John (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 ...
U.S. core inflation : a wavelet analysis

Cotter, John ; Dowd, Kevin ; Loh, Lixia (Cambridge Journals, 2010-06)

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 ...