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Search Results for Collection: Financial Mathematics Computation Cluster
Now showing items 1-3 of 3
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(Wiley-Blackwell, 2011-03-07)This paper investigates the hedging effectiveness of a dynamic moving window OLS hedging model, formed using wavelet decomposed time-series. The wavelet transform is applied to calculate the appropriate dynamic minimum-variance ...
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(2011)This paper explores integration and contagion among US metropolitan housing markets. The analysis applies Federal Housing Finance Agency (FHFA) house price repeat sales indexes from 384 metropolitan areas to estimate a ...
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(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 ...
Now showing items 1-3 of 3