Centre for Financial Markets Working Papers

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10197/2599: Time varying risk aversion: an application to energy hedging

John Cotter and Jim Hanly

10197/2598: Oil volatility and the option value of waiting: an analysis of the G-7

Donal Bredin, John Elder and Stilianos Fountas

10197/2597: Hedging: scaling and the investor horizon

John Cotter and Jim Hanly

10197/2596: Investigating sources of unanticipated exposure in industry stock returns

Donal Bredin and Stuart Hyde

10197/2595: Scaling conditional tail probability and quantile estimators

John Cotter

10197/2568: An analysis of the EU Emission Trading Scheme

Donal Bredin and Cal Muckley

10197/2567: Assessing co-ordinated Asian exchange rate regimes

Raj Aggarwal and Cal Muckley

10197/2565: The Variance Gamma Self-Decomposable Process in Actuarial Modelling

Conall O'Sullivan and Michael Moloney

10197/2564: Pricing European and American options under Heston's stochastic volatility model with accelerated explicit finite differencing methods

Conall O'Sullivan and Stephen O'Sullivan

10197/2563: A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics

John Cotter and Richard Roll

10197/2562: Housing risk and return: evidence from a housing asset-pricing model

Karl E. Case, John Cotter and Stuart A. Gabriel

10197/1932: European monetary policy surprises: the aggregate and sectoral stock market response

Donal Bredin, Stuart Hyde and Gerard O'Reilly

10197/1690: Extreme measures of agricultural financial risk

John Cotter, Kevin Dowd and Wyn Morgan

10197/1239: Uncovering volatility dynamics in daily REIT returns

John Cotter and Simon Stevenson

10197/1197: Multivariate modeling of daily REIT volatility

John Cotter and Simon Stevenson

10197/1196: Modelling catastrophic risk in international equity markets: an extreme value approach

John Cotter

10197/1195: Exponential spectral risk measures

Kevin Dowd and John Cotter

10197/1194: Monetary policy & real estate investment trusts

Donal Bredin, Gerard O'Reilly and Simon Stevenson

10197/1193: Parameter uncertainty in Kalman filter estimation of the CIR term structure model

Conall O'Sullivan

10197/1192: Path dependent option pricing under Lévy processes applied to Bermudan options

Conall O'Sullivan

10197/1191: Evaluating the precision of estimators of quantile-based risk measures

Kevin Dowd and John Cotter

10197/1190: Spectral risk measures: properties and limitations

Kevin Dowd, John Cotter and Ghulam Sorwar

10197/1189: Spectral risk measures with an application to futures clearinghouse variation margin requirements

John Cotter and Kevin Dowd

10197/1188: Spectral risk measures and the choice of risk aversion functior

Kevin Dowd and John Cotter

10197/1187: Monetary shocks and REIT returns

Donal Bredin, Gerard O'Reilly and Simon Stevenson

10197/1186: Hedging effectiveness under conditions of asymmetry

John Cotter and Jim Hanly

10197/1185: Financial risks and the Pension Protection Fund: can it survive them?

David Blake, John Cotter and Kevin Dowd

10197/1184: Macroeconomic uncertainty and performance in the European Union and implications for the objectives of monetary policy

Donal Bredin and Stilianos Fountas

10197/1183: Risk aversion and the efficiency of the New York independent system operator’s market for transmission congestion contracts

Afzal S. Siddiqui, Emily S. Bartholomew, Chris Marnay and Shmuel S. Oren

10197/1182: Foreign shocks and the volatility of the ISEQ

Donal Bredin, Caroline Gavin and Gerard O'Reilly

10197/1181: Modelling financial crises of global equity markets

John Cotter

10197/1180: Assessing co-ordinated Asian exchange rate regimes

Raj Aggarwal and Cal Muckley

10197/1179: The performance and diversification benefits of funds of hedge funds

Emily Denvir and Elaine Hutson

10197/1178: Is macroeconomic uncertainty bad for macroeconomic performance? Evidence from five Asian countries

Donal Bredin and Stilianos Fountas

10197/1177: Real & nominal foreign exchange volatility effects on exports – the importance of timing

Donal Bredin and John Cotter

10197/1176: Conundrum or complication: a study of yield curve dynamics under unusual economic conditions and monetary policies

Peter Cripwell and David Edelman

10197/1175: How unlucky is 25-Sigma?

Kevin Dowd, John Cotter, Christopher Humphrey and Margaret Woods

10197/1174: A simple recursive numerical method for Bermudan option pricing under Lévy processes

Conall O'Sullivan

10197/1173: Reassessing the evidence of an emerging Yen block in North and Southeast Asia

Colm Kearney and Cal Muckley

10197/1172: Estimating financial risk measures for futures positions: a non-parametric approach

John Cotter and Kevin Dowd

10197/1171: Modeling long memory in REITs

John Cotter and Simon Stevenson

10197/1170: Is there a high technology pecking order? An investigation of the capital structure of NTBFs in the Irish software sector

Teresa Hogan and Elaine Hutson

10197/1169: Extreme spectral risk measures: an application to futures clearinghouse margin requirements

John Cotter and Kevin Dowd

10197/1168: Correlation dynamics between Asia-Pacifc, EU and US stock returns

Stuart Hyde, Donal Bredin and Nghia Nguyen

10197/1167: UK Stock returns & the impact of domestic monetary policy shocks

Donal Bredin, Stuart Hyde and Gerard O'Reilly

10197/1166: Capital structure in new technology-based firms: evidence from the Irish software sector

Teresa Hogan and Elaine Hutson

10197/1165: Volatility and Irish exports

Donal Bredin and John Cotter

10197/1164: International influences on Irish stock returns

Donal Bredin and Stuart Hyde

10197/1163: International policy rate changes and Dublin interbank offer rates

Donal Bredin, Caroline Gavin and Gerard O'Reilly

10197/1162: Margin requirements with intraday dynamics

John Cotter and François Longin

10197/1161: Intra-day seasonality in foreign exchange market transactions

John Cotter and Kevin Dowd

10197/1160: Monetary policy surprises and international bond markets

Donal Bredin, Stuart Hyde and Gerard O'Reilly

10197/1159: U.S. core inflation: a wavelet analysis

Kevin Dowd and John Cotter

10197/1158: Minimum capital requirement calculations for UK futures

John Cotter

10197/1157: Empirical analysis of the spot market implications of price-elastic demand

Afzal S. Siddiqui, Emily S. Bartholomew and Chris Marnay

10197/1156: Implied correlation from VaR

John Cotter and François Longin

10197/1155: Price-elastic demand in deregulated electricity markets

Afzal S. Siddiqui

10197/1154: Dynamics of equity market integration in Europe: impact of political-economy events

Raj Aggarwal, Brian M. Lucey and Cal Muckley

10197/1153: Do private equity buyouts represent value for target shareholders? Premiums in the boom of the early 2000s

Elaine Hutson and Darragh Mahony

10197/1152: Is North and South East Asia becoming a Yen block?

Colm Kearney and Cal Muckley

10197/1151: The tail risks of FX return distributions: a comparison of the returns associated with limit orders and market orders

John Cotter and Kevin Dowd

10197/1146: The non-linear evolution of high frequency short term interest rates

Peter Cripwell and David Edelman

10197/1145: Can the traditional Asian US dollar peg exchange rate regime be extended to include the Japanese yen?

Colm Kearney and Cal Muckley

10197/1144: Re-evaluating hedging performance

John Cotter and Jim Hanly

10197/1143: The early managed fund industry: investment trusts in 19th century Britain

Elaine Hutson

10197/1142: Uncovering long memory in high frequency UK futures

John Cotter

10197/1141: What factors determine the use of venture capital? Evidence from the Irish software sector

Teresa Hogan and Elaine Hutson

10197/1140: Tail behaviour of the Euro

John Cotter

10197/1139: Absolute return volatility

John Cotter

10197/1138: Varying the VaR for unconditional and conditional environments

John Cotter

10197/1127: The minimum local cross-entropy criterion for inferring risk-neutral price distributions from traded options prices

David Edelman

10197/1125: Macroeconomic uncertainty and macroeconomic performance: are they related?

Donal Bredin and Stilianos Fountas

10197/1124: Are fund of hedge fund returns asymmetric?

Margaret Lynch, Elaine Hutson and Max Stevenson