UCD RePEc Archive Collection

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This archive collects full text open access versions (post-prints) of journal articles, conference papers, working papers and other research outputs from University College Dublin and sends them to RePEc and its services.

The authors included in this RePEc archive do not already benefit from their own local RePEc archive. See also UCD School of Economics Open Access Publications, UCD School of Economics Working Papers and UCD Geary Institute Working Papers for more UCD economics research.

If you are a UCD researcher and would like to have your papers appear in this RePEc archive, please contact research.repository@ucd.ie.


Recent Submissions

Now showing 1 - 5 of 130
  • Publication
    Calendar effects in Bitcoin returns and volatility
    We use a GARCH dummy model to study the influence of calendar effects on daily conditional returns and volatility of Bitcoin during the period 2013–2019. The Halloween, day-of-the-week (DOW), and month-of-the-year (MOY) effects are analyzed. Our results reveal no evidence of a Halloween calendar anomaly. A classical DOW effect is not present in Bitcoin returns, however, we find significantly lower risk over the weekend whilst in the beginning of the week Bitcoin's volatility is more intense. Moreover, supporting evidence of a reverse January effect is detected. Our results also show that investors’ risk drops substantially in September.
    Scopus© Citations 41  29
  • Publication
    Mind the Gap: Advancing Evolutionary Approaches to Regional Development with Progressive Empirical Strategies
    (University College Dublin. Spatial Dynamics Lab, 2023-04-14) ; ;
    Explaining the persistently uneven spatial patterns of development remains a central goal of economic geography and regional science. Recognizing that regional development is a process of ongoing change, many scholars now approach the topic from an evolutionary perspective that identifies knowledge recombination processes and institutions as key drivers of change. However, research has not yet fully integrated the various theoretical perspectives and empirical data streams that characterize evolutionary approaches. The present contribution identifies how an evolutionary approach centered on knowledge and institutions can be integrated with complementary forms of evidence gathered from a variety of sources to advance our understanding of regional development. Expanding and integrating the evidence base used to study regional change has important implications for making effective and responsive policy instruments.
    Scopus© Citations 9  165
  • Publication
    The nonlinear effect of technological diversification on regional productivity: implications for growth and Smart Specialisation strategies
    (University College Dublin. Spatial Dynamics Lab, 2023-04-17) ; ;
    With a sample of 268 EU regions and with the use of multilevel modelling, we demonstrate that different measures of technological diversification measured as coherence and entropyvariety, have different nonlinear effects on regional productivity growth and that these nonlinear effects work in opposite directions to each other. Our analysis shows that higher regional productivity returns can be found in regions investing both around their existing technological capabilities as well as in more distant knowledge domains. Our findings have significant implications for understanding regional productivity growth processes and the implementation of Smart Specialisation Strategies.
  • Publication
    From Income Poverty to Multidimensional Quality of Life
    (Economic and Social Studies, 2019-12-16) ; ;
    In this paper we provide an overview of the movement in Ireland from a focus on income poverty to the incorporation of deprivation indicators in a multidimensional approach to the measurement of poverty. We then seek to place this approach, involving a restricted incorporation of deprivation dimensions, in the context of a broader multidimensional approach to the understanding of poverty in Ireland. We proceed to extend our consideration to multidimensional approaches to quality of life which have involved macro and micro approaches to developing aggregate measures that go well beyond the normal concerns of poverty research. In so doing, we will seek to show that while all of these approaches must face key judgements relating to choices of dimensions, thresholds, weighting and aggregation, there is significant variation in the challenges posed in relation to the scale of aggregation, the degree of multidimensionality aspired to and the availability of data sources that match such ambitions. Given these issues, the superiority of a multidimensional approach and of a focus more broadly on quality of life must be demonstrated rather than assumed.
  • Publication
    On the term structure of liquidity in the European sovereign bond market
    The paper provides a high-frequency analysis of liquidity dynamics in the eurozone sovereign bond market over tranquil and crisis periods. We study time series of liquidity across the yield curve using high-frequency data from MTS, one of Europe’s leading electronic fixed-income trading platforms. We document flight-to-liquidity effects as investors prefer to trade on shorter-term benchmarks during liquidity dry-ups. We provide evidence of significant commonalities in spread and depth liquidity proxies which are weaker during the crisis period for both core and periphery economies although periphery countries display higher commonality than core countries during the crisis. We show that illiquidity of the periphery countries plays an important role in market dynamics and Granger causes illiquidity, volatility, returns, and CDS spreads across the maturity spectrum in both calm and crisis periods. Liquidity is priced both as a characteristic and as a risk factor even when controlling for credit risk, pointing to liquidity’s systematic dimension and importance.
    Scopus© Citations 16  439