Now showing 1 - 10 of 26
  • Publication
    Time-varying risk aversion : an application to energy hedging
    (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 a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive explicit risk aversion based optimal hedge strategies for both short and long hedgers. Out-of-sample results are also presented based on a unique approach that allows us to forecast risk aversion, thereby estimating hedge strategies that address the potential future needs of energy hedgers. We find that the risk aversion based hedges differ significantly from simpler OLS hedges. When implemented in-sample, risk aversion hedges for short hedgers outperform the OLS hedge ratio in a utility based comparison.
      546
  • Publication
    Modelling extreme financial returns of global equity markets
    (Papazisis Press, 2004-11)
    Extreme asset price movements appear to be more pronounced recently and have major consequences for an economy’s financial stability and monetary policies. This paper investigates the extreme behaviour of equity market returns and quantifies the probabilities of these losses. Taking fourteen major equity markets the study is able to ascertain similarities and divergences in the tail returns from around the world. To do so, it applies extreme value theory to equity indices representing American, Asian and European markets. The paper finds that all markets tail realisations are adequately modelled with the fat-tailed Fréchet distribution. Furthermore tail realisations associated with the downside of a distribution are greater than those associated with the upside, and extreme returns for Asian markets are usually larger than their European and American counterparts.
      289
  • Publication
    Hedging your bets
    (Euromoney Institutional Investor PLC., 2006-06) ;
      196
  • Publication
    Viability Of the Irish Equity market
    (Irish Bankers' Federation, 2004)
    This paper assesses the viability of the Irish Stock Exchange. Overall the prognosis is positive with a few notable exceptions. On the downside some trading characteristics including thin trading and an uncompetitive market structure are identified. However on the upside there are a number of reasons to be confident for the future of Irish equity investments. Importantly, the risk and return performance compares favourably with other major equity markets since 1990. This relatively strong performance continues in the new millennium even for the more volatile climate facing investors. The analysis suggests that the ISEQ offers opportunities for international diversification and the use of exploitable trading rules.
      327
  • Publication
    Volatility and the Euro : an Irish perspective
    (Statistical and Social Inquiry Society of Ireland, 2000)
    How volatile is the euro currency? Given Ireland’s open economy status and its strong trading dependency on economies outside the euro area, understanding this question is vital. The paper analyses the volatility levels facing Irish economic agents by comparing the experiences from membership of the European Monetary System (EMS) through to the new single currency. The focus is on measuring volatility using two methodologies - Conditional Variance GARCH models and Extreme Value Theory models. It shows that whilst average volatility levels of the euro exceed the Irish pound’s experience within the EMS, the probability that fluctuations such as those that arose during the currency crises of 1992/93 now appear less likely to occur.
      405
  • Publication
    Real & nominal foreign exchange volatility effects on exports – the importance of timing
    (2009-11-19T16:30:10Z) ;
    This paper compares real and nominal foreign exchange volatility effects on exports. Using a flexible lag version of the Goldstein-Khan two-country imperfect substitutes model for bilateral trade, we identify the overall effect into both a timing as well as a size impact. We find that the size impact of forecasted foreign exchange volatility does not vary according to the measure used in terms of magnitude and direction. However, there are very different timing effects, when we compare real and nominal foreign exchange rate volatility.
      302
  • Publication
    Managing foreign exchange exposure for Irish exports
    (Irish Bankers Federation, 2006-05) ;
    All exporters need to correctly manage their foreign exchange exposure with the full support and expertise of their banks, states Dr. John Cotter.
      227
  • Publication
    Extreme returns are important
    (Henry Stewart Publications, 2004)
    Focuses on the importance of the accurate modelling of market risk. Dates of extreme trading events experienced by derivative traders; Standard approach to modelling any market movement and its implications; Use of extreme value theory in providing accurate tail risk measures.
      226
  • Publication
    The distributional characteristics of a selection of contracts traded on the London International Financial Futures Exchange
    (Blackwell, 2000-04) ;
    This study examines the distributional properties of futures prices for contracts traded on LIFFE. A filtering process is employed to remove day of the week and holiday effects, a maturity effect, moving average effects and the influence of an asset's conditional variance from the raw returns series. Alternative distributional models from the stable paretian and ARCH families are examined for their applicability to futures data using a stability under additions. The results conclusively reject the hypothesis that futures returns are normally distributed with findings in favour of two related hypotheses – the mixtures of stable distribution and the ordinary stable distribution.
    Scopus© Citations 5  553