Centre for Financial Markets Working Papers : [73 items]
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The primary aim of the Centre for Financial Markets (CFM) is to produce research in Finance of the highest international standard by focusing attention on the operations of the financial services industry and their principal institutions. The Centre supports and promotes a research ethos that develops preliminary research through this working paper series and an internal research seminar series.

For more information please see the Centre for Financial Markets website.

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Collection's Items (Sorted by Submit Date in Descending order): 1 to 20 of 73
Published DateTitleAuthor(s)
Aug-2009Time varying risk aversion : an application to energy hedgingCotter, JohnHanly, Jim
Aug-2009Oil volatility and the option value of waiting : an analysis of the G-7Bredin, DonalElder, JohnFountas, Stilianos
Aug-2009Hedging : scaling and the investor horizonCotter, JohnHanly, Jim
2009Investigating sources of unanticipated exposure in industry stock returnsBredin, DonalHyde, Stuart
Mar-2009Scaling conditional tail probability and quantile estimatorsCotter, John
2009An analysis of the EU Emission Trading SchemeBredin, DonalMuckley, Cal
Jan-2010Assessing co-ordinated Asian exchange rate regimesAggarwal, RajMuckley, Cal
10-Jun-2010The Variance Gamma Self-Decomposable Process in Actuarial ModellingO'Sullivan, ConallMoloney, Michael
Jun-2010Pricing European and American options under Heston's stochastic volatility model with accelerated explicit finite differencing methodsO'Sullivan, ConallO'Sullivan, Stephen
28-Oct-2009A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional CharacteristicsCotter, JohnRoll, Richard
24-May-2010Housing risk and return : evidence from a housing asset-pricing modelCase, Karl E.Cotter, JohnGabriel, Stuart A.
Dec-2005European monetary policy surprises : the aggregate and sectoral stock market responseBredin, DonalHyde, StuartO'Reilly, Gerard
6-Oct-2008Extreme measures of agricultural financial riskCotter, JohnDowd, KevinMorgan, Wyn
2004Uncovering volatility dynamics in daily REIT returnsCotter, JohnStevenson, Simon
25-Apr-2005Multivariate modeling of daily REIT volatilityCotter, JohnStevenson, Simon
6-Apr-2005Modelling catastrophic risk in international equity markets : an extreme value approachCotter, John
20-Mar-2007Exponential spectral risk measuresDowd, KevinCotter, John
2007Monetary policy & real estate investment trustsBredin, DonalO'Reilly, GerardStevenson, Simon
2007Parameter uncertainty in Kalman filter estimation of the CIR term structure modelO'Sullivan, Conall
Dec-2004Path dependent option pricing under Lévy processes applied to Bermudan optionsO'Sullivan, Conall
Collection's Items (Sorted by Submit Date in Descending order): 1 to 20 of 73