Centre for Financial Markets
2009
WP-09-01
Assessing Co-ordinated Asian Exchange Rate Regimes
Raj Aggarwal and Cal B. Muckley
WP-09-02
Extreme Measures of Agricultural Financial Risk
John Cotter, Kevin Dowd and Wyn Morgan
WP-09-03
An Analysis of the EU Emission Trading Scheme
Don Bredin and Cal Muckley
WP-09-04
Scaling conditional tail probability and quantile estimators
John Cotter
WP-09-05
Investigating Sources of Unanticipated Exposure in Industry Stock Returns
Don Bredin and Stuart Hyde
WP-09-06
Hedging: Scaling and the Investor Horizon
John Cotter and Jim Hanly
WP-09-07
Oil Volatility and the Option Value of Waiting: An analysis of the G-7
Don Bredin, John Elder and Stilianos Fountas
WP-09-08
Time Varying Risk Aversion: An Application to Energy Hedging
John Cotter and Jim Hanly
WP-09-09
A Comparative Anatomy of REITs and Residential Real Estate Indexes:
Returns, Risks and Distributional Characteristics
John Cotter and Richard Roll
WP-09-10
Housing risk and return:
Evidence from a housing asset-pricing model
Karl Case, John Cotter and Stuart Gabriel
2008
WP-08-01
The Non-Linear Evolution of High Frequency Short Term Interest Rates
Peter Cripwell and David Edelman
WP-08-02
Conundrum or Complication: A Study of Yield Curve Dynamics under Unusual Economic Conditions and Monetary Policies.
Peter Cripwell and David Edelman
WP-08-03
Do private equity buyouts represent value for target shareholders?
Premiums in the boom of the early 2000s
Elaine Hutson, Darragh Mahony
WP-08-04
How Unlucky is 25-Sigma?
Kevin Dowd, John Cotter, Chris Humphrey and Margaret Woods
WP-08-05
Spectral Risk Measures: Properties and Limitations
Kevin Dowd, John Cotter and Ghulam Sorwar
2007
WP-07-01
Bredin, D., OReilly, G. and Stevenson, S. (2007) ‘Monetary Policy & Real Estate Investment Trusts’, UCD Working Paper.
WP-07-02
Cotter, J., 2007, (Co-Author K. Dowd), Spectral Risk Measures: An Application to Futures Clearinghouse Variation Margin Requirements.
WP-07-03
Cotter, J., 2007, (Co-Authors D. Blake and K. Dowd), Financial risks and the Pension Protection Fund: Can it survive them?
WP-07-04
Bredin, D. and Fountas, S. (2007) ‘Is Macroeconomic Uncertainty Bad for Macroeconomic Performance: Evidence from Five Asian Countries’, UCD Working Paper.
WP-07-05
Bredin, D., S. Hyde and OReilly, G. (2007) ‘Monetary Surprises and International Bond Markets’, UCD Working Paper
WP-07-06
Cotter, J., 2007, (Co-Author K. Dowd), Exponential Spectral Risk Measures.
WP-07-07
Cotter, J., (Co-Author S. Stevenson), 2007, Modelling Long Memory in REITs.
WP-07-08
Cotter, J., (Co-Author J. Hanly), 2007, Futures Hedging Effectiveness under Conditions of Asymmetry
WP-07-09
Muckley, C., (Co-Author H. Hoskyns), 2007, Emissions trading and EUA price determinants
WP-07-10
Muckley, C., (Co-Author R. Aggarwal), 2007, Concerning the Asian prospective basket peg exchange rate regime
WP-07-11
Cotter, J., (Co-Author, K. Dowd), 2007, The tail risk of FX return distributions: a comparison of the returns associated with limit orders and market orders.
WP-07-12
Cotter, J., (Co-Author, K. Dowd), 2007, Intra-day seasonality in foreign exchange market transactions.
WP-07-13
Cotter, J., (Co-Author, K. Dowd), 2007, Evaluating the accuracy of quantile-based risk measures.
WP-07-14
Cotter, J., (Co-Author, K. Dowd), 2007, Estimating financial risk measures for futures positions: a non-parametric approach.
WP-07-15
Bredin, D., O Reilly, G. and Stevenson, S., 2007,Monetary Shocks and REIT Returns.
WP-07-16
Aggarwal, A and C. B. Muckley, 2007, Assessing Co-ordinated Asian Exchange Rate Regimes.
WP-07-17
Hyde, S., Bredin, D. and Nguyen, N., 2007, Correlation Dynamics between Asia-Pacific, EU and US Stock Returns.
WP-07-18
O’ Sullivan, C, 2007, Parameter Uncertainty in Kalman Filter Estimation of the CIR Term Structure Model.
WP-07-19
O’ Sullivan, C, 2007, A simple recursive numerical method for Bermudan option pricing under Lévy processes.
WP-07-20
Cotter, J., 2007, (Co-Author K. Dowd), Spectral Risk Measures and the Choice of Risk Aversion Function.
2006
WP-06-01
Bredin, D. & Hyde, S. "European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response"
WP-06-02
Cotter, J & Dowd, K. "Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements"
WP-06-03
Bredin, D. & Stilianos, F. "Macroeconomic Uncertainty and Performance in the European Union and Implications for the Objectives of Monetary Policy"
WP-06-04
Bredin, D. & Hyde, S. "UK Stock Returns & the Impact of Domestic Monetary Policy Shocks"
WP-06-05
Cotter, J. & Longin, F. "Implied correlation from VaR"
WP-06-06
Cotter, J. "Modelling catastrophic risk in international equity markets: An extreme value approach"
WP-06-07
Hutson, E and T. Hogan, 2006, Is there a high technology pecking order? An investigation of the capital structure of NTBFs in the Irish software sector
WP-06-08
Muckley, C., R. Aggarwal and B. M. Lucey, 2006, Dynamics of equity market integration in Europe: impact of political-economy events.
WP-06-09
O’Sullvan, C., 2006, Local maxima in Kalman filter estimation of term structure models.
WP-06-10
Bredin, D., OReilly, G. and Stevenson, S. 2006, The Response of REITs to Monetary Policy Transmission.
WP-06-11
Bredin, D., OReilly, G. and Stevenson, S., 2006, Monetary Shocks and REIT Returns.
WP-06-12
Bredin, D. and Cotter, J., 2006, Real & Nominal Foreign Exchange Volatility Effects on Exports - The Importance of Timing.
WP-06-13
Bredin, D., and S. Hyde, 2006, Regime Changes in the Relationship between Stock Returns and the Macro Economy’.
WP-06-14
Bredin, D., S. Hyde and OReilly, G., 2006, European Monetary Policy Shocks: The Industry Response.
WP-06-15
Cotter, J., (Co-Author, K. Dowd), 2006, U.S. Core Inflation: A Wavelet Analysis.
2005
WP-05-01
Cotter, J & D. Bredin, "Volatility and Irish Exports".
WP-05-02
O’Sullivan, C;, Path dependent option pricing under Lévy processes: Applied to Bermudan options".
WP-05-03
Cotter, J & J. Hanly, "Re-evaluating Hedging Performance".
WP-05-04
Cotter, J & Stevenson. S, "Multivariate Modeling of Daily REIT Volatility".
WP-05-05
Muckley, C., and C. Kearney, 2005, Is north and south east Asia becoming a Yen block?
WP-05-06
Muckley, C., and C. Kearney, 2005, Reassessing the Evidence of an emerging Yen Block in North and Southeast Asia.
WP-05-07
Muckley, C., and C. Kearney, 2005, Can the traditional Asian US dollar Peg Exchange Rate Regime be extended to include the Japanese yen?
WP-05-08
Bredin, D. & Fountas, S. 2005, Macroeconomic Uncertainty and Macroeconomic Performance: Are they Related?.
2004
WP-04-01
Edelman, D. "The Minimum Local Cross_Entropy Criterion For Inferring Risk-Neutral Price Distributions From Traded Options Prices".
WP-04-02
Hutson, E. and Lynch, M. "Are Fund of Hedge Fund Returns Symmetric?".
WP-04-03
Bartholomew, E., Marnay, C. & Siddiqui, A. "Empirical Analysis of the Spot Market Implications of Price Elastic Demand".
Siddiqui, A. "Price Elastic Demand in Deregulated Electricity Markets".
WP-04-04
Cotter, J. "Uncovering Long Memory in High Frequency UK Futures".
WP-04-05
Bredin, D. & Gavin, C. "Foreign Shocks and the Volatility of the ISEQ".
WP-04-06
Cotter, J. "Varying the VaR for Unconditional and Conditional Environments".
WP-04-07
Bredin, D. & Fountas, S. "Macroeconomic Uncertainty and Macroeconomic Performance: Are they Related?".
WP-04-08
Cotter, J. "Minimum Capital Requirement Calculations for UK Futures".
WP-04-09
Cotter, J.& Longin, F. "Margin Requirements with Intraday Dynamics".
WP-04-10
Siddiqui, A., Bartholomew, E., Marnay, C., Oren, S "Risk Aversion and the Efficiency of the New York Independant System Operator's Market for Transmission Congestion Contracts.".
WP-04-11
Cotter, J. "Absolute Return Volatility".
WP-04-12
Cotter, J. "Tail Behaviour of the Euro".
WP-04-13
Denvir, E. and Hutson, E. "The performance and diversification benefits of funds of hedge funds".
WP-04-14
Bredin, D., Gavin, C. & O'Reilly, G. "International Policy Rate Changes and the Dublin Interbank Offer Rates".
WP-04-15
Cotter, J. "Modelling Financial Crises of Global Equity Markets".
WP-04-16
Bredin, D. & Hyde, S. "International Influences on Irish Stock Returns".
WP-04-17
Hutson, E and T. Hogan, 2004, What factors determine the use of venture capital? Evidence from the software sector.
WP-04-18
Hutson, E, 2004 The early managed funds industry: investment trusts in 19th century Britain.
WP-04-19
Hutson, E and T. Hogan, 2004, Capital structure in new technology-based firms: financing in the Irish software sector.
WP-04-20
O'Sullivan, C., 2004, Pricing American options under affine jump-diffusion processes.
WP-04-21
Cotter, J., and S. Stevenson, 2004, Uncovering Volatility Dynamics In Daily REIT Returns.
