Working papers

Current School Working Papers are listed below.

The full working paper series (including pre-2008 papers) of the Centre for Financial Markets (CFM),  the Centre for Information, Technology & Systems (CITO), and the Centre for Management Science & Systems (CMSS) can be obtained from the webpages for these research centres.

A complete listing of all our research publications can be found under each faculty member’s profile.

How Unlucky is 25-Sigma? (385KB) (385KB) - Download

WP 08 /13

Authors: Kevin Dowd, John Cotter, Chris Humphrey and Margaret Woods

Banking & Finance Subject Area

Spectral Risk Measures: Properties and Limitations (481KB (481KB) - Download

WP 08 /14

Author: Kevin Dowd, John Cotter and Ghulam Sorwar

Banking & Finance Subject Area

Modeling Long Memory in REITs (643KB) (643KB) - Download

WP 08 /15

Author: John Cotter and Simon Stevenson

Banking & Finance Subject Area

Intra-Day Seasonality in Foreign Exchange Market Transactions (414KB (414KB) - Download

WP 08 /16

Author: John Cotter and Kevin Dowd

Banking & Finance Subject Area

Evaluating the Precision of Estimators of Quantile-Based Risk Measures (490KB) (490KB) - Download

WP 08 /17

Author: Kevin Dowd and John Cotter

Banking & Finance Subject Area

Financial Risks and the Pension Protection Fund: Can it Survive Them? (563KB) (563KB) - Download

WP 09 /01

Author: David Blake, John Cotter & Kevin Dowd

Banking & Finance Subject Area

Extreme Measures of Agricultural Financial Risk (1,396KB) (1,396KB) - Download

WP 09 /02

Author: John Cotter, Kevin Dowd and Wyn Morgan

Banking & Finance Subject Area

Spectral Risk Measures with an Application to Futures Clearinghouse Variation Margin Requirements (585KB) (585KB) - Download

WP 09 /03

Authors: John Cotter and Kevin Dowd

Banking & Finance Subject Area

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