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Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138669
Description: We investigate the long-term covered interest parity (CIP) relationship between the US dollar and the Japanese yen. We find that the CIP relation tends to be one way and favours those with the ability ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/76211
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/185541
Description: We study the problem of simultaneous and coherent assessment the probability of a firm's bankruptcy at various time horizons in future. In contrast with usual (one-period) formulations of the problem, ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/146616
Description: This study employs the classical and modified rescaled adjusted range statistic (R/S statistic) to investigate the sensitivity of the long-term return anomaly observed on the Dow Jones Industrial Aver ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/79084
Description: This paper investigates two important relationships using the sovereign issues made by major Latin American economies in the international bond market: the determinants of credit spread changes using ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/42095
Description: Using a daily time series from 1983 to 2005 of currency prices in spot and forward USD/Yen markets and matching equivalent maturity short-term US and Japanese interest rates, we investigate the sensit ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/42210
Description: This study contrasts the development of the Republic of Korea's market for won-denominated foreign bonds (Arirang) with similar markets in the Asia-Pacific region. It discusses the problems, concerns, ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/106257
Description: 17 page(s)
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/14187
Description: This study applies a multivariate EGARCH model, developed from the closed-form valuation model of Longstaff and Schwartz (1995), to explain the time-varying volatility of credit spreads on AAA and AA ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/13604
Description: We investigate the yield spread between the sovereign bonds issued in international markets by major Asia-Pacific issuers (China, Korea, Malaysia, Philippines and Thailand) and matched with near matur ... More
Date: 2006
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/14182
Description: This volume is concerned with contributing to the growing body of literature that examines the extent of, and the implications of enhanced independence and integration that will result from the recent ... More
Date: 2006
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/104699
Description: 24 page(s)
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/103142
Description: 25 page(s)
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/13503
Description: This study develops an equilibrium correction model (ECM) of the credit spreads on quality Japanese yen Eurobonds based on the Longstaff and Schwartz (1995) continuous time, closed form solution of th ... More
Date: 2005
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/73130
Description: We investigate the relationships between the sovereign bonds issued in international markets by major Asia-Pacific issuers (China, Korea, Malaysia, Philippines and Thailand) and various benchmark US T ... More