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Date: 2009
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/209522
Description: A structural model is proposed to analyze linkages between large, medium and small capitalization securities traded on the Australian Stock Exchange. Small stocks fail to react instantaneously to the ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/74207
Description: The Basel 2 Accord requires regulatory capital to cover stress tests, yet no coherent and objective framework for stress testing portfolios exists. We propose a new methodology for stress testing in t ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/87364
Description: Equity markets do not pass all overnight information into prices instantly at the opening of trade. We adjust open-to-close return series for non-instantaneous information absorption and then use adju ... More
Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/83476
Description: Under the new capital accord stress tests are to be included in market risk regulatory capital calculations. This development necessitates a coherent and objective framework for stress testing portfol ... More
Reviewed: Reviewed
Date: 2006
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/13458
Description: We show that volatility spillovers are large enough to matter to investors. We demonstrate that standard deviations of returns to mean-variance portfolios of European equities fall by 1–1.5% at daily, ... More
Reviewed: Reviewed
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/76599
Description: This paper examines the equilibrium implications of the Expectations Hypothesis of term structure to different maturities of high-grade Australian dollar denominated Eurobonds and Australian Governmen ... More
Reviewed: Reviewed
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