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Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230055
Description: This research is funded by the Capital Markets Cooperative Research Centre. The authors would like to thank the Australian Stock Exchange for the provision of data and the Securities Industry Research ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/104318
Description: The estimation of loss reserves for incurred but not reported (IBNR) claims presents an important task for insurance companies to predict their liabilities. Recently, individual claim loss models have ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/101737
Description: We document asymmetry in return and volatility spillover between equity and bond markets in Australia for daily returns during the period 1992-2006 using a bivariate GARCH modelling approach. Negative ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272701
Description: We consider the optimal proportional reinsurance and dividend strategy. The surplus process is modeled by the classical compound Poisson risk model with regime switching. Considering a class of utilit ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/89857
Description: A critical problem in financial and insurance risk analysis is the calculation of risk margins. When there are a number of risks, the total risk margin is often reduced to reflect diversification. How ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/133084
Description: 7 page(s)
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218912
Description: This study examines the adjustment process in the interest rate futures market following large block trades, by analyzing changes in the levels of quoted prices, bid-ask spreads, and trading activity. ... More
Reviewed: Reviewed
Authors: Ferris, Shauna
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/101795
Description: In 2009, in the aftermath of the Global Financial Crisis, 140 American banks failed–and hundreds of other banks were classified as “problem institutions” by the FDIC. This has led to numerous books an ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/294873
Description: This study is the first to examine intraday variations in quoted depth on the Nasdaq, a competitive dealer market. Consistent with prior literature, we document a negative association between the intr ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/288037
Description: 9 page(s)
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: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218911
Description: This article is the first to examine liquidity and transaction costs in the European carbon futures market. Results indicate a dramatic improvement in liquidity and a subsequent reduction in transacti ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218930
Description: This study examines the profitability of local traders on floor-traded futures markets. Using unique data from the period of floor trading on the Sydney Futures Exchange, local income is decomposed in ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/105353
Description: We investigate time series linkages between the EU carbon allowance price and the prices of coal, oil, natural gas and electricity. We find no long-run relationship between the variables, but instead ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/110223
Description: We consider a set of workers’ compensation insurance claim data where the aggregate number of losses (claims) reported to insurers are classified by year of occurrence of the event causing loss, the U ... More
Reviewed: Reviewed