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Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/324252
Description: In this paper, we apply the 7,846 technical trading rules considered by Sullivan et al. (1999) to a stock index, some individual stocks, some currencies and some interest rate futures contracts traded ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1044192
Description: Most extrapolative stochastic mortality models are constructed in a similar manner. Specifically, when they are fitted to historical data, one or more series of time-varying parameters are identified. ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/286870
Description: We jointly investigate the responses of the Australian dollar (AUD) order flow, realized volatility and trading volume to unscheduled Reuters news headline alerts and scheduled macroeconomic news from ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/317968
Description: Continuing rapid changes in the level and pattern of mortality require that forecasts are available that are timely, relevant and reliable. This paper evaluates a previous forecast of the mortality an ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/336462
Description: This study investigates the impact of scheduled and unscheduled information arrival on realized volatility and volume in the USD/AUD exchange rate. The authors find that trading outside of Australian ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272521
Description: We propose a relatively simple, accurate and flexible approach to forecasting the distribution of defaulted debt recovery outcomes. Our approach is based on mixtures of Gaussian distributions, explici ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272441
Description: This paper explores the relationship between currency futures and realised spot rates for the Indian rupee US dollar exchange rate. Using futures contracts with maturities of one, two and three months ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230676
Description: In this paper, we study a bivariate shot noise self-exciting process. This process includes both externally excited joint jumps, which are distributed according to a shot noise Cox process, and two se ... More
Reviewed: Reviewed
Authors: Siu, Tak Kuen
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/212498
Description: We discuss an optimal investment problem of an insurer in a hidden Markov, regime-switching, modeling environment using a backward stochastic differential equation (BSDE) approach. Filtering theory is ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/274841
Description: This study examines the impact of corporate earnings announcements on trading activity and speed of price adjustment, analyzing algorithmic and non–algorithmic trades during the immediate period pre– ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/216934
Description: In this paper, we propose a novel Two-level Particle Swarm Optimization (TLPSO) to solve the credit portfolio management problem. A two-date credit portfolio management model is considered. The object ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/272708
Description: This study empirically examines the investment value of security analyst recommendations on constituent stocks of the S&P/ASX 50 index. We find that stocks with favourable (unfavourable) recommendatio ... More
Reviewed: Reviewed
Authors: Magee, Shane
Date: 2013
Language: eng
Resource Type: book chapter
Identifier: http://hdl.handle.net/1959.14/269679
Description: 24 page(s)
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/269794
Description: Over the past decade, corporate governance codes have been strengthened in many countries in response to large and high-profile corporate collapses. This paper examines directors' views on the relativ ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/218732
Description: This paper examines the choice of trade size by an illegal insider. Previous literature (i.e. Meulbroek 1992) tends to focus on the price impact of such a trader. Using a unique data set hand-collecte ... More
Reviewed: Reviewed