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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1061330
Description: We examine the dependence structure of electricity spot prices across regional markets in Australia. One of the major objectives in establishing a national electricity market was to provide a national ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/359664
Description: This paper examines market concentration and stock returns on the Australian Securities Exchange. We find that dominant companies operating in concentrated industries in Australia are able to generate ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/170323
Description: This paper deals with the estimation of continuous-time diffusion processes which model the dynamics of a well diversified world stock index (WSI). We use the nonparametric kernel-based estimation to ... More
Reviewed: Reviewed
Date: 2011
Subject Keyword: concentration | stock returns
Language: eng
Resource Type: conference paper
Identifier: http://hdl.handle.net/1959.14/1070742
Description: We argue that not only the standard risk factors (size, book-to-market ratio) affect the average stock returns, but also the structure of the product market itself. We address the issue of competition ... More
Reviewed: Reviewed
Authors: Ignatieva, Katja
Date: 2011
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/193722
Description: Purpose: Our study is aimed to give a better understanding of the price dynamics in regional electricity spot markets in Australia. We examine the dependence structure between electricity spot prices ... More
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/170424
Description: The aim of this paper is to model the dependency among log-returns when security account prices are expressed in units of a well diversified world stock index. The dependency in log-returns of currenc ... More
Reviewed: Reviewed
Authors: Ignatieva, Katja
Date: 2010
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/134604
Description: Purpose: To examine economic determinants of the cross-sectional stock returns on the Australian stock market compared to the US market, and show that besides standard risk factors such that size and ... More
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/125121
Description: This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling u ... More
Reviewed: Reviewed
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