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Date: 2015
Language: eng
Resource Type: Thesis PhD
Identifier: http://hdl.handle.net/1959.14/1053706
Description: "October 2014".
Full Text: Full Text
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/133575
Description: In this paper we identify risk factors for Asia-focused hedge funds through a modified style analysis technique. Using an Asian hedge fund index, we find that Asian hedge funds show significant positi ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/136325
Description: In this paper, we study the problem of modelling the dependence of defaults in several sectors. We consider a network-based model for the default data sequences and model the sequences by a Markov cha ... More
Reviewed: Reviewed
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
Authors: Weng, Haijie
Date: 2010
Language: eng
Resource Type: conference paper abstract
Identifier: http://hdl.handle.net/1959.14/139745
Description: Purpose: To identify the risk factors and perform risk analysis for Asia-focused hedge funds. Originality: To our best knowledge, this is the first empirical study applying style analysis to identify ... More
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/152944
Description: Transition matrices are an important determinant in risk management and VAR calculations for credit portfolios. It is well known that rating migration behavior is not constant through time in that it ... More
Reviewed: Reviewed
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