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Date: 2016
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1184441
Description: Changes in residual volatility in vector autoregressive (VAR) models can be used for identifying structural shocks in a structural VAR analysis. Testable conditions are given for full identification f ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/356492
Description: Detecting contagion during financial crises requires the demarcation of crisis periods. We develop a method for endogenously dating both the start and finish of crises, along with measuring contagion ... More
Reviewed: Reviewed
Date: 2015
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/350590
Description: We test for price bubbles in 14 national real estate investment trust (REIT) markets, and measure the degree of their convergence towards a common trend. Our methodology consists of the recently devel ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/304817
Description: We study market illiquidity across 11 national markets of the Balkans. In general, the EU member countries are more liquid than the nonmember countries. Turkey, however, has the most liquid market, wh ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/277297
Description: We consider the local identification of parameters in structural VAR models with ARCH type errors. By establishing a mapping between the structural and reduced-form models, we provide a set of suffici ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/228330
Description: Purpose – The purpose of this paper is to investigate contagion between real estate investment trusts (REITs) within and across three geographical regions: North America, Europe and Asia-Pacific. The ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/178178
Description: We conduct an empirical investigation into the financial contagion hypothesis in the context of 12 US industry portfolios. Using a four-factor asset pricing model we measure contagion as the excess co ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/156750
Description: We forecast demand for Australian passports using a number of univariate and multivariate forecasting models, and assess their relative predictive ability over a number of forecasting horizons and eva ... More
Reviewed: Reviewed
Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/182474
Description: Purpose: The purpose of this paper is to study correlations between the national real estate investment trusts (REIT) markets in the USA and the four Asia-Pacific countries of Australia, Hong Kong, Ja ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/151622
Description: Existing literature suggests that conditional correlations between equity markets vary over time, and increase over periods of financial crises. The author tests this hypothesis on a set of eight nati ... More
Reviewed: Reviewed
Date: 2011
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/130568
Description: I investigate the impact of the Global Financial Crisis (GFC) on the returns and volatilities of eleven major European share markets, and test the proposition that the GFC developed over two stages: a ... More
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Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/118355
Description: We evaluate differential effects of the trading activity of two classes of traders: hedgers and general investors, on the volatility of the NYMEX crude oil futures returns. It appears that the rebalan ... More
Full Text: Full Text
Reviewed: Reviewed
Date: 2010
Subject Keyword: 140200 Applied Economics | G14 | G15 | C52
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114771
Description: We propose a method for estimating the earliest time during the trading day when overnight information is reflected in domestic share prices, and use it to measure the impact of international commodit ... 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/1959.14/97030
Description: I examine interdependencies between the national stock markets of the US, the UK, Japan and Australia, and consider their implications for international portfolio diversification over the 1971-2010 ti ... More
Reviewed: Reviewed