Browsing by Author "J.E. Cairnes School of Business and Economics"
Now showing items 1-2 of 2
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A critical analysis of risk and volatility modeling in the financial markets
Moloney, Catherine (Kitty) (2011-12-20)In light of the recent financial crisis, the limitations of current risk estimation techniques have become apparent. The purpose of this thesis is to see if nonlinear tools and techniques can facilitate our understanding ... -
Examining the dynamical transition in the Dow Jones Industrial Index from Bull to Bear market using Recurrence Quantification Analysis
Moloney, Kitty; Raghavendra, Srinivas (2012-11-20)We present evidence of phase transitions (periodic to chaotic and chaotic to chaotic) in the Dow Jones Industrial Index as it transitions from Bull to Bear market. There is also evidence of a completely unpredictable (i.e., ...