Now showing items 1-9 of 9

  • Assessing the Empirical Performance of the DSGE models in the lead up to the Crisis 

    Ashe, Sinead; Raghavendra, Srinivas (2013)
     The global financial crisis has sparked renewed debate over the state of macroeconomic modeling, particularly in the lead up to the 2008/2009 Great Recession. The standard workhorse of macroeconomic modeling, the Dynamic ...
  • 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 ...
  • Critical transitions in Eurozone sovereign bond markets 

    Metadjer, Naoise; Raghavendra, Srinivas (Department of Economics, National University of Ireland, Galway, 2013)
    In this paper we present empirical evidence that the sovereign bond markets may have undergone a catastrophic transition during the Eurozone debt crisis. We find evidence of a phenomenon called critical slowing down that ...
  • Decomposition Methods in Analyzing Intra-regional and Inter-regional Income Distribution 

    Raghavendra, Srinivas (National University of Ireland, Galway, 2006)
    In this paper we propose to study the world income distribution in the framework of Richard Stone-Richard Goodwin decomposition method [Goodwin, EJ 1949 and JPKE 1980, Stone¿s foreword to Pyatt-Roe, 1977]. The objective ...
  • 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., ...
  • A Framework for Testing Algorithmic Trading Strategies 

    Raghavendra, Srinivas; Paraschiv, Daniel; Vasiliu, Laurentiu (National University of Ireland, Galway, 2008)
    Algorithmic trading and artificial stock markets have generated huge interest not only among brokers and traders in the financial markets but also across various disciplines in the academia. The emergence of algorithmic ...
  • Limits to Exhilarationism: Revisiting Kaldorian Dynamics 

    Raghavendra, Srinivas (National University of Ireland, Galway, 2005)
    It has been argued, in the context of modern economies that there are many margins of compensation that could serve to mask the demand side impact of the deteriorated income distribution. Investment Exhilarationism was ...
  • Quantitative Risk Estimation in the Credit Default Swap Market using Exteme Value Theory 

    Moloney, Kitty; Raghavendra, Srinivas (National University of Ireland, Galway, 2010)
    This paper is motivated by empirical evidence illustrating the non-Gaussian nature of financial returns, (Jondeau et al 2007) and analyses extreme value theory, (EVT) as a proposed improvement (Embrechts et al., 2005) for ...
  • Whitaker Institute Policy Brief 

    Raghavendra, Srinivas (2012)
    With the growing discontent to the Austerity policies in Europe, there is also a growing demand for seeking alternative policies for solving the crisis. The alternative policies would only come about by recognizing the ...