Browsing Economics (Working Papers) by Author "Raghavendra, Srinivas"
Now showing items 1-8 of 8
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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 ... -
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 ... -
An investigation into the dynamics of financial catastrophe
Raghavendra, Srinivas (Economics Working Paper, 2012)The paper captures the dynamics of interaction between the real and the nancial sector in a model of endogenous credit that exhibits multiple steady states and generates phase transitions with catastrophic abrupt- ness. ... -
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 ...