Browsing College of Business, Public Policy and Law by Author "Moloney, Kitty"
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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., ... -
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 ...