Search Results - "Dark, Jonathan"

An adaptive long memory conditional correlation model by Dark, Jonathan

Get full text

The lead of oil price rises on US equity market beliefs and preferences by Dark, Jonathan

“…We find that oil price rises from a strengthening global economy have a state‐dependent lead on US equity market beliefs and preferences. When equity…”
Get full text

How Do Patients Aged 85 and Older Fare with Abdominal Surgery? by Mirbagheri, Naseem, Dark, Jonathan G., Watters, David A. K.

“…OBJECTIVES: To review the outcomes of patients aged 85 and older after abdominal surgery in terms of mortality, morbidity, and change in residential status and…”
Get full text

Multivariate models with long memory dependence in conditional correlation and volatility by Dark, Jonathan

“…Multivariate models with long memory (LM) in conditional correlation and volatility are proposed. The models employ a fractionally integrated version of the…”
Get full text

Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH by Dark, Jonathan

“…Markov switching vector error correction asymmetric long memory volatility models with fat tailed innovations are proposed. Bivariate two state versions of the…”
Get full text

A Critique of Minimum Variance Hedging by Dark, Jonathan

“…This paper provides a critique of minimum variance hedging using futures. The paper develops the conventional minimum variance hedge ratio (MVHR) and discusses…”
Get full text

Currency Overlay for Global Equity Portfolios: Cross-Hedging and Base Currency by Opie, Wei, Dark, Jonathan

“…The effectiveness of a currency overlay hedge for a global equity portfolio can be significantly affected by changes in the base currency. Base currency…”
Get full text

Will tighter futures price limits decrease hedge effectiveness? by Dark, Jonathan

“…► We examine whether tighter futures price limits reduce futures hedge effectiveness. ► A new model is used to uncover the dynamics when futures are subject to…”
Get full text

Forecasting variance swap payoffs by Dark, Jonathan, Gao, Xin, Heijden, Thijs, Nardari, Federico

“…We investigate the predictability of payoffs from selling variance swaps on the S&P500, US 10‐year treasuries, gold, and crude oil. In‐sample analysis shows…”
Get full text

Basis Convergence and Long Memory in Volatility When Dynamic Hedging with Futures by Dark, Jonathan

“…When market returns follow a long memory volatility process, standard approaches to estimating dynamic minimum variance hedge ratios (MVHRs) are misspecified…”
Get full text

Randomized controlled trial of probiotics after colonoscopy by D'Souza, Basil, Slack, Timothy, Wong, Shing W., Lam, Francis, Muhlmann, Mark, Koestenbauer, Jakob, Dark, Jonathan, Newstead, Graham

“…Background Up to 20% of patients have ongoing abdominal symptoms at day 2 and beyond following colonoscopy. It was hypothesized that some of these symptoms are…”
Get full text

Exchange traded contracts for difference: Design, pricing, and effects by Brown, Christine, Dark, Jonathan, Davis, Kevin

“…Contracts for Difference (CFDs) are a significant financial innovation in the design of futures contracts. Over‐the‐counter trading in the UK is significant…”
Get full text

Influence diagnostics for multivariate GARCH processes by Dark, Jonathan, Zhang, Xibin, Qu, Nan

“…This article presents diagnostics for identifying influential observations when estimating multivariate generalized autoregressive conditional…”
Get full text

Impact of capital control measures on the Malaysian stock market: A multiresolution analysis by Raghavan, Mala, Dark, Jonathan, Maharaj, Elizabeth Ann

“…The purpose of this paper is to examine the extent to which the capital control measures implemented by the Malaysian central bank in late 1998 had an…”
Get full text

A comparison of developed and emerging equity market return volatility at different time scales by Maharaj, Elizabeth A, Galagedera, Don U.A, Dark, Jonathan

“…Purpose - The purpose of this paper is to examine the volatility of daily returns in a sample of developed and emerging equity markets at different time scales…”
Get full text