Browsing 01 Mathematical Sciences by Author "Ellis Craig"

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Browsing 01 Mathematical Sciences by Author "Ellis Craig"

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  • Decomposing intraday dependence in currency markets: evidence from the AUD/USD spot market 
    Ellis Craig; Batten Jonathan; Hogan Warren (Elsevier Science, 2005)
    The local Hurst exponent, a measure employed to detect the presence of dependence in a time series, may also be used to investigate the source of intra day variation observed in the returns in foreign exchange markets. ...
  • The distribution of yen denominated credit spreads 
    Ellis Craig; Hogan Warren (Elsevier, 2006)
    The credit spread represents the difference in the yields between different risk or ratings classes of securities with the same maturity. The objective of this study is to provide an understanding of the distributional ...