Browsing Conference Papers by Author "Thorp, Susan"

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Browsing Conference Papers by Author "Thorp, Susan"

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  • Silvennoinen, Annastiina; Thorp, Susan (Financial Management Association, 2010)
    We study conditional volatility and correlation dynamics for returns to commodity fu- tures, stocks and bonds, from May 1990-July 2009 using DSTCC- GARCH. The models allow correlation to vary smoothly between extreme ...
  • Petrichev, Konstantin; Thorp, Susan (Asia-Pacific Risk and Insurance Association, 2007)
    Governments around the world are reviewing basic pension systems in the light of increasing demands on public funds. In Australia, Government policy aims to in- crease reliance on private retirement savings and reduce ...