This paper was commissioned as a report into the Irish Housing Market. The market has shown dramatic growth over the last 5 years, leading to fears in some quarters of a bubble. The report reviews the fundamentals underlying the Irish market for retail property and concludes that there is...

Recent works suggest a potentially exploitable effect in US markets, the 'Halloween Indicator'. This suggests that the greater part of changes in equity markets arises over the November-April period, with little change over the summer months, simultaneous with no evident changes in the risk...

We propose a new approach to density forecast optimisation and apply it to Value-at-Risk estimation. All existing density forecasting models try to optimise the distribution of the returns based solely on the predicted density at the observation. In this paper we argue that probabilistic...

In this paper we investigate the distribution of futures market returns and volumes. A variety of contracts are selected from agriculture, foreign exchange, industrial, equity, and interest rate market sectors. Daily closing prices and volumes are used to construct two series of data...