Research output per year
Research output per year
- 1 - 50 out of 51 results
Search results
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2023
The fundamental review of the trading book: implications for portfolio and risk management in the banking sector
McCullagh, O., Cummins, M. & Killian, S., 28 Feb 2023, (E-pub ahead of print) In: Journal of Money, Credit and Banking.Research output: Contribution to journal › Article › peer-review
Open AccessFile -
2022
Decoupling VaR and regulatory capital: an examination of practitioners' experience of market risk regulation
McCullagh, O., Cummins, M. & Killian, S., 3 Jun 2022, (E-pub ahead of print) In: Journal of Banking Regulation. 16 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile7 Downloads (Pure) -
Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling
Atkins, P. J. & Cummins, M., 7 May 2022, (E-pub ahead of print) In: European Journal of Operational Research. 18 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)2 Downloads (Pure) -
Perceived risk as a determinant of propensity to adopt account information services under the EU Payment Services Directive 2
Rosati, P., Fox, G., Cummins, M. & Lynn, T., 15 Apr 2022, In: Journal of Theoretical and Applied Electronic Commerce Research. 17, 2, p. 493-506 14 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Citations (Scopus)6 Downloads (Pure) -
Practice-relevant model validation: distributional parameter risk analysis in financial model risk management
Cummins, M., Gogolin, F., Kearney, F., Kiely, G. & Murphy, B., 4 Mar 2022, (E-pub ahead of print) In: Annals of Operations Research. 25 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Downloads (Pure) -
Commodity risk in European dairy firms
Bagnarosa, G., Cummins, M., Dowling, M. & Kearney, F., 1 Jan 2022, In: European Review of Agricultural Economics. 49, 1, p. 151-181 31 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile4 Downloads (Pure) -
2021
A real options based decision support tool for R&D investment: Application to CO2 recycling technology
Deeney, P., Cummins, M., Heintz, K. & Pryce, M. T., 1 Mar 2021, In: European Journal of Operational Research. 289, 2, p. 696-711 16 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile15 Citations (Scopus)16 Downloads (Pure) -
2020
A dynamic Cholesky data imputation method for correlation structure consistency
Atkins, P. J. & Cummins, M., 30 Dec 2020, In: Applied Economics Letters. 29, 4, p. 311-315 5 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)3 Downloads (Pure) -
Institutional investment in online business lending markets
Cummins, M., Mac an Bhaird, C., Rosati, P. & Lynn, T., 31 Oct 2020, In: International Review of Financial Analysis. 71, 15 p., 101542.Research output: Contribution to journal › Article › peer-review
Open AccessFile3 Citations (Scopus)1 Downloads (Pure) -
Exploring open banking and banking-as-a-platform: opportunities and risks for emerging markets
Lynn, T., Rosati, P. & Cummins, M., 11 Aug 2020, Entrepreneurial Finance in Emerging Markets: Exploring Tools, Techniques, and Innovative Technologies. Klonowski, D. (ed.). Cham, p. 319-334 16 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter
2 Citations (Scopus) -
Greasing the turbines? Corruption and access to electricity in Africa
Cummins, M. & Gillanders, R., 29 Feb 2020, In: Energy Policy. 137, 111188.Research output: Contribution to journal › Article › peer-review
Open AccessFile12 Citations (Scopus)2 Downloads (Pure) -
2019
Using extracted forward rate term structure information to forecast foreign exchange rates
Kearney, F., Cummins, M. & Murphy, F., 30 Sept 2019, In: Journal of Empirical Finance. 53, p. 1-14 14 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)2 Downloads (Pure) -
Social media and stock price reaction to data breach announcements: evidence from US listed companies
Rosati, P., Deeney, P., Cummins, M., van der Werff, L. & Lynn, T., 31 Jan 2019, In: Research in International Business and Finance. 47, p. 458-469 12 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile34 Citations (Scopus)4 Downloads (Pure) -
2018
The value of director reputation: evidence from outside director appointments
Gogolin, F., Cummins, M. & Dowling, M., 31 Dec 2018, In: Finance Research Letters. 27, p. 266-272 7 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile4 Citations (Scopus) -
Disrupting Finance: FinTech and Strategy in the 21st Century
Lynn, T. (ed.), Mooney, J. G. (ed.), Rosati, P. (ed.) & Cummins, M. (ed.), 19 Dec 2018, Cham, Switzerland. 200 p.Research output: Book/Report › Book
Open AccessFile5 Downloads (Pure) -
Addressing information asymmetries in online peer-to-peer lending
Cummins, M., Lynn, T., Mac an Bhaird, C. & Rosati, P., 7 Dec 2018, Disrupting Finance: Fintech and Strategy in the 21st Century. Lynn, T., Mooney, J. G., Rosati, P. & Cummins, M. (eds.). Cham, Switzerland, p. 15-32 18 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter
Open AccessFile6 Citations (Scopus)2 Downloads (Pure) -
Gas storage valuation under multifactor Lévy processes
Cummins, M., Kiely, G. & Murphy, B., 31 Oct 2018, In: Journal of Banking and Finance. 95, p. 167-184 18 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile9 Citations (Scopus)12 Downloads (Pure) -
A high-frequency analysis of price resolution and pricing barriers in equities on the adoption of a new currency
Alexakis, C., Cummins, M., Dowling, M. & Pappas, V., 2 Aug 2018, In: Applied Economics. 50, 36, p. 3949-3965 17 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Downloads (Pure) -
Should you disclose a data breach via social media? Evidence from US listed companies
Rosati, P., Deeney, P., Cummins, M., van der Werff, L. & Lynn, T., 6 Jan 2018, p. 4772-4781. 10 p.Research output: Contribution to conference › Proceeding › peer-review
3 Citations (Scopus) -
Forecasting implied volatility in foreign exchange markets: a functional time series approach
Kearney, F., Cummins, M. & Murphy, F., 2 Jan 2018, In: European Journal of Finance. 24, 1, p. 1-18 18 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile9 Citations (Scopus)2 Downloads (Pure) -
2017
Gas storage valuation under Lévy processes using the fast Fourier transform
Cummins, M., Kiely, G. & Murphy, B., 20 Dec 2017, In: Journal of Energy Markets. 10, 4, p. 43-86 44 p.Research output: Contribution to journal › Article › peer-review
10 Citations (Scopus) -
Determining risk model confidence sets
Cummins, M., Dowling, M. & Esposito, F., 1 Aug 2017, In: Finance Research Letters. 22, p. 169-174 6 p.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
Individual values and household finances
Gogolin, F., Dowling, M. & Cummins, M., 27 Jul 2017, In: Applied Economics. 49, 35, p. 3560-3578 19 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile5 Citations (Scopus)3 Downloads (Pure) -
Psychological price barriers in frontier equities
Berk, A. S., Cummins, M., Dowling, M. & Lucey, B. M., 10 Jul 2017, In: Journal of International Financial Markets, Institutions and Money. 49, p. 1-14 14 p.Research output: Contribution to journal › Article › peer-review
7 Citations (Scopus) -
The effect of data breach announcements beyond the stock price: empirical evidence on market activity
Rosati, P., Cummins, M., Deeney, P., Gogolin, F., van der Werff, L. & Lynn, T., 31 Jan 2017, In: International Review of Financial Analysis. 49, p. 146-154 9 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile34 Citations (Scopus)4 Downloads (Pure) -
2016
Multiple hypothesis testing of market risk forecasting models
Esposito, F. P. & Cummins, M., 31 Aug 2016, In: Journal of Forecasting. 35, 5, p. 381-399 19 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile2 Citations (Scopus)2 Downloads (Pure) -
Oil market modelling: a comparative analysis of fundamental and latent factor approaches
Cummins, M., Dowling, M. & Kearney, F., 31 Jul 2016, In: International Review of Financial Analysis. 46, p. 211-218 8 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile6 Citations (Scopus)2 Downloads (Pure) -
Influences from the European parliament on EU emissions prices
Deeney, P., Cummins, M., Dowling, M. & Smeaton, A. F., 31 Jan 2016, In: Energy Policy. 88, p. 561-572 12 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile22 Citations (Scopus) -
Psychological barriers in oil futures markets
Dowling, M., Cummins, M. & Lucey, B. M., 31 Jan 2016, In: Energy Economics. 53, p. 293-304 12 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile46 Citations (Scopus)5 Downloads (Pure) -
2015
Analyst recommendations and volatility in a rising, falling, and crisis equity market
Corbet, S., Dowling, M. & Cummins, M., 1 Nov 2015, In: Finance Research Letters. 15, p. 187-194 8 p.Research output: Contribution to journal › Article › peer-review
7 Citations (Scopus) -
Behavioral influences in non-ferrous metals prices
Cummins, M., Dowling, M. & Lucey, B. M., 1 Sept 2015, In: Resources Policy. 45, p. 9-22 14 p.Research output: Contribution to journal › Article › peer-review
11 Citations (Scopus) -
An analysis of implied volatility jump dynamics: novel functional data representation in crude oil markets
Kearney, F., Murphy, F. & Cummins, M., 1 Jul 2015, In: North American Journal of Economics and Finance. 33, p. 199-216 18 p.Research output: Contribution to journal › Article › peer-review
6 Citations (Scopus) -
Sentiment in oil markets
Deeney, P., Cummins, M., Dowling, M. & Bermingham, A., 1 May 2015, In: International Review of Financial Analysis. 39, p. 179-185 7 p.Research output: Contribution to journal › Article › peer-review
57 Citations (Scopus) -
Electricity Markets and Products
Fiorenzani, S., Murphy, B. & Cummins, M., 1 Apr 2015, Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. Roncoroni, A., Fusai, G. & Cummins, M. (eds.).Research output: Chapter in Book/Report/Conference proceeding › Chapter
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Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management
Roncoroni, A., Fusai, G. & Cummins, M., 1 Apr 2015, 1064 p.Research output: Book/Report › Book
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Natural Gas Markets and Products
Cummins, M. & Murphy, B., 1 Feb 2015, Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. Roncoroni, A., Fusai, G. & Cummins, M. (eds.). p. 135-180 46 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter
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Quantitative spread trading on crude oil and refined products markets
Cummins, M. & Bucca, A., 1 Jan 2015, Commodities. Dempster, M. A. H. & Tang, K. (eds.). 1st ed. p. 119-147 30 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter
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2014
Econometric Analysis of Energy and Emissions Markets: Multiple Hypothesis Testing Techniques
Cummins, M., 5 Dec 2014, Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Managemen. Roncoroni, A., Fusai, G. & Cummins, M. (eds.). p. 939-966 28 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter
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Estimating Commodity Term Structure Volatilities
Roncoroni, A., Brik, R. I. & Cummins, M., 5 Dec 2014, Handbook of Multi-Commodity Markets and Products: Structuring, Trading and Risk Management. Roncoroni, A., Fusai, G. & Cummins, M. (eds.). p. 635-657 23 p.Research output: Chapter in Book/Report/Conference proceeding › Chapter
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Price discovery analysis of green equity indices using robust asymmetric vector autoregression
Cummins, M., Garry, O. & Kearney, C., 12 Oct 2014, In: International Review of Financial Analysis. 35, p. 261-267 7 p.Research output: Contribution to journal › Article › peer-review
3 Citations (Scopus) -
Outperformance in exchange-traded fund pricing deviations: generalized control of data snooping bias
Kearney, F., Cummins, M. & Murphy, F., 1 Jun 2014, In: Journal of Financial Markets. 19, 1, p. 86-109 24 p.Research output: Contribution to journal › Article › peer-review
9 Citations (Scopus) -
2013
EU ETS market interactions: the case for multiple hypothesis testing approaches
Cummins, M., 1 Nov 2013, In: Applied Energy. 111, p. 701-709 9 p.Research output: Contribution to journal › Article › peer-review
13 Citations (Scopus) -
Forestry in the Republic of Ireland: government policy, grant incentives and carbon sequestration value
O'Donnell, A., Cummins, M. & Byrne, K. A., 1 Nov 2013, In: Land Use Policy. 35, p. 16-23 8 p.Research output: Contribution to journal › Article › peer-review
15 Citations (Scopus) -
The link between jet fuel prices, carbon credits and airline firm value
Murphy, F., Li, N., Murphy, B. & Cummins, M., 27 Jun 2013, In: Journal of Energy Markets. 6, 2, p. 83-97 15 p.Research output: Contribution to journal › Article › peer-review
Open Access4 Citations (Scopus) -
Multiple comparisons problem: recent advances applied to energy and emissions
Cummins, M., 7 Feb 2013, In: Applied Economics Letters. 20, 9, p. 903-909 7 p.Research output: Contribution to journal › Article › peer-review
4 Citations (Scopus) -
2012
Quantitative spread trading on crude oil and refined products markets
Cummins, M. & Bucca, A., 1 Dec 2012, In: Quantitative Finance. 12, 12, p. 1857-1875 19 p.Research output: Contribution to journal › Article › peer-review
40 Citations (Scopus) -
Fast fourier transform option pricing: efficient approximation methods under multi-factor stochastic volatility and jumps
Charpin, J. P. F. & Cummins, M., 1 Jan 2012, Topics in Numerical Methods for Finance. Cummins, M., Murphy, F. & Miller, J. J. H. (eds.). New York: Springer, p. 115-137 23 p. (Springer Proceedings in Mathematics and Statistics; vol. 19).Research output: Chapter in Book/Report/Conference proceeding › Chapter
1 Citation (Scopus) -
Topics in Numerical Methods for Finance
Cummins, M., Murphy, F. & Miller, J. J. H., 2012, New York: Springer New York. 204 p. (Springer Proceedings in Mathematics and Statistics; vol. 19)Research output: Book/Report › Book
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2010
Optimal statistical arbitrage: a model specification analysis on ISEQ equity data
Cummins, M., 31 Dec 2010, In: Irish Accounting Review. 17, 2, p. 21-40 20 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile3 Downloads (Pure) -
Model specification analysis in the methanol markets
Cummins, M., Bucca, A. & Murphy, B., 13 Dec 2010, In: Journal of Energy Markets. 3, 4, p. 87-108 22 p.Research output: Contribution to journal › Article › peer-review