Publications at School of Finance and Economics<BR> University of Technology<BR> Sydney, Australia

This file is part of IDEAS, which uses RePEc data

Publications

by members of

School of Finance and Economics
University of Technology
Sydney, Australia

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.

| Working papers | Journal articles | Chapters |

Working papers

Undated material is listed at the end

2009

Keane, Michael P. & Sauer, Robert M., 2009. "A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables," IZA Discussion Papers 4054, Institute for the Study of Labor (IZA). [Downloadable!]
Carl Chiarella & Xue-Zhong He & Min Zheng, 2009. "Heterogeneous Expectations and Exchange Rate Dynamics," Research Paper Series 243, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Xue-Zhong He & Lei Shi, 2009. "Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs," Research Paper Series 244, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He & Paolo Pellizzari, 2009. "A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market," Research Paper Series 251, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Xue-Zhong He & Kai Li & Junjie Wei & Min Zheng, 2009. "Market Stability Switches in a Continuous-Time Financial Market with Heterogeneous Beliefs," Research Paper Series 252, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2009. "A Framework for CAPM with Heterogenous Beliefs," Research Paper Series 254, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009. "Alternative Defaultable Term Structure Models," Research Paper Series 242, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Goldbaum, 2009. "Follow the Leader: Steady State Analysis of a Dynamic Social Network," Working Paper Series 158, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ron Bird & Gordon Menzies & Peter Dixon & Maureen Rimmer, 2009. "The Aggregate Economic Costs of US Stock Mispricing," Working Paper Series 4, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Boda Kang, 2009. "The Evaluation of American Compound Option Prices Under Stochastic Volatility Using the Sparse Grid Approach," Research Paper Series 245, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Gerald Cheang & Carl Chiarella & Andrew Ziogas, 2009. "The Representation of American Options Prices under Stochastic Volatility and Jump-Diffusion Dynamics," Research Paper Series 256, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Viviana Fanelli & Silvana Musti, 2009. "Modelling the Evolution of Credit Spreads using the Cox process within the HJM framework: A CDS Option Pricing Model," Research Paper Series 255, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Mark Craddock & Eckhard Platen, 2009. "On Explicit Probability Laws for Classes of Scalar Diffusions," Research Paper Series 246, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Willi Semmler, 2009. "Asset Markets and Monetary Policy," Research Paper Series 247, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2009. "Minimizing the expected market time to reach a certain wealth level," Quantitative Finance Papers 0904.1903, arXiv.org. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2009. "On the Dybvig-Ingersoll-Ross Theorem," Quantitative Finance Papers 0901.2080, arXiv.org. [Downloadable!]
Wolfgang Breymann & David Lüthi & Eckhard Platen, 2009. "Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales," Research Paper Series 250, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Renata Rendek, 2009. "Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes," Research Paper Series 259, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Renata Rendek, 2009. "Quasi-exact Approximation of Hidden Markov Chain Filters," Research Paper Series 258, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2009. "A Benchmark Approach to Investing and Pricing," Research Paper Series 253, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2009. "The Impact on the Pricing Process of Costly Active Management and Performance Chasing Clients," Working Paper Series 3, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney. [Downloadable!]
Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen, 2009. "Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement," Research Paper Series 248, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Susan Thorp & Hardy Hulley & Rebecca McKibbin & Andreas Pedersen, 2009. "Means-Tested Income Support, Portfolio Choice And Decumulation In Retirement," CAMA Working Papers 2009-12, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
Kristoffer Glover & Goran Peskir & Farman Samee, 2009. "The British Asian Option," Research Paper Series 249, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
John Geweke & Gianni Amisano, 2009. "Optimal Prediction Pools," Working Paper Series 1017, European Central Bank. [Downloadable!]

2008

M. P. Keane & R. M. Sauer, 2008. "Implications of Classification Error for the Dynamics of Female Labor Supply," CHILD Working Papers wp13_08, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY. [Downloadable!]
Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2008. "Heterogeneity, Market Mechanisms, and Asset Price Dynamics," Research Paper Series 231, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Xue-Zhong He & Lei Shi, 2008. "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series 233, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Allan Brace & Mark Lauer & Milo Rado, 2008. "A Stylised Model for Extreme Shocks: Four Moments of the Apocalypse," Research Paper Series 224, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Goldbaum, 2008. "Follow the Leader: Simulations on a Dynamic Social Network," Working Paper Series 155, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Gordon Menzies & Daniel Zizzo, 2008. "News And Expectations In Financial Markets: An Experimental Study," CAMA Working Papers 2008-34, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
Gordon Menzies & Jonathan Pratt & Susan Thorp & Peter Docherty, 2008. "Piloting a Peer Feedback Program in the Faculty of Business at UTS," Working Paper Series 154, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008. "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series 220, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Giulia Iori & Josep Perello, 2008. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," City University Economics Discussion Papers 08/04, Department of Economics, City University, London. [Downloadable!]
Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2008. "The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines," Research Paper Series 219, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Gerald H.L. Cheang & Carl Chiarella, 2008. "Hedge Portfolios in Markets with Price Discontinuities," Research Paper Series 218, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Viviana Fanelli & Silvana Musti, 2008. "Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model," Research Paper Series 232, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Gerald H. L. Cheang & Carl Chiarella, 2008. "Exchange Options Under Jump-Diffusion Dynamics," Research Paper Series 235, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "On Financial Markets where only Buy-And-Hold Trading is Possible," Research Paper Series 213, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Shane Miller & Eckhard Platen, 2008. "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series 216, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2008. "The Law of Minimum Price," Research Paper Series 215, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Hardy Hulley, 2008. "Hedging for the Long Run," Research Paper Series 214, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
T. Marquardt & Eckhard Platen & S. Jaschke, 2008. "Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach," Research Paper Series 221, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Eckhard Platen, 2008. "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series 222, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ashkan Nikeghbali & Eckhard Platen, 2008. "On Honest Times in Financial Modeling," Research Paper Series 229, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2008. "A Unifying Approach to Asset Pricing," Research Paper Series 227, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Sergio Chavez & Eckhard Platen, 2008. "Distributional Deviations in Random Number Generation in Finance," Research Paper Series 228, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "Minimizing the Expected Market Time to Reach a Certain Wealth Level," Research Paper Series 230, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Lei Shi, 2008. "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series 234, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies," Research Paper Series 240, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hardy Hulley & Eckhard Platen, 2008. "A Visual Classification of Local Martingales," Research Paper Series 238, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Shane M Miller & Eckhard Platen, 2008. "Real World Pricing for a Modified Constant Elasticity of Variance Model," Research Paper Series 237, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ashkan Nikeghbali & Eckhard Platen, 2008. "On honest times in financial modeling," Quantitative Finance Papers 0808.2892, arXiv.org. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "On the semimartingale property of discounted asset-price processes," Quantitative Finance Papers 0803.1890, arXiv.org, revised Nov 2009. [Downloadable!]
Constantinos Kardaras & Eckhard Platen, 2008. "Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading," Quantitative Finance Papers 0812.0033, arXiv.org. [Downloadable!]
Peter Docherty, 2008. "Money and Monetary Policy in a Kaldor-Pasinetti-Sraffa-Keynes Framework," Working Paper Series 153, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ron Bird & Lorenzo Casavecchia, 2008. "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series 2, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney. [Downloadable!]
Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008. "Insights into the Market Impact of Different Investment Styles," Working Paper Series 1, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney. [Downloadable!]
Tiffany Hutcheson, 2008. "Improving Student Skills in Essay Writing and Oral Presentations," Working Paper Series 152, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Stephen Satchell & Susan Thorp, 2008. "Discounting And Consumption Over An Uncertain Horizon: Draw-Down Plans For Family Trusts," CAMA Working Papers 2008-02, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
Stephen Satchell & Susan Thorp, 2008. "Scenario Analysis With Recursive Utility: Dynamic Consumption Plans For Charitable Endowments," CAMA Working Papers 2008-03, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
Mardi Dungey & George Milunovich & Susan Thorp, 2008. "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH," NCER Working Paper Series 22, National Centre for Econometric Research. [Downloadable!]
Hardy Hulley & T. A. McWalter, 2008. "Quadratic Hedging of Basis Risk," Research Paper Series 225, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Corrado DI GUILMI, 2008. "Financial Determinants of Firms Profitability: A Hazard Function Investigation," Working Papers 315, Universita' Politecnica delle Marche (I), Dipartimento di Economia. [Downloadable!]
Edoardo Gaffeo & Corrado di Guilmi & Mauro Gallegati & Alberto Russo, 2008. "On the mean/variance relationship of the firm size distribution: evidence and some theory," Department of Economics Working Papers 0805, Department of Economics, University of Trento, Italia. [Downloadable!]
Di Guilmi, Corrado & Gallegati, Mauro & Landini, Simone, 2008. "Modeling Maximum Entropy and Mean-Field Interaction in Macroeconomics," Economics Discussion Papers 2008-36, Kiel Institute for the World Economy. [Downloadable!]
Valentino Dardanoni & Mario Fiorini & Antonio Forcina, 2008. "Stochastic Monotonicity in Intergenerational Mobility Tables," Working Paper Series 156, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Mario Fiorini, 2008. "Fostering Educational Enrolment Through Subsidies: The Issue of Timing," Working Paper Series 157, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Jerzy Filar & Boda Kang & Malgorzata Korolkiewicz, 2008. "Pricing Financial Derivatives on Weather Sensitive Assets," Research Paper Series 223, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
John Geweke & Gianni Amisano, 2008. "Comparing and evaluating Bayesian predictive distributions of asset returns," Working Paper Series 969, European Central Bank. [Downloadable!]
John Geweke & Gianni Amisano, 2008. "Optimal Prediction Pools," Working Paper Series 22-08, Rimini Centre for Economic Analysis, revised Jan 2008. [Downloadable!]

2007

Michael P. Keane & Antonio Merlo, 2007. "Money, Political Ambition, and the Career Decisions of Politicians," PIER Working Paper Archive 07-016, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
Ching, Andrew & Erdem, Tulin & Keane, Michael, 2007. "The Price Consideration Model of Brand Choice," MPRA Paper 4686, University Library of Munich, Germany. [Downloadable!]
Jian Gao & Gang Gong & Xue-Zhong He, 2007. "Monetary Policy and Exchange Rate Regime: Proposal for a Small and Less Developed Economy," Research Paper Series 199, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He & Min Zheng, 2007. "The Stochastic Dynamics of Speculative Prices," Research Paper Series 208, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Erik Schlögl & Lutz Schlögl, 2007. "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing," Research Paper Series 190, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Kirsanova, Tatiana & Menzies, Gordon & Vines, David, 2007. "Stiglitz Versus the IMF on the Asian Debt Crisis: An Intertemporal Model with Real Exchange Rate Overshooting," CEPR Discussion Papers 6318, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal Investment Strategies under Inflation Risk," Research Paper Series 192, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Toichiro Asada & Carl Chiarella & Peter Flaschel & Christian R. Proaño, 2007. "Keynesian AD-AS, Quo Vadis?," Working Paper Series 151, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Eckhard Platen, 2007. "The History of the Quantitative Methods in Finance Conference Series. 1992-2007," Research Paper Series 207, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Giulia Iori & Josep Perello, 2007. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Quantitative Finance Papers 0711.3581, arXiv.org. [Downloadable!]
Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2007. "Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models," Research Paper Series 198, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Damir Filipovic & Eckhard Platen, 2007. "Consistent Market Extensions under the Benchmark Approach," Research Paper Series 189, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Research Paper Series 191, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Renata Rendek, 2007. "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series 194, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Uwe Küchler & Eckhard Platen, 2007. "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities," Research Paper Series 195, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Chihying, Hsiao & Chen, Pu, 2007. "Learning Causal Relations in Multivariate Time Series Data," Economics Discussion Papers 2007-15, Kiel Institute for the World Economy. [Downloadable!]
Hazel Bateman & Susan Thorp, 2007. "Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations," Research Paper Series 200, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hazel Bateman & Susan Thorp, 2007. "Choices and constraints over retirement income streams: comparing rules and regulations," Discussion Papers 2007-29, School of Economics, The University of New South Wales. [Downloadable!]
Stephen Satchell & Susan Thorp, 2007. "Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts," Research Paper Series 210, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Stephen Satchell & Susan Thorp, 2007. "Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments," Research Paper Series 209, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Konstantin Petrichev & Susan Thorp, 2007. "The Private Value of Public Pensions," Research Paper Series 211, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
John Geweke & Gianni Amisano, 2007. "Hierarchical Markov Normal Mixture Models with Applications to Financial Asset Returns," Working Papers 0705, University of Brescia, Department of Economics. [Downloadable!]
John Geweke & Gianni Amisano, 2007. "Hierarchical Markov normal mixture models with applications to financial asset returns," Working Paper Series 831, European Central Bank. [Downloadable!]

2006

Michael P. Keane & Kenneth I. Wolpin, 2006. "The Role of Labor and Marriage Markets, Preference Heterogeneity and the Welfare System in the Life Cycle Decisions of Black, Hispanic and White Women," PIER Working Paper Archive 06-004, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
Michael P. Keane & Kenneth I. Wolpin, 2006. "Exploring the Usefulness of a Non-Random Holdout Sample for Model Validation: Welfare Effects on Female Behavior," PIER Working Paper Archive 06-006, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
Hanming Fang & Michael P. Keane & Dan Silverman, 2006. "Sources of Advantageous Selection: Evidence from the Medigap Insurance Market," NBER Working Papers 12289, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Michael P. Keane & Robert M. Sauer, 2006. "Classification Error in Dynamic Discrete Choice Models: Implications for Female Labor Supply Behavior," IZA Discussion Papers 2332, Institute for the Study of Labor (IZA). [Downloadable!]
Hanming Fang & Michael Keane & Ahmed Khwaja, & Martin Salm & Dan Silverman, 2006. "Testing the Mechanisms of Structural Models: The Case of the Mickey Mantle Effect," MEA discussion paper series 06113, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
Hanming Fang & Michael Keane & Ahmed Khwaja, & Martin Salm & Dan Silverman, 2006. "Testing the Mechanisms of Structural Models: The Case of the Mickey Mantle Effect," MEA discussion paper series 06113, Mannheim Research Institute for the Economics of Aging, University of Mannheim. [Downloadable!]
Fang, Hanming & Keane, Michael & Silverman, Dan, 2006. "Sources of Advantageous Selection: Evidence from the Medigap Insurance Market," Working Papers 17, Yale University, Department of Economics. [Downloadable!]
Carl Chiarella & Xue-Zhong He & Roberto Dieci & University of Technology Sydney, 2006. "A Dynamic Heterogeneous Beliefs CAPM," Computing in Economics and Finance 2006 181, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Roberto Dieci & Tony He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing: A Mean-Variance Analysis," Computing in Economics and Finance 2006 108, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2006. "Aggregation of Heterogeneous Beliefs and Asset Pricing Theory: A Mean-Variance Analysis," Research Paper Series 186, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Gordon Menzies & Daniel Zizzo, 2006. "Exchange Rate Markets And Conservative Inferential Expectations," CAMA Working Papers 2007-02, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
Andreas Röthig & Carl Chiarella, 2006. "Investigating Nonlinear Speculation in Cattle, Corn and Hog Futures Markets Using Logistic Smooth Transition Regression Models," Research Paper Series 172, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Pu Chen & Carl Chiarella & Peter Flaschel & Willi Semmler, 2006. "Keynesian Macrodynamics and the Phillips Curve. An Estimated Baseline Macromodel for the U.S. Economy," Working Paper Series 147, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Pu Chen & Carl Chiarella & Peter Flaschel & Hing Hung, 2006. "Keynesian Disequilibrium Dynamics: Convergence, Roads to Instability and the Emergence of Complex Business Fluctuations," Working Paper Series 146, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Andreas Röthig & Carl Chiarella, 2006. "Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models," Darmstadt Discussion Papers in Economics 167, Institut für Volkswirtschaftslehre (Department of Economics), Technische Universität Darmstadt (Darmstadt University of Technology). [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2006. "American Call Options on Jump-Diffusion Processes: A Fourier Transform Approach," Research Paper Series 174, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2006. "Pricing American Options under Stochastic Volatility and Jump Diffusion Dynamics," Computing in Economics and Finance 2006 44, Society for Computational Economics.
Thuy Duong To & Carl Chiarella & Hing Hung, 2006. "The Volatility Structure of the Fixed Income Markets under the HJM Framework," Computing in Economics and Finance 2006 260, Society for Computational Economics.
Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics & Gerald H. L. Cheang & Carl Chiarella & Gunter Me, 2006. "Numerical Methods for American Spread Options under Jump Diffusion Processes," Computing in Economics and Finance 2006 137, Society for Computational Economics.
Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 180, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Eckhard Platen, 2006. "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series 179, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2006. "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series 185, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Truc Le & Eckhard Platen, 2006. "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series 184, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Peter Docherty & G Wang, 2006. "Using Synthetic Data to Measure the Impact of RTGS on Systemic Risk in the Australian Payments System," Working Paper Series 149, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Peter Docherty & Harry Tse & Ross Forman & Jo McKenzie, 2006. "Reducing the Expectations Gap: Facilitating Improved Student Writing in an Intermediate Macroeconomics Course," Working Paper Series 150, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Peter Docherty, 2006. "Endogenous Money, Non-neutrality and Interest-sensitivity in the Theory of Long Period Unemployment," Working Paper Series 148, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Tiffany Hutcheson & Harry Tse, 2006. "Tutorial Attendance and Grade Achievement," Working Paper Series 145, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Seppo Pynnönen & Warren P. Hogan & Jonathan A. Batten, 2006. "Dynamic equilibrium correction modelling of yen Eurobond credit spreads," The Institute for International Integration Studies Discussion Paper Series iiisdp127, IIIS. [Downloadable!]
Susan Thorp & George Milunovich, 2006. "Information processing and measures of integration: New York, London and Tokyo," Research Paper Series 177, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
John Geweke & Joel Horowitz & M. Hashem Pesaran, 2006. "Econometrics: A Bird’s Eye View," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge. [Downloadable!]

2005

Xue-Zhong He & Youwei Li, 2005. "Heterogeneity, Profitability and Autocorrelations," Research Paper Series 147, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Xue-Zhong He & Youwei Li, 2005. "Long Memory, Heterogeneity and Trend Chasing," Research Paper Series 148, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ned Corron & Xue-Zhong He & Frank Westerhoff, 2005. "Butter Mountains, Milk Lakes and Optimal Price Limiters," Research Paper Series 158, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Tony He & Cars H. Hommes, 2005. "A Dynamic Analysis of Moving Average Rules," Tinbergen Institute Discussion Papers 05-057/1, Tinbergen Institute. [Downloadable!]
Carl Chiarella & Roberto Dieci & Xue-Zhong He, 2005. "Heterogeneous Expectations and Speculative Behaviour in a Dynamic Multi-Asset Framework," Research Paper Series 166, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Roberto Dieci & Ilaria Foroni & Laura Gardini & Xue-Zhong He, 2005. "Market Mood, Adaptive Beliefs and Asset Price Dynamics," Research Paper Series 162, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Youwei Li & Xue-Zhong He, 2005. "Long Memory, Heterogeneity, and Trend Chasing," Computing in Economics and Finance 2005 113, Society for Computational Economics.
Youwei Li & Xue-Zhong (Tony) He, 2005. "Heterogeneity, Profitability and Autocorrelations," Computing in Economics and Finance 2005 244, Society for Computational Economics.
Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2005. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps," Research Paper Series 167, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Goldbaum & Bruce Mizrach, 2005. "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Computing in Economics and Finance 2005 295, Society for Computational Economics. [Downloadable!]
Gordon Menzies & Daniel John Zizzo, 2005. "Inferential Expectations," Research Paper Series 159, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Gordon D. Menzies & Daniel John Zizzo, 2005. "Inferential Expectations," CAMA Working Papers 2005-12, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
Carl Chiarella & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 150, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Hing Hung & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 151, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2005. "Pricing American Options on Jump-Diffusion Processes using Fourier Hermite Series Expansions," Research Paper Series 145, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Giulia Iori, 2005. "The Impact of Heterogeneous Trading Rules on the Limit Order Book and Order Flows," Research Paper Series 152, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Andrew Ziogas & Carl Chiarella, 2005. "Pricing American Options under Stochastic Volatility," Computing in Economics and Finance 2005 77, Society for Computational Economics.
C. Chiarella & C. Hsiao, 2005. "Intertemporal Asset Allocation with Inflation-Indexed Bonds," Computing in Economics and Finance 2005 168, Society for Computational Economics.
Gerald H. L. Cheang & Carl Chiarella & Andrew Ziogas, 2005. "The Valuation Of American Exchange Options Under," Computing in Economics and Finance 2005 483, Society for Computational Economics.
W. Semmler & P. Chen & C. Chiarella, 2005. "Keynesian Dynamics and the Wage-Price Spiral:Estimating and Analyzing a Baseline Disequilibrium Approach," Computing in Economics and Finance 2005 211, Society for Computational Economics. [Downloadable!]
A. Ziogas & G. Cheang & C. Chiarella, 2005. "The Valuation of Multiple Asset American Options under Jump Diffusion Processes," Computing in Economics and Finance 2005 83, Society for Computational Economics.
Carl Chiarella & Chih-Ying Hsiao, 2005. "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method," Research Paper Series 171, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2005. "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series 144, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Kevin Fergusson & Eckhard Platen, 2005. "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series 153, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hardy Hulley & Shane Miller & Eckhard Platen, 2005. "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series 155, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen, 2005. "A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation," Research Paper Series 156, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series 157, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2005. "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series 154, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nicola Bruti-Liberati & Eckhard Platen, 2005. "On the Strong Approximation of Pure Jump Processes," Research Paper Series 164, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Morten Christensen & Eckhard Platen, 2005. "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series 170, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2005. "Investments for the Short and Long Run," Research Paper Series 163, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Chen Pu & Hsiao Chihying, 2005. "Testing Cointegration Rank in Large Systems," Econometrics 0504002, EconWPA. [Downloadable!]
C. Hsiao & P. Chen, 2005. "The Transition Process in China: a Theoretical and Empirical Study," Computing in Economics and Finance 2005 210, Society for Computational Economics. [Downloadable!]
Chen Pu & Hsiao Chihying, 2005. "the Transition Process in China: A theoretic and empirical Study," Development and Comp Systems 0507007, EconWPA. [Downloadable!]
Chen Pu & Hsiao Chihying, 2005. "Subsampling Cointegration Ranks in Large Systems," Econometrics 0508010, EconWPA. [Downloadable!]
Chen Pu & Hsiao Chihying, 2005. "What Happens to Japan if China Catches Cold? - A causal analysis of the Chinese growth and the Japanese growth," Econometrics 0510005, EconWPA. [Downloadable!]
George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," International Finance 0506008, EconWPA. [Downloadable!]
Susan Thorp & George Milunovich, 2005. "Asymmetric Risk and International Portfolio Choice," Research Paper Series 160, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hazel Bateman & Susan Thorp, 2005. "Decentralised Portfolio Management: Analysis of Australian Accumulation Funds," Research Paper Series 161, Quantitative Finance Research Centre, University of Technology, Sydney.
George Milunovich & Susan Thorp, 2005. "Valuing Volatility Spillovers," Research Papers 0506, Macquarie University, Department of Economics. [Downloadable!]

2004

Robert M. Sauer & Michael P. Keane, 2004. "A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables," Econometric Society 2004 North American Summer Meetings 136, Econometric Society.
Anthony A. Smith, Jr. & Michael Keane, 2004. "Generalized Indirect Inference for Discrete Choice Models," Econometric Society 2004 North American Winter Meetings 512, Econometric Society.
Daniel Diermeier & Michael Keane & Antonio Merlo, 2004. "A Political Economy Model of Congressional Careers: Supplementary Materiel," PIER Working Paper Archive 04-038, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
Daniel Diermeier & Michael Keane & Antonio Merlo, 2004. "A Political Economy Model of Congressional Careers," Discussion Papers 1387, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
Xue-Zhong He & Frank H. Westerhoff, 2004. "Commodity Markets, Price Limiters and Speculative Price Dynamics," Research Paper Series 136, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He & Cars Hommes, 2004. "A Dynamic Analysis of Moving Average Rules," Research Paper Series 133, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Cars Hommes & Carl Chiarella & Xue-Zhong He, 2004. "A Dynamical Analysis of Moving Average Rules," Computing in Economics and Finance 2004 238, Society for Computational Economics.
Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "A Behavioural Asset Pricing Model with a Time-Varying Second Moment," Research Paper Series 141, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He & Duo Wang, 2004. "Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment," Research Paper Series 142, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Chiarella, C. & He, X.-Z. & Hommes, C.H., 2004. "A Dynamic Analysis of Moving Average Rules," CeNDEF Working Papers 04-14, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance. [Downloadable!]
Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004. "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series 135, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Goldbaum, 2004. "Market Efficiency and Learning in an Endogenously Unstable Environment," Working Papers Rutgers University, Newark 2004-002, Department of Economics, Rutgers University, Newark. [Downloadable!]
Douglas Coate & David Goldbaum, 2004. "Skills, Purses, and Performance in Professional Golf," Working Papers Rutgers University, Newark 2004-007, Department of Economics, Rutgers University, Newark. [Downloadable!]
David Goldbaum, 2004. "Coordinated Investing with Feedback and Learning," Working Papers Rutgers University, Newark 2004-008, Department of Economics, Rutgers University, Newark. [Downloadable!]
David Goldbaum, 2004. "On the Possibility of Informationally Efficient Markets," Computing in Economics and Finance 2004 139, Society for Computational Economics. [Downloadable!]
David Goldbaum, 2004. "On the Possibility of Informationally Efficient Markets," Working Papers Rutgers University, Newark 2004-009, Department of Economics, Rutgers University, Newark. [Downloadable!]
David Goldbaum, 2004. "On the Possibility of Informationally Efficient Markets: Part b," Working Papers Rutgers University, Newark 2004-011, Department of Economics, Rutgers University, Newark. [Downloadable!]
David Goldbaum & Bruce Mizrach, 2004. "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Departmental Working Papers 200414, Rutgers University, Department of Economics.
Gordon Menzies & Daniel John Zizzo, 2004. "Inferential Expectations," Economics Series Working Papers 187, University of Oxford, Department of Economics. [Downloadable!]
Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Research Paper Series 121, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," FRU Working Papers 2004/03, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
Anthony D. Hall & Nikolaus Hautsch, 2004. "A Continuous-Time Measurement of the Buy-Sell Pressure in a Limit Order Book Market," Discussion Papers 04-07, University of Copenhagen. Department of Economics. [Downloadable!]
Anthony D. Hall & Nikolaus Hautsch, 2004. "Order Aggressiveness and Order Book Dynamics," FRU Working Papers 2005/04, University of Copenhagen. Department of Economics. Finance Research Unit. [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2004. "McKean's Methods Applied to American Call Options on Jump-Diffusion Processes," Research Paper Series 117, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Adam Kucera & Andrew Ziogas, 2004. "A Survey of the Integral Representation of American Option Prices," Research Paper Series 118, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2004. "Evaluation of Point Barrier Options in a Path Integral Framework Using Fourier-Hermite Expansions," Research Paper Series 126, Quantitative Finance Research Centre, University of Technology, Sydney.
Andrew Ziogas & Carl Chiarella, 2004. "Pricing American Options on Jump-Diffusion Processes using Fourier-Hermite Series Expansions," Computing in Economics and Finance 2004 177, Society for Computational Economics.
Carl Chiarella & Roberto Dieci, 2004. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Computing in Economics and Finance 2004 261, Society for Computational Economics.
C. Chiarella & P. Chen, 2004. "Keynesian Dynamics and the Wage-Price Spiral:Estimating a Baseline Disequilibrium Approach," Computing in Economics and Finance 2004 149, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Chih-ying Hsiao, 2004. "Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming," Computing in Economics and Finance 2004 73, Society for Computational Economics.
Thuy Duong To & Carl Chiarella, 2004. "Estimation of the Volatility Structure of the Fixed Income Market," Econometric Society 2004 Australasian Meetings 219, Econometric Society.
Ram Bhar & Carl Chiarella & Hing Hung & Wolfgang Runggaldier, 2004. "The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach," Finance 0409002, EconWPA. [Downloadable!]
Ram Bhar & Carl Chiarella & Thuy-Duong To, 2004. "Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets," Finance 0409003, EconWPA. [Downloadable!]
Toichiro Asada & Pu Chen & Carl Chiarella & Peter Flaschel, 2004. "Keynesian Dynamics and the Wage Price Spiral. A Baseline Disequilibrium Approach," Macroeconomics 0409001, EconWPA. [Downloadable!]
Carl Chiarella & Roberto Dieci & Laura Gardini, 2004. "Asset Price and Wealth Dynamics in a Financial Market with Heterogeneous Agents," Research Paper Series 134, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Shenhuai Gao, 2004. "Continuous Time Model Estimation," Working Paper Series 138, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Toichiro Asada & Pu Chen & Carl Chiarella & Peter Flaschel, 2004. "Keynesian Dynamics and the Wage-Price Spiral: A Baseline Disequilibrium Model," Working Paper Series 139, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Nicola Bruti Liberati & Eckhard Platen, 2004. "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series 114, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series 125, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2004. "Local Volatility Function Models under a Benchmark Approach," Research Paper Series 124, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series 129, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series 128, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Shane Miller & Eckhard Platen, 2004. "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series 130, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2004. "A Benchmark Approach to Finance," Research Paper Series 138, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2004. "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series 143, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Jason West & Wolfgang Breymann, 2004. "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series 140, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Morten Christensen & Eckhard Platen, 2004. "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series 139, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
D. Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004. "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series 119, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Tiffany Hutcheson & Harry Tse, 2004. "Learning by Students at University," Working Paper Series 136, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
W.P. Hogan, 2004. "Policy Themes from Aged Care, 2004 Shann Memorial Lecture," Economics Discussion / Working Papers 04-19, The University of Western Australia, Department of Economics. [Downloadable!]
Jonathan A. Batten & Craig A. Ellis & Warren P. Hogan, 2004. "Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market," Quantitative Finance Papers math/0412344, arXiv.org. [Downloadable!]
Hsiao Chiying & Chen Pu, 2004. "Testing Weak Exogeneity in Cointegrated System," Econometric Society 2004 Far Eastern Meetings 537, Econometric Society. [Downloadable!]
Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society. [Downloadable!]
Geoffrey Kingston & Susan Thorp, 2004. "Annuitization and Asset Allocation with HARA Utlity," Econometric Society 2004 Australasian Meetings 248, Econometric Society.

2003

Daniel Houser & Kevin McCabe & Michael Keane & Antoine Bechara, 2003. "Heuristics Used By Humans With Prefrontal Cortex Damage: Toward An Empirical Model Of Phineas Gage," Experimental 0308002, EconWPA. [Downloadable!]
Xue-Zhong He, 2003. "Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach," Research Paper Series 95, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Peiyuan Zhu & Carl Chiarella & Tony He, 2003. "Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers," Computing in Economics and Finance 2003 31, Society for Computational Economics.
Carl Chiarella & Xue-Zhong He & Peiyuan Zhu, 2003. "Fading Memory Learning in the Cobweb Model with Risk Averse Heterogeneous Producers," Research Paper Series 108, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Bruce Choy & Tim Dun & Erik Schlögl, 2003. "Correlating Market Models," Research Paper Series 105, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Research Paper Series 102, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Antje Mahayni & Erik Schlögl, 2003. "The Risk Management of Minimum Return Guarantees," Bonn Econ Discussion Papers bgse18_2003, University of Bonn, Germany. [Downloadable!]
David Goldbaum, 2003. "Coordinated Investing with Feedback and Learning," Computing in Economics and Finance 2003 213, Society for Computational Economics. [Downloadable!]
Nikola Dvornak & Marion Kohler & Gordon Menzies, 2003. "Australia’s Medium-run Exchange Rate: A Macroeconomic Balance Approach," RBA Research Discussion Papers rdp2003-03, Reserve Bank of Australia. [Downloadable!]
A. Colin Cameron & Anthony D. Hall, 2003. "A Survival Analysis of Australian Equity Mutual Funds," Research Paper Series 94, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
M. Gilli & C. Chiarella & J. Dewynne, 2003. "Issues in Evaluating Multifactor Options in a PDE Framework," Computing in Economics and Finance 2003 110, Society for Computational Economics.
Andrew Ziogas & Carl Chiarella, 2003. "McKean’s Method applied to American Call Options on Jump-Diffusion Processes," Computing in Economics and Finance 2003 39, Society for Computational Economics.
To, Thuy Duong & Carl Chiarella, 2003. "The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison," Royal Economic Society Annual Conference 2003 205, Royal Economic Society. [Downloadable!]
Christina Nikitopoulos-Sklibosios & Carl Chiarella, 2003. "An Implementation of the Shirakawa Jump-Diffusion Term Structure Model," Computing in Economics and Finance 2003 201, Society for Computational Economics.
Carl Chiarella & Roberto Dieci & Laura Gardini, 2003. "A Dynamic Analysis of Speculation Across Two Markets," Research Paper Series 89, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
T. Asada & Carl Chiarella & Peter Flaschel & Reiner Franke, 2003. "Interacting Two-Country Business Fluctuations," Working Paper Series 128, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Peiyuan Zhu, 2003. "The Structure of Keynesian Macrodynamics: A Framework for Future Research," Working Paper Series 129, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
T. Asada & Carl Chiarella & Peter Flaschel, 2003. "Keynes-Metzler-Goodwin Model Building: The Closed Economy," Working Paper Series 124, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2003. "Output and the Term Structure of Interest Rates: Ways Out of th Jump-Variable Conundrum," Working Paper Series 125, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Willi Semmler, 2003. "Real-Financial Interaction: Implications of Budget Equations and Capital Accumulation," Working Paper Series 127, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Peiyuan Zhu, 2003. "Towards Applied Disequilibrium Growth Theory: IV Numerical Investigations of the Core 18D Model," Working Paper Series 96, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 2003. "Towards Applied Disequilibrium Growth Theory: V Housing Investment Cycles, Private Debt Accumulation and Deflation," Working Paper Series 97, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Friedrich Schneider & Christopher Bajada, 2003. "The Size and Development of the Shadow Economies in the Asia-Pacific," Economics working papers 2003-01, Department of Economics, Johannes Kepler University Linz, Austria. [Downloadable!]
Eckhard Platen, 2003. "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series 110, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2003. "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series 101, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2003. "A Benchmark Framework for Risk Management," Research Paper Series 113, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2003. "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series 103, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Jason West, 2003. "Fair Pricing of Weather Derivatives," Research Paper Series 106, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2003. "Diversified Portfolios in a Benchmark Framework," Research Paper Series 87, Quantitative Finance Research Centre, University of Technology, Sydney.
Mark Craddock & Eckhard Platen, 2003. "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions," Research Paper Series 90, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2003. "An Alternative Interest Rate Term Structure Model," Research Paper Series 97, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Gerhard Stahl, 2003. "A Structure for General and Specific Market Risk," Research Paper Series 91, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Leah Kelly & Eckhard Platen, 2003. "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series 96, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Nadima El-Hassan & Paul Kofman, 2003. "Tracking Error and Active Portfolio Management," Research Paper Series 98, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Pat Wilson & Ralf Zurbruegg, 2003. "International Diversification of Real Estate Assets - Is it Worth It? Evidence from the Literature," Working Paper Series 126, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]

2002

Keane, Michael P. & Prasad, Eswar S., 2002. "Inequality, Transfers and Growth: New Evidence from the Economic Transition in Poland," IZA Discussion Papers 448, Institute for the Study of Labor (IZA). [Downloadable!]
Keane, Michael P. & Prasad, Eswar S., 2002. "Changes in the Structure of Earnings During the Polish Transition," IZA Discussion Papers 496, Institute for the Study of Labor (IZA). [Downloadable!]
Daniel Houser & Michael Keane & Kevin McCabe, 2002. "Behavior in a dynamic decision problem: An analysis of experimental evidence using a bayesian type classification algorithm," Experimental 0211001, EconWPA. [Downloadable!]
Daniel Diermeier & Michael Keane & Antonio Merlo, 2002. "A Political Economy Model of Congressional Careers," PIER Working Paper Archive 04-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 01 Sep 2004. [Downloadable!]
Eswar Prasad & Michael P. Keane, 2002. "Changes in the Structure of Earnings During the Polish Transition," IMF Working Papers 02/135, International Monetary Fund.
Carl Chiarella & Xue-Zhong He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Research Paper Series 84, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Tony He, 2002. "An Adaptive Model on Asset Pricing and Wealth Dynamics with Heterogeneous Trading Strategies," Computing in Economics and Finance 2002 135, Society for Computational Economics.
Erik Schlögl, 2002. "Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices," Research Paper Series 79, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Goldbaum, 2002. "Investment and Discovery: Market coordination when investing in projects with endogenous payoffs," Computing in Economics and Finance 2002 118, Society for Computational Economics.
David Vines & Gordon Douglas Menzies, 2002. "Debt Overhang and Real Exchange Rate Overshooting in the Asian Crisis," Economics Series Working Papers 122, University of Oxford, Department of Economics. [Downloadable!]
Giulia Iori & Carl Chiarella, 2002. "A simple microstructure model of double auction markets," Computing in Economics and Finance 2002 44, Society for Computational Economics.
Carl Chiarella & Peter Flaschel & Gang Gong & Willi Semmler, 2002. "Nonlinear Phillips Curves, the Emergence of Complex Dynamics and the Role of Monetary Policy Rules," Computing in Economics and Finance 2002 89, Society for Computational Economics.
Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Price Dynamics And Diversification Under Heterogeneous Expectations," Computing in Economics and Finance 2002 88, Society for Computational Economics.
Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Computing in Economics and Finance 2002 28, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2002. "A Short Time Expansion of the Volatility Function For The Calibration of Option Pricing Models," Computing in Economics and Finance 2002 261, Society for Computational Economics.
Carl Chiarella & Silvana Musti, 2002. "Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility," Computing in Economics and Finance 2002 84, Society for Computational Economics.
Carl Chiarella & Nadima El-Hassan & Adam Kucera, 2002. "The Pricing of Multifactor Derivative Securities in a Path-Integral Framework using Multidimensional Fourier-Hermite Series Expansions," Computing in Economics and Finance 2002 292, Society for Computational Economics.
Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2002. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computing in Economics and Finance 2002 222, Society for Computational Economics.
G.I. Bischi, & C. Chiarella & M. Kopel, 2002. "On Market Games with Misspecified Demand Functions : Long Run Outcomes and Global Dynamics," Computing in Economics and Finance 2002 27, Society for Computational Economics.
Carl Chiarella & Peter Flaschel & G. Gong & Willi Semmler, 2002. "Nonlinear Phillips Curves, Complex Dynamics and Monetary Policy in a Keynesian Macro Model," Working Paper Series 120, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2002. "Stability Analysis of a High-Dimensional Macrodynamic Model of Real-Financial Interaction: A Cascade of Matrices Approach," Working Paper Series 123, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Andrew Ziogas, 2002. "Evaluation of American Strangles," Research Paper Series 83, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & S. Gao, 2002. "Modelling the Value of the S&P 500 - A System Dynamics Perspective," Working Paper Series 115, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series 80, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & S. Gao, 2002. "Type I Spurious Regression in Econometrics," Working Paper Series 114, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & S. Gao, 2002. "Solving the Price-Earnings Puzzle," Working Paper Series 116, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Hans Buhlmann & Eckhard Platen, 2002. "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series 74, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2002. "A Variance Reduction Technique Based on Integral Representations," Research Paper Series 75, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2002. "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series 78, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2002. "Benchmark Model with Intensity Based Jumps," Research Paper Series 81, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2002. "A Benchmark Framework for Integrated Risk Management," Research Paper Series 82, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Pat Wilson & Ralf Zurbruegg & Richard Gerlach, 2002. "Structural Breaks and Diversification: The ImpactThe Impact of the 1997 Asian Financial Crisis on the Integration of Asia-Pacific Real Estate Markets," Working Paper Series 121, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
John Geweke & Gautam Gowrisankaran & Robert J. Town, 2002. "Bayesian inference for hospital quality in a selection model," Working Papers in Applied Economic Theory 2002-18, Federal Reserve Bank of San Francisco. [Downloadable!]

2001

Xue-Zhong (Tony) He & Carl Chiarella, 2001. "Asset Price and Wealth Dynamics under Heterogeneous Expectations," CeNDEF Workshop Papers, January 2001 5A.2, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Carl Chiarella and Xue-Zhong He, 2001. "A Non-Stationary Asset Pricing Model under Heterogeneous Expectations," Computing in Economics and Finance 2001 39, Society for Computational Economics.
Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Heterogeneous Case," Research Paper Series 55, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He, 2001. "Asset Price and Wealth Dynamics Under Heterogeneous Expectations," Research Paper Series 56, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He, 2001. "Dynamics of Beliefs and Learning Under aL Processes - The Homogeneous Case," Research Paper Series 53, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Erik Schlögl, 2001. "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Research Paper Series 71, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Goldbaum, 2001. "Market Efficiency and Learning in an Endogenously Unstable Environment," Computing in Economics and Finance 2001 105, Society for Computational Economics.
Anthony D. Hall & Paul Kofman & Steve Manaster, 2001. "Migration of Price Discovery With Constrained Futures Markets," Research Paper Series 70, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Peter Flaschel & Carl Chiarella & Reiner Franke & Willi Semmler, 2001. "Output and Interest Rates. Jump Variable and Phase Diagram Switching Methodologies," CeNDEF Workshop Papers, January 2001 1B.1, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2001. "Real-Financial Interaction: Integrating Supply Side Wage-Price Dynamics and the Stock Market," Working Paper Series 112, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Filtering Equity Risk Premia From Derivative Prices," Research Paper Series 69, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 2001. "State Variables and the Affine Nature of Markovian HJM Term Structure Models," Research Paper Series 52, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Willi Semmler, 2001. "Real-Financial Interaction: A Reconsideration of the Blanchard Model with a State-of-Market Dependent Reaction Coefficient," Working Paper Series 111, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Wolfgang Runggaldier, 2001. "Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm," Research Paper Series 68, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Roberto Dieci & Laura Gardini, 2001. "Speculative Behaviour and Complex Asset Price Dynamics," Research Paper Series 49, Quantitative Finance Research Centre, University of Technology, Sydney.
Chris Bajada, 2001. "The Effects of Inflation and the Business Cycle on Revisions of Macroeconomic Data," Working Paper Series 110, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2001. "A Benchmark Model for Financial Markets," Research Paper Series 59, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2001. "Arbitrage in Continuous Complete Markets," Research Paper Series 72, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Mark Craddock & Eckhard Platen, 2001. "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series 60, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Heath & Eckhard Platen, 2001. "Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model," Research Paper Series 61, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001. "Semiparametric Diffusion Estimation and Application to a Stock Market Model," Research Paper Series 51, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Kestutis Kubilius & Eckhard Platen, 2001. "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Research Paper Series 54, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2001. "A Minimal Financial Market Model," Research Paper Series 48, Quantitative Finance Research Centre, University of Technology, Sydney.
Uwe Kuchler & Eckhard Platen, 2001. "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series 50, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Perry, L.J. & Wilson, P.J., 2001. "The Accord and Strikes: An International Perspective," Economics Working Papers wp01-03, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
Batten, Jonathan & Warren Hogan, 2001. "The Spot AUD/USD Foreign Exchange Market: Evidence from High Frequency Data," Accounting, Finance, Financial Planning and Insurance Series 2001_03, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance. [Downloadable!]
Chin-Ying Hsiao & Willi Semmler, 2001. "Maximum Likelihood Estimations of SDE Dynamics Based on Discrete Time Data How well does the Euler Method Perform?," CeNDEF Workshop Papers, January 2001 3A.3, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
David Michayluk & Paul Kofman, 2001. "Market Structure and Stock Splits," Research Paper Series 62, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
John Geweke & Gautam Gowrisankaran & Robert J. Town, 2001. "Bayesian Inference for Hospital Quality in a Selection Model," NBER Working Papers 8497, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2000

Keane, M. P. & Prasad, E. S., 2000. "Inequality, Transfers and Growth: New Evidence from the Economic Transition in Poland," Working Papers 00-09, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
Eswar Prasad & Michael P. Keane, 2000. "Inequality, Transfers and Growth - New Evidence from the Economic Transition in Poland," IMF Working Papers 00/117, International Monetary Fund.
Carl Chiarella & Xue-Zhong He, 2000. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model with a Market Maker," Research Paper Series 35, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He, 2000. "Stability of Competitive Equilibria with Heterogeneous Beliefs and Learning," Research Paper Series 37, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Tim Dunn & Erik Schlögl & Geoff Barton, 2000. "Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model," Research Paper Series 40, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
David Goldbaum, 2000. "Profitability And Market Stability: Fundamentals And Technical Trading Rules," Computing in Economics and Finance 2000 85, Society for Computational Economics. [Downloadable!]
Gordon Menzies, 2000. "Debt Forgiveness: The Case for Hyper-Incentive Contracts," Economics Series Working Papers 037, University of Oxford, Department of Economics. [Downloadable!]
Douglas Menzies, G., 2000. "Debt Forgiveness: the Case for Hyper-Incentive Contracts," Economics Series Working Papers 9937, University of Oxford, Department of Economics.
Anthony D. Hall & S. Hwang & Steve Satchell, 2000. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return," Research Paper Series 31, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Richard Gerlach & Ron Bird & Anthony D. Hall, 2000. "A Bayesian Approach to Variable Selection in Logistic Regression with Application to Predicting Earnings Direction from Accounting Information," Research Paper Series 47, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Anthony Hall & Soosung Hwang & Stephen E. Satchell, 2000. "Using Bayesian Variable Selection Methods to Choose Style Factors in Global Stock Return Models," Econometric Society World Congress 2000 Contributed Papers 1213, Econometric Society. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 2000. "A Complete Stochastic Volatility Model in the HJM Framework," Research Paper Series 43, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Toan Pham, 2000. "Modeling the Currency Forward Risk Premium: Theory and Evidence," Research Paper Series 41, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 2000. "A Class of Heath-Jarrow-Morton Term Structure Models with Stochastic Volatility," Research Paper Series 34, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 2000. "Infering Forward Looking Financial Market Risk Premia from Derivatives Prices," Research Paper Series 42, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 2000. "Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems," Working Paper Series 76, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Alexander Khomin, 2000. "Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics," Working Paper Series 102, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng, 2000. "The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option," Research Paper Series 36, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Willi Semmler, 2000. "Price Flexibility and Debt Dynamics in a High Order AS-AD Model," Working Paper Series 109, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000. "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series 39, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Volker Bohm & Carl Chiarella, 2000. "Mean Variance Preferences, Expectations Formation, and the Dynamics of Random Asset Prices," Research Paper Series 46, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & Reiner Franke & Willi Semmler, 2000. "Output, Financial Markets and Growth," Working Paper Series 108, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella, Nadima El-Hassan & Adam Kucera, 2000. "The Evaluation Of Multiasset European And American Options Via Fourier Hermite Series Expansions," Computing in Economics and Finance 2000 287, Society for Computational Economics.
Chris Bajada, 2000. "An Examination of the Statistical Discrepancy and Private Investment Expenditure," Working Paper Series 103, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 2000. "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series 45, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Uwe Kuchler & Eckhard Platen, 2000. "Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series 44, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Tiffany Hutcheson, 2000. "Trading in the Australian Foreign Exchange Market," Working Paper Series 107, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]

1999

Eswar Prasad & Michael P. Keane, 1999. "Consumption and Income Inequality in Poland During the Economic Transition," IMF Working Papers 99/14, International Monetary Fund.
Xue-Zhong He & Carl Chiarella, 1999. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset-Pricing Model," Computing in Economics and Finance 1999 223, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Tony He, 1999. "Heterogeneous Beliefs, Risks and Learning in a Simple Asset Pricing Model," Research Paper Series 18, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Xue-Zhong He, 1999. "The Dynamics of the Cobweb when Producers are Risk Averse Learners," Working Paper Series 90, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Discussion Paper Serie B 422, University of Bonn, Germany, revised Apr 1999. [Downloadable!]
Erik Schlögl & L. Schlögl, 1999. "A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data," Research Paper Series 24, Quantitative Finance Research Centre, University of Technology, Sydney.
A. Dudenhausen & Erik Schlögl & L. Schlögl, 1999. "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series 19, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Erik Schlögl, 1999. "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series 20, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1999. "Applying Disequilibrium Growth Theory: Debt Effects and Debt Deflation," Computing in Economics and Finance 1999 714, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Peter Flaschel & Willi Semmler, 1999. "The Macrodynamics of Debt Deflation," SCEPA Working Papers 1999-04, Schwartz Center for Economic Policy Analysis (SCEPA), The New School. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: II Intensive Form and Steady State Analysis of the Model," Working Paper Series 94, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 1999. "Forward Rate Dependent Markovian Transformations of the Heath-Jarrow-Morton Term Structure Model," Research Paper Series 5, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Nadima El-Hassan, 1999. "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series 12, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Ferenz Szidarovszky, 1999. "The Birth of Limit Cycles in Nonlinear Oligipolies with Continuously Distributed Information Lags," Working Paper Series 87, School of Finance and Economics, University of Technology, Sydney.
Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: I The Starting Model," Working Paper Series 93, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1999. "Towards Applied Disequilibrium Growth Theory: III Basic Partial Feedback Structures and Stability Issues," Working Paper Series 95, School of Finance and Economics, University of Technology, Sydney.
Carl Chiarella & Peter Flaschel & G. Groh & C. Köper & Willi Semmler, 1999. "Towards Applied Disequilibrium Growth Theory: VI Substitution, Money-Holdings, Wealth-Effects and Further Extensions," Working Paper Series 98, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Oh-Kang Kwon, 1999. "Classes of Interest Rate Models Under the HJM Framework," Research Paper Series 13, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1999. "Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives," Working Paper Series 85, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel & G. Groh & C. Köper & Willi Semmler, 1999. "Towards Applied Disequilibrium Growth Theory: VII Intensive Form and Steady State Calculation in the Case of Substitution," Working Paper Series 99, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Chris Bajada, 1999. "Confidence Intervals for the Underground Economy in Australia," Working Paper Series 91, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Eckhard Platen, 1999. "On the Log-Return Distribution of Index Benchmarked Share Prices," Research Paper Series 22, Quantitative Finance Research Centre, University of Technology, Sydney.
Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
Mark Craddock & David Heath & Eckhard Platen, 1999. "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing," Research Paper Series 27, Quantitative Finance Research Centre, University of Technology, Sydney.
Eckhard Platen, 1999. "A Financial Market Model with Trading Volume and Stochastic Volatility," Research Paper Series 15, Quantitative Finance Research Centre, University of Technology, Sydney.
R. Elliott & Eckhard Platen, 1999. "Hidden Markov Chain Filtering for Generalised Bessel Processes," Research Paper Series 23, Quantitative Finance Research Centre, University of Technology, Sydney.
Eckhard Platen, 1999. "A Financial Market Model," Research Paper Series 9, Quantitative Finance Research Centre, University of Technology, Sydney.
David Heath & S. Hurst & Eckhard Platen, 1999. "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series 7, Quantitative Finance Research Centre, University of Technology, Sydney.
P. Fischer & Eckhard Platen, 1999. "Applications of the Balanced Method to Stochastic Differential Equations in Filtering," Research Paper Series 16, Quantitative Finance Research Centre, University of Technology, Sydney.
S. Hurst & Eckhard Platen, 1999. "On the Marginal Distribution of Trade Weighted Currency Indices," Research Paper Series 8, Quantitative Finance Research Centre, University of Technology, Sydney.
John van der Hoek & Eckhard Platen, 1999. "Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation," Research Paper Series 14, Quantitative Finance Research Centre, University of Technology, Sydney.
Eckhard Platen, 1999. "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series 21, Quantitative Finance Research Centre, University of Technology, Sydney.
R. Elliott & P. Fischer & Eckhard Platen, 1999. "Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model," Research Paper Series 17, Quantitative Finance Research Centre, University of Technology, Sydney.
Craig Ellis & Pat Wilson, 1999. "A Stochastic Approach to Modelling and Forecasting Dependent Time-Series," Research Paper Series 26, Quantitative Finance Research Centre, University of Technology, Sydney.
John Geweke, 1999. "Computational Experiments and Reality," Computing in Economics and Finance 1999 401, Society for Computational Economics.
John Geweke, 1999. "Using Simulation Methods for Bayesian Econometric Models," Computing in Economics and Finance 1999 832, Society for Computational Economics.

1998

Keane, Michael & Prasad, Eswar, 1998. "Consumption and Income Inequality in Poland During the Economic Transition," Working Papers 98-38, C.V. Starr Center for Applied Economics, New York University. [Downloadable!]
Anthony D. Hall & Paul Kofman & R. Guido, 1998. "Limits to Linear Price Behaviour: Target Zones for Futures Prices Regulated By Limits," Research Paper Series 3, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
Hall, Anthony D. & Skalin, Joakim & Teräsvirta, Timo, 1998. "A nonlinear time series model of El Niño," Working Paper Series in Economics and Finance 263, Stockholm School of Economics.
David Heath & Eckhard Platen & M. Schweizer, 1998. "Comparison of Some Key Approches to Hedging in Incomplete Markets," Research Paper Series 1, Quantitative Finance Research Centre, University of Technology, Sydney.
Tiffany Hutcheson, 1998. "Is Speculative Activity in Asia Pacific Markets Anything New?," Working Paper Series 82, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Pat Wilson & John Okunev & Tiffany Hutcheson, 1998. "Regime Switches in Property Market Risk Premiums: Some International Comparisons," Working Paper Series 80, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Nielsen, J.A. & Sandmann, K., 1998. "Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options," Discussion Paper Serie B 431, University of Bonn, Germany. [Downloadable!]
John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis. [Downloadable!]

1997

John F. Geweke & Michael P. Keane, 1997. "An empirical analysis of income dynamics among men in the PSID: 1968-1989," Staff Report 233, Federal Reserve Bank of Minneapolis. [Downloadable!]
John F. Geweke & Michael P. Keane, 1997. "Mixture of normals probit models," Staff Report 237, Federal Reserve Bank of Minneapolis. [Downloadable!]
Schloegl, Erik & Daniel Sommer, 1997. "Factor Models and the Shape of the Term Structure," Discussion Paper Serie B 395, University of Bonn, Germany. [Downloadable!]
Schloegl, Erik & Lutz Schloegl, 1997. "A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates," Discussion Paper Serie B 396, University of Bonn, Germany. [Downloadable!]
Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Nadima El-Hassan, 1997. "A Survey of Models for the Pricing of Interest Rate Derivatives," Working Paper Series 75, School of Finance and Economics, University of Technology, Sydney.
Tiffany Hutcheson & Ian Sharpe, 1997. "Ownership Structure and Building Society Efficiency," Working Paper Series 78, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Hogan, W. & King, S., 1997. "Incomes Policies and Wages Outcomes in Australia," Papers 244, Sydney - Department of Economics.
Sandmann, Klaus & Dieter Sondermann, 1997. "Log-Normal Interest Rate Models: Stability and Methodology," Discussion Paper Serie B 398, University of Bonn, Germany. [Downloadable!]

1996

John F. Geweke & Michael P. Keane, 1996. "Bayesian inference for dynamic choice models without the need for dynamic programming," Working Papers 564, Federal Reserve Bank of Minneapolis. [Downloadable!]
Carl Chiarella & Nadima El-Hassan, 1996. "A Preference Free Partial Differential Equation for the Term Stucture of Interest Rates," Working Paper Series 63, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Alexander Khomin, 1996. "Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates," Working Paper Series 64, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1996. "Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data," Working Paper Series 70, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1996. "Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model," Working Paper Series 66, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Jock Collins, 1996. "Cosmopolitan Capitalism: Ethnicity, Gender and Small Business in Australia in the 1990s," Working Paper Series 68, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Jock Collins, 1996. "Ethnic Small Business and Employment Creation in Australia in the 1990s," Working Paper Series 71, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Hogan, W.P., 1996. "The Barings Collapse: Explanations and Implications," Papers 235, Sydney - Department of Economics.
Hogan, W.P., 1996. "Foreign Debt: Perceptions, Experiences and Issues," Papers 225, Sydney - Department of Economics.
Pat Wilson & John Okunev, 1996. "Unit Root Testing with Known and Unknown Structural Breaks in Property and Equity Markets," Working Paper Series 62, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
John Okunev & Pat Wilson, 1996. "Fractional Co-Integration in Domestic and International Real Estate and Stock Markets," Working Paper Series 65, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]

1995

M. Keane & R. Mofitt, 1995. "A Structural Model of Multiple Welfare Program Participation and Labor Supply," Working Papers 95-4, Brown University, Department of Economics.
Michael P. Keane & Kenneth I. Wolpin, 1995. "The career decisions of young men," Working Papers 559, Federal Reserve Bank of Minneapolis. [Downloadable!]
Michael P. Keane & Robert Moffitt, 1995. "A structural model of multiple welfare program participation and labor supply," Working Papers 557, Federal Reserve Bank of Minneapolis. [Downloadable!]
Eswar Prasad & Michael P. Keane, 1995. "The Employment and Wage Effects of Oil Price Changes: A Sectoral Analysis," IMF Working Papers 95/37, International Monetary Fund.
Pagan, A.R. & Hall, A.D. & Martin, V., 1995. "Modelling the Term Structure," Papers 284, Australian National University - Department of Economics.
Ram Bhar & Carl Chiarella, 1995. "Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach," Working Paper Series 56, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Peter Flaschel, 1995. "Keynesian Monetary Growth Dynamics: The Missing Prototype," Working Paper Series 52, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1995. "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1995. "Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework," Working Paper Series 55, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Koji Okuguchi, 1995. "A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets," Working Paper Series 43, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Ram Bhar & Carl Chiarella, 1995. "Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Jock Collins, 1995. "Immigration and Labor Government in Australia: 1983-95," Working Paper Series 45, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Jock Collins & C. Reid, 1995. "Chinese in Australia 1945-1994: Changing Patterns of Migration, Racialisation and Opportunity," Working Paper Series 44, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Pat Wilson & John Okunev & Guy Ta, 1995. "Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets," Working Paper Series 49, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Pat Wilson & P. DuPlessis, 1995. "Comparing and Contrasting Native Property Title Claims in South Africa and Australia," Working Paper Series 46, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
John Okunev & Pat Wilson, 1995. "Using Non-Linear Tests to Examine Integration Between Real Estate and Equity Markets," Working Paper Series 47, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Nielsen, J. Aase & Klaus Sandmann, 1995. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," Discussion Paper Serie B 327, University of Bonn, Germany, revised Mar 1996. [Downloadable!]
K. Sandmann & Sandmann, K., 1995. "The Direct Approach to Debt Option Pricing," Discussion Paper Serie B 212, University of Bonn, Germany. [Downloadable!]
Nielsen, J. Aase & Klaus Sandmann, 1995. "Equity-linked life insurance - a model with stochastic interest rates," Discussion Paper Serie B 291, University of Bonn, Germany, revised Mar 1995. [Downloadable!]
Nielsen, J. A. & K. Sandmann, 1995. "The Pricing of Asian Options under Stochastic Interest Rates," Discussion Paper Serie B 323, University of Bonn, Germany, revised Dec 1995. [Downloadable!]
K. Sandmann & Reimer, M., 1995. "A Discrete Time Approach for European and American Barrier Options," Discussion Paper Serie B 272, University of Bonn, Germany. [Downloadable!]
John Geweke, 1995. "Monte Carlo simulation and numerical integration," Staff Report 192, Federal Reserve Bank of Minneapolis. [Downloadable!]
John Geweke & Guofo Zhou, 1995. "Measuring the pricing error of the arbitrage pricing theory," Staff Report 189, Federal Reserve Bank of Minneapolis. [Downloadable!]

1994

John Geweke & Michael Keane & David Runkle, 1994. "Alternative computational approaches to inference in the multinomial probit model," Staff Report 170, Federal Reserve Bank of Minneapolis. [Downloadable!]
John F. Geweke & Michael P. Keane & David E. Runkle, 1994. "Statistical inference in the multinomial multiperiod probit model," Staff Report 177, Federal Reserve Bank of Minneapolis. [Downloadable!]
Michael P. Keane & Kenneth I. Wolpin, 1994. "The solution and estimation of discrete choice dynamic programming models by simulation and interpolation: Monte Carlo evidence," Staff Report 181, Federal Reserve Bank of Minneapolis. [Downloadable!]
Schlögl, Erik & Daniel Sommer, 1994. "On Short Rate Processes and Their Implications for Term Structure Movements," Discussion Paper Serie B 293, University of Bonn, Germany. [Downloadable!]
Platen, Eckhard & Martin Schweizer, 1994. "On Smile and Skewness," Discussion Paper Serie B 302, University of Bonn, Germany.
Jock Collins, 1994. "The Changing Political Economy of Australian Racism," Working Paper Series 41, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Rowan Trayler & J. Nielsen & B. Brown, 1994. "A Survey of Expectations of Bankers on the Factors Business Firms Use in Selecting a Bank," Working Paper Series 40, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Pat Wilson & John Okunev & Guy Ta, 1994. "Are Real Estate and Securities Markets Integrated? Some Australian Evidence," Working Paper Series 42, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
D. Sondermann & Sandmann, K., 1994. "On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures," Discussion Paper Serie B 263, University of Bonn, Germany. [Downloadable!]
Miltersen, K. & K. Sandmann & D. Sondermann, 1994. "Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Discussion Paper Serie B 308, University of Bonn, Germany. [Downloadable!]

1993

Eswar Prasad & Michael P. Keane, 1993. "The Relation Between Skill Levels and the Cyclical Variability of Employment, Hours, and Wages," IMF Working Papers 93/44, International Monetary Fund.
Sandmann, K. & E. Schlögl, 1993. "Zustandspreise und die Modellierung des Zinsänderungsrisikos," Discussion Paper Serie B 238, University of Bonn, Germany.
Gordon Menzies & Geoffrey Heenan, 1993. "Explaining the Recent Performance of Australia's Manufactured Exports," RBA Research Discussion Papers rdp9310, Reserve Bank of Australia. [Downloadable!]
Jock Collins, 1993. "Cohesion with Diversity? Immigration and Multiculturalism in Canada and Australia," Working Paper Series 28, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Jock Collins & F. Henry, 1993. "Racism, Ethnicity and Immigration in Canada and Australia," Working Paper Series 25, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Hogan, W.P., 1993. "Market Value Accounting in the Financial Service Sector," Papers 191, Sydney - Department of Economics.
Hogan, W.P., 1993. "Markets for Illicit Drugs," Papers 181, Sydney - Department of Economics.
Pat Wilson, 1993. "Circumstantial Evidence of the Influence of Estate Agents on Exchange Price and Market Reserve Price," Working Paper Series 33, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Pat Wilson, 1993. "Shared Information - Comparing Multilist and Franchise Operations," Working Paper Series 23, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Pat Wilson & Wayne Dwyer, 1993. "In Shared Information Services is Size Important?," Working Paper Series 24, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Dwyer, W. & Wilson, P.J., 1993. "Monocentricity and Its Application to the Sydney Housing Market," Papers e9302, Western Sydney - School of Business And Technology.
K. Sandmann & Sondermann, D., 1993. "A Term Structure Model and the Pricing of Interest Rate Derivative," Discussion Paper Serie B 180, University of Bonn, Germany. [Downloadable!]
Reimer, Matthias & Klaus Sandmann, 1993. "Down-and-out Call - Bewertungstheorie, numerische Verfahren und Simulationsstudie," Discussion Paper Serie B 239, University of Bonn, Germany.

1992

Carl Chiarella, 1992. "The Dynamics of Speculative Behaviour," Working Paper Series 13, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella, 1992. "Developments in Nonlinear Economic Dynamics: Past, Present and Future," Working Paper Series 14, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
N. Hofmann & E. Platen & M. Schweizer, 1992. "Option Pricing under Incompleteness and Stochastic Volatility," Discussion Paper Serie B 209, University of Bonn, Germany.
Jock Collins, 1992. "Immigrant Families in Australia," Working Paper Series 12, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Hogan, W.P., 1992. "Financial Deregulation: Fact and Fantasy," Papers 171, Sydney - Department of Economics.
Keith Chan & D McColough & Michael Skully, 1992. "Australian Tax Changes and Dividend Reinvestment Announcement Effects: A Pre- and Post-Imputation Study," Working Paper Series 16, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Pat Wilson, 1992. "Performance Differences Within the Market for Housing," Working Paper Series 18, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Wilson, P.J. & Dwyer, W., 1992. "Do the Smart Get Richer? Housing Market Patterns in Benefits to Sellers," Papers e9211, Western Sydney - School of Business And Technology.
Wilson, P.J. & Dwyer, W., 1992. "Variations in Market Duration and Likelihood of Sale," Papers e9210, Western Sydney - School of Business And Technology.
John Geweke, 1992. "Priors for macroeconomic time series and their application," Discussion Paper / Institute for Empirical Macroeconomics 64, Federal Reserve Bank of Minneapolis. [Downloadable!]

1991

Michael P. Keane & Eswar S. Prasad, 1991. "The relation between skill levels and the cyclical variability of employment, hours and wages," Discussion Paper / Institute for Empirical Macroeconomics 41, Federal Reserve Bank of Minneapolis. [Downloadable!]
Michael P. Keane & Eswar S. Prasad, 1991. "The employment and wage effects of oil price shocks: a sectoral analysis," Discussion Paper / Institute for Empirical Macroeconomics 51, Federal Reserve Bank of Minneapolis. [Downloadable!]
Michael P. Keane, 1991. "Individual heterogeneity and interindustry wage differentials," Discussion Paper / Institute for Empirical Macroeconomics 54, Federal Reserve Bank of Minneapolis. [Downloadable!]
Alison Tarditi & Gordon Menzies, 1991. "Monthly Movements in the Australian Dollar and Real Short-term Interest Differentials: An Application of the Kalman Filter," RBA Research Discussion Papers rdp9111, Reserve Bank of Australia. [Downloadable!]
David WR Gruen & Gordon D Menzies, 1991. "The Failure of Uncovered Interest Parity: Is it Near-rationality in the Foreign Exchange Market?," RBA Research Discussion Papers rdp9103, Reserve Bank of Australia. [Downloadable!]
Carl Chiarella, 1991. "The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays," Working Paper Series 11, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Toan Pham & Ah Boon Sim & Madeleine Tan, 1991. "The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context," Working Paper Series 4, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella & Toan Pham & Ah Boon Sim & Madeleine Tan, 1991. "Determinants of Corporate Capital Structure: Australian Evidence," Working Paper Series 3, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Carl Chiarella, 1991. "Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics," Working Paper Series 6, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Jock Collins, 1991. "Multiculturalism in Australia: The Challenges Ahead," Working Paper Series 7, School of Finance and Economics, University of Technology, Sydney. [Downloadable!]
Hogan, W.P., 1991. "New Banks: Impact and Response," Papers 158, Sydney - Department of Economics.
John Geweke, 1991. "Evaluating the accuracy of sampling-based approaches to the calculation of posterior moments," Staff Report 148, Federal Reserve Bank of Minneapolis. [Downloadable!]

1990

Michael P. Keane, 1990. "Nominal contracting theories of unemployment: evidence from panel data," Discussion Paper / Institute for Empirical Macroeconomics 27, Federal Reserve Bank of Minneapolis. [Downloadable!]
Michael P. Keane, 1990. "Sectoral shift theories of unemployment: evidence from panel data," Discussion Paper / Institute for Empirical Macroeconomics 28, Federal Reserve Bank of Minneapolis. [Downloadable!]
H. M. Anderson & C. W.J. Granger & A. D. Hall, 1990. "Treasury Bill Yield Curves and Cointegration," University of California at San Diego, Economics Working Paper Series 90-24, Department of Economics, UC San Diego.
Anderson, H.M. & Granger, C.W.G. & Hall, A.D., 1990. "Treasury Bi;; Yield Curves And Cointegration," Papers 215, Australian National University - Department of Economics.
Hogan, W.P., 1990. "International Capital Adequacy Standards," Papers 146, Sydney - Department of Economics.

1989

Michael P. Keane, 1989. "A computationally practical simulation estimator for panel data, with applications to labor supply and real wage movement over the business cycle," Discussion Paper / Institute for Empirical Macroeconomics 16, Federal Reserve Bank of Minneapolis. [Downloadable!]
Hogan, W.P. & Sharp, I.G., 1989. "Prudential Regulation Of Bank Ownership And Control," Papers 122, Sydney - Department of Economics.
Hogan, W.P., 1989. "New Banks In Australia," Papers 134, Sydney - Department of Economics.
Geweke, J., 1989. "The Posterior Distribution Of Roots In Multivariate Autoregressions," Papers 9027-a, Erasmus University of Rotterdam - Econometric Institute.

1988

Hogan, W.P., 1988. "Insider Information And Market Adjustment," Papers 118, Sydney - Department of Economics.

Undated

Michael P. Keane & Kenneth Wolpin, . "Eliminating Race Differences in School Attainment and Labor Market Success," CARESS Working Papres 97-5, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
M. Keane & R. Moffitt, . "A structural model of multiple welfare program participation and labor supply," Institute for Research on Poverty Discussion Papers 1080-96, University of Wisconsin Institute for Research on Poverty. [Downloadable!]
J. Geweke & M. Keane, . "An Empirical Analysis of Income Dynamics among Men in the PSID: 1968–1989," Institute for Research on Poverty Discussion Papers 1127-97, University of Wisconsin Institute for Research on Poverty. [Downloadable!]
Keane, Michael P & Sauer, Robert M, . "A Computationally Practical Simulation Estimation Algorithm for Dynamic Panel Data Models with Unobserved Endogenous State Variables," Discussion Paper Series In Economics And Econometrics 0705, Economics Division, School of Social Sciences, University of Southampton.
David Goldbaum, . "A Dynamic Model of Information Selection in Asset Markets," Computing in Economics and Finance 1997 56, Society for Computational Economics. [Downloadable!]
Malcolm Edey & Elaine Kerrison & Gordon Menzies, . "Transmission of External Shocks in the RBII Model," RBA Research Discussion Papers rdp8710, Reserve Bank of Australia.
Carl Chiarella & Alexander Khomin, . "Adaptive Rational Expectations in Models of Monetary Dynamics," Computing in Economics and Finance 1997 97, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Peter Flaschel, . "A Model of Monetary Growth for a Small Open Economy," Computing in Economics and Finance 1997 138, Society for Computational Economics. [Downloadable!]
Toichiro Asada & Carl Chiarella & Peter Flaschel & Reiner Franke, . "Interacting Two-Country Business Fluctuations," Modeling, Computing, and Mastering Complexity 2003 02, Society for Computational Economics. [Downloadable!]
Carl Chiarella & Alexander Khomin, . "Visual Modeling of Endogenous Fluctuations in Economic Dynamic Systems," Computing in Economics and Finance 1997 109, Society for Computational Economics. [Downloadable!]
Carl Chiarella, Nadima El-Hassan, & Adam Kucera, . "Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions," Computing in Economics and Finance 1997 132, Society for Computational Economics. [Downloadable!]
E. Platen, . "A Benchmark Model for Financial Markets," Sonderforschungsbereich 373 2001-52, Humboldt Universitaet Berlin.
U. Küchler & E. Platen, . "Strong discrete time approximation of Stochastic Differential Equations with Time Delay," Sonderforschungsbereich 373 1999-25, Humboldt Universitaet Berlin.
H. Gilsing & U. Küchler & E. Platen, . "Über die Stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis," Sonderforschungsbereich 373 2001-20, Humboldt Universitaet Berlin.
E. Platen, . "Risk Premia and Financial Modelling Without Measure Transformation," Sonderforschungsbereich 373 2000-92, Humboldt Universitaet Berlin.
U. Küchler & E. Platen, . "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Sonderforschungsbereich 373 2001-30, Humboldt Universitaet Berlin.
E. Platen & M. Schweizer, . "On Feedback Effects from Hedging Derivatives," Sonderforschungsbereich 373 1997-83, Humboldt Universitaet Berlin.
E. Platen, . "A Minimal Financial Market Model," Sonderforschungsbereich 373 2000-91, Humboldt Universitaet Berlin.
W. Hogan, . "Market Value Accounting in the Financial Sector," Working Papers 191, University of Sydney, Department of Economics.
W. Hogan, . "Foreign Debt: Perceptions, Experiences and Issues," Working Papers 225, University of Sydney, Department of Economics.
W. Hogan, . "Markets for Illicit Drugs," Working Papers 181, University of Sydney, Department of Economics.
W.P. Hogan & S. King, . "Incomes Policies and Wages Outcomes in Australia," Working Papers 244, University of Sydney, Department of Economics. [Downloadable!]
W. P. Hogan, . "The Barings Collapse: Explanations and Implications," Working Papers 235, University of Sydney, Department of Economics.
Glenn Stevens & Susan Thorp & John Anderson, . "The Australian Demand Function for Money: Another Look at Stability," RBA Research Discussion Papers rdp8701, Reserve Bank of Australia.
Glenn Stevens & Susan Thorp, . "The Relationship between Financial Indicators and Economic Activity: Some Further Evidence," RBA Research Discussion Papers rdp8903, Reserve Bank of Australia.
Michele Bullock & Glenn Stevens & Susan Thorp, . "Do Financial Aggregates Lead Activity?A Preliminary Analysis," RBA Research Discussion Papers rdp8803, Reserve Bank of Australia.
Robert Trevor & Susan Thorp, . "VAR Forecasting Models of the Australian Economy:A Preliminary Analysis," RBA Research Discussion Papers rdp8802, Reserve Bank of Australia.
Adrian Blundell-Wignall & Susan Thorp, . "Money Demand, Own Interest Rates and Deregulation," RBA Research Discussion Papers rdp8703, Reserve Bank of Australia.
Sandmann,Klaus, . "An intertemporal interest rate market model: Complete markets," Discussion Paper Serie B 94, University of Bonn, Germany.
Sandmann,Klaus, . "The pricing of options with an uncertain interest rate: A discrete time approach," Discussion Paper Serie B 114, University of Bonn, Germany.
Sandmann,Klaus & Sondermann,Dieter, . "Zur Bewertung von Caps und Floors," Discussion Paper Serie B 98, University of Bonn, Germany.
Sandmann,Klaus & Sondermann,Dieter, . "A term structure model and the pricing of interest rate options," Discussion Paper Serie B 129, University of Bonn, Germany.
von Borries,Daniel & Sandmann,Klaus, . "Anwendungen eines Binomialmodells der Zinsstruktur auf Marktdaten," Discussion Paper Serie B 241, University of Bonn, Germany.
John Geweke, . "Posterior Simulators in Econometrics," Computing in Economics and Finance 1996 _019, Society for Computational Economics. [Downloadable!]

Journal articles

2009

Michael P. Keane & Kenneth I. Wolpin, 2009. "Empirical Applications of Discrete Choice Dynamic Programming Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(1), pages 1-22, January. [Downloadable!] (restricted)
Michael P. Keane & Robert M. Sauer, 2009. "Classification Error in Dynamic Discrete Choice Models: Implications for Female Labor Supply Behavior," Econometrica, Econometric Society, vol. 77(3), pages 975-991, 05. [Downloadable!] (restricted)
Michael P. Keane, 2009. "Simulated Maximum Likelihood Estimation Based On First-Order Conditions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 50(2), pages 627-675, 05. [Downloadable!] (restricted)
Keane, Michael P. & Roemer, John E., 2009. "Assessing policies to equalize opportunity using an equilibrium model of educational and occupational choices," Journal of Public Economics, Elsevier, vol. 93(7-8), pages 879-898, August. [Downloadable!] (restricted)
Carl Chiarella & Andrew Ziogas, 2009. "American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach," Applied Mathematical Finance, Taylor and Francis Journals, vol. 16(1), pages 37-79. [Downloadable!] (restricted)
Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April. [Downloadable!] (restricted)
Carl Chiarella & Boda Kang & Gunter H. Meyer & Andrew Ziogas, 2009. "The Evaluation Of American Option Prices Under Stochastic Volatility And Jump-Diffusion Dynamics Using The Method Of Lines," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(03), pages 393-425. [Downloadable!] (restricted)
Ramaprasad Bhar & Carl Chiarella, 2009. "Inference on forward exchange rate risk premium: reviewing signal extraction methods," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 2(2), pages 115-125, January. [Downloadable!] (restricted)
Damir Filipović & Eckhard Platen, 2009. "Consistent Market Extensions Under The Benchmark Approach," Mathematical Finance, Blackwell Publishing, vol. 19(1), pages 41-52. [Downloadable!] (restricted)
Peter Docherty, 2009. "Re-Examining The Implications Of The New Consensus: Endogenous Money And Taylor Rules In A Simple Neoclassical Macro Model," Metroeconomica, Blackwell Publishing, vol. 60(3), pages 495-524, 07. [Downloadable!] (restricted)
Pascal Nguyen & Sophie Nivoix, 2009. "The effect of group affiliation on the risk-taking of Japanese firms," Applied Financial Economics, Taylor and Francis Journals, vol. 19(2), pages 135-146. [Downloadable!] (restricted)
Chan, Pak To & Edwards, Vic & Walter, Terry, 2009. "The information content of Australian credit ratings: A comparison between subscription and non-subscription-based credit rating agencies," Economic Systems, Elsevier, vol. 33(1), pages 22-44, March. [Downloadable!] (restricted)
Jiantao Li & Min Zheng, 2009. "Robust estimation of multivariate regression model," Statistical Papers, Springer, vol. 50(1), pages 81-100, January. [Downloadable!] (restricted)
Fong, Kingsley Y.L. & Gallagher, David R. & Lau, Sarah S.W. & Swan, Peter L., 2009. "Do active fund managers care about capital gains tax efficiency?," Pacific-Basin Finance Journal, Elsevier, vol. 17(2), pages 257-270, April. [Downloadable!] (restricted)
Gallagher, David R. & Gardner, Peter & Swan, Peter L., 2009. "Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 1-27, January. [Downloadable!] (restricted)

2008

Tülin Erdem & Michael Keane & Baohong Sun, 2008. "The impact of advertising on consumer price sensitivity in experience goods markets," Quantitative Marketing and Economics, Springer, vol. 6(2), pages 139-176, June. [Downloadable!] (restricted)
Hanming Fang & Michael P. Keane & Dan Silverman, 2008. "Sources of Advantageous Selection: Evidence from the Medigap Insurance Market," Journal of Political Economy, University of Chicago Press, vol. 116(2), pages 303-350, 04. [Downloadable!] (restricted)
Wiktor Adamowicz & David Bunch & Trudy Cameron & Benedict Dellaert & Michael Hanneman & Michael Keane & Jordan Louviere & Robert Meyer & Thomas Steenburgh & Joffre Swait, 2008. "Behavioral frontiers in choice modeling," Marketing Letters, Springer, vol. 19(3), pages 215-228, December. [Downloadable!] (restricted)
Xue-Zhong He & Youwei Li, 2008. "Heterogeneity, convergence, and autocorrelations," Quantitative Finance, Taylor and Francis Journals, vol. 8(1), pages 59-79. [Downloadable!] (restricted)
Goldbaum, David, 2008. "Coordinated investing with feedback and learning," Journal of Economic Behavior & Organization, Elsevier, vol. 65(2), pages 202-223, February. [Downloadable!] (restricted)
Goldbaum, David & Mizrach, Bruce, 2008. "Estimating the intensity of choice in a dynamic mutual fund allocation decision," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3866-3876, December. [Downloadable!] (restricted)
Pettway, Richard H. & Thosar, Satish & Walker, Scott, 2008. "Auctions versus book-built IPOs in Japan: A comparison of aftermarket volatility," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 224-235, June. [Downloadable!] (restricted)
Gordon Menzies & David Vines, 2008. "The Transfer Problem and Real Exchange Rate Overshooting in Financial Crises: The Role of the Debt Servicing Multiplier," Review of International Economics, Blackwell Publishing, vol. 16(4), pages 709-727, 09. [Downloadable!] (restricted)
Menzies, Gordon Douglas, 2008. "Can HIPCs Use Hyper-Incentives?," Review of Applied Economics, Review of Applied Economics, vol. 4(1-2). [Downloadable!]
Carl Chiarella & Roberto Dieci & Laura Gardini & Lucia Sbragia, 2008. "A Model of Financial Market Dynamics with Heterogeneous Beliefs and State-Dependent Confidence," Computational Economics, Springer, vol. 32(1), pages 55-72, September. [Downloadable!] (restricted)
Wolfgang Härdle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008. "Semiparametric diffusion estimation and application to a stock market index," Quantitative Finance, Taylor and Francis Journals, vol. 8(1), pages 81-92. [Downloadable!] (restricted)
Shane M. Miller & Eckhard Platen, 2008. "Analytic Pricing Of Contingent Claims Under The Real-World Measure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 11(08), pages 841-867. [Downloadable!] (restricted)
L. J. Perry, 2008. "Rejoinder to 'A Note on Perry's Reconsideration of Macroeconomic Evidence from New Zealand'," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 41(4), pages 394-398, December. [Downloadable!] (restricted)
Peter Docherty, 2008. "Basel II and the Political Economy of Banking Regulation-Monetary Policy Interaction," International Journal of Political Economy, M.E. Sharpe, Inc., vol. 37(2), pages 82-106, July. [Downloadable!] (restricted)
Hogan, Warren P., 2008. "Economic and financial themes in Australian aged care," Research in International Business and Finance, Elsevier, vol. 22(1), pages 40-55, January. [Downloadable!] (restricted)
John Okunev & Patrick J. Wilson, 2008. "Predictability of Equity REIT Returns: Implications for Property Tactical Asset Allocation," International Real Estate Review, Asian Real Estate Society, vol. 11(2), pages 32-46. [Downloadable!]
Chen, Pu & Hsiao, Chih-Ying, 2008. "What happens to Japan if China catches a cold?: A causal analysis of Chinese growth and Japanese growth," Japan and the World Economy, Elsevier, vol. 20(4), pages 622-638, December. [Downloadable!] (restricted)
Petrichev, Konstantin & Thorp, Susan, 2008. "The private value of public pensions," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1138-1145, June. [Downloadable!] (restricted)
Hazel Bateman & Susan Thorp, 2008. "Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations," The Economic Record, The Economic Society of Australia, vol. 84(s1), pages S17-S31, 09. [Downloadable!] (restricted)
Lin, Bing-Xuan & Michayluk, David & Oppenheimer, Henry R. & Reid, Sean F., 2008. "Hubris amongst Japanese bidders," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 121-159, January. [Downloadable!] (restricted)
David Michayluk & Karyn Neuhauser, 2008. "Is Liquidity Symmetric? A Study of Newly Listed Internet and Technology Stocks," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 159-178. [Downloadable!] (restricted)
C. Guilmi & F. Clementi & T. Matteo & M. Gallegati, 2008. "Social networks and labour productivity in Europe: an empirical investigation," Journal of Economic Interaction and Coordination, Springer, vol. 3(1), pages 43-57, June. [Downloadable!] (restricted)
D. Delli Gatti & C. Di Guilmi & M. Gallegati & E. Gaffeo & G. Giulioni & A. Palestrini, 2008. "Scaling Laws In The Macroeconomy," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(01), pages 131-138. [Downloadable!] (restricted)
Simone Landini & Corrado Di Guilmi & Mauro Gallegati, 2008. "A Maxent Model For Macroscenario Analysis," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 11(05), pages 719-744. [Downloadable!] (restricted)
Aman, Hiroyuki & Nguyen, Pascal, 2008. "Do stock prices reflect the corporate governance quality of Japanese firms?," Journal of the Japanese and International Economies, Elsevier, vol. 22(4), pages 647-662, December. [Downloadable!] (restricted)
Oh, Natalie Y. & Parwada, Jerry T. & Walter, Terry S., 2008. "Investors' trading behavior and performance: Online versus non-online equity trading in Korea," Pacific-Basin Finance Journal, Elsevier, vol. 16(1-2), pages 26-43, January. [Downloadable!] (restricted)
Walter, Terry S. & Yawson, Alfred & Yeung, Charles P.W., 2008. "The role of investment banks in M&A transactions: Fees and services," Pacific-Basin Finance Journal, Elsevier, vol. 16(4), pages 341-369, September. [Downloadable!] (restricted)
David Colwell & Julia Henker & Terry Walter, 2008. "Effect of Investor Category Trading Imbalances on Stock Returns-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 179-206. [Downloadable!] (restricted)
Khamis Al Yahyaee & Toan Pham & Terry Walter, 2008. "Ex-Dividend Day Behavior in the Absence of Taxes and Price Discreteness-super-," International Review of Finance, International Review of Finance Ltd., vol. 8(3-4), pages 103-123. [Downloadable!] (restricted)
Antje B. Mahayni & Klaus Sandmann, 2008. "Return Guarantees with Delayed Payment," German Economic Review, Blackwell Publishing, vol. 9, pages 207-231, 05. [Downloadable!] (restricted)
Mikael Elhouar, 2008. "Finite-dimensional Realizations of Regime-switching HJM Models," Applied Mathematical Finance, Taylor and Francis Journals, vol. 15(4), pages 331-354. [Downloadable!] (restricted)
Hans-Peter Bermin & Peter Buchen & Otto Konstandatos, 2008. "Two Exotic Lookback Options," Applied Mathematical Finance, Taylor and Francis Journals, vol. 15(4), pages 387-402. [Downloadable!] (restricted)
Kingsley Fong & David R. Gallagher & Adrian D. Lee, 2008. "Benchmarking benchmarks: measuring characteristic selectivity using portfolio holdings data," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 48(5), pages 761-781. [Downloadable!] (restricted)

2007

Geweke, John & Keane, Michael, 2007. "Smoothly mixing regressions," Journal of Econometrics, Elsevier, vol. 138(1), pages 252-290, May. [Downloadable!] (restricted)
Hanming Fang & Michael Keane & Ahmed Khwaja & Martin Salm & Dan Silverman, 2007. "Testing the Mechanisms of Structural Models: The Case of the Mickey Mantle Effect," American Economic Review, American Economic Association, vol. 97(2), pages 53-59, May. [Downloadable!]
Michael P. Keane & Susan E. Feinberg, 2007. "ADVANCES IN LOGISTICS AND THE GROWTH OF INTRA-FIRM TRADE: THE CASE OF CANADIAN AFFILIATES OF U.S. MULTINATIONALS, 1984-1995 -super-* ," Journal of Industrial Economics, Blackwell Publishing, vol. 55(4), pages 571-632, December. [Downloadable!] (restricted)
Michael P. Keane & Kenneth I. Wolpin, 2007. "Exploring The Usefulness Of A Nonrandom Holdout Sample For Model Validation: Welfare Effects On Female Behavior," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1351-1378, November. [Downloadable!] (restricted)
Chiarella, Carl & Dieci, Roberto & He, Xue-Zhong, 2007. "Heterogeneous expectations and speculative behavior in a dynamic multi-asset framework," Journal of Economic Behavior & Organization, Elsevier, vol. 62(3), pages 408-427, March. [Downloadable!] (restricted)
He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October. [Downloadable!] (restricted)
Ned Corron & Xue-Zhong He & Frank Westerhoff, 2007. "Butter mountains, milk lakes and optimal price limiters," Applied Economics Letters, Taylor and Francis Journals, vol. 14(15), pages 1131-1136. [Downloadable!] (restricted)
Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik SchlãGl, 2007. "A Markovian Defaultable Term Structure Model With State Dependent Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 155-202. [Downloadable!] (restricted)
Hall, Anthony D. & Hautsch, Nikolaus, 2007. "Modelling the buy and sell intensity in a limit order book market," Journal of Financial Markets, Elsevier, vol. 10(3), pages 249-286, August. [Downloadable!] (restricted)
Ron Bird & Anthony D. Hall & Francesco MomentÃ¨ & Francesco Reggiani, 2007. "What Corporate Social Responsibility Activities are Valued by the Market?," Journal of Business Ethics, Springer, vol. 76(2), pages 189-206, December. [Downloadable!] (restricted)
Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal asset allocation when the underlying factors are unobservable," Computational Economics, Springer, vol. 29(3), pages 383-418, May. [Downloadable!] (restricted)
Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 2007. "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor and Francis Journals, vol. 14(5), pages 365-399. [Downloadable!] (restricted)
Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Springer, vol. 29(3), pages 283-312, May. [Downloadable!] (restricted)
Eckhard Platen & Wolfgang Runggaldier, 2007. "A Benchmark Approach to Portfolio Optimization under Partial Information," Asia-Pacific Financial Markets, Springer, vol. 14(1), pages 25-43, March. [Downloadable!] (restricted)
Morten Mosegaard Christensen & Eckhard Platen, 2007. "Sharpe Ratio Maximization And Expected Utility When Asset Prices Have Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(08), pages 1339-1364. [Downloadable!] (restricted)
Colwell, David & El-Hassan, Nadima & Kang Kwon, Oh, 2007. "Hedging diffusion processes by local risk minimization with applications to index tracking," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2135-2151, July. [Downloadable!] (restricted)
Ron Bird & Lorenzo Casavecchia, 2007. "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," European Journal of Finance, Taylor and Francis Journals, vol. 13(8), pages 769-793. [Downloadable!] (restricted)
Ron Bird & Lorenzo Casavecchia, 2007. "Value enhancement using momentum indicators: the European experience," International Journal of Managerial Finance, Emerald Group Publishing, vol. 3(3), pages 229-262, July. [Downloadable!] (restricted)
Patrick Wilson & Simon Stevenson & Ralf Zurbruegg, 2007. "Foreign Property Shocks and the Impact on Domestic Securitized Real Estate Markets: An Unobserved Components Approach," The Journal of Real Estate Finance and Economics, Springer, vol. 34(3), pages 407-424, April. [Downloadable!] (restricted)
Simon Stevenson & Patrick Wilson & Ralf Zurbruegg, 2007. "Assessing the Time-Varying Interest Rate Sensitivity of Real Estate Securities," European Journal of Finance, Taylor and Francis Journals, vol. 13(8), pages 705-715. [Downloadable!] (restricted)
Chen, Pu & Chihying, Hsiao, 2007. "Learning Causal Relations in Multivariate Time Series Data," Economics - The Open-Access, Open-Assessment E-Journal, Kiel Institute for the World Economy, vol. 1(11), pages 1-43. [Downloadable!]
Bateman, Hazel & Thorp, Susan, 2007. "Decentralized investment management: an analysis of non-profit pension funds," Journal of Pension Economics and Finance, Cambridge University Press, vol. 6(01), pages 21-44, March. [Downloadable!]
Milunovich, George & Thorp, Susan, 2007. "Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York," Journal of Multinational Financial Management, Elsevier, vol. 17(4), pages 275-289, October. [Downloadable!] (restricted)
Susan Thorp & George Milunovich, 2007. "Symmetric Versus Asymmetric Conditional Covariance Forecasts: Does It Pay To Switch?," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 30(3), pages 355-377. [Downloadable!] (restricted)
Mathew, Prem G. & Michayluk, David & Kofman, Paul, 2007. "Are foreign issuers complying with Regulation Fair Disclosure?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(3), pages 246-260, July. [Downloadable!] (restricted)
Gatti, Domenico Delli & Di Guilmi, Corrado & Gallegati, Mauro & Giulioni, Gianfranco, 2007. "Financial Fragility, Industrial Dynamics, And Business Fluctuations In An Agent-Based Model," Macroeconomic Dynamics, Cambridge University Press, vol. 11(S1), pages 62-79, November. [Downloadable!]
Li, Donghui & Moshirian, Fariborz & Nguyen, Pascal & Tan, Li-Wen, 2007. "Managerial ownership and firm performance: Evidence from China's privatizations," Research in International Business and Finance, Elsevier, vol. 21(3), pages 396-413, September. [Downloadable!] (restricted)
Nguyen, Pascal, 2007. "Macroeconomic factors and Japan's industry risk," Journal of Multinational Financial Management, Elsevier, vol. 17(2), pages 173-185, April. [Downloadable!] (restricted)
Li, Donghui & Moshirian, Fariborz & Nguyen, Pascal & Tan, Liwen, 2007. "Corporate governance or globalization: What determines CEO compensation in China?," Research in International Business and Finance, Elsevier, vol. 21(1), pages 32-49, January. [Downloadable!] (restricted)
Donghui Li & Fariborz Moshirian & Pascal Nguyen & Timothy Wee, 2007. "The Demand for Life Insurance in OECD Countries," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 74(3), pages 637-652. [Downloadable!] (restricted)
Karen L. Benson & David R. Gallagher & Patrick Teodorowski, 2007. "Momentum investing and the asset allocation decision," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(4), pages 571-598. [Downloadable!] (restricted)
Elor Dishi & David R. Gallagher & Jerry T. Parwada, 2007. "Institutional investment flows and the determinants of top fund manager turnover," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(2), pages 243-266. [Downloadable!] (restricted)
John Geweke, 2007. "Bayesian Model Comparison and Validation," American Economic Review, American Economic Association, vol. 97(2), pages 60-64, May. [Downloadable!]
John Geweke, 2007. "Comment," Econometric Reviews, Taylor and Francis Journals, vol. 26(2-4), pages 193-200. [Downloadable!] (restricted)
Geweke, John, 2007. "Interpretation and inference in mixture models: Simple MCMC works," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3529-3550, April. [Downloadable!] (restricted)
Geweke, John & Groenen, Patrick J.F. & Paap, Richard & van Dijk, Herman K., 2007. "Computational techniques for applied econometric analysis of macroeconomic and financial processes," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3506-3508, April. [Downloadable!] (restricted)

2006

Keane, Michael P. & Prasad, Eswar S., 2006. "Changes in the structure of earnings during the Polish transition," Journal of Development Economics, Elsevier, vol. 80(2), pages 389-427, August. [Downloadable!] (restricted)
Susan E. Feinberg & Michael P. Keane, 2006. "Accounting for the Growth of MNC-Based Trade Using a Structural Model of U.S. MNCs," American Economic Review, American Economic Association, vol. 96(5), pages 1515-1558, December. [Downloadable!]
Chiarella, Carl & He, Xue-Zhong & Hommes, Cars, 2006. "A dynamic analysis of moving average rules," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1729-1753. [Downloadable!] (restricted)
Chiarella, Carl & He, Xue-Zhong & Hung, Hing & Zhu, Peiyuan, 2006. "An analysis of the cobweb model with boundedly rational heterogeneous producers," Journal of Economic Behavior & Organization, Elsevier, vol. 61(4), pages 750-768, December. [Downloadable!] (restricted)
Goldbaum, David, 2006. "Self-organization and the persistence of noise in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1837-1855. [Downloadable!] (restricted)
Menzies, Gordon Douglas, 2006. "Debt and Aid, War and Peace: Policy Tradeoffs in Conflict-affected Countries," Review of Applied Economics, Review of Applied Economics, vol. 2(2). [Downloadable!]
Anthony Hall & Nikolaus Hautsch, 2006. "Order aggressiveness and order book dynamics," Empirical Economics, Springer, vol. 30(4), pages 973-1005, January. [Downloadable!] (restricted)
Asada, Toichiro & Chen, Pu & Chiarella, Carl & Flaschel, Peter, 2006. "Keynesian dynamics and the wage-price spiral: A baseline disequilibrium model," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 90-130, March. [Downloadable!] (restricted)
Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2006. "Asset price and wealth dynamics in a financial market with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, vol. 30(9-10), pages 1755-1786. [Downloadable!] (restricted)
Agliari, Anna & Chiarella, Carl & Gardini, Laura, 2006. "A re-evaluation of adaptive expectations in light of global nonlinear dynamic analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 60(4), pages 526-552, August. [Downloadable!] (restricted)
Carl Chiarella & Chih-Ying Hsiao, 2006. "The Impact of Short-Sale Constraints on Asset Allocation Strategies via the Backward Markov Chain Approximation Method," Computational Economics, Springer, vol. 28(2), pages 113-137, September. [Downloadable!] (restricted)
Carl Chiarella & Thuy-Duong Tô, 2006. "The Multifactor Nature of the Volatility of Futures Markets," Computational Economics, Springer, vol. 27(2), pages 163-183, May. [Downloadable!] (restricted)
Carl Chiarella & Peter Flaschel & Hing Hung, 2006. "Interacting Business Cycle Fluctuations: A Two-Country Model," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 51(03), pages 365-394. [Downloadable!] (restricted)
Kevin Fergusson & Eckhard Platen, 2006. "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor and Francis Journals, vol. 13(1), pages 19-38, March. [Downloadable!] (restricted)
David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 197-206, June. [Downloadable!] (restricted)
Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Blackwell Publishing, vol. 16(1), pages 131-151. [Downloadable!] (restricted)
Truc Le & Eckhard Platen, 2006. "Approximating the growth optimal portfolio with a diversified world stock index," Journal of Risk Finance, Emerald Group Publishing, vol. 7(5), pages 559-574, November. [Downloadable!] (restricted)
Jock Collins, 2006. "The Changing Political Economy Of Australian Immigration," Tijdschrift voor Economische en Sociale Geografie, Royal Dutch Geographical Society KNAG, vol. 97(1), pages 7-16, 02. [Downloadable!] (restricted)
L. J. Perry, 2006. "Do Workplace Contracts Harm Labour Productivity Growth? A Reconsideration of the Macroeconomic Evidence from New Zealand," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 39(4), pages 359-375, December. [Downloadable!] (restricted)
Seppo Pynnönen & Warren P. Hogan & Jonathan A. Batten, 2006. "Modelling credit spreads on yen Eurobonds within an equilibrium correction framework," Applied Financial Economics, Taylor and Francis Journals, vol. 16(8), pages 583-606, May. [Downloadable!] (restricted)
David Michayluk & Patrick J. Wilson & Ralf Zurbruegg, 2006. "Asymmetric Volatility, Correlation and Returns Dynamics Between the U.S. and U.K. Securitized Real Estate Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 34(1), pages 109-131, 03. [Downloadable!] (restricted)
Gerlach, Richard & Wilson, Patrick & Zurbruegg, Ralf, 2006. "Structural breaks and diversification: The impact of the 1997 Asian financial crisis on the integration of Asia-Pacific real estate markets," Journal of International Money and Finance, Elsevier, vol. 25(6), pages 974-991, October. [Downloadable!] (restricted)
Milunovich, George & Thorp, Susan, 2006. "Valuing volatility spillovers," Global Finance Journal, Elsevier, vol. 17(1), pages 1-22, September. [Downloadable!] (restricted)
David Michayluk & Karyn L. Neuhauser, 2006. "Investor Overreaction During Market Declines: Evidence From The 1997 Asian Financial Crisis," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 29(2), pages 217-234. [Downloadable!] (restricted)
David Michayluk & Gary C. Sanger, 2006. "Day-End Effect On The Paris Bourse," Journal of Financial Research, Southern Finance Association and Southwestern Finance Association, vol. 29(1), pages 131-146. [Downloadable!] (restricted)
Philip Brown & Nick Chappel & Ray Da Silva Rosa & Terry Walter, 2006. "The Reach of the Disposition Effect: Large Sample Evidence Across Investor Classes-super-," International Review of Finance, International Review of Finance Ltd., vol. 6(1-2), pages 43-78. [Downloadable!] (restricted)
Bayley, Luke & Lee, Philip J. & Walter, Terry S., 2006. "IPO flipping in Australia: cross-sectional explanations," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 327-348, September. [Downloadable!] (restricted)
Kristian Miltersen & J. Nielsen & Klaus Sandmann, 2006. "New No-arbitrage Conditions and the Term Structure of Interest Rate Futures," Annals of Finance, Springer, vol. 2(3), pages 303-325, July. [Downloadable!] (restricted)
David R. Gallagher & Adrian Looi, 2006. "Trading behaviour and the performance of daily institutional trades," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(1), pages 125-147. [Downloadable!] (restricted)
David R. Gallagher & Matt Pinnuck, 2006. "Seasonality in Fund Performance: An Examination of the Portfolio Holdings and Trades of Investment Managers," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 33(7-8), pages 1240-1266. [Downloadable!] (restricted)
Simone Brands & David R. Gallagher & Adrian Looi, 2006. "Active investment manager portfolios and preferences for stock characteristics," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 46(2), pages 169-190. [Downloadable!] (restricted)
Frino, Alex & Gallagher, David R. & Oetomo, Teddy N., 2006. "Further analysis of the liquidity and information components of institutional orders: Active versus passive funds," Pacific-Basin Finance Journal, Elsevier, vol. 14(5), pages 439-452, November. [Downloadable!] (restricted)
Abrantes-Metz, Rosa M. & Froeb, Luke M. & Geweke, John & Taylor, Christopher T., 2006. "A variance screen for collusion," International Journal of Industrial Organization, Elsevier, vol. 24(3), pages 467-486, May. [Downloadable!] (restricted)

2005

Daniel Diermeier & Michael Keane & Antonio Merlo, 2005. "A Political Economy Model of Congressional Careers," American Economic Review, American Economic Association, vol. 95(1), pages 347-373, March. [Downloadable!]
Tülin Erdem & Michael Keane & T. Öncü & Judi Strebel, 2005. "Learning About Computers: An Analysis of Information Search and Technology Choice," Quantitative Marketing and Economics, Springer, vol. 3(3), pages 207-247, September. [Downloadable!] (restricted)
Houser, Daniel & Bechara, Antoine & Keane, Michael & McCabe, Kevin & Smith, Vernon, 2005. "Identifying individual differences: An algorithm with application to Phineas Gage," Games and Economic Behavior, Elsevier, vol. 52(2), pages 373-385, August. [Downloadable!] (restricted)
Tülin Erdem & Kannan Srinivasan & Wilfred Amaldoss & Patrick Bajari & Hai Che & Teck Ho & Wes Hutchinson & Michael Katz & Michael Keane & Robert Meyer & Peter Reiss, 2005. "Theory-Driven Choice Models," Marketing Letters, Springer, vol. 16(3), pages 225-237, December. [Downloadable!] (restricted)
Mario F. Bognanno & Michael P. Keane & Donghoon Yang, 2005. "The influence of wages and industrial relations environments on the production location decisions of U.S. multinational corporations," Industrial and Labor Relations Review, ILR Review, ILR School, Cornell University, vol. 58(2), pages 171-200, January. [Downloadable!] (restricted)
He, Xue-Zhong & Westerhoff, Frank H., 2005. "Commodity markets, price limiters and speculative price dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 29(9), pages 1577-1596, September. [Downloadable!] (restricted)
Goldbaum, David, 2005. "Market efficiency and learning in an endogenously unstable environment," Journal of Economic Dynamics and Control, Elsevier, vol. 29(5), pages 953-978, May. [Downloadable!] (restricted)
Nikola Dvornak & Marion Kohler & Gordon Menzies, 2005. "Australia's Medium-Run Exchange Rate: A Macroeconomic Balance Approach," The Economic Record, The Economic Society of Australia, vol. 81(253), pages 101-112, 06. [Downloadable!] (restricted)
Carl Chiarella & Roberto Dieci & Laura Gardini, 2005. "The Dynamic Interaction of Speculation and Diversification," Applied Mathematical Finance, Taylor and Francis Journals, vol. 12(1), pages 17-52, March. [Downloadable!] (restricted)
Chiarella, Carl & Ziogas, Andrew, 2005. "Evaluation of American strangles," Journal of Economic Dynamics and Control, Elsevier, vol. 29(1-2), pages 31-62, January. [Downloadable!] (restricted)
Pu Chen & Carl Chiarella & Peter Flaschel & Willi Semmler, 2005. "Keynesian Dynamics and the Wage-Price Spiral: Analyzing and Estimating a Baseline Disequilibrium Model," Icfai University Journal of Monetary Economics, Icfai Press, vol. 0(3), pages 6 - 49, August.
Volker Böhm & Carl Chiarella, 2005. "Mean Variance Preferences, Expectations Formation, And The Dynamics Of Random Asset Prices," Mathematical Finance, Blackwell Publishing, vol. 15(1), pages 61-97. [Downloadable!] (restricted)
Chiarella, Carl & Clewlow, Les & Musti, Silvana, 2005. "A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models," European Journal of Operational Research, Elsevier, vol. 161(2), pages 325-336, March. [Downloadable!] (restricted)
Christopher Bajada, 2005. "Unemployment and the underground economy in Australia," Applied Economics, Taylor and Francis Journals, vol. 37(2), pages 177-189, February. [Downloadable!] (restricted)
Christopher Bajada & Friedrich Schneider, 2005. "The Shadow Economies Of The Asia-Pacific," Pacific Economic Review, Blackwell Publishing, vol. 10(3), pages 379-401, October. [Downloadable!] (restricted)
Eckhard Platen, 2005. "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Blackwell Publishing, vol. 44(4), pages 365-388, December. [Downloadable!] (restricted)
Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005. "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer, vol. 12(1), pages 1-28, March. [Downloadable!] (restricted)
Eckhard Platen, 2005. "An Alternative Interest Rate Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(06), pages 717-735. [Downloadable!] (restricted)
David Heath & Eckhard Platen, 2005. "Currency Derivatives Under A Minimal Market Model With Random Scaling," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1157-1177. [Downloadable!] (restricted)
L.J. Perry & Patrick J. Wilson, 2005. "The Decline of Seasonality in Australian Quarterly Aggregate Strike Statistics: 1983-2003," Australian Journal of Labour Economics (AJLE), The Centre for Labour Market Research (CLMR), Curtin Business School, vol. 8(1), pages 43-71, March.
Azzi, Sarah & Bird, Ron, 2005. "Prophets during boom and gloom downunder," Global Finance Journal, Elsevier, vol. 15(3), pages 337-367, February. [Downloadable!] (restricted)
Hogan, Warren P. & Batten, Jonathan A., 2005. "Informed and uninformed trading on the Australian dollar," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 61-75. [Downloadable!] (restricted)
Jonathan A. Batten & Warren P. Hogan & Gady Jacoby, 2005. "Measuring credit spreads: evidence from Australian Eurobonds," Applied Financial Economics, Taylor and Francis Journals, vol. 15(9), pages 651-666, June. [Downloadable!] (restricted)
Niklas Wagner & Warren Hogan & Jonathan Batten, 2005. "Interest Rates, Stock Returns and Credit Spreads: Evidence from German Eurobonds," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 34(1), pages 35-50, 02. [Downloadable!] (restricted)
Craig Ellis & Patrick Wilson, 2005. "A stochastic approach to modelling the USD/AUD exchange rate: Implications for managing foreign exchange exposure," International Journal of Managerial Finance, Emerald Group Publishing, vol. 1(1), pages 36-48, January. [Downloadable!] (restricted)
Susan Thorp, 2005. "'That Courage is not Inconsistent with Caution': Currency Hedging for Superannuation Funds," The Economic Record, The Economic Society of Australia, vol. 81(252), pages 38-50, 03. [Downloadable!] (restricted)
Kingston, Geoffrey & Thorp, Susan, 2005. "Annuitization and asset allocation with HARA utility," Journal of Pension Economics and Finance, Cambridge University Press, vol. 4(03), pages 225-248, November. [Downloadable!]
William Bertin & Paul Kofman & Professor David Michayluk & Laurie Prather, 2005. "Intraday REIT Liquidity," Journal of Real Estate Research, American Real Estate Society, vol. 27(2), pages 155-176. [Downloadable!]
David Michayluk & Ralf Zurbruegg, 2005. "Editorial introduction: the value and scope of the financing decision process," International Journal of Managerial Finance, Emerald Group Publishing, vol. 1(1), pages 5-7, January. [Downloadable!] (restricted)
Di Guilmi, C. & Gaffeo, E. & Gallegati, M. & Palestrini, A., 2005. "International Evidence on Business Cycle Magnitude Dependence: An Analyisis of 16 Industrialized Countries, 1881-2000," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 2(1), pages 5-16. [Downloadable!]
Gatti, Domenico Delli & Guilmi, Corrado Di & Gaffeo, Edoardo & Giulioni, Gianfranco & Gallegati, Mauro & Palestrini, Antonio, 2005. "A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility," Journal of Economic Behavior & Organization, Elsevier, vol. 56(4), pages 489-512, April. [Downloadable!] (restricted)
Harada, Kimie & Nguyen, Pascal, 2005. "Dividend change context and signaling efficiency in Japan," Pacific-Basin Finance Journal, Elsevier, vol. 13(5), pages 504-522, November. [Downloadable!] (restricted)
Nguyen, Pascal, 2005. "Market underreaction and predictability in the cross-section of Japanese stock returns," Journal of Multinational Financial Management, Elsevier, vol. 15(3), pages 193-210, July. [Downloadable!] (restricted)
Raymond Da Silva Rosa & Nirmal Saverimuttu & Terry Walter, 2005. "Do Informed Traders Win? An Analysis of Changes in Corporate Ownership around Substantial Shareholder Notices-super-," International Review of Finance, International Review of Finance Ltd., vol. 5(3-4), pages 113-147. [Downloadable!] (restricted)
Martin Bugeja & Raymond da Silva Rosa & Terry Walter, 2005. "Expert reports in Australian takeovers: fees and quality," Abacus, Accounting Foundation, University of Sydney, vol. 41(3), pages 307-322. [Downloadable!] (restricted)
Peter Buchen & Otto Konstandatos, 2005. "A New Method Of Pricing Lookback Options," Mathematical Finance, Blackwell Publishing, vol. 15(2), pages 245-259. [Downloadable!] (restricted)
David R. Gallagher & Kyle M. Martin, 2005. "Size and investment performance: a research note," Abacus, Accounting Foundation, University of Sydney, vol. 41(1), pages 55-65. [Downloadable!] (restricted)
Simone Brands & Stephen J. Brown & David R. Gallagher, 2005. "Portfolio Concentration and Investment Manager Performance-super-," International Review of Finance, International Review of Finance Ltd., vol. 5(3-4), pages 149-174. [Downloadable!] (restricted)
Simone Brands & David R. Gallagher, 2005. "Portfolio selection, diversification and fund-of-funds: a note," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 45(2), pages 185-197. [Downloadable!] (restricted)
Kingsley Fong & David R. Gallagher & Aaron Ng, 2005. "The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk-super-," International Review of Finance, International Review of Finance Ltd., vol. 5(1-2), pages 1-29. [Downloadable!] (restricted)

2004

Daniel Houser & Michael Keane & Kevin McCabe, 2004. "Behavior in a Dynamic Decision Problem: An Analysis of Experimental Evidence Using a Bayesian Type Classification Algorithm," Econometrica, Econometric Society, vol. 72(3), pages 781-822, 05. [Downloadable!] (restricted)
Susumu Imai & Michael P. Keane, 2004. "Intertemporal Labor Supply and Human Capital Accumulation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 601-641, 05. [Downloadable!] (restricted)
Hanming Fang & Michael P. Keane, 2004. "Assessing the Impact of Welfare Reform on Single Mothers," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(2004-1), pages 1-116. [Downloadable!]
Menzies, Gordon Douglas, 2004. "First-best debt relief," Economics Letters, Elsevier, vol. 82(3), pages 301-306, March. [Downloadable!] (restricted)
Menzies, Gordon, 2004. "Money to burn, or melt? A cost-benefit analysis of Australian polymer banknotes," The North American Journal of Economics and Finance, Elsevier, vol. 15(3), pages 355-368, December. [Downloadable!] (restricted)
Hall, A.D., Szidarovszky, F. & Zhao, J., 2004. "Some notes on a dynamic model of international fishing," Pure Mathematics and Applications, Department of Mathematics, Corvinus University of Budapest, vol. 15(1), pages 45-54.
Chiarella, Carl & Szidarovszky, Ferenc, 2004. "Dynamic oligopolies without full information and with continuously distributed time lags," Journal of Economic Behavior & Organization, Elsevier, vol. 54(4), pages 495-511, August. [Downloadable!] (restricted)
Chiarella, Carl & Gao, Shenhuai, 2004. "The value of the S&P 500--A macro view of the stock market adjustment process," Global Finance Journal, Elsevier, vol. 15(2), pages 171-196, August. [Downloadable!] (restricted)
Ramaprasad Bhar & Carl Chiarella & Wolfgang J. Runggaldier, 2004. "Inferring the Forward Looking Equity Risk Premium from Derivative Prices," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 8(1). [Downloadable!]
David Heath & Eckhard Platen, 2004. "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 55-77, March. [Downloadable!] (restricted)
Eckhard Platen, 2004. "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 1-22, March. [Downloadable!] (restricted)
Eckhard Platen & Jason West, 2004. "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 23-53, March. [Downloadable!] (restricted)
Shane Miller & Eckhard Platen, 2004. "A Two-Factor Model for Low Interest Rate Regimes," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 107-133, March. [Downloadable!] (restricted)
Eckhard Platen & Wolfgang Runggaldier, 2004. "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer, vol. 11(1), pages 79-105, March. [Downloadable!] (restricted)
Patrick J. Wilson & L.J. Perry, 2004. "Forecasting Australian Unemployment Rates using Spectral Analysis," Australian Journal of Labour Economics (AJLE), The Centre for Labour Market Research (CLMR), Curtin Business School, vol. 7(4), pages 459-480, December.
Young, Martin & Hogan, Warren & Batten, Jonathan, 2004. "The effectiveness of interest-rate futures contracts for hedging Japanese bonds of different credit quality and duration," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 13-25. [Downloadable!] (restricted)
Ellis, Craig & Wilson, Patrick, 2004. "Another look at the forecast performance of ARFIMA models," International Review of Financial Analysis, Elsevier, vol. 13(1), pages 63-81. [Downloadable!] (restricted)
John L. Glascock & David Michayluk & Karyn Neuhauser, 2004. "The Riskiness of REITs Surrounding the October 1997 Stock Market Decline," The Journal of Real Estate Finance and Economics, Springer, vol. 28(4), pages 339-354, 05. [Downloadable!]
Domenico Delli Gatti & Corrado Di Guilmi & Edoardo Gaffeo & Gianfranco Giulioni & Mauro Gallegati & Antonio Palestrini, 2004. "Business Cycle Fluctuations And Firms' Size Distribution Dynamics," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 223-240. [Downloadable!] (restricted)
Demir, Isabelle & Muthuswamy, Jay & Walter, Terry, 2004. "Momentum returns in Australian equities: The influences of size, risk, liquidity and return computation," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 143-158, April. [Downloadable!] (restricted)
Gallagher, David R. & Jarnecic, Elvis, 2004. "International equity funds, performance, and investor flows: Australian evidence," Journal of Multinational Financial Management, Elsevier, vol. 14(1), pages 81-95, February. [Downloadable!] (restricted)
John Geweke, 2004. "Getting It Right: Joint Distribution Tests of Posterior Simulators," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 799-804, January. [Downloadable!] (restricted)

2003

Chiarella, Carl & He, Xue-Zhong, 2003. "Dynamics of beliefs and learning under aL-processes -- the heterogeneous case," Journal of Economic Dynamics and Control, Elsevier, vol. 27(3), pages 503-531, January. [Downloadable!] (restricted)
Carl Chiarella & Christina Sklibosios, 2003. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer, vol. 10(2), pages 87-127, September. [Downloadable!] (restricted)
Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2003. "An Implementation of Bouchouev's Method for a Short Time Calibration of Option Pricing Models," Computational Economics, Springer, vol. 22(2), pages 113-138, October. [Downloadable!] (restricted)
Carl Chiarella & Mauro Gallegati & Roberto Leombruni & Antonio Palestrini, 2003. "Asset Price Dynamics among Heterogeneous Interacting Agents," Computational Economics, Springer, vol. 22(2), pages 213-223, October. [Downloadable!] (restricted)
Carl Chiarella & Oh Kwon, 2003. "Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields," Review of Derivatives Research, Springer, vol. 6(2), pages 129-155, May. [Downloadable!] (restricted)
Chiarella, Carl & He, Xue-Zhong, 2003. "Heterogeneous Beliefs, Risk, And Learning In A Simple Asset-Pricing Model With A Market Maker," Macroeconomic Dynamics, Cambridge University Press, vol. 7(04), pages 503-536, September. [Downloadable!]
Chiarella, Carl & Flaschel, Peter & Wells, Graeme, 2003. "The Dynamics Of Keynesian Monetary Growth," Macroeconomic Dynamics, Cambridge University Press, vol. 7(03), pages 473-475, June. [Downloadable!]
Christopher Bajada, 2003. "Business Cycle Properties of the Legitimate and Underground Economy in Australia," The Economic Record, The Economic Society of Australia, vol. 79(247), pages 397-411, December. [Downloadable!] (restricted)
Batten, Jonathan A. & Hogan, Warren P., 2003. "Time variation in the credit spreads on Australian Eurobonds," Pacific-Basin Finance Journal, Elsevier, vol. 11(1), pages 81-99, January. [Downloadable!] (restricted)
Hogan, Warren P., 2003. "Taxation and international banking," International Review of Financial Analysis, Elsevier, vol. 12(5), pages 467-487. [Downloadable!] (restricted)
Hogan, W. P., 2003. "Taxing International Financial Institutions," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 33(2), pages 293-306, September. [Downloadable!]
Patrick J. Wilson & Richard Gerlach & Ralf Zurbruegg, 2003. "Potential Diversification Benefits In The Presence Of Unknown Structural Breaks: An Australian Case Study," Australian Economic Papers, Blackwell Publishing, vol. 42(4), pages 442-453, December. [Downloadable!] (restricted)
McDonald, Cynthia G. & Michayluk, David, 2003. "Suspicious trading halts," Journal of Multinational Financial Management, Elsevier, vol. 13(3), pages 251-263, July. [Downloadable!] (restricted)
Corrado Di Guilmi & Edoardo Gaffeo & Mauro Gallegati, 2003. "Power Law Scaling in the World Income Distribution," Economics Bulletin, Economics Bulletin, vol. 15(6), pages 1-7. [Downloadable!]
da Silva Rosa, Ray & Velayuthen, Gerard & Walter, Terry, 2003. "The sharemarket performance of Australian venture capital-backed and non-venture capital-backed IPOs," Pacific-Basin Finance Journal, Elsevier, vol. 11(2), pages 197-218, April. [Downloadable!] (restricted)
Lee, Philip & Stokes, Donald & Taylor, Stephen & Walter, Terry, 2003. "The association between audit quality, accounting disclosures and firm-specific risk: Evidence from initial public offerings," Journal of Accounting and Public Policy, Elsevier, vol. 22(5), pages 377-400. [Downloadable!] (restricted)
Nielsen, J. Aase & Sandmann, Klaus, 2003. "Pricing Bounds on Asian Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 38(02), pages 449-473, June. [Downloadable!]
David R. Gallagher, 2003. "Investment manager characteristics, strategy, top management changes and fund performance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 43(3), pages 283-309. [Downloadable!] (restricted)
John Geweke & Gautam Gowrisankaran & Robert J. Town, 2003. "Bayesian Inference for Hospital Quality in a Selection Model," Econometrica, Econometric Society, vol. 71(4), pages 1215-1238, 07. [Downloadable!] (restricted)
Durham, Garland & Geweke, John, 2003. "Iterative and Recursive Estimation in Structural Nonadaptive Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 490-92, October.
Geweke, John, 2003. "Econometric issues in using the AHEAD panel," Journal of Econometrics, Elsevier, vol. 112(1), pages 115-120, January. [Downloadable!] (restricted)

2002

Michael P. Keane & Eswar S. Prasad, 2002. "Inequality, Transfers, And Growth: New Evidence From The Economic Transition In Poland," The Review of Economics and Statistics, MIT Press, vol. 84(2), pages 324-341, May. [Downloadable!] (restricted)
Michael P. Keane, 2002. "Financial Aid, Borrowing Constraints, and College Attendance: Evidence from Structural Estimates," American Economic Review, American Economic Association, vol. 92(2), pages 293-297, May. [Downloadable!]
Chiarella, Carl & He, Xue-Zhong, 2002. "Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model," Computational Economics, Springer, vol. 19(1), pages 95-132, February. [Downloadable!]
Erik Schlögl, 2002. "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, vol. 6(2), pages 173-196. [Downloadable!] (restricted)
Chiarella, Carl & Dieci, Roberto & Gardini, Laura, 2002. "Speculative behaviour and complex asset price dynamics: a global analysis," Journal of Economic Behavior & Organization, Elsevier, vol. 49(2), pages 173-197, October. [Downloadable!] (restricted)
Carl Chiarella & Willi Semmler & Stefan Mittnik & Peiyuan Zhu, 2002. "Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 6(1). [Downloadable!]
Christopher Bajada, 2002. "How Reliable are the Estimates of the Underground Economy?," Economics Bulletin, Economics Bulletin, vol. 3(14), pages 1-11. [Downloadable!]
Christopher Bajada, 2002. "The Effects of Inflation and the Business Cycle on Revisions of Macroeconomic Data," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 35(3), pages 276-286. [Downloadable!] (restricted)
D. Heath & E. Platen, 2002. "Consistent pricing and hedging for a modified constant elasticity of variance model," Quantitative Finance, Taylor and Francis Journals, vol. 2(6), pages 459-467, June. [Downloadable!] (restricted)
Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344. [Downloadable!] (restricted)
Batten, Jonathan & Hogan, Warren, 2002. "Erratum to "A perspective on credit derivatives"," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 249-249. [Downloadable!] (restricted)
Batten, Jonathan & Hogan, Warren & In, Francis, 2002. "Valuing Credit Spreads on Quality Australian Dollar Eurobonds in a Multivariate EGARCH Framework," Australian Economic Papers, Blackwell Publishing, vol. 41(1), pages 115-28, March. [Downloadable!] (restricted)
Batten, Jonathan & Hogan, Warren, 2002. "A perspective on credit derivatives," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 251-278. [Downloadable!] (restricted)
Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2002. "Relationships between Australian Real Estate and Stock Market Prices--A Case of Market Inefficiency," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 181-92, April.
Nguyen, Pascal & Portait, Roland, 2002. "Dynamic asset allocation with mean variance preferences and a solvency constraint," Journal of Economic Dynamics and Control, Elsevier, vol. 26(1), pages 11-32, January. [Downloadable!] (restricted)
Klaus Sandmann & J. Aase Nielsen, 2002. "Pricing of Asian exchange rate options under stochastic interest rates as a sum of options," Finance and Stochastics, Springer, vol. 6(3), pages 355-370. [Downloadable!] (restricted)
Alex Frino & David R. Gallagher, 2002. "Is Index Performance Achievable? An Analysis of Australian Equity Index Funds," Abacus, Accounting Foundation, University of Sydney, vol. 38(2), pages 200-214. [Downloadable!] (restricted)
Geweke, John & Martin, Donald L, 2002. " Pitfalls in Drawing Policy Conclusions from Retrospective Survey Data: The Case of Advertising and Underage Smoking," Journal of Risk and Uncertainty, Springer, vol. 25(2), pages 111-31, September. [Downloadable!] (restricted)

2001

Keane, Michael P & Wolpin, Kenneth I, 2001. "The Effect of Parental Transfers and Borrowing Constraints on Educational Attainment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1051-1103, November.
Susan E. Feinberg & Michael P. Keane, 2001. "U.S.-Canada Trade Liberalization And Mnc Production Location," The Review of Economics and Statistics, MIT Press, vol. 83(1), pages 118-132, February. [Downloadable!] (restricted)
Graham Partington & Scott Walker, 2001. "A note on transaction costs and the interpretation of dividend drop‐off ratios," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 41(3), pages 229-242. [Downloadable!] (restricted)
Carl Chiarella & Oh Kang Kwon, 2001. "Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model," Finance and Stochastics, Springer, vol. 5(2), pages 237-257. [Downloadable!] (restricted)
Christopher Bajada, 2001. "An Examination of the Statistical Discrepancy and Private Investment Expenditure," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 27-61, May. [Downloadable!]
David Heath & Eckhard Platen & Martin Schweizer, 2001. "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Blackwell Publishing, vol. 11(4), pages 385-413. [Downloadable!] (restricted)
David R. Gallagher, 2001. "Attribution of investment performance: an analysis of Australian pooled superannuation funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 41(1-2), pages 41-62. [Downloadable!] (restricted)
Geweke, John, 2001. "Bayesian econometrics and forecasting," Journal of Econometrics, Elsevier, vol. 100(1), pages 11-15, January. [Downloadable!] (restricted)
Geweke, John & Tanizaki, Hisashi, 2001. "Bayesian estimation of state-space models using the Metropolis-Hastings algorithm within Gibbs sampling," Computational Statistics & Data Analysis, Elsevier, vol. 37(2), pages 151-170, August. [Downloadable!] (restricted)
Geweke, John & McCausland, William, 2001. " Bayesian Specification Analysis in Econometrics," American Journal of Agricultural Economics, American Agricultural Economics Association, vol. 83(5), pages 1181-86. [Downloadable!] (restricted)
Geweke, John, 2001. "A note on some limitations of CRRA utility," Economics Letters, Elsevier, vol. 71(3), pages 341-345, June. [Downloadable!] (restricted)

2000

Keane, Michael P & Wolpin, Kenneth I, 2000. "Eliminating Race Differences in School Attainment and Labor Market Success," Journal of Labor Economics, University of Chicago Press, vol. 18(4), pages 614-52, October. [Downloadable!] (restricted)
Geweke, John & Keane, Michael, 2000. "An empirical analysis of earnings dynamics among men in the PSID: 1968-1989," Journal of Econometrics, Elsevier, vol. 96(2), pages 293-356, June. [Downloadable!] (restricted)
Erik Schlögl, Lutz Schlögl, 2000. "A square root interest rate model fitting discrete initial term structure data," Applied Mathematical Finance, Taylor and Francis Journals, vol. 7(3), pages 183-209, September. [Downloadable!] (restricted)
Goldbaum, David, 2000. "Life Cycle Consumption of a Harmful and Addictive Good," Economic Inquiry, Oxford University Press, vol. 38(3), pages 458-69, July.
Chiarella, Carl & Flaschel, Peter, 2000. "High order disequilibrium growth dynamics: Theoretical aspects and numerical features," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 935-963, June. [Downloadable!] (restricted)
Ramaprasad Bhar, Carl Chiarella, 2000. "Expectations of monetary policy in Australia implied by the probability distribution of interest rate derivatives," European Journal of Finance, Taylor and Francis Journals, vol. 6(2), pages 113-125, June. [Downloadable!] (restricted)
L.J. Perry & Patrick J. Wilson, 2000. "The Accord and strikes: an International perspective," Australian Journal of Labour Economics (AJLE), The Centre for Labour Market Research (CLMR), Curtin Business School, vol. 4(4), pages 232-247, December.
Batten, Jonathan & Hogan, Warren & Pynnonen, Seppo, 2000. "The dynamics of Australian dollar bonds with different credit qualities," International Review of Financial Analysis, Elsevier, vol. 9(4), pages 389-404. [Downloadable!] (restricted)
Okunev, John & Wilson, Patrick & Zurbruegg, Ralf, 2000. "The Causal Relationship between Real Estate and Stock Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 21(3), pages 251-61, November. [Downloadable!] (restricted)
Kosedag, Arman & Michayluk, David, 2000. "Dividend initiations in reverse-LBO firms," Review of Financial Economics, Elsevier, vol. 9(1), pages 55-63. [Downloadable!] (restricted)
John Geweke & John Rust & Herman K. Van Dijk, 2000. "Introduction: inference and decision making," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 545-546.

1999

Goldbaum, David, 1999. "A nonparametric examination of market information: application to technical trading rules," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 59-85, January. [Downloadable!] (restricted)
Chiarella, Carl & El-Hassan, Nadima & Kucera, Adam, 1999. "Evaluation of American option prices in a path integral framework using Fourier-Hermite series expansions," Journal of Economic Dynamics and Control, Elsevier, vol. 23(9-10), pages 1387-1424, September. [Downloadable!] (restricted)
Bajada, Christopher, 1999. "Estimates of the Underground Economy in Australia," The Economic Record, The Economic Society of Australia, vol. 75(231), pages 369-84, December.
Eckhard Platen, 1999. "A short term interest rate model," Finance and Stochastics, Springer, vol. 3(2), pages 215-225. [Downloadable!] (restricted)
Hogan, W P, 1999. "The Future of Banking: A Survey," The Economic Record, The Economic Society of Australia, vol. 75(231), pages 417-27, December.
Hogan, Warren P, 1999. "Colin George Frederick Simkin, 1915-1998," The Economic Record, The Economic Society of Australia, vol. 75(230), pages 313-22, September.
Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278. [Downloadable!]
Lee, Philip J. & Taylor, Stephen L. & Walter, Terry S., 1999. "IPO Underpricing Explanations: Implications from Investor Application and Allocation Schedules," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 34(04), pages 425-444, December. [Downloadable!]
John Geweke, 1999. "Power of Tests in Binary Response Models: Comment," Econometrica, Econometric Society, vol. 67(2), pages 423-426, March.
John Geweke, 1999. "Using simulation methods for bayesian econometric models: inference, development,and communication," Econometric Reviews, Taylor and Francis Journals, vol. 18(1), pages 1-73. [Downloadable!] (restricted)
J. Geweke, 1999. "Reply," Econometric Reviews, Taylor and Francis Journals, vol. 18(1), pages 119-126. [Downloadable!] (restricted)

1998

Susan E. Feinberg & Michael P. Keane & Mario F. Bognanno, 1998. "Trade Liberalization and Delocalization: New Evidence from Firm-Level Panel Data," Canadian Journal of Economics, Canadian Economics Association, vol. 31(4), pages 749-777, November. [Downloadable!] (restricted)
Keane, Michael & Moffitt, Robert, 1998. "A Structural Model of Multiple Welfare Program Participation and Labor Supply," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(3), pages 553-89, August.
Michael P. Keane & David E. Runkle, 1998. "Are Financial Analysts' Forecasts of Corporate Profits Rational?," Journal of Political Economy, University of Chicago Press, vol. 106(4), pages 768-805, August. [Downloadable!] (restricted)
Harris, Katherine M. & Keane, Michael P., 1998. "A model of health plan choice:: Inferring preferences and perceptions from a combination of revealed preference and attitudinal data," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 131-157, November. [Downloadable!] (restricted)
Erdem, Tulin & Keane, Michael P. & Sun, Baohong, 1998. "Missing price and coupon availability data in scanner panels: Correcting for the self-selection bias in choice model parameters," Journal of Econometrics, Elsevier, vol. 89(1-2), pages 177-196, November. [Downloadable!] (restricted)
Chiarella, Carl & Flaschel, Peter, 1998. "Dynamics Of Natural Rates Of Growth And Employment," Macroeconomic Dynamics, Cambridge University Press, vol. 2(03), pages 345-368, September. [Downloadable!]
Wilson, Patrick James & Okunev, John & Webb, James J, 1998. "Step Interventions and Market Integration: Tests in the U.S., U.K., and Australian Property Markets," The Journal of Real Estate Finance and Economics, Springer, vol. 16(1), pages 91-123, January. [Downloadable!] (restricted)
Brockman, Paul & Michayluk, David, 1998. "The Persistent Holiday Effect: Additional Evidence," Applied Economics Letters, Taylor and Francis Journals, vol. 5(4), pages 205-09, April. [Downloadable!] (restricted)
Geweke, John, 1998. "Some experiments in constructing a hybrid model for macroeconomic analysis: A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 143-147, December. [Downloadable!] (restricted)
Geweke, John & Petrella, Lea, 1998. "Prior Density-Ratio Class Robustness in Econometrics," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 469-78, October.
Geweke, John, 1998. "Real and Spurious Long-Memory Properties of Stock-Market Data: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 269-71, July.

1997

Keane, Michael P, 1997. "Modeling Heterogeneity and State Dependence in Consumer Choice Behavior," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(3), pages 310-27, July.
Keane, Michael P & Wolpin, Kenneth I, 1997. "The Career Decisions of Young Men," Journal of Political Economy, University of Chicago Press, vol. 105(3), pages 473-522, June.
Geweke, John F. & Keane, Michael P. & Runkle, David E., 1997. "Statistical inference in the multinomial multiperiod probit model," Journal of Econometrics, Elsevier, vol. 80(1), pages 125-165, September. [Downloadable!] (restricted)
R. Bhar, C. Chiarella, 1997. "Transformation of Heath–Jarrow–Morton models to Markovian systems," European Journal of Finance, Taylor and Francis Journals, vol. 3(1), pages 1-26, March. [Downloadable!] (restricted)
Ramaprasad Bhar, Carl Chiarella, 1997. "Interest rate futures: estimation of volatility parameters in an arbitrage-free framework," Applied Mathematical Finance, Taylor and Francis Journals, vol. 4(4), pages 181-199, December. [Downloadable!] (restricted)
Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997. "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer, vol. 4(2), pages 97-124, May. [Downloadable!] (restricted)
John Okunev & Patrick J. Wilson, 1997. "Using Nonlinear Tests to Examine Integration Between Real Estate and Stock Markets," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 25(3), pages 487-503. [Downloadable!] (restricted)
Miltersen, Kristian R & Sandmann, Klaus & Sondermann, Dieter, 1997. " Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates," Journal of Finance, American Finance Association, vol. 52(1), pages 409-30, March. [Downloadable!] (restricted)

1996

Keane, Michael P & Prasad, Eswar S, 1996. "The Employment and Wage Effects of Oil Price Changes: A Sectoral Analysis," The Review of Economics and Statistics, MIT Press, vol. 78(3), pages 389-400, August. [Downloadable!] (restricted)
Chiarella, Carl & Flaschel, Peter, 1996. "Real and monetary cycles in models of Keynes-Wicksell type," Journal of Economic Behavior & Organization, Elsevier, vol. 30(3), pages 327-351, September. [Downloadable!] (restricted)
M. Streit & D. Schneider & T. Tietenberg & R. Kollmann & C. Chiarella & R. Bommer & E. Plassmann & V. Valli, 1996. "Book reviews," Journal of Economics, Springer, vol. 63(2), pages 213-235, June. [Downloadable!] (restricted)
Monadjemi, Mehdi S & Perry, Len, 1996. "Share Price Movements: A Study of Four OECD Countries," Applied Economics Letters, Taylor and Francis Journals, vol. 3(3), pages 135-37, March. [Downloadable!] (restricted)
Abraham Lioui & Pascal Nguyen Duc Trong & Patrice Poncet, 1996. "Optimal Dynamic Hedging in Incomplete Futures Markets," The Geneva Risk and Insurance Review, Palgrave Macmillan Journals, vol. 21(1), pages 103-122, June. [Downloadable!] (restricted)
Aitken, Michael & Brown, Philip & Buckland, Christine & Izan, H. Y. & Walter, Terry, 1996. "Price clustering on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 297-314, July. [Downloadable!] (restricted)
Lee, Philip J. & Taylor, Stephen L. & Walter, Terry S., 1996. "Expected and realised returns for Singaporean IPOs: Initial and long-run analysis," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 153-180, July. [Downloadable!] (restricted)
Lee, Philip J. & Taylor, Stephen L. & Walter, Terry S., 1996. "Australian IPO pricing in the short and long run," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1189-1210, August. [Downloadable!] (restricted)
J. Aase Nielsen & Klaus Sandmann, 1996. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan Journals, vol. 21(1), pages 65-102, June. [Downloadable!] (restricted)
Geweke, John & Zhou, Guofu, 1996. "Measuring the Pricing Error of the Arbitrage Pricing Theory," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 9(2), pages 557-87. [Downloadable!] (restricted)
Geweke, John, 1996. "Bayesian reduced rank regression in econometrics," Journal of Econometrics, Elsevier, vol. 75(1), pages 121-146, November. [Downloadable!] (restricted)

1995

Keane, Michael & Runkle, David E, 1995. "Testing the Rationality of Price Forecasts: Reply," American Economic Review, American Economic Association, vol. 85(1), pages 290, March.
Gruen, David W R & Menzies, Gordon D, 1995. "Forward Discount Bias: Is It Near-Rationality in the Foreign Exchange Market?," The Economic Record, The Economic Society of Australia, vol. 71(213), pages 157-66, June.
Hall, A D & Vella, Francis, 1995. "The Wage-Hours Profile for Young Australians: How Meaningful Are Labour Supply Functions Estimated from Micro Data?," Australian Economic Papers, Blackwell Publishing, vol. 34(64), pages 50-61, June.
Hogan, Warren, 1995. "Foreign Debt and Foreign Exchange Markets," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 25(2), pages 99-121, September. [Downloadable!]
Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July. [Downloadable!] (restricted)

1994

Keane, Michael P, 1994. "A Computationally Practical Simulation Estimator for Panel Data," Econometrica, Econometric Society, vol. 62(1), pages 95-116, January. [Downloadable!] (restricted)
Geweke, John & Keane, Michael P & Runkle, David, 1994. "Alternative Computational Approaches to Inference in the Multinomial Probit Model," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 609-32, November. [Downloadable!] (restricted)
Keane, Michael P & Wolpin, Kenneth I, 1994. "The Solution and Estimation of Discrete Choice Dynamic Programming Models by Simulation and Interpolation: Monte Carlo Evidence," The Review of Economics and Statistics, MIT Press, vol. 76(4), pages 648-72, November. [Downloadable!] (restricted)
Gordon Menzies, 1994. "Explaining the Timing of Australia's Manufactured Export Boom," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 27(4), pages 72-86. [Downloadable!] (restricted)
Geweke, John, 1994. "Priors for Macroeconomic Time Series and Their Application," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 609-632, August. [Downloadable!]
Geweke, John, 1994. "Bayesian Analysis of Stochastic Volatility Models: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 397-99, October.

1993

Keane, Michael P, 1993. "Nominal-Contracting Theories of Unemployment: Evidence from Panel Data," American Economic Review, American Economic Association, vol. 83(4), pages 932-52, September. [Downloadable!] (restricted)
Geweke, John, 1993. "Forecasting time series with common seasonal patterns," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 201-202. [Downloadable!] (restricted)
Geweke, J, 1993. "Bayesian Treatment of the Independent Student- t Linear Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S19-40, Suppl. De. [Downloadable!] (restricted)

1992

Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 1-9, January.
Keane, Michael P & Runkle, David E, 1992. "On the Estimation of Panel-Data Models with Serial Correlation When Instruments Are Not Strictly Exogenous: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 26-29, January.
Keane, Michael P, 1992. "A Note on Identification in the Multinomial Probit Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(2), pages 193-200, April.
Hall, Anthony D & Anderson, Heather M & Granger, Clive W J, 1992. "A Cointegration Analysis of Treasury Bill Yields," The Review of Economics and Statistics, MIT Press, vol. 74(1), pages 116-26, February. [Downloadable!] (restricted)
Chiarella, Carl, 1992. "Economic dynamics : Wei-Bin Zhang, (Lecture Notes in Economics and Mathematical Systems, Springer Verlag, 1990) vol. 350, pp. x+232, DM 45 (paper)," Journal of Economic Behavior & Organization, Elsevier, vol. 18(3), pages 443-445, August. [Downloadable!] (restricted)
C. Seidl & G. Nöldeke & H. Zink & K. Sandmann & Y. Ishii & H. Welsch & F. Winden & K. Laski, 1992. "Book reviews," Journal of Economics, Springer, vol. 55(2), pages 221-244, June. [Downloadable!] (restricted)

1991

Chiarella, Carl, 1991. "The bifurcation of probability distributions in a non-linear rational expectations model of monetary economy," European Journal of Political Economy, Elsevier, vol. 7(1), pages 65-78, April. [Downloadable!] (restricted)
Chiarella, C., 1991. "The birth of limit cycles in Cournot oligopoly models with time delays," Pure Mathematics and Applications, Department of Mathematics, Corvinus University of Budapest, vol. 2(2-3), pages 81-92.
Perry, L J, 1991. "A Comment on Aggregate Demand," Australian Economic Papers, Blackwell Publishing, vol. 30(57), pages 278-86, December.
Barnett, William A. & Geweke, John & Wolfe, Michael, 1991. "Seminonparametric Bayesian estimation of the asymptotically ideal production model," Journal of Econometrics, Elsevier, vol. 49(1-2), pages 5-50. [Downloadable!] (restricted)

1990

Keane, Michael P & Runkle, David E, 1990. "Testing the Rationality of Price Forecasts: New Evidence from Panel Data," American Economic Review, American Economic Association, vol. 80(4), pages 714-35, September. [Downloadable!] (restricted)
Hall, A. D., 1990. "Worldwide Rankings of Research Activity in Econometrics: An Update: 1980?1988," Econometric Theory, Cambridge University Press, vol. 6(01), pages 1-16, March. [Downloadable!]
Chiarella, Carl, 1990. "Excessive exchange rate variability : A possible explanation using nonlinear economic dynamics," European Journal of Political Economy, Elsevier, vol. 6(3), pages 315-352, December. [Downloadable!] (restricted)
Bird, Ron & Cunningham, Ross & Dennis, David & Tippett, Mark, 1990. "Portfolio insurance: a simulation under different market conditions," Insurance: Mathematics and Economics, Elsevier, vol. 9(1), pages 1-19, March. [Downloadable!] (restricted)
Hogan, W P & Sharpe, Ian G, 1990. "Prudential Supervision of Australian Banks," The Economic Record, The Economic Society of Australia, vol. 66(193), pages 127-45, June.

1989

Michael P. Keane & David E. Runkle, 1989. "Are economic forecasts rational?," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Spr, pages 26-33. [Downloadable!]
Hall, A D & McAleer, Michael, 1989. "A Monte Carlo Study of Some Tests of Model Adequacy in Time Series Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 95-106, January.
Chiarella, Carl & Kemp, Murray C. & van Long, Ngo, 1989. "Innovation and the transfer of technology : A leader-follower model," Economic Modelling, Elsevier, vol. 6(4), pages 452-456, October. [Downloadable!] (restricted)
Chiarella, Carl, 1989. "The dynamic behaviour of workers' enterprises," European Journal of Political Economy, Elsevier, vol. 5(2-3), pages 317-331. [Downloadable!] (restricted)
Hogan, W.P., 1989. "Prudential Regulation of Bank Ownership and Control," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 19(1), pages 73-89. [Downloadable!]
Koh, Francis & Walter, Terry, 1989. "A direct test of Rock's model of the pricing of unseasoned issues," Journal of Financial Economics, Elsevier, vol. 23(2), pages 251-272, August. [Downloadable!] (restricted)
Geweke, John, 1989. "Exact predictive densities for linear models with arch disturbances," Journal of Econometrics, Elsevier, vol. 40(1), pages 63-86, January. [Downloadable!] (restricted)
Geweke, John, 1989. "Bayesian Inference in Econometric Models Using Monte Carlo Integration," Econometrica, Econometric Society, vol. 57(6), pages 1317-39, November. [Downloadable!] (restricted)

1988

Keane, Michael & Moffitt, Robert & Runkle, David, 1988. "Real Wages over the Business Cycle: Estimating the Impact of Heterogeneity with Micro Data," Journal of Political Economy, University of Chicago Press, vol. 96(6), pages 1232-66, December. [Downloadable!] (restricted)
Pesaran, M. H. & Hall, A. D., 1988. "Tests of non-nested linear regression models subject to linear restrictions," Economics Letters, Elsevier, vol. 27(4), pages 341-348. [Downloadable!] (restricted)
Chiarella, Carl, 1988. "The cobweb model: Its instability and the onset of chaos," Economic Modelling, Elsevier, vol. 5(4), pages 377-384, October. [Downloadable!] (restricted)
Gross, E & Hogan, Warren P & Sharpe, Ian G, 1988. "Market Information and Potential Insolvency of Australian Financial Institutions," Australian Economic Papers, Blackwell Publishing, vol. 27(50), pages 44-64, June.
Trevor, R G & Thorp, S J, 1988. "VAR Forecasting Models of the Australian Economy: A Preliminary Analysis," Australian Economic Papers, Blackwell Publishing, vol. 27(0), pages 108-20, Supplemen.
Geweke, John, 1988. "Comment on Poirer: Operational Bayesian Methods in Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 2(1), pages 159-66, Winter. [Downloadable!] (restricted)
Geweke, John, 1988. "The Secular and Cyclical Behavior of Real GDP in 19 OECD Countries, 1957-1983," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(4), pages 479-86, October.
Geweke, John, 1988. "Antithetic acceleration of Monte Carlo integration in Bayesian inference," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 73-89. [Downloadable!] (restricted)
Geweke, John, 1988. "An Application of Operational-Subjective Statistical Methods to Rational Expectations: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 6(4), pages 465-66, October.

1987

Hall, A. D., 1987. "Worldwide Rankings of Research Activity in Econometrics: 1980?1985," Econometric Theory, Cambridge University Press, vol. 3(02), pages 171-194, April. [Downloadable!]
Bird, Ron & McCrae, Michael & Beggs, John J, 1987. "Are Gamblers Really Risk Takers?," Australian Economic Papers, Blackwell Publishing, vol. 26(49), pages 237-53, December.
Froeb, Luke & Geweke, John, 1987. "Long run competition in the U.S. aluminum industry," International Journal of Industrial Organization, Elsevier, vol. 5(1), pages 67-78, March. [Downloadable!] (restricted)

1986

Chiarella, Carl, 1986. "Perfect foresight models and the dynamic instability problem from a higher viewpoint," Economic Modelling, Elsevier, vol. 3(4), pages 283-292, October. [Downloadable!] (restricted)
Chiarella, Carl & Sertel, Murat R., 1986. "Competitive capitalism and cooperative labor management in a dynamic nutshell," European Journal of Political Economy, Elsevier, vol. 2(4), pages 499-519. [Downloadable!] (restricted)
John Geweke, 1986. "Commet," Econometric Reviews, Taylor and Francis Journals, vol. 5(1), pages 57-61. [Downloadable!] (restricted)
Geweke, John & Marshall, Robert C & Zarkin, Gary A, 1986. "Exact Inference for Continuous Time Markov Chain Models," Review of Economic Studies, Blackwell Publishing, vol. 53(4), pages 653-69, August. [Downloadable!] (restricted)
Geweke, John, 1986. "Exact Inference in the Inequality Constrained Normal Linear Regression Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 1(2), pages 127-41, April. [Downloadable!] (restricted)
Geweke, John & Marshall, Robert C & Zarkin, Gary A, 1986. "Mobility Indices in Continuous Time Markov Chains," Econometrica, Econometric Society, vol. 54(6), pages 1407-23, November. [Downloadable!] (restricted)

1985

Geweke, John, 1985. "Macroeconometric Modeling and the Theory of the Representative Agent," American Economic Review, American Economic Association, vol. 75(2), pages 206-10, May. [Downloadable!] (restricted)

1984

Chiarella, Carl, et al, 1984. "On the Economics of International Fisheries," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 85-92, February. [Downloadable!] (restricted)
Hogan, Warren P & Sharpe, Ian G, 1984. "Regulation, Risk and the Pricing of Australian Bank Shares, 1957-1976," The Economic Record, The Economic Society of Australia, vol. 60(168), pages 34-44, March.
Hogan, W. P. & Sharpe, I. G., 1984. "On the relationship between the New York closing spot U.S.$[+45 degree rule]$A exchange rate and the Reserve Bank of Australia's official rate," Economics Letters, Elsevier, vol. 14(1), pages 73-79. [Downloadable!] (restricted)
John Geweke, 1984. "Comment," Econometric Reviews, Taylor and Francis Journals, vol. 3(1), pages 105-112. [Downloadable!] (restricted)
Meese, Richard & Geweke, John, 1984. "A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 191-200, July.

1983

Pagan, A R & Hall, A D & Trivedi, P K, 1983. "Assessing the Variability of Inflation," Review of Economic Studies, Blackwell Publishing, vol. 50(4), pages 585-96, October. [Downloadable!] (restricted)
Hall, A. D., 1983. "Confidence contours for two test statistics for non-nested regression models," Journal of Econometrics, Elsevier, vol. 21(1), pages 155-160, January. [Downloadable!] (restricted)
A. R. Pagan & A. D. Hall, 1983. "Reply," Econometric Reviews, Taylor and Francis Journals, vol. 2(2), pages 249-254. [Downloadable!] (restricted)
A. R. Pagan & A. D. Hall, 1983. "Diagnostic tests as residual analysis," Econometric Reviews, Taylor and Francis Journals, vol. 2(2), pages 159-218. [Downloadable!] (restricted)
Geweke, John & Meese, Richard & Dent, Warren, 1983. "Comparing alternative tests of causality in temporal systems : Analytic results and experimental evidence," Journal of Econometrics, Elsevier, vol. 21(2), pages 161-194, February. [Downloadable!] (restricted)

1982

Hogan, W. P. & Sharpe, I. G. & Volker, P. A., 1982. "Capital market efficiency and the relationship between equity returns, interest rates, and monetary aggregates in Australia," Journal of Economics and Business, Elsevier, vol. 34(4), pages 377-385. [Downloadable!] (restricted)

1981

Perry, L J, 1981. "Inflation in the USA, UK and Australia: Some Comparisons," The Economic Record, The Economic Society of Australia, vol. 57(159), pages 319-31, December.
Hogan, W. P. & Sharpe, I. G. & Volker, P. A., 1981. "The impact of reserve requirement changes on the valuation of Australian bank holding companies," Economics Letters, Elsevier, vol. 7(1), pages 69-74. [Downloadable!] (restricted)
Geweke, John & Meese, Richard, 1981. "Estimating regression models of finite but unknown order," Journal of Econometrics, Elsevier, vol. 16(1), pages 162-162, May. [Downloadable!] (restricted)
Geweke, John, 1981. "The Approximate Slopes of Econometric Tests," Econometrica, Econometric Society, vol. 49(6), pages 1427-42, November. [Downloadable!] (restricted)

1980

Perry, L J, 1980. "A Note on Phillips and Phillips Curve Economics," The Economic Record, The Economic Society of Australia, vol. 56(152), pages 87-90, March.
Hogan, W. P. & Sharpe, I. G. & Volker, P. A., 1980. "Risk and regulation : An empirical test of the relationship," Economics Letters, Elsevier, vol. 6(4), pages 373-379. [Downloadable!] (restricted)

1979

Perry, L J, 1979. "Inter-War Wage Movements and Trade Union Militancy in Australia," Australian Economic Papers, Blackwell Publishing, vol. 18(33), pages 229-42, December.
Hogan, W P, 1979. "Quicksands of Policy-Making," Australian Economic Papers, Blackwell Publishing, vol. 18(33), pages 384-96, December.

1978

P.J. Wilson, 1978. "Bargaining power and location as factors in the determination of site values," Regional Studies, Taylor and Francis Journals, vol. 12(1), pages 21-47, February. [Downloadable!] (restricted)
Geweke, John, 1978. "Testing the exogeneity specification in the complete dynamic simultaneous equation model," Journal of Econometrics, Elsevier, vol. 7(2), pages 163-185, June. [Downloadable!] (restricted)

1977

Hogan, W.P., 1977. "Questions on Government Intervention in Economic Activity," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 7(1), pages 2-19. [Downloadable!]

1976

Geweke, John, 1976. "A monetarist model of inflationary expectations : John Rutledge, (D.C. Health, Lexington, Massachusetts, 1974) pp. xv+115, $12.50," Journal of Monetary Economics, Elsevier, vol. 2(1), pages 125-127, January. [Downloadable!] (restricted)

1969

Hogan, W P, 1969. "Some New Results in the Measurement of Capacity Utilization," American Economic Review, American Economic Association, vol. 59(1), pages 183-84, March. [Downloadable!] (restricted)
Hogan, W P, 1969. "Economic Effects of the Australian Protection System," The Economic Record, The Economic Society of Australia, vol. 45(112), pages 513-25, December.

Chapters

2006

Geweke, John & Whiteman, Charles, 2006. "Bayesian Forecasting," Handbook of Economic Forecasting, Elsevier. [Downloadable!] (restricted)

2001

Geweke, John & Keane, Michael, 2001. "Computationally intensive methods for integration in econometrics," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 56, pages 3463-3568 Elsevier. [Downloadable!] (restricted)

1996

Geweke, John, 1996. "Monte carlo simulation and numerical integration," Handbook of Computational Economics, in: H. M. Amman & D. A. Kendrick & J. Rust (ed.), Handbook of Computational Economics, edition 1, volume 1, chapter 15, pages 731-800 Elsevier. [Downloadable!] (restricted)

1984

Geweke, John, 1984. "Inference and causality in economic time series models," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 19, pages 1101-1144 Elsevier. [Downloadable!] (restricted)

1980

Warren Dent & John Geweke, 1980. "On Specification in Simultaneous Equation Models," NBER Chapters, in: Evaluation of Econometric Models, pages 169-196 National Bureau of Economic Research, Inc. [Downloadable!]

1979

John Geweke, 1979. "The Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 411-432 National Bureau of Economic Research, Inc. [Downloadable!]

1978

John Geweke, 1978. "The Temporal and Sectoral Aggregation of Seasonally Adjusted Time Series," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 411-432 National Bureau of Economic Research, Inc. [Downloadable!]

Did you know? You can use convenient plug-ins to search directly IDEAS from your browser.

This page was last updated on 2009-12-2.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.

This file is part of IDEAS, which uses RePEc data

Publications

by members of

School of Finance and Economics University of Technology Sydney, Australia

Working papers

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

1999

1998

1997

1996

1995

1994

1993

1992

1991

1990

1989

1988

Undated

Journal articles

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

1999

1998

1997

1996

1995

1994

1993

1992

1991

1990

1989

1988

1987

1986

1985

1984

1983

1982

1981

1980

1979

1978

1977

1976

1969

Chapters

2006

2001

1996

1984

1980

1979

1978

School of Finance and Economics
University of Technology
Sydney, Australia