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Publications

by members of

University of Technology Sydney → Business School → Finance Discipline Group

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 institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2026

  1. Luna Rigby & Rudiger Frey & Erik Schlogl, 2026, "If Not Now, Then When? Model Risk in the Optimal Exercise of American Options," Papers, arXiv.org, number 2603.19984, Mar.

2025

  1. Nelson Kyakutwika & Mesias Alfeus & Erik Schlogl, 2025, "Pricing and Calibration of VIX Derivatives in Mixed Bergomi Models via Quantisation," Papers, arXiv.org, number 2506.23409, Jun.

2024

  1. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.

2022

  1. Dean Buckner & Kevin Dowd & Hardy Hulley, 2022, "Arbitrage Problems with Reflected Geometric Brownian Motion," Papers, arXiv.org, number 2201.05312, Jan, revised Sep 2022.

2021

  1. Gerhard Hambusch & David Michayluk & Kevin Terhaar & Gerhard Van de Venter, 2021, "Differences in Ethical Perceptions of Insider Trading," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2021-1, Jan.
  2. Renée B Adams & Roman Kräussl & Marco Navone & Patrick Verwijmeren, 2021, "Gendered Prices," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2021-4, Jan.
  3. Marc Bohmann & Vinay Patel, 2021, "Practical Applications of Information Leakage in Energy Derivatives around News Announcements," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2021-3, Jan.
  4. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2021, "Calibration to FX Triangles of the 4/2 Model Under the Benchmark Approach," Working Papers, University of Verona, Department of Economics, number 06/2021, Apr.
  5. Karol Gellert & Erik Schlogl, 2021, "Short Rate Dynamics: A Fed Funds and SOFR perspective," Papers, arXiv.org, number 2101.04308, Jan.
  6. Joshua A. Gurwitz & David M. Smith & Gerhard Van de Venter, 2021, "Municipal Bond Mutual Fund Performance and Active Share," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2021-2, Jan.

2020

  1. Melissa Edwards & Paul Brown & Suzanne Benn & Christopher Bajada & Robert Perry & Deborah Cotton & Walter Jarvis & Gordon Menzies & Ian McGregor & Katrina Waite, 2020, "Developing sustainability learning in business school curricula – productive boundary objects and participatory processes," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2020-1, Jan.
  2. Deborah Cotton, 2020, "Transition Finance and Markets," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2020-4, Jan.
  3. Otto Konstandatos, 2020, "Fair-value Analytical Valuation of Reset Executive Stock Options Consistent with IFRS9 Requirements," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 418, Dec.
  4. Muthe Mathias Mwampashi & Christina Sklibosios Nikitopoulos & Otto Konstandatos & Alan Rai, 2020, "Wind Generation and the Dynamics of Electricity Prices in Australia," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 416, Dec.
  5. Iftekhar Hasan & Marco Navone & Thomas To & Eliza Wu, 2020, "Tournament Incentives and Acquisition Performance," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2020-3, Jan.
  6. Christina Sklibosios Nikitopoulos & Alice Thomas & Jianxin Wang, 2020, "The Economic Impact of Volatility Persistence on Energy Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 417, Dec.
  7. Mesias Alfeus & Christina Sklibosios Nikitopoulos, 2020, "Forecasting Commodity Markets Volatility: HAR or Rough?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 415, Dec.
  8. Marc Bohmann & Vinay Patel, 2020, "Information Leakage in Energy Derivatives around News Announcements," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2020-2, Jan.
  9. Giovanni Barone-Adesi & Eckhard Platen & Carlo Sala, 2020, "On the Use of Equities in Target Date Funds," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 20-24, Apr.
  10. Eckhard Platen & Stefan Tappe, 2020, "No arbitrage and multiplicative special semimartingales," Papers, arXiv.org, number 2005.05575, May, revised Sep 2022.
  11. Eckhard Platen & Stefan Tappe, 2020, "No-arbitrage concepts in topological vector lattices," Papers, arXiv.org, number 2005.04923, May, revised Apr 2021.
  12. Eckhard Platen & Stefan Tappe, 2020, "Existence of equivalent local martingale deflators in semimartingale market models," Papers, arXiv.org, number 2006.01572, Jun.
  13. Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2020, "Robust Product Markovian Quantization," Papers, arXiv.org, number 2006.15823, Jun.
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  14. Eckhard Platen & Stefan Tappe, 2020, "The Fundamental Theorem of Asset Pricing for Self-Financing Portfolios," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 411, May.
  15. Eckhard Platen, 2020, "Stochastic Modelling of the COVID-19 Epidemic," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 409, Apr.
  16. Eckhard Platen & Stefan Tappe, 2020, "Exploiting arbitrage requires short selling," Papers, arXiv.org, number 2011.12523, Nov, revised Sep 2022.
  17. Giovanni Barone Adesi & Eckhard Platen & Carlo Sala, 2020, "On Using Equities to Produce Pension Payouts," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 413, Dec.
  18. Talis Putnins & Arnis Sauka, 2020, "Why does entrepreneurial orientation affect company performance?," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2020-6, Jan.

2019

  1. Nawaf Almaskati & Ron Bird & Susanna Lu, 2019, "Corporate Governance, Institutions, Markets and Social Factors," Working Papers in Economics, University of Waikato, number 19/09, Jul.
  2. Nawaf Almaskati & Ron Bird & Yue Lu & Danny Leung, 2019, "Corporate Governance, Information Uncertainty and Market Reaction to Information Signals," Working Papers in Economics, University of Waikato, number 19/15, Jul.
  3. Nawaf Almaskati & Ron Bird & Yue Lu & Danny Leung, 2019, "The Role of Corporate Governance and Estimation Methods in Predicting Bankruptcy," Working Papers in Economics, University of Waikato, number 19/16, Jul.
  4. Kristoffer Glover & Hardy Hulley, 2019, "Short Selling with Margin Risk and Recall Risk," Papers, arXiv.org, number 1903.11804, Mar.
  5. Kristoffer Glover, 2019, "With or without replacement? Sampling uncertainty in Shepp's urn scheme," Papers, arXiv.org, number 1911.11971, Nov, revised Mar 2022.
  6. Hardy Hulley & Johannes Ruf, 2019, "Weak Tail Conditions for Local Martingales," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2019-2, Jan.
  7. Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019, "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 397, Jan.
  8. Boda Kang & Christina Sklibosios Nikitopoulos & Marcel Prokopczuk, 2019, "Economic Determinants of Oil Futures Volatility: A Term Structure Perspective," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 401, Jul.
  9. Jin Sun & Kevin Fergusson & Eckhard Platen & Pavel V. Shevchenko, 2019, "Fair Pricing of Variable Annuities with Guarantees under the Benchmark Approach," Papers, arXiv.org, number 1906.01320, Jun.
  10. Jin Sun & Eckhard Platen, 2019, "Benchmarked Risk Minimizing Hedging Strategies for Life Insurance Policies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 399, Mar.
  11. Eckhard Platen & Renata Rendek, 2019, "Dynamics of a Well-Diversified Equity Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 398, Jan.
  12. Talis Putnins & Arnis Sauka & Adriana Ana Maria Davidesc, 2019, "Shadow Economy Index for Moldova and Romania," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2019-1, Jan.
  13. Johann, Thomas & Putnins, Talis & Sagade, Satchit & Westheide, Christian, 2019, "Quasi-dark trading: The effects of banning dark pools in a world of many alternatives," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 253, DOI: 10.2139/ssrn.3365994.
  14. Alex Backwell & Andrea Macrina & Erik Schlogl & David Skovmand, 2019, "Term Rates, Multicurve Term Structures and Overnight Rate Benchmarks: A Roll-Over Risk Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 400, Jun.

2018

  1. Tiziano De Angelis & Erik Ekstrom & Kristoffer Glover, 2018, "Dynkin games with incomplete and asymmetric information," Papers, arXiv.org, number 1810.07674, Oct, revised Jul 2020.
  2. Tiffany Hutcheson & Graeme Newell, 2018, "Decision-making in property Investment by Property Fund Managers," ERES, European Real Estate Society (ERES), number eres2018_295, Jan.
  3. Otto Konstandatos, 2018, "Methods for Analytical Barrier Option Pricing with Multiple Exponential Time-Varying Boundaries," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 396, Oct.
  4. Adams, Renée & Kräussl, Roman & Navone, Marco & Verwijmeren, Patrick, 2018, "Is gender in the eye of the beholder? Identifying cultural attitudes with art auction prices," CFS Working Paper Series, Center for Financial Studies (CFS), number 595.
  5. Blessing Taruvinga & Boda Kang & Christina Sklibosios Nikitopoulos, 2018, "Pricing American Options with Jumps in Asset and Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 394, Oct.
  6. Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2018, "Quantization Under the Real-world Measure: Fast and Accurate Valuation of Long-dated Contracts," Papers, arXiv.org, number 1801.07044, Jan, revised Jan 2018.
  7. Karol Gellert & Erik Schlogl, 2018, "Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation," Papers, arXiv.org, number 1806.05387, Jun.
  8. Erik Schlogl, 2018, "Arbitrage-Free Interpolation in Models of Market Observable Interest Rates," Papers, arXiv.org, number 1806.08107, Jun.
  9. Yu Feng & Erik Schlogl, 2018, "Model Risk Measurement under Wasserstein Distance," Papers, arXiv.org, number 1809.03641, Sep, revised Mar 2019.
  10. Mesias Alfeus & Martino Grasselli & Erik Schlogl, 2018, "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Papers, arXiv.org, number 1809.06643, Sep.
  11. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlogl, 2018, "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Papers, arXiv.org, number 1810.09112, Oct.
  12. Mesias Alfeus & Erik Schlögl, 2018, "On Numerical Methods for Spread Options," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 388, Jan.

2017

  1. Marta Leniec & Kristoffer Glover & Erik Ekström, 2017, "Dynkin games with heterogeneous beliefs," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2017-2, Jan.
  2. T. A. McWalter & R. Rudd & J. Kienitz & E. Platen, 2017, "Recursive Marginal Quantization of Higher-Order Schemes," Papers, arXiv.org, number 1701.02681, Jan.
  3. Eckhard Platen & Renata Rendek, 2017, "Market Efficiency and Growth Optimal Portfolio," Papers, arXiv.org, number 1706.06832, Jun.
  4. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017, "On the existence of sure profits via flash strategies," Papers, arXiv.org, number 1708.03099, Aug, revised Jul 2019.
  5. Claudio Fontana & Markus Pelger & Eckhard Platen, 2017, "Sure Profits via Flash Strategies and the Impossibility of Predictable Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 385, Aug.
  6. Ralph Rudd & Thomas A. McWalter & Joerg Kienitz & Eckhard Platen, 2017, "Fast Quantization of Stochastic Volatility Models," Papers, arXiv.org, number 1704.06388, Apr.
  7. Kevin Fergusson & Eckhard Platen, 2017, "Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity," Papers, arXiv.org, number 1711.02808, Nov.
  8. Dietmar P.J. Leisen & Eckhard Platen, 2017, "Investing for the Long Run," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 381, May.
  9. Sean A. Anthonisz & Talis Putnins, 2017, "Asset Pricing with Downside Liquidity Risks," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2017-1, Jan.

2016

  1. Peter Docherty & Ron Bird & Timo Henckel & Gordon Menzies, 2016, "Australian Prudential Regulation Before and After the Global Financial Crisis," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2016-49, Aug.
  2. Ron Bird & Hamza Ajmal, 2016, "Mispricing of Australian IPOs," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2016-1, Jan.
  3. Marco Navone & Giacomo Nocera, 2016, "Unbundling the Expense Ratio: Hidden Distribution Costs in European Mutual Fund Markets," Post-Print, HAL, number hal-01366161, Sep, DOI: 10.1111/eufm.12078.
  4. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Empirical Pricing Performance in Long-Dated Crude Oil Derivatives: Do Models with Stochastic Interest Rates Matter?," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 367, Jan.
  5. Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl & Hongang Yang, 2016, "Pricing American Options under Regime Switching Using Method of Lines," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 368, Feb.
  6. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Hedging Futures Options with Stochastic Interest Rates," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 375, Sep.
  7. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2016, "Empirical Hedging Performance on Long-Dated Crude Oil Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 376, Sep.
  8. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2016, "A Penny Saved is a Penny Earned: Less Expensive Zero Coupon Bonds," Papers, arXiv.org, number 1608.04683, Aug, revised Mar 2018.
  9. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016, "Detecting Money Market Bubbles," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 378, Oct.
  10. Eckhard Platen & David Taylor, 2016, "Loading Pricing of Catastrophe Bonds and Other Long-Dated, Insurance-Type Contracts," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 379, Oct.
  11. Leunglung Chan & Eckhard Platen, 2016, "Pricing of long dated equity-linked life insurance contracts," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2016-5, Jan.
  12. Patrik Karlsson & Kay F Pilz & Erik Schlogl, 2016, "Calibrating Market Model to Commodity and Interest Rate Risk," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 372, May.
  13. Ruoyun (Lucy) Zhao & C Schmidt & C Terry, 2016, "Index effects: Evidence from Australia," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2016-2, Jan.
  14. Jin, Muzhao & Li, Youwei & Wang, Jianxin & Yang, Yung Chiang, 2016, "Price Discovery in the Chinese Gold Market," MPRA Paper, University Library of Munich, Germany, number 71135, May.
  15. Ruoyun (Lucy) Zhao, 2016, "Dividend Signaling: What Can We Learn from Corporate Bond Responses?," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2016-3, Jan.

2015

  1. Gerhard Hambusch & KiHoon Jimmy Hong & Ellenora Webster, 2015, "Enhancing Risk-Adjusted Return Using Time Series Momentum in Sovereign Bonds," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2015-4, Jan.
  2. Otto Konstandatos & Timothy Kyng & Tobias Bienek, 2015, "Valuation of Employee Stock Options using the Exercise Multiple Approach and Life Tables," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 355, Jan.
  3. Otto Konstandatos, 2015, "Third Order Compound Option Valuation Of Flexible Commodity Based Mining Enterprises," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2015-5, Jan.
  4. Guojie Ma & David Michayluk, 2015, "Takeovers and the Market for Corporate Control in Japanese REITs," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2015-2, Jan.
  5. Carolin Plewa & Jillian C. Sweeney & David Michayluk, 2015, "Determining value in a complex service setting," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2015-1, Jan.
  6. Benjamin Cheng & Christina Nikitopoulos-Sklibosios & Erik Schlogl, 2015, "Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 366, Dec.
  7. Kevin Fergusson & Eckhard Platen, 2015, "Less Expensive Pricing and Hedging of Long-Dated Equity Index Options When Interest Rates are Stochastic," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 357, Feb.
  8. Kevin Fergusson & Eckhard Platen, 2015, "Application of Maximum Likelihood Estimation to Stochastic Short Rate Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 361, Jul.
  9. Leunglung Chan & Eckhard Platen, 2015, "Pricing Volatility Derivatives Under the Modified Constant Elasticity of Variance Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 360, Jun.
  10. Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2015, "Recovering the Real-World Density and Liquidity Premia From Option Data," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 363, Sep.
  11. Eckhard Platen & Steffan Tappe, 2015, "Real-World Forward Rate Dynamics With Affine Realizations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2015-7, Jan.
  12. Leunglung Chan & Eckhard Platen, 2015, "Pricing and hedging of long dated variance swaps under a 3/2 volatility model," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2015-6, Jan.
  13. Talis Putnins, 2015, "Economics of State-Owned Enterprises," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2015-3, Jan.
  14. Pascal Nguyen & Nahid Rahman & Alex Tong & Ruoyun Zhao, 2015, "Board Size and Firm Value: Evidence from Australia," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 182, Jul.
  15. Kathleen Walsh, 2015, "Renminbi trade invoicing: Benefits, impediments and tipping points," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2015-9, Jan.
  16. Kevin Clarke & Kathleen Walsh & Jack Flanagan, 2015, "How prevalent are post-completion audits in Australia," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2015-8, Jan.
  17. Carl Chiarella & Corrado Di Guilmi & Tianhao Zhi, 2015, "Modelling the "Animal Spirits" of Bank's Lending Behaviour," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 183, Aug.

2014

  1. Doan, Minh Phuong & Alexeev, Vitali & Brooks, Robert, 2014, "Concurrent momentum and contrarian strategies in the Australian stock market," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2014-02, May, revised 13 May 2014.
  2. Alexeev, Vitali & Tapon, Francis, 2014, "How many stocks are enough for diversifying Canadian institutional portfolios?," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2014-08, revised 2014.
  3. Vitali Alexeev & Francis Tapon, 2014, "Diversification, Canadian Style: How many stocks are enough for diversifying Canadian institutional portfolios?," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2014-3, Jan.
  4. Vitali Alexeev & Francis Tapon, 2014, "The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2014-4, Jan.
  5. Deborah Cotton & David Michayluk, 2014, "Ambiguity in markets: A test in an Australian emissions market," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2014-1, Jan.
  6. Kristoffer Glover & Hardy Hulley, 2014, "Optimal prediction of the last-passage time of a transient diffusion," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2014-5, Jan.
  7. Timothy J Kyng & Otto Konstandatos, 2014, "Multivariate Monte-Carlo Simulation and Economic Valuation of Complex Financial Contracts: An Excel Based Implementation," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2014-6, Jan.
  8. Marco Navone & Fernando Zapatero, 2014, "Why Do Financial Analysts Strive to Be Irrelevant? Career Concerns and Endogenous Coverage Termination," BAFFI CAREFIN Working Papers, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy, number 1507.
  9. Mirko Cardinale & Marco Navone & Andrzej Pioch, 2014, "The Power of Dynamic Asset Allocation," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2014-2, Jan.
  10. Jan Baldeaux & Man Chung Fung & Katja Ignatieva & Eckhard Platen, 2014, "A Hybrid Model for Pricing and Hedging of Long Dated Bonds," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 343, Mar.
  11. David Heath & Eckhard Platen, 2014, "A Monte Carlo Method using PDE Expansions for a Diversifed Equity Index Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 350, Aug.
  12. Kevin Fergusson & Eckhard Platen, 2014, "Stylised Properties of the Interest Rate Term Structure Under The Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 351, Aug.
  13. Jason West & Eckhard Platen, 2014, "Natural Disasters, Insurance Stocks and the Numeraire Portfolio," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2014-8, Jan.
  14. Kevin Fergusson & Eckhard Platen, 2014, "Hedging long-dated interest rate derivatives for Australian pension funds and life insurers," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2014-7, Jan.
  15. Pascal Nguyen & Nahid Rahman, 2014, "Which Governance Characteristics Affect the Incidence of Divestitures in Australia?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 180, Jan.
  16. Yang Chang & Erik Schlogl, 2014, "A Consistent Framework for Modelling Basis Spreads in Tenor Swaps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 348, May.
  17. Carl Chiarella & Xue-Zhong He & Lei Shi & Lijian Wei, 2014, "A Behavioural Model of Investor Sentiment in Limit Order Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 342, Feb.
  18. Lijian Wei & Wei Zhang & Xiong Xiong & Lei Shi, 2014, "Position-Limit Design for the CSI 300 Futures Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 349, Jun.

2013

  1. Alexeev, Vitali & Tapon, Francis, 2013, "Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2013-16, Nov, revised 20 Nov 2013.
  2. Alexeev, Vitali & Tapon, Francis, 2013, "What Australian investors need to know to diversity their portfolios," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2013-17, Nov, revised 20 Nov 2013.
  3. Alexeev, Vitali & Dungey, Mardi, 2013, "Equity portfolio diversification with high frequency data," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2013-18, Nov, revised 01 Nov 2013.
  4. Jan Baldeaux & Eckhard Platen, 2013, "Credit Derivative Evaluation and CVA under the Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 324, Feb.
  5. Jan Baldeaux & Eckhard Platen, 2013, "Liability Driven Investments under a Benchmark Based Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 325, Feb.
  6. Abidin Kusno & Ron Bird & Danny Yeung, 2013, "Forecasting extreme performance: The experience with Australian equities," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2013-5, Jan.
  7. Deborah Cotton & Stefan Trück, 2013, "Emissions Mitigation Schemes in Australia—The Past, Present and Future," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2013-8, Jan.
  8. Jeff Dewynne & Nadima El-Hassan, 2013, "Self-funding Instalment Warrants," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 339, Dec.
  9. Kristoffer Glover & Gerhard Hambusch, 2013, "The Trade-off Theory Revisited: On the Effect of Operating Leverage," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 329, Apr.
  10. David Michayluk & Ralf Zurbruegg, 2013, "Do Lead Articles Signal Higher Quality in the Digital Age? Evidence from Finance Journals," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 177, Nov.
  11. Ryan Gibson & David Michayluk & Gerhard Van de Venter, 2013, "Financial risk tolerance: An analysis of unexplored factors," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2013-1, Jan.
  12. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy-Duong To, 2013, "The Return-Volatility Relation in Commodity Futures Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 336, Aug.
  13. Kevin Fergusson & Eckhard Platen, 2013, "Real World Pricing of Long Term Cash-Linked Annuities and Equity-Linked Annuities with Cash-Linked Guarantees," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 338, Nov.
  14. Talis Putnins, 2013, "What do price discovery metrics really measure?," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2013-2, Jan.
  15. Maryam Ebrahimpour & Talis Putnins & Matthew J. Berryman & Andrew Allison & Brian W.-H. Ng & Derek Abbott, 2013, "Automated Authorship Attribution Using Advanced Signal Classification Techniques," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2013-3, Jan.
  16. Justin R Lal & Pascal Nguyen & Nahid Rahman, 2013, "What explains the market reaction to divestiture announcements?," Post-Print, HAL, number halshs-01391551.
  17. Jianxin Wang & Maria Socorro Gochoco-Bautista & Noli Sotocinal, 2013, "Corporate Investments in Asian Emerging Markets: Financial Conditions, Financial Development, and Financial Constraints," ADB Economics Working Paper Series, Asian Development Bank, number 346, Jul.
  18. Jianxin Wang, 2013, "The impact of foreign ownership on stock volatility in Indonesia," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2013-4, Jan.
  19. Lijian Wei & Wei Zhang & Xue-Zhong He & Yongjie Zhang, 2013, "Learning and Information Dissemination in Limit Order Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 333, Jun.
  20. Carl Chiarella & Xue-Zhong He & Lijian Wei, 2013, "Learning and Evolution of Trading Strategies in Limit Order Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 335, Aug.

2012

  1. Parlapiano, Fabio & Alexeev, Vitali, 2012, "Exchange Rate Risk Exposure and the Value of European Firms," Working Papers, University of Tasmania, Tasmanian School of Business and Economics, number 2012-09, Nov, revised 20 Nov 2012.
  2. Jan Baldeaux & Dale Roberts, 2012, "Quasi-Monte Carlo methods for the Heston model," Papers, arXiv.org, number 1202.3217, Feb, revised May 2012.
  3. Jan Baldeaux & Eckhard Platen, 2012, "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers, arXiv.org, number 1204.1126, Apr.
  4. Jan Baldeaux & Alexander Badran, 2012, "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 306, Mar.
  5. Michael Gnewuch & Jan Baldeaux, 2012, "Optimal Randomized Multilevel Algorithms for Infinite-Dimensional Integration on Function Spaces with ANOVA-Type Decomposition," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 313, Sep.
  6. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2012, "A Tractable Model for Indices Approximating the Growth Optimal Portfolio," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 318, Dec.
  7. Ron Bird & Harry Liem & Susan Thorp, 2012, "The Tortoise and the Hare: Risk Premium Versus Alternative Asset Portfolios," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 16, Sep.
  8. Ron Bird & Paolo Pellizzari & Danny Yeung & Paul Woolley, 2012, "The Strategic Implementation of an Investment Process in a Funds Management Firm," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 17, Sep.
  9. Danny Yeung & Paolo Pellizzari & Ron Bird & Sazali Abidin, 2012, "Diversification Versus Concentration ......... and the Winner Is?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 18, Sep.
  10. Kristoffer Glover & Gerhard Hambusch, 2012, "Leveraged Investments and Agency Conflicts When Prices Are Mean Reverting," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 314, Sep.
  11. Dirk G Baur & Kristoffer Glover, 2012, "The Destruction of a Safe Haven Asset?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 174, Sep.
  12. Dirk G Baur & Kristoffer Glover, 2012, "A Gold Bubble?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 175, Oct.
  13. Gerhard Hambusch & Sherrill Shaffer, 2012, "Forecasting Bank Leverage," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 176, Dec.
  14. Otto Konstandatos & Timothy J Kyng, 2012, "Real Options Analysis for Commodity Based Mining Enterprises with Compound and Barrier Features," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2012-3, Jan.
  15. Richard Fu & Marco Navone & Marco Pagani & Themis D. Pantos, 2012, "The Determinants of the Convexity in the Flow-Performance Relationship," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2012-1, Jan.
  16. Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2012, "Alternative Term Structure Models for Reviewing Expectations Puzzles," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 305, Mar.
  17. Carl Chiarella & Boda Kang & Christina Nikitopoulos-Sklibosios & Thuy-Duong To, 2012, "Humps in the Volatility Structure of the Crude Oil Futures Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 308, Jun.
  18. Constantinos Kardaras & Jan Obloj & Eckhard Platen, 2012, "The numeraire property and long-term growth optimality for drawdown-constrained investments," Papers, arXiv.org, number 1206.2305, Jun, revised Nov 2012.
  19. Francesca Biagini & Alessandra Cretarola & Eckhard Platen, 2012, "Local Risk-Minimization under the Benchmark Approach," Papers, arXiv.org, number 1210.2337, Oct.
  20. Ke Du & Eckhard Platen & Renata Rendek, 2012, "Modeling of Oil Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 321, Dec.
  21. Eckhard Platen & Renata Rendek, 2012, "The Affine Nature of Aggregate Wealth Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 322, Dec.
  22. Patrick Cheridito & Ashkan Nikeghbali & Eckhard Platen, 2012, "Processes of Class Sigma, Last Passage Times, and Drawdowns," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2012-4, Jan.
  23. Erik Schlogl & Yang Chang, 2012, "Carry Trade and Liquidity Risk: Evidence from Forward and Cross-Currency Swap Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 310, Aug.
  24. Xue-Zhong He & Lei Shi, 2012, "Heterogeneous Beliefs and the Performances of Optimal Portfolios," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 301, Mar.
  25. Xue-Zhong He & Lei Shi & Min Zheng, 2012, "Asset Pricing Under Keeping Up With the Joneses and Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 302, Mar.
  26. Xue-Zhong He & Lei Shi, 2012, "Heterogeneous Beliefs and the Cross-Section of Asset Returns," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 303, Mar.
  27. Camille Schmidt & Ruoyun (Lucy) Zhao & Chris Terry, 2012, "S&P/ASX 200: Does change in membership matter?," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2012-2, Jan.
  28. Jianxin Wang & Minxian Yang, 2012, "On the Risk Return Relationship," Discussion Papers, School of Economics, The University of New South Wales, number 2012-31, May.

2011

  1. Jan Baldeaux, 2011, "Exact Simulation of the 3/2 Model," Papers, arXiv.org, number 1105.3297, May, revised May 2011.
  2. Jack Gray & Ron Bird, 2011, "A Brief Critical Review of Australia's Retirement Savings System," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2011-4, Jan.
  3. Ron Bird & Harry Liem & Susan Thorp, 2011, "Infrastructure: Real Assets and Real Returns," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 11, Sep.
  4. Ron Bird & Harry Liem & Susan Thorp, 2011, "Private Equity: Strategies for Improving Performance," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 12, Sep.
  5. Ron Bird & Paolo Pellizzari & Danny Yeung, 2011, "Performance Implications of Active Management of Institutional Mutual Funds," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 13, Sep.
  6. Ron Bird & Krishna Reddy & Danny Yeung, 2011, "The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 14, Sep.
  7. Ron Bird & Daniel Choi & Danny Yeung, 2011, "Market Uncertainty and Sentiment, and the Post-Earnings Announcement Drift," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 15, Sep.
  8. Deborah Cotton & Stefan Trück, 2011, "Interaction between Australian carbon prices and energy prices," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2011-5, Jan.
  9. Kristoffer Glover & Hardy Hulley & Goran Peskir, 2011, "Three-Dimensional Brownian Motion and the Golden Ratio Rule," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 295, Aug.
  10. David Lam & Bing-Xuan Lin & David Michayluk, 2011, "Demand and Supply and Their Relationship to Liquidity: Evidence from the S&P 500 Change to Free Float," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2011-3, Jan.
  11. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2011, "Credit Derivative Pricing with Stochastic Volatility Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 293, Jul.
  12. Eckhard Platen & Stefan Tappe, 2011, "Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 289, Mar.
  13. Zhi Guo & Eckhard Platen, 2011, "The Small and Large Time Implied Volatilities in the Minimal Market Model," Papers, arXiv.org, number 1109.6154, Sep, revised Oct 2011.
  14. Ke Du & Eckhard Platen, 2011, "Three-Benchmarked Risk Minimization for Jump Diffusion Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 296, Aug.

2010

  1. Vitali Alexeev & Alex Maynard, 2010, "Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks," Working Papers, University of Guelph, Department of Economics and Finance, number 1001.
  2. Vitali Alexeev & Francis Tapon, 2010, "Testing Weak Form Efficiency on the Toronto Stock Exchange," Working Papers, University of Guelph, Department of Economics and Finance, number 1002.
  3. G. Menzies & R. Bird & P. Dixon & M. Rimmer, 2010, "The Economic Costs of US Stock Mispricing," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-204, Jul.
  4. G. Menzies & R. Bird & P. Dixon & M. Rimmer, 2010, "Asset Price Regulators, Unite: you have Macroeconomic Stability to Win and the Microeconomic Losses are Second-order," Centre of Policy Studies/IMPACT Centre Working Papers, Victoria University, Centre of Policy Studies/IMPACT Centre, number g-205, Jul.
  5. Emanuel Bagna & Mauro Bini & Ron Bird & Francesco Momentè & Francesco Reggiani, 2010, "Accounting for employee stock options: What can we learn from the market's perceptions?," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2010-3, Jan.
  6. Ron Bird & Danny Yeung, 2010, "Institutional Ownership and IPO Performance: Australian Evidence," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 6, Apr.
  7. Ron Bird & Matthew Grosse & Danny Yeung, 2010, "The Market Response to Exploration, Resource and Reserve Announcements by Mining Companies: Australian Data," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 7, Apr.
  8. Ron Bird & Danny Yeung, 2010, "How Do Investors React Under Uncertainty?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 8, Apr.
  9. Ron Bird & Susan Thorp, 2010, "Hedge Fund Excess Returns Under Time-Varying Beta," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 9, Sep.
  10. Kristoffer Glover & Peter W Duck & David P Newton, 2010, "On nonlinear models of markets with finite liquidity: Some cautionary notes," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2010-5, Jan.
  11. Kristoffer Glover & Goran Peskir & Farman Samee, 2010, "The British Russian Option," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 269, Jan.
  12. Carl Chiarella & Chih-Ying Hsiao, 2010, "Optimal Investment Strategies under Stochastic Volatility - Estimation and Applications," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 276, May.
  13. Carl Chiarella & Chih-Ying Hsiao & Ming Xi Huang, 2010, "A Survey of Non-linear Methods for No-arbitrage Bond Pricing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 277, May.
  14. Hardy Hulley, 2010, "The Economic Plausibility of Strict Local Martingales in Financial Modelling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 279, Jun.
  15. Hardy Hulley & Martin Schweizer, 2010, "M6 - On Minimal Market Models and Minimal Martingale Measures," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 280, Jun.
  16. Austin Gerig & David Michayluk, 2010, "Automated Liquidity Provision and the Demise of Traditional Market Making," Papers, arXiv.org, number 1007.2352, Jul.
  17. Gianfranco Forte & Giuliano Iannotta & Marco Navone, 2010, "The Banking Relationship's Role in the Choice of the Target's Advisor in Mergers and Acquisitions," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2010-4, Jan.
  18. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos-Sklibosios, 2010, "Markovian Defaultable HJM Term Structure Models with Unspanned Stochastic Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 283, Aug.
  19. Leunglung Chan & Eckhard Platen, 2010, "Exact Pricing and Hedging Formulas of Long Dated Variance Swaps under a $3/2$ Volatility Model," Papers, arXiv.org, number 1007.2968, Jul, revised Jan 2011.
  20. Eckhard Platen & Renata Rendek, 2010, "Approximating the Numeraire Portfolio by Naive Diversification," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 281, Aug.
  21. Katja Ignatieva & Eckhard Platen & Renata Rendek, 2010, "Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversifed World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 284, Sep.
  22. Talis Putnins, 2010, "Naked short sales and fails-to-deliver: An overview of clearing and settlement procedures for stock trades in the USA," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2010-2, Jan.
  23. J. Aase Nielsen & Klaus Sandmann & Erik Schlogl, 2010, "Equity-Linked Pension Schemes with Guarantees," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 270, Jan.
  24. Kay Pilz & Erik Schlogl, 2010, "Calibration of Multicurrency LIBOR Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 286, Dec.
  25. Xue-Zhong He & Lei Shi, 2010, "Differences in Opinion and Risk Premium," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 271, Feb.
  26. Emma L. Schultz & David T. Tan & Kathleen Walsh, 2010, "Endogeneity and the corporate governance - performance relation," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2010-6, Jan.

2009

  1. Ron Bird & Jack Gray, 2009, "Improving pension management and delivery: An (im)modest and likely (un)popular proposal," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-3, Jan.
  2. 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, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 3, Feb.
  3. Ron Bird & Gordon Menzies & Peter Dixon & Maureen Rimmer, 2009, "The Aggregate Economic Costs of US Stock Mispricing," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 4, Aug.
  4. Kristoffer Glover & Goran Peskir & Farman Samee, 2009, "The British Asian Option," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 249, May.
  5. Hardy Hulley & Eckhard Platen, 2009, "A Visual Criterion for Identifying Ito Diffusions as Martingales or Strict Local Martingales," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 263, Nov.
  6. David Michayluk & Laurie Prather & Li-Anne E. Woo & Henry Y. K. Yip, 2009, "What Do Options Have to Do With It?: Inclusion of Options Market Indicators in Bid-ask Spread Decomposition," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-1, Jan.
  7. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl, 2009, "Alternative Defaultable Term Structure Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 242, Jan.
  8. Mark Craddock & Eckhard Platen, 2009, "On Explicit Probability Laws for Classes of Scalar Diffusions," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 246, Mar.
  9. Eckhard Platen & Willi Semmler, 2009, "Asset Markets and Monetary Policy," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 247, Apr.
  10. Constantinos Kardaras & Eckhard Platen, 2009, "On the Dybvig-Ingersoll-Ross Theorem," Papers, arXiv.org, number 0901.2080, Jan, revised Mar 2010.
  11. Wolfgang Breymann & David Lüthi & Eckhard Platen, 2009, "Empirical Behavior of a World Stock Index from Intra-Day to Monthly Time Scales," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 250, Jun.
  12. Eckhard Platen & Renata Rendek, 2009, "Exact Scenario Simulation for Selected Multi-dimensional Stochastic Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 259, Oct.
  13. Eckhard Platen & Renata Rendek, 2009, "Quasi-exact Approximation of Hidden Markov Chain Filters," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 258, Oct.
  14. Eckhard Platen, 2009, "A Benchmark Approach to Investing and Pricing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 253, Aug.
  15. Eckhard Platen, 2009, "Real World Pricing of Long Term Contracts," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 262, Nov.
  16. Katja Ignatieva & Eckhard Platen, 2009, "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 265, Dec.
  17. Eckhard Platen & Renata Rendek, 2009, "Simulation of Diversified Portfolios in a Continuous Financial Market," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 264, Dec.
  18. Stefan Mittnik & Edward Nell & Eckhard Platen & Willi Semmler & Raphaele Chappe, 2009, "Financial market meltdown and a need for new financial regulations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-8, Jan.
  19. Teresa Ghilarducci & Edward Nell & Stefan Mittnik & Eckhard Platen & Willi Semmler & Raphaele Chappe, 2009, "Memorandum on a new financial architecture and new regulations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-7, Jan.
  20. Kay Pilz & Erik Schlogl, 2009, "A Hybrid Commodity and Interest Rate," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 261, Nov.
  21. Xue-Zhong He & Lei Shi, 2009, "Portfolio Analysis and Zero-Beta CAPM with Heterogeneous Beliefs," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 244, Jan.
  22. Scott Walker & Graham Partington, 2009, "A market valuation for Optus pre-listing: A case note," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2009-4, Jan.

2008

  1. Ron Bird & Lorenzo Casavecchia & Paul Woolley, 2008, "Insights into the Market Impact of Different Investment Styles," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 1, May.
  2. Ron Bird & Lorenzo Casavecchia, 2008, "Conditional Style Rotation Model on Enhanced Value and Growth Portfolios: The European Experience," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 2, May.
  3. Eckhard Platen & Hardy Hulley, 2008, "Hedging for the Long Run," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 214, Feb.
  4. Hardy Hulley & Thomas A. McWalter, 2008, "Quadratic Hedging of Basis Risk," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 225, Jun.
  5. Hardy Hulley & Eckhard Platen, 2008, "A Visual Classification of Local Martingales," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 238, Dec.
  6. Tiffany Hutcheson, 2008, "Improving Student Skills in Essay Writing and Oral Presentations," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 152, Apr.
  7. Louis R. Mercorelli & David Michayluk & Anthony D. Hall, 2008, "Modelling Adverse Selection on Electronic Order-Driven Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 220, Mar.
  8. William J. Bertin & David Michayluk & Laurie Prather, 2008, "Liquidity issues surrounding neglected firms," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2008-2, Jan.
  9. Constantinos Kardaras & Eckhard Platen, 2008, "On Financial Markets where only Buy-And-Hold Trading is Possible," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 213, Feb.
  10. Shane Miller & Eckhard Platen, 2008, "Analytic Pricing of Contingent Claims Under the Real-World Measure," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 216, Feb.
  11. Eckhard Platen, 2008, "The Law of Minimal Price," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 215, Feb.
  12. T. Marquardt & Eckhard Platen & S. Jaschke, 2008, "Valuing Guaranteed Minimum Death Benefit Options in Variable Annuities Under a Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 221, Apr.
  13. Nicola Bruti-Liberati & Eckhard Platen, 2008, "Strong Predictor-Corrector Euler Methods for Stochastic Differential Equations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 222, Jun.
  14. Ashkan Nikeghbali & Eckhard Platen, 2008, "On Honest Times in Financial Modeling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 229, Aug.
  15. Eckhard Platen, 2008, "A Unifying Approach to Asset Pricing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 227, Jul.
  16. Sergio Chavez & Eckhard Platen, 2008, "Distributional Deviations in Random Number Generation in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 228, Jul.
  17. Constantinos Kardaras & Eckhard Platen, 2008, "Minimizing the Expected Market Time to Reach a Certain Wealth Level," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 230, Aug.
  18. Eckhard Platen & Lei Shi, 2008, "On the Numerical Stability of Simulation Methods for SDES," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 234, Oct.
  19. Constantinos Kardaras & Eckhard Platen, 2008, "Multiplicative Approximation of Wealth Processes Involving No-Short-Sale Strategies," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 240, Dec.
  20. Shane M Miller & Eckhard Platen, 2008, "Real World Pricing for a Modified Constant Elasticity of Variance Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 237, Nov.
  21. Constantinos Kardaras & Eckhard Platen, 2008, "On the semimartingale property of discounted asset-price processes," Papers, arXiv.org, number 0803.1890, Mar, revised Nov 2009.
  22. Constantinos Kardaras & Eckhard Platen, 2008, "Multiplicative approximation of wealth processes involving no-short-sale strategies via simple trading," Papers, arXiv.org, number 0812.0033, Nov, revised Mar 2010.
  23. Xue-Zhong He & Lei Shi, 2008, "Heterogeneity, Bounded Rationality and Market Dysfunctionality," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 233, Oct.

2007

  1. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007, "Intertemporal Investment Strategies Under Inflation Risk," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 192, Jan.
  2. Chihying, Hsiao & Chen, Pu, 2007, "Learning Causal Relations in Multivariate Time Series Data," Economics Discussion Papers, Kiel Institute for the World Economy, number 2007-15.
  3. Hardy Hulley & Eckhard Platen, 2007, "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 203, Oct.
  4. David Michayluk & Gerhard Van de Venter, 2007, "Subjectivity in Judgments: Further Evidence from the Financial Planning Industry," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2007-3, Jan.
  5. Allan Graham & Bing-Xuan Lin & David Michayluk & Pamela Stuerke, 2007, "Sarbannes-Oxley: Some Unintended Consequences," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2007-4, Jan.
  6. 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, Quantitative Finance Research Centre, University of Technology, Sydney, number 198, Jun.
  7. Damir Filipovic & Eckhard Platen, 2007, "Consistent Market Extensions under the Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 189, Jan.
  8. Eckhard Platen & Wolfgang Runggaldier, 2007, "A Benchmark Approach to Portfolio Optimization under Partial Information," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 191, Jan.
  9. Eckhard Platen & Renata Rendek, 2007, "Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 194, Mar.
  10. Uwe Küchler & Eckhard Platen, 2007, "Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 195, Apr.
  11. Carl Chiarella & Eckhard Platen, 2007, "The History of the Quantitative Methods in Finance Conference Series. 1992-2007," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 207, Dec.
  12. NicolaBruti-Liberati & Eckhard Platen, 2007, "Strong approximations of stochastic differential equations with jumps," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2007-7, Jan.
  13. Erik Schlögl & Lutz Schlögl, 2007, "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 190, Jan.

2006

  1. Sarah Azzi & Ron Bird & Paolo Ghiringhelli & Emanuele Rossi, 2006, "Biases and information in analysts'recommendations: The European experience," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2006-2, Jan.
  2. Ron Bird & Lorenzo Casavecchia, 2006, "Insights into the Momentum Life Cycle for European Stocks," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2006-3, Jan.
  3. Tiffany Hutcheson & Harry Tse, 2006, "Tutorial Attendance and Grade Achievement," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 145, Mar.
  4. 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," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2006-5, Jan.
  5. Nicola Bruti-Liberati & Eckhard Platen, 2006, "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 176, May.
  6. Truc Le & Eckhard Platen, 2006, "Approximating the Growth Optimal Portfolio with a Diversified World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 180, Aug.
  7. Nicola Bruti-Liberati & Eckhard Platen, 2006, "On Weak Predictor-Corrector Schemes for Jump-Diffusion Processes in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 179, Jul.
  8. Eckhard Platen, 2006, "On the Pricing and Hedging of Long Dated Zero Coupon Bonds," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 185, Sep.
  9. Eckhard Platen, 2006, "A benchmark approach to asset management," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2006-4, Jan.

2005

  1. Ron Bird & Xue-Zhong He & Satish Thosar & Paul Woolley, 2005, "Momentum and index investing: implications for market efficiency," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2005-4, Jan.
  2. Ron Bird & Xue-Zhong He & Satish Thosar & Paul Woolley, 2005, "The case for market inefficiency: Investment style and market pricing," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2005-5, Jan.
  3. Chen Pu & Hsiao Chihying, 2005, "Testing Cointegration Rank in Large Systems," Econometrics, University Library of Munich, Germany, number 0504002, Apr.
  4. C. Hsiao & P. Chen, 2005, "The Transition Process in China: a Theoretical and Empirical Study," Computing in Economics and Finance 2005, Society for Computational Economics, number 210, Nov.
  5. C. Chiarella & C. Hsiao, 2005, "Intertemporal Asset Allocation with Inflation-Indexed Bonds," Computing in Economics and Finance 2005, Society for Computational Economics, number 168, Nov.
  6. 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, Quantitative Finance Research Centre, University of Technology, Sydney, number 171, Nov.
  7. Chen Pu & Hsiao Chihying, 2005, "Subsampling Cointegration Ranks in Large Systems," Econometrics, University Library of Munich, Germany, number 0508010, Aug.
  8. 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, University Library of Munich, Germany, number 0510005, Oct.
  9. Hardy Hulley & Shane Miller & Eckhard Platen, 2005, "Benchmarking and Fair Pricing Applied to Two Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 155, Mar.
  10. John Paul Broussard & David Michayluk & Walter P. Neely, 2005, "The Role of Growth in Long Term Investment Returns," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2005-3, Jan.
  11. 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, Quantitative Finance Research Centre, University of Technology, Sydney, number 167, Sep.
  12. Kevin Fergusson & Eckhard Platen, 2005, "On the Distributional Characterization of Log-returns of a World Stock Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 153, Mar.
  13. 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, Quantitative Finance Research Centre, University of Technology, Sydney, number 156, Apr.
  14. Nicola Bruti-Liberati & Eckhard Platen, 2005, "On the Strong Approximation of Jump-Diffusion Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 157, Apr.
  15. David Heath & Eckhard Platen, 2005, "Currency Derivatives under a Minimal Market Model with Random Scaling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 154, Mar.
  16. Nicola Bruti-Liberati & Eckhard Platen, 2005, "On the Strong Approximation of Pure Jump Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 164, Jul.
  17. Morten Christensen & Eckhard Platen, 2005, "Sharpe Ratio Maximization and Expected Utility when Asset Prices have Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 170, Nov.
  18. Eckhard Platen, 2005, "Investments for the Short and Long Run," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 163, Aug.
  19. Eckhard Platen, 2005, "On the Role of the Growth Optimal Portfolio in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 144, Jan.

2004

  1. Ron Bird & Jonathan Whitaker, 2004, "The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2004-3, Jan.
  2. David Colwell & Nadima El-Hassan & Oh-Kang Kwon, 2004, "Hedging Diffusion Processes by Local Risk-Minimisation with Applications to Index Tracking," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 119, Feb.
  3. 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, Quantitative Finance Research Centre, University of Technology, Sydney, number 126, May.
  4. Carl Chiarella & Chih-ying Hsiao, 2004, "Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming," Computing in Economics and Finance 2004, Society for Computational Economics, number 73, Aug.
  5. Hsiao Chiying & Chen Pu, 2004, "Testing Weak Exogeneity in Cointegrated System," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 537, Aug.
  6. Tiffany Hutcheson & Harry Tse, 2004, "Learning by Students at University," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 136, Sep.
  7. Patrick Wilson & John Okunev & Tiffany Hutcheson & Ralf Zurbruegg, 2004, "Regime Switching in the Real Estate Risk Premium," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2004-4, Jan.
  8. Patrick Wilson & Ralf Zurbruegg & David Michayluk, 2004, "Real Estate Markets," ERES, European Real Estate Society (ERES), number eres2004_560, Jun.
  9. Arman Kosedag & David Michayluk, 2004, "Repeated LBOs: The Case of Multiple LBO Transactions," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2004-2, Jan.
  10. Carl Chiarella & Erik Schlögl & Christina Nikitopoulos-Sklibosios, 2004, "A Markovian Defaultable Term Structure Model with State Dependent Volatilities," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 135, Oct.
  11. Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004, "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 132, Sep.
  12. Nicola Bruti Liberati & Eckhard Platen, 2004, "On the Efficiency of Simplified Weak Taylor Schemes for Monte Carlo Simulation in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 114, Jan.
  13. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2004, "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 125, May.
  14. David Heath & Eckhard Platen, 2004, "Local Volatility Function Models under a Benchmark Approach," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 124, Apr.
  15. Eckhard Platen, 2004, "Diversified Portfolios with Jumps in a Benchmark Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 129, Jun.
  16. David Heath & Eckhard Platen, 2004, "Understanding the Implied Volatility Surface for Options on a Diversified Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 128, Jun.
  17. Shane Miller & Eckhard Platen, 2004, "Two-Factor Model for Low Interest Rate Regimes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 130, Aug.
  18. Eckhard Platen, 2004, "A Benchmark Approach to Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 138, Oct.
  19. Eckhard Platen, 2004, "Capital Asset Pricing for Markets with Intensity Based Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 143, Dec.
  20. Eckhard Platen & Jason West & Wolfgang Breymann, 2004, "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 140, Nov.
  21. Morten Christensen & Eckhard Platen, 2004, "A General Benchmark Model for Stochastic Jump Sizes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 139, Nov.
  22. Eckhard Platen, 2004, "A class of complete benchmark models with intensity-based jumps," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2004-5, Jan.

2003

  1. Ron Bird & Jonathan Whitaker, 2003, "The performance of value and momentum investment portfolios: Recent experience in the major European markets," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2003-1, Jan.
  2. Paul Woolley & Ron Bird, 2003, "Economic implications of passive investing," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2003-2, Jan.
  3. Nadima El-Hassan & Paul Kofman, 2003, "Tracking Error and Active Portfolio Management," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 98, Jun.
  4. Patrick Wilson & John Okunev & Tiffany Hutcheson, 2003, "Predicting behaviour in Australian securitised property markets," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2003-3, Jan.
  5. Christina Nikitopoulos-Sklibosios & Carl Chiarella, 2003, "An Implementation of the Shirakawa Jump-Diffusion Term Structure Model," Computing in Economics and Finance 2003, Society for Computational Economics, number 201, Aug.
  6. Eckhard Platen, 2003, "Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 110, Oct.
  7. David Heath & Eckhard Platen, 2003, "Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 101, Jun.
  8. Eckhard Platen, 2003, "A Benchmark Framework for Risk Management," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 113, Nov.
  9. Eckhard Platen, 2003, "Modeling the Volatility and Expected Value of a Diversified World Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 103, Jun.
  10. Eckhard Platen & Jason West, 2003, "Fair Pricing of Weather Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 106, Sep.
  11. Eckhard Platen, 2003, "Diversified Portfolios in a Benchmark Framework," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 87, Jan.
  12. Mark Craddock & Eckhard Platen, 2003, "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 90, Feb.
  13. Eckhard Platen, 2003, "An Alternative Interest Rate Term Structure Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 97, Jun.
  14. Eckhard Platen & Gerhard Stahl, 2003, "A Structure for General and Specific Market Risk," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 91, Feb.
  15. Leah Kelly & Eckhard Platen & Michael Sorensen, 2003, "Estimating for Discretely Observed Diffusions Using Transform Functions," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 96, Jun.
  16. Antje Mahayni & Erik Schlögl, 2003, "The Risk Management of Minimum Return Guarantees," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 102, Jun.
  17. Bruce Choy & Tim Dun & Erik Schlögl, 2003, "Correlating Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 105, Jun.

2002

  1. Ron Bird & David Gallagher, 2002, "The evaluation of active manager returns in a non-symmetrical environment," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2002-2, Jan.
  2. 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, Society for Computational Economics, number 261, Jul.
  3. 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, Society for Computational Economics, number 292, Jul.
  4. Hans Buhlmann & Eckhard Platen, 2002, "A Discrete Time Benchmark Approach for Finance and Insurance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 74, Mar.
  5. David Heath & Eckhard Platen, 2002, "A Variance Reduction Technique Based on Integral Representations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 75, Mar.
  6. Eckhard Platen & Wolfgang Runggaldier, 2002, "A Benchmark Approach to Filtering in Finance," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 77, Mar.
  7. David Heath & Eckhard Platen, 2002, "Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 78, May.
  8. Eckhard Platen, 2002, "Benchmark Model with Intensity Based Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 81, Jun.
  9. Eckhard Platen, 2002, "A Benchmark Framework for Integrated Risk Management," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 82, Jun.
  10. Erik Schlögl, 2002, "Extracting the Joint Volatility Structure of Foreign Exchange and Interest Rates from Option Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 79, May.
  11. David Allen & Garry MacDonald & Kathleen Walsh & D Walsh, 2002, "Using Regression Techniques to Estimate Futures Hedge Ratios Some Results from Alternative Approaches Applied to Australian 10 Year Treasury Bond Futures," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2002-3, Jan.

2001

  1. Ron Bird & John McKinnon, 2001, "Changes in the Behavior of Earnings Surprise: International Evidence & Implications," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2001-1, Jan.
  2. Ron Bird & Richard Gerlach & Anthony D Hall, 2001, "The prediction of earnings movements using accounting data: An update and extension of Ou and Penman," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2001-2, Jan.
  3. 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, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 3A.3, Jan.
  4. David Michayluk & Paul Kofman, 2001, "Market Structure and Stock Splits," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 62, Jul.
  5. Eckhard Platen, 2001, "A Benchmark Model for Financial Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 59, Jun.
  6. Eckhard Platen, 2001, "Arbitrage in Continuous Complete Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 72, Dec.
  7. Mark Craddock & Eckhard Platen, 2001, "Benchmark Pricing of Credit Derivatives Under a Standard Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 60, Jun.
  8. David Heath & Eckhard Platen, 2001, "Perfect Hedging of Index Derivatives Under a Locally Arbitrage Free Minimal Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 61, Jun.
  9. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2001, "Semiparametric Diffusion Estimation and Application to a Stock Market Index," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 51, Mar.
  10. Kestutis Kubilius & Eckhard Platen, 2001, "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 54, Jun.
  11. Eckhard Platen, 2001, "A Minimal Financial Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 48, Mar.
  12. Uwe Kuchler & Eckhard Platen, 2001, "Weak Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 50, Mar.
  13. Gilsing, Hagen & Küchler, Uwe & Platen, Eckhard, 2001, "Über die stabilität des Euler-Schemas für eine Affine Stochastische Differentialgleichung mit Gedächtnis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2001,20.
  14. David Heath & Eckhard Platen & Martin Schweizer, 2001, "Numerical Comparison of Local Risk-Minimisation & Mean-Variance Hedging," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2001-3, Jan.
  15. Geyser, J.M. & van de Venter, T.W.G., 2001, "Hedging Maize Yield With Weather Derivatives," Working Papers, University of Pretoria, Department of Agricultural Economics, Extension and Rural Development, number 18067, DOI: 10.22004/ag.econ.18067.

2000

  1. Ron Bird & Brett McElwee & John McKinnon, 2000, "A Global Perspective of Analysts' Earnings Forecasts," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2000-1, Jan.
  2. 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, Quantitative Finance Research Centre, University of Technology, Sydney, number 47, Oct.
  3. 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, Quantitative Finance Research Centre, University of Technology, Sydney, number 36, Mar.
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  4. Carl Chiarella & Mark Craddock & Nadima El-Hassan, 2000, "The Calibration of Stock Option Pricing Models Using Inverse Problem Methodology," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 39, Mar.
  5. 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, Society for Computational Economics, number 287, Jul.
  6. Tiffany Hutcheson, 2000, "Trading in the Australian Foreign Exchange Market," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 107, Sep.
  7. Eckhard Platen, 2000, "Risk Premia and Financial Modelling Without Measure Transformation," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 45, Sep.
  8. Uwe Kuchler & Eckhard Platen, 2000, "Strong Discrete Time Approximation of Stochastic Differential Equations with Time Delay," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 44, Sep.
  9. Tim Dunn & Erik Schlögl & Geoff Barton, 2000, "Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 40, Mar.
  10. Gerhard Van de Venter, 2000, "Backtesting historical simulation value-at-risk for a selected portfolio of South African bonds," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2000-2, Jan.

1999

  1. Carl Chiarella & Nadima El-Hassan, 1999, "Pricing American Interest Rate Options in a Heath-Jarrow-Morton Framework Using Method of Lines," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 12, Aug.
  2. Eckhard Platen, 1999, "On the Log-Return Distribution of Index Benchmarked Share Prices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 22, Dec.
  3. Eckhard Platen, 1999, "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 6, Apr.
  4. Mark Craddock & David Heath & Eckhard Platen, 1999, "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 27, Dec.
  5. Eckhard Platen, 1999, "A Financial Market Model with Trading Volume and Stochastic Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 15, Aug.
  6. Robert Elliott & Eckhard Platen, 1999, "Hidden Markov Chain Filtering for Generalised Bessel Processes," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 23, Dec.
  7. Eckhard Platen, 1999, "A Financial Market Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 9, Apr.
  8. David Heath & Simon Hurst & Eckhard Platen, 1999, "Modelling the Stochastic Dynamics of Volatility for Equity Indices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 7, Apr.
  9. Paul Fischer & Eckhard Platen, 1999, "Applications of the Balanced Method to Stochastic Differential Equations in Filtering," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 16, Aug.
  10. Simon Hurst & Eckhard Platen, 1999, "On the Marginal Distribution of Trade Weighted Currency Indices," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 8, Apr.
  11. John van der Hoek & Eckhard Platen, 1999, "Pricing and Hedging in the Presence of Transaction Costs Under Local Risk Minimisation," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 14, Aug.
  12. Eckhard Platen, 1999, "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 21, Dec.
  13. Robert Elliott & Paul Fischer & Eckhard Platen, 1999, "Filtering and Parameter Estimation for a Mean Reverting Interest Rate Model," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 17, Aug.
  14. S. R. Hurst & Eckhard Platen & S. T. Rachev, 1999, "Option pricing for a logstable asset price model," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1999-2, Jan.
  15. Eckhard Platen, 1999, "Axiomatic principles for a market model," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1999-3, Jan.
  16. Antje Dudenhausen & Erik Schlögl & Lutz Schlögl, 1999, "Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 19, Aug.
  17. Erik Schlögl, 1999, "A Multicurrency Extension of the Lognormal Interest Rate Market Models," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 20, Aug.
  18. Erik Schlögl & Lutz Schlögl, 1999, "A Square-Root Interest Rate Model Fitting Discrete Initial Term Structure Data," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 24, Dec.
  19. Scott Walker & Graham Partington, 1999, "The value of dividends: Evidence from cum-dividend trading in the ex-dividend period," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1999-1, Jan.

1998

  1. Tiffany Hutcheson, 1998, "Is Speculative Activity in Asia Pacific Markets Anything New?," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 82, Nov.
  2. Pat Wilson & John Okunev & Tiffany Hutcheson, 1998, "Regime Switches in Property Market Risk Premiums: Some International Comparisons," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 80, Sep.
  3. David Heath & Eckhard Platen & M. Schweizer, 1998, "Comparison of Some Key Approaches to Hedging in Incomplete Markets," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney, number 1, Dec.
  4. G. N. Milstein & Eckhard Platen & H. Schurz, 1998, "Balanced Implicit Methods for Stiff Stochastic Systems," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1998-1, Jan.
  5. Ben Hunt & Chris Terry, 1998, "Zero-Coupon Yield Curve Estimation: A Principal Component, Polynomial Approach," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 81, Nov.

1997

  1. Carl Chiarella & Nadima El-Hassan, 1997, "A Survey of Models for the Pricing of Interest Rate Derivatives," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 75, Aug.
  2. 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, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 72, Mar.
  3. Tiffany Hutcheson & Ian Sharpe, 1997, "Ownership Structure and Building Society Efficiency," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 78, Oct.
  4. Paul Brockman & David Michayluk, 1997, "The Holiday Anomaly: An Investigation of Firm Size versus Share Price Effects," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1997-1, Jan.
  5. Platen, E. & Schweizer, M., 1997, "On Feedback Effects from Hedging Derivatives," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1997,83.

1996

  1. Keith Chan & Damien W. Mccolough & Michael T. Skully, 1996, "Australian dividend reinvestment plans: An event study on discount rates," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1996-4, Jan.
  2. Carl Chiarella & Nadima El-Hassan, 1996, "A Preference Free Partial Differential Equation for the Term Structure of Interest Rates," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 63, May.
  3. P. E. Kloeden & Eckhard Platen & H. Schurz & M. Sørensen, 1996, "On effects of discretization on estimators of drift parameters for diffusion processes," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1996-2, Jan.
  4. David Heath & Eckhard Platen, 1996, "Valuation of FX barrier options under stochastic volatility," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1996-1, Jan.
  5. Eckhard Platen & Rolando Rebolledo, 1996, "Principles for modelling financial markets," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1996-3, Jan.

1995

  1. P. E. Kloeden & Eckhard Platen & N. Hofmann, 1995, "Extrapolation Methods For The Weak Approximation Of Ito Diffusions," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1995-1, Jan.

1994

  1. Eckhard Platen & Rolando Rebolledo, 1994, "Pricing via anticipative stochastic calculus," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1994-2, Jan.
  2. N. Hofmann & Eckhard Platen, 1994, "Stability of weak numerical schemes for stochastic differential equations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1994-1, Jan.
  3. 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, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 40, Oct.

1992

  1. Keith Chan & D McColough & Michael Skully, 1992, "Australian Tax Changes and Dividend Reinvestment Announcement Effects: A Pre- and Post-Imputation Study," Working Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 16, Apr.
  2. P. E. Kloeden & Eckhard Platen, 1992, "Higher-order implicit strong numerical schemes for stochastic differential equations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1992-1, Jan.
  3. P. E. Kloeden & Eckhard Platen & I. W. Wright, 1992, "The approximation of multiple stochastic integrals," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1992-2, Jan.

1991

  1. Remigijus Mikulevicius & Eckhard Platen, 1991, "Rate of Convergence of the Euler Approximation for Diffusion Processes," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1991-3, Jan.
  2. P. E. Kloeden & Eckhard Platen, 1991, "Relations between multiple ito and stratonovich integrals," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1991-1, Jan.
  3. P. E. Kloeden & Eckhard Platen, 1991, "Stratonovich and Ito Stochastic Taylor Expansions," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1991-2, Jan.

1990

  1. Ron Bird & Davis Dennis & Mark Tippett, 1990, "A stop loss approach to portfolio insurance," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1990-1, Jan.

1989

  1. P. E. Kloeden & Eckhard Platen, 1989, "A survey of numerical methods for stochastic differential equations," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1989-1, Jan.

1988

  1. Remigijus Mikulevicius & Eckhard Platen, 1988, "Time Discrete Taylor Approximations for Ito Processes with Jump Component," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1988-1, Jan.

1981

  1. Ron Bird & Stuart M Locke, 1981, "Financial Accounting Reports: A Market Model of Disclosure: Financial Accounting Reports," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1981-1, Jan.

1977

  1. Ron Bird & A J McHugh, 1977, "Financial Ratios - An Empirical Study," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1977-1, Jan.

1974

  1. Ron Bird, 1974, "A Reappraisal of the Share Price Maximisation Criterion," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1974-1, Jan.

Undated

  1. Carl Chiarella, Nadima El-Hassan, & Adam Kucera, undated, "Option Pricing in a Path Integral Framework Using Fourier-Hermite Series Expansions," Computing in Economics and Finance 1997, Society for Computational Economics, number 132.

Journal articles

2026

  1. Arjun Shah & Erik Schlögl, 2026, "Implementing Neural SDEs for Data-Driven Dynamics of the Bitcoin Option Surface," Risks, MDPI, volume 14, issue 7, pages 1-48, June.

2025

  1. Leong, Minhao & Alexeev, Vitali & Kwok, Simon, 2025, "Managing cryptocurrency risk exposures in equity portfolios: Evidence from high-frequency data," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 99, issue C, DOI: 10.1016/j.intfin.2025.102123.
  2. Alex Backwell & Andrea Macrina & Erik Schlögl & David Skovmand, 2025, "Lost in the LIBOR transition," Quantitative Finance, Taylor & Francis Journals, volume 25, issue 1, pages 17-30, January, DOI: 10.1080/14697688.2024.2436651.

2024

  1. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  2. Kristoffer Glover & Goran Peskir, 2024, "Quickest Detection Problems for Ornstein–Uhlenbeck Processes," Mathematics of Operations Research, INFORMS, volume 49, issue 2, pages 1045-1064, May, DOI: 10.1287/moor.2021.0186.
  3. Dean Buckner & Kevin Dowd & Hardy Hulley, 2024, "How suitable are equity release mortgages as investments for pension funds?," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, volume 49, issue 2, pages 259-269, April, DOI: 10.1057/s41288-024-00316-1.
  4. Dean Buckner & Kevin Dowd & Hardy Hulley, 2024, "Arbitrage problems with reflected geometric Brownian motion," Finance and Stochastics, Springer, volume 28, issue 1, pages 1-26, January, DOI: 10.1007/s00780-023-00525-x.
  5. Hardy Hulley & Leo Liu & Kenny Phua, 2024, "Investor Search and Asset Prices," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., volume 14, issue 04, pages 1-33, December, DOI: 10.1142/S2010139224500149.
  6. Leila Hamilton-Russell & Thomas Malan O’Callaghan & Dmitrii Savin & Erik Schlögl, 2024, "Modifying Sequential Monte Carlo Optimisation for Index Tracking to Allow for Transaction Costs," Risks, MDPI, volume 12, issue 10, pages 1-44, September.
  7. Alan Brace & Karol Gellert & Erik Schlögl, 2024, "SOFR term structure dynamics—Discontinuous short rates and stochastic volatility forward rates," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 44, issue 6, pages 936-985, June, DOI: 10.1002/fut.22499.
  8. Erik Schlã–Gl & Jacob Bjerre Skov & David Skovmand, 2024, "Term Structure Modeling Of Sofr: Evaluating The Importance Of Scheduled Jumps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 27, issue 02, pages 1-34, March, DOI: 10.1142/S0219024924500092.

2023

  1. Alexeev Vitali & Chen Jun & Ignatieva Katja, 2023, "Integrated variance of irregularly spaced high-frequency data: A state space approach based on pre-averaging," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 27, issue 5, pages 733-763, December, DOI: 10.1515/snde-2021-0093.
  2. Kristoffer J. Glover & Paul V. Johnson & Geoffrey W. Evatt & Mingliang Cheng, 2023, "Capital ideas: optimal capital accumulation strategies for a bank and its regulator," The European Journal of Finance, Taylor & Francis Journals, volume 29, issue 18, pages 2075-2106, December, DOI: 10.1080/1351847X.2023.2179414.
  3. Dean BUCKNER & Kevin DOWD & Hardy HULLEY, 2023, "A market consistent approach to the valuation of no-negative equity guarantees and equity release mortgages," JODE - Journal of Demographic Economics, Cambridge University Press, volume 89, issue 3, pages 349-372, September, DOI: 10.1017/dem.2023.6.
  4. Thomas A. McWalter & Erik Schlögl & Jacques van Appel, 2023, "Analysing Quantiles in Models of Forward Term Rates," Risks, MDPI, volume 11, issue 2, pages 1-18, January.
  5. Krisztina Katona & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2023, "A Hyperbolic Bid Stack Approach to Electricity Price Modelling," Risks, MDPI, volume 11, issue 8, pages 1-39, August.

2022

  1. Vijay Kumar & Ron Bird, 2022, "Factors influencing the profitability of banks in India and China," Applied Economics Letters, Taylor & Francis Journals, volume 29, issue 5, pages 371-375, March, DOI: 10.1080/13504851.2020.1869153.
  2. Lorenzo Casavecchia & Gerhard Hambusch & Justin Hitchen, 2022, "The impact of analyst forecast errors on fundamental indexation: the Australian evidence," Journal of Asset Management, Palgrave Macmillan, volume 23, issue 5, pages 400-418, September, DOI: 10.1057/s41260-022-00276-y.
  3. Glover, Kristoffer, 2022, "Optimally stopping a Brownian bridge with an unknown pinning time: A Bayesian approach," Stochastic Processes and their Applications, Elsevier, volume 150, issue C, pages 919-937, DOI: 10.1016/j.spa.2020.03.007.
  4. Tiziano De Angelis & Erik Ekström & Kristoffer Glover, 2022, "Dynkin Games with Incomplete and Asymmetric Information," Mathematics of Operations Research, INFORMS, volume 47, issue 1, pages 560-586, February, DOI: 10.1287/moor.2021.1141.
  5. Kristoffer Glover & Hardy Hulley, 2022, "Financially constrained index futures arbitrage," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 42, issue 9, pages 1688-1703, September, DOI: 10.1002/fut.22293.
  6. Kristoffer Glover & Hardy Hulley, 2022, "Short Selling With Margin Risk And Recall Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 25, issue 02, pages 1-33, March, DOI: 10.1142/S0219024922500078.
  7. Alfeus, Mesias & Nikitopoulos, Christina Sklibosios, 2022, "Forecasting volatility in commodity markets with long-memory models," Journal of Commodity Markets, Elsevier, volume 28, issue C, DOI: 10.1016/j.jcomm.2022.100248.
  8. Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Rai, Alan & Konstandatos, Otto, 2022, "Large-scale and rooftop solar generation in the NEM: A tale of two renewables strategies," Energy Economics, Elsevier, volume 115, issue C, DOI: 10.1016/j.eneco.2022.106372.
  9. Marc J. M. Bohmann & Vinay Patel, 2022, "Informed options trading prior to FDA announcements," Journal of Business Finance & Accounting, Wiley Blackwell, volume 49, issue 7-8, pages 1211-1236, July, DOI: 10.1111/jbfa.12600.
  10. Alessandro Gnoatto & Martino Grasselli & Eckhard Platen, 2022, "Calibration to FX triangles of the 4/2 model under the benchmark approach," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 45, issue 1, pages 1-34, June, DOI: 10.1007/s10203-021-00330-1.
  11. Jonathan Brogaard & Thanh Huong Nguyen & Talis J Putnins & Eliza Wu, 2022, "What Moves Stock Prices? The Roles of News, Noise, and Information," The Review of Financial Studies, Society for Financial Studies, volume 35, issue 9, pages 4341-4386.
  12. Wang, Jianxin, 2022, "Market distraction and near-zero daily volatility persistence," International Review of Financial Analysis, Elsevier, volume 80, issue C, DOI: 10.1016/j.irfa.2022.102022.
  13. Mostafa Monzur Hasan & Ahsan Habib & Ruoyun Zhao, 2022, "Corporate reputation risk and cash holdings," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 62, issue 1, pages 667-707, March, DOI: 10.1111/acfi.12803.

2021

  1. Vitali Alexeev & Katja Ignatieva, 2021, "Biases in variance of decomposed portfolio returns," International Review of Finance, International Review of Finance Ltd., volume 21, issue 4, pages 1152-1178, December, DOI: 10.1111/irfi.12319.
  2. Alexeev Vitali & Ignatieva Katja & Liyanage Thusitha, 2021, "Dependence Modelling in Insurance via Copulas with Skewed Generalised Hyperbolic Marginals," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 25, issue 2, pages 1-20, April, DOI: 10.1515/snde-2018-0094.
  3. Almaskati, Nawaf & Bird, Ron & Yeung, Danny & Lu, Yue, 2021, "A horse race of models and estimation methods for predicting bankruptcy," Advances in accounting, Elsevier, volume 52, issue C, DOI: 10.1016/j.adiac.2021.100513.
  4. Susan Thorp & Ron Bird & F Douglas Foster & Jack Gray & Adrian Raftery & Danny CS Yeung, 2021, "Experiences of current and former members of self-managed superannuation funds," Australian Journal of Management, Australian School of Business, volume 46, issue 2, pages 304-325, May, DOI: 10.1177/0312896220936338.
  5. Mwampashi, Muthe Mathias & Nikitopoulos, Christina Sklibosios & Konstandatos, Otto & Rai, Alan, 2021, "Wind generation and the dynamics of electricity prices in Australia," Energy Economics, Elsevier, volume 103, issue C, DOI: 10.1016/j.eneco.2021.105547.
  6. Renée B Adams & Roman Kräussl & Marco Navone & Patrick Verwijmeren & Stijn Van Nieuwerburgh, 2021, "Gendered Prices
    [Can culture affect prices? A cross-cultural study of shopping and retail prices]    ," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 8, pages 3789-3839.
    • Renée B Adams & Roman Kräussl & Marco Navone & Patrick Verwijmeren, 2021, "Gendered Prices," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2021-4, Jan.
  7. Sun, Jin & Zhu, Dan & Platen, Eckhard, 2021, "Dynamic Asset Allocation For Target Date Funds Under The Benchmark Approach," ASTIN Bulletin, Cambridge University Press, volume 51, issue 2, pages 449-474, May.
  8. Khomyn, Marta & Putniņš, Tālis J., 2021, "Algos gone wild: What drives the extreme order cancellation rates in modern markets?," Journal of Banking & Finance, Elsevier, volume 129, issue C, DOI: 10.1016/j.jbankfin.2021.106170.
  9. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021, "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Risks, MDPI, volume 9, issue 1, pages 1-20, January.
  10. Karol Gellert & Erik Schlögl, 2021, "Parameter Learning and Change Detection Using a Particle Filter with Accelerated Adaptation," Risks, MDPI, volume 9, issue 12, pages 1-18, December.
  11. Walker, Scott, 2021, "Post-split underreaction: The importance of prior split history," International Review of Financial Analysis, Elsevier, volume 78, issue C, DOI: 10.1016/j.irfa.2021.101945.
  12. Robert Faff & Tim Kastelle & Micheal Axelsen & Mark Brosnan & Rebecca Michalak & Kathleen Walsh, 2021, "Pitching research for engagement and impact: a simple tool and illustrative examples," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 61, issue 2, pages 3329-3383, June, DOI: 10.1111/acfi.12704.

2020

  1. Wenying Yao & Mardi Dungey & Vitali Alexeev, 2020, "Modelling Financial Contagion Using High Frequency Data," The Economic Record, The Economic Society of Australia, volume 96, issue 314, pages 314-330, September, DOI: 10.1111/1475-4932.12559.
  2. Gan, Baoqing & Alexeev, Vitali & Bird, Ron & Yeung, Danny, 2020, "Sensitivity to sentiment: News vs social media," International Review of Financial Analysis, Elsevier, volume 67, issue C, DOI: 10.1016/j.irfa.2019.101390.
  3. Almaskati, Nawaf & Bird, Ron & Lu, Yue, 2020, "Corporate governance, institutions, markets, and social factors," Research in International Business and Finance, Elsevier, volume 51, issue C, DOI: 10.1016/j.ribaf.2019.101089.
  4. Vijay Kumar & Ron Bird, 2020, "Do Profitable Banks Make a Positive Contribution to the Economy?," JRFM, MDPI, volume 13, issue 8, pages 1-18, July.
  5. Konstandatos, Otto, 2020, "Fair-value analytical valuation of reset executive stock options consistent with IFRS9 requirements," Annals of Actuarial Science, Cambridge University Press, volume 14, issue 1, pages 188-218, March.
  6. Dahiya, Sandeep & Hallak, Issam & Matthys, Thomas, 2020, "Targeted by an activist hedge fund, do the lenders care?," Journal of Corporate Finance, Elsevier, volume 62, issue C, DOI: 10.1016/j.jcorpfin.2020.101600.
  7. Matthys, Thomas & Meuleman, Elien & Vander Vennet, Rudi, 2020, "Unconventional monetary policy and bank risk taking," Journal of International Money and Finance, Elsevier, volume 109, issue C, DOI: 10.1016/j.jimonfin.2020.102233.
  8. Patel, Vinay & Putniņš, Tālis J. & Michayluk, David & Foley, Sean, 2020, "Price discovery in stock and options markets," Journal of Financial Markets, Elsevier, volume 47, issue C, DOI: 10.1016/j.finmar.2019.100524.
  9. Marco Navone & Thomas To, 2020, "Corporate watchdogs," Financial Management, Financial Management Association International, volume 49, issue 4, pages 925-947, December, DOI: 10.1111/fima.12291.
  10. Iftekhar Hasan & Marco Navone & Thomas Y To & Eliza Wu, 2020, "Tournament Incentives and Acquisition Performance
    [Powerful CEOs and their impact on firm performance]    ," The Review of Corporate Finance Studies, Society for Financial Studies, volume 9, issue 2, pages 384-419.
  11. Kang, Boda & Nikitopoulos, Christina Sklibosios & Prokopczuk, Marcel, 2020, "Economic determinants of oil futures volatility: A term structure perspective," Energy Economics, Elsevier, volume 88, issue C, DOI: 10.1016/j.eneco.2020.104743.
  12. Eckhard Platen & Renata Rendek, 2020, "Approximating The Growth Optimal Portfolio And Stock Price Bubbles," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 23, issue 07, pages 1-33, November, DOI: 10.1142/S021902492050048X.
  13. Pascal Nguyen & Nahid Rahman, 2020, "Institutional ownership, cross‐shareholdings and corporate cash reserves in Japan," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 60, issue S1, pages 1175-1207, April, DOI: 10.1111/acfi.12415.
  14. Alfeus, Mesias & Grasselli, Martino & Schlögl, Erik, 2020, "A consistent stochastic model of the term structure of interest rates for multiple tenors," Journal of Economic Dynamics and Control, Elsevier, volume 114, issue C, DOI: 10.1016/j.jedc.2020.103861.

2019

  1. Pysarenko, Sergiy & Alexeev, Vitali & Tapon, Francis, 2019, "Predictive blends: Fundamental Indexing meets Markowitz," Journal of Banking & Finance, Elsevier, volume 100, issue C, pages 28-42, DOI: 10.1016/j.jbankfin.2018.12.016.
  2. Alexeev, Vitali & Urga, Giovanni & Yao, Wenying, 2019, "Asymmetric jump beta estimation with implications for portfolio risk management," International Review of Economics & Finance, Elsevier, volume 62, issue C, pages 20-40, DOI: 10.1016/j.iref.2019.02.014.
  3. Casavecchia, Lorenzo & Ge, Chanyuan, 2019, "Jack of all trades versus specialists: Fund family specialization and mutual fund performance," International Review of Financial Analysis, Elsevier, volume 63, issue C, pages 69-85, DOI: 10.1016/j.irfa.2019.01.013.
  4. Bohmann, Marc & Michayluk, David & Patel, Vinay & Walsh, Kathleen, 2019, "Liquidity and earnings in event studies: Does data granularity matter?," Pacific-Basin Finance Journal, Elsevier, volume 54, issue C, pages 118-131, DOI: 10.1016/j.pacfin.2018.12.007.
  5. Marc J. M. Bohmann & David Michayluk & Vinay Patel, 2019, "Price discovery in commodity derivatives: Speculation or hedging?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 9, pages 1107-1121, September, DOI: 10.1002/fut.22021.
  6. Aman, Hiroyuki & Beekes, Wendy & Berkman, Henk & Bohmann, Marc & Bradbury, Michael & Chapple, Larelle & Chang, Millicent & Clout, Victoria & Faff, Robert & Han, Jianlei & Hillier, David & Hodgson, All, 2019, "Responsible science: Celebrating the 50-year legacy of Ball and Brown (1968) using a registration-based framework," Pacific-Basin Finance Journal, Elsevier, volume 56, issue C, pages 129-150, DOI: 10.1016/j.pacfin.2019.05.002.
  7. David Michayluk & Scott Walker & Karyn Neuhauser, 2019, "Dividend Consistency: Rewards, Learning, and Expectations," Journal of Applied Corporate Finance, Morgan Stanley, volume 31, issue 4, pages 118-128, December, DOI: 10.1111/jacf.12381.
  8. David Michayluk & Karyn Neuhauser & Scott Walker, 2019, "Are all dividends created equal? Australian evidence using dividend‐increase track records," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 59, issue 4, pages 2621-2643, December, DOI: 10.1111/acfi.12303.
  9. Benjamin Cheng & Christina Sklibosios Nikitopoulos & Erik Schlögl, 2019, "Interest rate risk in long‐dated commodity options positions: To hedge or not to hedge?," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 1, pages 109-127, January, DOI: 10.1002/fut.21954.
  10. Malceniece, Laura & Malcenieks, Kārlis & Putniņš, Tālis J., 2019, "High frequency trading and comovement in financial markets," Journal of Financial Economics, Elsevier, volume 134, issue 2, pages 381-399, DOI: 10.1016/j.jfineco.2018.02.015.
  11. Sean Foley & Jonathan R Karlsen & Tālis J Putniņš, 2019, "Sex, Drugs, and Bitcoin: How Much Illegal Activity Is Financed through Cryptocurrencies?," The Review of Financial Studies, Society for Financial Studies, volume 32, issue 5, pages 1798-1853.
  12. Mesias Alfeus & Ludger Overbeck & Erik Schlögl, 2019, "Regime switching rough Heston model," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 39, issue 5, pages 538-552, May, DOI: 10.1002/fut.21993.
  13. Mesias Alfeus & Erik Schlögl, 2019, "On Spread Option Pricing Using Two-Dimensional Fourier Transform," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 22, issue 05, pages 1-20, August, DOI: 10.1142/S0219024919500237.

2018

  1. Mukherjee, Abhishek & Bird, Ron & Duppati, Geeta, 2018, "Mandatory Corporate Social Responsibility: The Indian experience," Journal of Contemporary Accounting and Economics, Elsevier, volume 14, issue 3, pages 254-265, DOI: 10.1016/j.jcae.2018.06.002.
  2. Ron Bird & Peng Huang & Yue Lu, 2018, "Board independence and the variability of firm performance: Evidence from an exogenous regulatory shock," Australian Journal of Management, Australian School of Business, volume 43, issue 1, pages 3-26, February, DOI: 10.1177/0312896217708227.
  3. Ron Bird & F. Douglas Foster & Jack Gray & Adrian M Raftery & Susan Thorp & Danny Yeung, 2018, "Who starts a self-managed superannuation fund and why?," Australian Journal of Management, Australian School of Business, volume 43, issue 3, pages 373-403, August, DOI: 10.1177/0312896217747331.
  4. Casavecchia, Lorenzo & Hulley, Hardy, 2018, "Are mutual fund investors paying for noise?," International Review of Financial Analysis, Elsevier, volume 58, issue C, pages 8-23, DOI: 10.1016/j.irfa.2018.04.002.
  5. Casavecchia, Lorenzo & Loudon, Geoffrey F. & Wu, Eliza, 2018, "What moves benchmark money market rates? Evidence from the BBSW market," Pacific-Basin Finance Journal, Elsevier, volume 51, issue C, pages 137-154, DOI: 10.1016/j.pacfin.2018.06.005.
  6. Tiffany Hutcheson & Graeme Newell, 2018, "Decision-making in the management of property investment by Australian superannuation funds," Australian Journal of Management, Australian School of Business, volume 43, issue 3, pages 404-420, August, DOI: 10.1177/0312896218754476.
  7. Dang, Viet Anh & Michayluk, David & Pham, Thu Phuong, 2018, "The curious case of changes in trading dynamics: When firms switch from NYSE to NASDAQ," Journal of Financial Markets, Elsevier, volume 41, issue C, pages 17-35, DOI: 10.1016/j.finmar.2018.07.001.
  8. To, Thomas Y. & Navone, Marco & Wu, Eliza, 2018, "Analyst coverage and the quality of corporate investment decisions," Journal of Corporate Finance, Elsevier, volume 51, issue C, pages 164-181, DOI: 10.1016/j.jcorpfin.2018.06.001.
  9. Cheng, Benjamin & Nikitopoulos, Christina Sklibosios & Schlögl, Erik, 2018, "Pricing of long-dated commodity derivatives: Do stochastic interest rates matter?," Journal of Banking & Finance, Elsevier, volume 95, issue C, pages 148-166, DOI: 10.1016/j.jbankfin.2017.05.012.
  10. Baldeaux, Jan & Ignatieva, Katja & Platen, Eckhard, 2018, "Detecting money market bubbles," Journal of Banking & Finance, Elsevier, volume 87, issue C, pages 369-379, DOI: 10.1016/j.jbankfin.2017.10.017.
  11. T. A. McWalter & R. Rudd & J. Kienitz & E. Platen, 2018, "Recursive marginal quantization of higher-order schemes," Quantitative Finance, Taylor & Francis Journals, volume 18, issue 4, pages 693-706, April, DOI: 10.1080/14697688.2017.1402125.
  12. Pascal Nguyen & Nahid Rahman & Ruoyun Zhao, 2018, "CEO characteristics and firm valuation: a quantile regression analysis," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), volume 22, issue 1, pages 133-151, March, DOI: 10.1007/s10997-017-9383-7.
  13. Twu, Mia & Wang, Jianxin, 2018, "Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange," Journal of Asian Economics, Elsevier, volume 57, issue C, pages 53-62, DOI: 10.1016/j.asieco.2018.06.004.
  14. Muzhao Jin & Youwei Li & Jianxin Wang & Yung Chiang Yang, 2018, "Price discovery in the Chinese gold market," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 38, issue 10, pages 1262-1281, October, DOI: 10.1002/fut.21938.

2017

  1. Alexeev, Vitali & Dungey, Mardi & Yao, Wenying, 2017, "Time-varying continuous and jump betas: The role of firm characteristics and periods of stress," Journal of Empirical Finance, Elsevier, volume 40, issue C, pages 1-19, DOI: 10.1016/j.jempfin.2016.11.002.
  2. Fabio Parlapiano & Vitali Alexeev & Mardi Dungey, 2017, "Exchange rate risk exposure and the value of European firms," The European Journal of Finance, Taylor & Francis Journals, volume 23, issue 2, pages 111-129, January, DOI: 10.1080/1351847X.2015.1072570.
  3. Ron Bird & Xiaojun Gao & Danny Yeung, 2017, "Time-series and cross-sectional momentum strategies under alternative implementation strategies," Australian Journal of Management, Australian School of Business, volume 42, issue 2, pages 230-251, May, DOI: 10.1177/0312896215619965.
  4. Lorenzo Casavecchia & Ja Young Suh, 2017, "Managerial incentives for risk-taking and internal capital allocation," Australian Journal of Management, Australian School of Business, volume 42, issue 3, pages 428-461, August, DOI: 10.1177/0312896216652181.
  5. Gerig, Austin & Michayluk, David, 2017, "Automated liquidity provision," Pacific-Basin Finance Journal, Elsevier, volume 45, issue C, pages 1-13, DOI: 10.1016/j.pacfin.2016.05.006.
  6. Sandeep Dahiya & Giuliano Iannotta & Marco Navone, 2017, "Firm Opacity Lies in the Eye of the Beholder," Financial Management, Financial Management Association International, volume 46, issue 3, pages 553-592, September.
  7. Nikitopoulos, Christina Sklibosios & Squires, Matthew & Thorp, Susan & Yeung, Danny, 2017, "Determinants of the crude oil futures curve: Inventory, consumption and volatility," Journal of Banking & Finance, Elsevier, volume 84, issue C, pages 53-67, DOI: 10.1016/j.jbankfin.2017.07.006.
  8. Constantinos Kardaras & Jan Obłój & Eckhard Platen, 2017, "The Numéraire Property And Long-Term Growth Optimality For Drawdown-Constrained Investments," Mathematical Finance, Wiley Blackwell, volume 27, issue 1, pages 68-95, January.
  9. Pascal Nguyen & Nahid Rahman & Ruoyun Zhao, 2017, "Returns to acquirers of listed and unlisted targets: an empirical study of Australian bidders," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 34, issue 1, pages 24-48, March, DOI: 10.1108/SEF-10-2015-0234.
  10. P. Karlsson & K. F. Pilz & E. Schlögl, 2017, "Calibrating a market model with stochastic volatility to commodity and interest rate risk," Quantitative Finance, Taylor & Francis Journals, volume 17, issue 6, pages 907-925, June, DOI: 10.1080/14697688.2016.1254814.
  11. He, Xue-Zhong & Shi, Lei, 2017, "Index portfolio and welfare analysis under heterogeneous beliefs," Journal of Banking & Finance, Elsevier, volume 75, issue C, pages 64-79, DOI: 10.1016/j.jbankfin.2016.11.001.
  12. Necmi K. Avkiran & Yushu Zhu & David W. L. Tripe & Kathleen Walsh, 2017, "Can foreign banks compete in China?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 57, issue 4, pages 961-980, December, DOI: 10.1111/acfi.12188.
  13. Emma L. Schultz & David T. Tan & Kathleen D. Walsh, 2017, "Corporate governance and the probability of default," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 57, issue , pages 235-253, April.
  14. David T. Tan & Larelle Chapple & Kathleen D. Walsh, 2017, "Corporate fraud culture: Re-examining the corporate governance and performance relation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 57, issue 2, pages 597-620, June.
  15. Pascal Nguyen & Tarek Miloud & Ruoyun Zhao, 2017, "CEO tenure and firm growth: A conditional analysis," Economics Bulletin, AccessEcon, volume 37, issue 4, pages 2301-2308.

2016

  1. Vitali Alexeev & Mardi Dungey & Wenying Yao, 2016, "Continuous and Jump Betas: Implications for Portfolio Diversification," Econometrics, MDPI, volume 4, issue 2, pages 1-15, June.
  2. Minh Phuong Doan & Vitali Alexeev & Robert Brooks, 2016, "Concurrent momentum and contrarian strategies in the Australian stock market," Australian Journal of Management, Australian School of Business, volume 41, issue 1, pages 77-106, February, DOI: 10.1177/0312896214534864.
  3. Ron Bird & Geeta Duppati & Abhishek Mukherjee, 2016, "Corporate social responsibility and firm market performance: a study of Indian listed companies," International Journal of Business Governance and Ethics, Inderscience Enterprises Ltd, volume 11, issue 1, pages 68-88.
  4. Abhishek Mukherjee & Ron Bird, 2016, "Analysis of mandatory CSR expenditure in India: a survey," International Journal of Corporate Governance, Inderscience Enterprises Ltd, volume 7, issue 1, pages 32-59.
  5. Casavecchia, Lorenzo & Tiwari, Ashish, 2016, "Cross trading by investment advisers: Implications for mutual fund performance," Journal of Financial Intermediation, Elsevier, volume 25, issue C, pages 99-130, DOI: 10.1016/j.jfi.2015.06.001.
  6. Lorenzo Casavecchia, 2016, "Fund managers’ herding and mutual fund governance," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 12, issue 3, pages 242-276, June, DOI: 10.1108/IJMF-12-2014-0197.
  7. Casavecchia, Lorenzo, 2016, "Fund managers' herding and the sensitivity of fund flows to past performance," International Review of Financial Analysis, Elsevier, volume 47, issue C, pages 205-221, DOI: 10.1016/j.irfa.2016.07.006.
  8. Glover, Kristoffer J. & Hambusch, Gerhard, 2016, "Leveraged investments and agency conflicts when cash flows are mean reverting," Journal of Economic Dynamics and Control, Elsevier, volume 67, issue C, pages 1-21, DOI: 10.1016/j.jedc.2016.03.006.
  9. Gerhard Hambusch & Sherrill Shaffer, 2016, "Forecasting bank leverage: an alternative to regulatory early warning models," Journal of Regulatory Economics, Springer, volume 50, issue 1, pages 38-69, August, DOI: 10.1007/s11149-016-9306-6.
  10. Kyng, T. & Konstandatos, O. & Bienek, T., 2016, "Valuation of employee stock options using the exercise multiple approach and life tables," Insurance: Mathematics and Economics, Elsevier, volume 68, issue C, pages 17-26, DOI: 10.1016/j.insmatheco.2015.12.009.
  11. Patel, Vinay & Michayluk, David, 2016, "Return predictability following different drivers of large price changes," International Review of Financial Analysis, Elsevier, volume 45, issue C, pages 202-214, DOI: 10.1016/j.irfa.2016.03.004.
  12. Marco Navone & Giacomo Nocera, 2016, "Unbundling the Expense Ratio: Hidden Distribution Costs in European Mutual Fund Markets," European Financial Management, European Financial Management Association, volume 22, issue 4, pages 640-666, September, DOI: 10.1111/eufm.12078.
  13. Carl Chiarella & Boda Kang & Christina Sklibosios Nikitopoulos & Thuy‐Duong Tô, 2016, "The Return–Volatility Relation in Commodity Futures Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 2, pages 127-152, February.
  14. Ke Du & Eckhard Platen, 2016, "Benchmarked Risk Minimization," Mathematical Finance, Wiley Blackwell, volume 26, issue 3, pages 617-637, July.
  15. Mathias Barkhagen & Jörgen Blomvall & Eckhard Platen, 2016, "Recovering the real-world density and liquidity premia from option data," Quantitative Finance, Taylor & Francis Journals, volume 16, issue 7, pages 1147-1164, July, DOI: 10.1080/14697688.2015.1128117.
  16. Comerton-Forde, Carole & Jones, Charles M. & Putniņš, Tālis J., 2016, "Shorting at close range: A tale of two types," Journal of Financial Economics, Elsevier, volume 121, issue 3, pages 546-568, DOI: 10.1016/j.jfineco.2016.05.002.
  17. Foley, Sean & Putniņš, Tālis J., 2016, "Should we be afraid of the dark? Dark trading and market quality," Journal of Financial Economics, Elsevier, volume 122, issue 3, pages 456-481, DOI: 10.1016/j.jfineco.2016.08.004.
  18. Martin Hauptfleisch & Tālis J. Putniņš & Brian Lucey, 2016, "Who Sets the Price of Gold? London or New York," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 36, issue 6, pages 564-586, June.
  19. Pascal Nguyen & Nahid Rahman & Alex Tong & Ruoyun Zhao, 2016, "Board size and firm value: evidence from Australia," Journal of Management & Governance, Springer;Accademia Italiana di Economia Aziendale (AIDEA), volume 20, issue 4, pages 851-873, December, DOI: 10.1007/s10997-015-9324-2.
  20. Shi, Lei, 2016, "Consumption-based CAPM with belief heterogeneity," Journal of Economic Dynamics and Control, Elsevier, volume 65, issue C, pages 30-46, DOI: 10.1016/j.jedc.2016.02.002.

2015

  1. Vitali Alexeev & Mardi Dungey, 2015, "Equity portfolio diversification with high frequency data," Quantitative Finance, Taylor & Francis Journals, volume 15, issue 7, pages 1205-1215, July, DOI: 10.1080/14697688.2014.973898.
  2. Ron Bird & Paolo Pellizzari & Danny Yeung & David Gallagher, 2015, "Performance implications of active management of institutional mutual funds," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 55, issue 1, pages 1-27, March.
  3. Cathline Augustiani & Lorenzo Casavecchia & Jack Gray, 2015, "Managerial Sharing, Mutual Fund Connections, and Performance," International Review of Finance, International Review of Finance Ltd., volume 15, issue 3, pages 427-455, September.
  4. Deborah Cotton, 2015, "Emissions Trading Design – A Critical Overview , edited by Stefan E. Weishaar . Published by Edward Elgar , UK , 2014 , pp. 249 , ISBN: 978 1 78195 221 4, AUD$114.00 (hardcover)," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, volume 59, issue 1, pages 156-158, January.
  5. Deborah Cotton, 2015, "Book Review," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, volume 59, issue 01, January, DOI: 10.22004/ag.econ.280238.
  6. Baur, Dirk G. & Glover, Kristoffer J., 2015, "Speculative trading in the gold market," International Review of Financial Analysis, Elsevier, volume 39, issue C, pages 63-71, DOI: 10.1016/j.irfa.2015.02.004.
  7. Katina Gregory & Gerhard Hambusch, 2015, "Factors driving risk in the US banking industry," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 11, issue 3, pages 388-410, June, DOI: 10.1108/IJMF-02-2015-0017.
  8. Hardy Hulley & Thomas A. McWalter, 2015, "Quadratic Hedging of Basis Risk," JRFM, MDPI, volume 8, issue 1, pages 1-20, February.
  9. Navone, Marco & Pagani, Marco, 2015, "Brothers from different mothers how distribution fees change investment behavior," Journal of Banking & Finance, Elsevier, volume 51, issue C, pages 12-25, DOI: 10.1016/j.jbankfin.2014.10.013.
  10. Martin Bugeja & Vinay Patel & Terry Walter, 2015, "The microstructure of Australian takeover announcements," Australian Journal of Management, Australian School of Business, volume 40, issue 1, pages 161-188, February, DOI: 10.1177/0312896213517247.
  11. Baldeaux, Jan & Grasselli, Martino & Platen, Eckhard, 2015, "Pricing currency derivatives under the benchmark approach," Journal of Banking & Finance, Elsevier, volume 53, issue C, pages 34-48, DOI: 10.1016/j.jbankfin.2014.11.018.
  12. Jan Baldeaux & Eckhard Platen, 2015, "Credit Derivative Evaluation and CVA Under the Benchmark Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 22, issue 3, pages 305-331, September, DOI: 10.1007/s10690-015-9204-4.
  13. Jan Baldeaux & Fung & Katja Ignatieva & Eckhard Platen, 2015, "A Hybrid Model for Pricing and Hedging of Long-dated Bonds," Applied Mathematical Finance, Taylor & Francis Journals, volume 22, issue 4, pages 366-398, September, DOI: 10.1080/1350486X.2015.1050119.
  14. K. Fergusson & E. Platen, 2015, "Application Of Maximum Likelihood Estimation To Stochastic Short Rate Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 10, issue 02, pages 1-26, December, DOI: 10.1142/S2010495215500098.
  15. Putniņš, Tālis J. & Sauka, Arnis, 2015, "Measuring the shadow economy using company managers," Journal of Comparative Economics, Elsevier, volume 43, issue 2, pages 471-490, DOI: 10.1016/j.jce.2014.04.001.
  16. Comerton-Forde, Carole & Putniņš, Tālis J., 2015, "Dark trading and price discovery," Journal of Financial Economics, Elsevier, volume 118, issue 1, pages 70-92, DOI: 10.1016/j.jfineco.2015.06.013.
  17. Pascal Nguyen & Nahid Rahman, 2015, "Which governance characteristics affect the incidence of divestitures in Australia?," Australian Journal of Management, Australian School of Business, volume 40, issue 2, pages 351-374, May, DOI: 10.1177/0312896213517517.
  18. Wei, Lijian & Zhang, Wei & Xiong, Xiong & Shi, Lei, 2015, "Position limit for the CSI 300 stock index futures market," Economic Systems, Elsevier, volume 39, issue 3, pages 369-389, DOI: 10.1016/j.ecosys.2015.01.003.
  19. Siu, Chi Chung & Yam, Sheung Chi Phillip & Yang, Hailiang, 2015, "Valuing Equity-Linked Death Benefits In A Regime-Switching Framework," ASTIN Bulletin, Cambridge University Press, volume 45, issue 2, pages 355-395, May.
  20. Wang, Jianxin & Yang, Minxian, 2015, "How well does the weighted price contribution measure price discovery?," Journal of Economic Dynamics and Control, Elsevier, volume 55, issue C, pages 113-129, DOI: 10.1016/j.jedc.2015.04.002.
  21. Chai, Edwina F.L. & Lee, Adrian D. & Wang, Jianxin, 2015, "Global information distribution in the gold OTC markets," International Review of Financial Analysis, Elsevier, volume 41, issue C, pages 206-217, DOI: 10.1016/j.irfa.2015.05.001.
  22. Kathleen Walsh, 2015, "The investment horizon and asset pricing models," Australian Journal of Management, Australian School of Business, volume 40, issue 2, pages 277-294, May, DOI: 10.1177/0312896214521439.

2014

  1. Ron Bird & Harry Liem & Susan Thorp, 2014, "Infrastructure: Real Assets and Real Returns," European Financial Management, European Financial Management Association, volume 20, issue 4, pages 802-824, September, DOI: 10.1111/j.1468-036X.2012.00650.x.
  2. Ron Bird & Krishna Reddy & Danny Yeung, 2014, "The relationship between uncertainty and the market reaction to information: Is it influenced by stock-specific characteristics?," International Journal of Behavioural Accounting and Finance, Inderscience Enterprises Ltd, volume 4, issue 2, pages 113-132.
  3. Ron Bird & Daniel Choi & Danny Yeung, 2014, "Market uncertainty, market sentiment, and the post-earnings announcement drift," Review of Quantitative Finance and Accounting, Springer, volume 43, issue 1, pages 45-73, July, DOI: 10.1007/s11156-013-0364-x.
  4. Cotton, Deborah & De Mello, Lurion, 2014, "Econometric analysis of Australian emissions markets and electricity prices," Energy Policy, Elsevier, volume 74, issue C, pages 475-485, DOI: 10.1016/j.enpol.2014.07.024.
  5. Baur, Dirk G. & Glover, Kristoffer J., 2014, "Heterogeneous expectations in the gold market: Specification and estimation," Journal of Economic Dynamics and Control, Elsevier, volume 40, issue C, pages 116-133, DOI: 10.1016/j.jedc.2014.01.001.
  6. Kristoffer J. Glover & Gerhard Hambusch, 2014, "The trade-off theory revisited: on the effect of operating leverage," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 10, issue 1, pages 2-22, January, DOI: 10.1108/IJMF-03-2013-0034.
  7. David Michayluk & Karyn Neuhauser & Scott Walker, 2014, "Are Certain Dividend Increases Predictable? The Effect of Repeated Dividend Increases on Market Returns," Journal of Applied Corporate Finance, Morgan Stanley, volume 26, issue 4, pages 118-126, December.
  8. David Michayluk & Ralf Zurbruegg, 2014, "Do lead articles signal higher quality in the digital age? Evidence from finance journals," Scientometrics, Springer;Akadémiai Kiadó, volume 98, issue 2, pages 961-973, February, DOI: 10.1007/s11192-013-1115-4.
  9. Baldeaux Jan & Ignatieva Katja & Platen Eckhard, 2014, "A tractable model for indices approximating the growth optimal portfolio," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, volume 18, issue 1, pages 1-21, February, DOI: 10.1515/snde-2012-0054.
  10. Carole Comerton-Forde & Tālis J. Putniņš, 2014, "Stock Price Manipulation: Prevalence and Determinants," Review of Finance, European Finance Association, volume 18, issue 1, pages 23-66.
  11. Gochoco-Bautista, Maria Socorro & Sotocinal, Noli R. & Wang, Jianxin, 2014, "Corporate Investments in Asian Markets: Financial Conditions, Financial Development, and Financial Constraints," World Development, Elsevier, volume 57, issue C, pages 63-78, DOI: 10.1016/j.worlddev.2013.11.017.
  12. Maria Socorro Gochoco-Bautista & Jianxin Wang & Minxian Yang, 2014, "Commodity Price, Carry Trade, and the Volatility and Liquidity of Asian Currencies," The World Economy, Wiley Blackwell, volume 37, issue 6, pages 811-833, June.
  13. Wang, Jianxin, 2014, "Overnight price discovery and the internationalization of a currency: The case of the Korean won," Pacific-Basin Finance Journal, Elsevier, volume 29, issue C, pages 86-95, DOI: 10.1016/j.pacfin.2014.03.003.

2013

  1. Ron Bird & Matthew Grosse & Danny Yeung, 2013, "The market response to exploration, resource and reserve announcements by mining companies: Australian data," Australian Journal of Management, Australian School of Business, volume 38, issue 2, pages 311-331, August, DOI: 10.1177/0312896212473401.
  2. Hardy Hulley & Rebecca Mckibbin & Andreas Pedersen & Susan Thorp, 2013, "Means-Tested Public Pensions, Portfolio Choice and Decumulation in Retirement," The Economic Record, The Economic Society of Australia, volume 89, issue 284, pages 31-51, March, DOI: 10.1111/ecor.2013.89.issue-284.
  3. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013, "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, volume 40, issue C, pages 989-1000, DOI: 10.1016/j.eneco.2013.05.019.
  4. Carl Chiarella & Samuel Chege Maina & Christina Nikitopoulos Sklibosios, 2013, "Credit Derivatives Pricing With Stochastic Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 16, issue 04, pages 1-28, DOI: 10.1142/S0219024913500192.
  5. Ashkan Nikeghbali & Eckhard Platen, 2013, "A reading guide for last passage times with financial applications in view," Finance and Stochastics, Springer, volume 17, issue 3, pages 615-640, July, DOI: 10.1007/s00780-013-0207-6.
  6. Eckhard Platen & Lei Shi, 2013, "On the numerical stability of simulation methods for SDEs under multiplicative noise in finance," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 2, pages 183-194, January, DOI: 10.1080/14697688.2012.713981.
  7. Talis J. Putninš, 2013, "Exporting by Latvian companies: vitality, drivers of success, and challenges," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 13, issue 2, pages 3-33, December.
  8. Putniņš, Tālis J., 2013, "What do price discovery metrics really measure?," Journal of Empirical Finance, Elsevier, volume 23, issue C, pages 68-83, DOI: 10.1016/j.jempfin.2013.05.004.
  9. Maryam Ebrahimpour & Tālis J Putniņš & Matthew J Berryman & Andrew Allison & Brian W-H Ng & Derek Abbott, 2013, "Automated Authorship Attribution Using Advanced Signal Classification Techniques," PLOS ONE, Public Library of Science, volume 8, issue 2, pages 1-12, February, DOI: 10.1371/journal.pone.0054998.
  10. Nguyen, Pascal & Rahman, Nahid & Zhao, Ruoyun, 2013, "Ownership structure and divestiture decisions: Evidence from Australian firms," International Review of Financial Analysis, Elsevier, volume 30, issue C, pages 170-181, DOI: 10.1016/j.irfa.2013.08.003.
  11. Schlögl, Erik, 2013, "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 3, pages 611-632, DOI: 10.1016/j.jedc.2012.10.001.
  12. K. F. Pilz & E. Schlögl, 2013, "A hybrid commodity and interest rate market model," Quantitative Finance, Taylor & Francis Journals, volume 13, issue 4, pages 543-560, March, DOI: 10.1080/14697688.2011.627879.
  13. Wang, Jianxin, 2013, "Liquidity commonality among Asian equity markets," Pacific-Basin Finance Journal, Elsevier, volume 21, issue 1, pages 1209-1231, DOI: 10.1016/j.pacfin.2012.06.003.
  14. Wang, Jianxin & Yang, Minxian, 2013, "On the risk return relationship," Journal of Empirical Finance, Elsevier, volume 21, issue C, pages 132-141, DOI: 10.1016/j.jempfin.2013.01.001.
  15. Tom Smith & Kathleen Walsh, 2013, "Why the CAPM is Half-Right and Everything Else is Wrong," Abacus, Accounting Foundation, University of Sydney, volume 49, issue , pages 73-78, January, DOI: 10.1111/abac.2013.49.issue-s1.

2012

  1. Alexeev, Vitali & Maynard, Alex, 2012, "Localized level crossing random walk test robust to the presence of structural breaks," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3322-3344, DOI: 10.1016/j.csda.2010.06.026.
  2. Bird, Ron & Yeung, Danny, 2012, "How do investors react under uncertainty?," Pacific-Basin Finance Journal, Elsevier, volume 20, issue 2, pages 310-327, DOI: 10.1016/j.pacfin.2011.10.001.
  3. Ron Bird & Francesco Momenté & Francesco Reggiani, 2012, "The market acceptance of corporate social responsibility: a comparison across six countries/regions," Australian Journal of Management, Australian School of Business, volume 37, issue 2, pages 153-168, August, DOI: 10.1177/0312896211416136.
  4. Van de Venter, Gerhard & Michayluk, David & Davey, Geoff, 2012, "A longitudinal study of financial risk tolerance," Journal of Economic Psychology, Elsevier, volume 33, issue 4, pages 794-800, DOI: 10.1016/j.joep.2012.03.001.
  5. Iannotta, Giuliano & Navone, Marco, 2012, "The cross-section of mutual fund fee dispersion," Journal of Banking & Finance, Elsevier, volume 36, issue 3, pages 846-856, DOI: 10.1016/j.jbankfin.2011.09.013.
  6. Navone, Marco, 2012, "Investors’ distraction and strategic repricing decisions," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1291-1303, DOI: 10.1016/j.jbankfin.2011.11.018.
  7. Navone, Marco, 2012, "Reprint of Investors’ distraction and strategic repricing decisions," Journal of Banking & Finance, Elsevier, volume 36, issue 10, pages 2729-2741, DOI: 10.1016/j.jbankfin.2012.06.001.
  8. Ignatieva, Katja & Platen, Eckhard, 2012, "Estimating the diffusion coefficient function for a diversified world stock index," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 6, pages 1333-1349, DOI: 10.1016/j.csda.2011.10.004.
  9. Zhi Jun Guo & Eckhard Platen, 2012, "The Small And Large Time Implied Volatilities In The Minimal Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 15, issue 08, pages 1-23, DOI: 10.1142/S0219024912500574.
  10. Eckhard Platen & Renata Rendek, 2012, "Approximating the numéraire portfolio by naive diversification," Journal of Asset Management, Palgrave Macmillan, volume 13, issue 1, pages 34-50, February, DOI: 10.1057/jam.2011.36.
  11. Karolis Čekauskas & Reinis Gerasimovs & Vytautas Liatukas & Tālis J. Putniņš, 2012, "The Effects of Market Makers and Stock Analysts in Emerging Markets," International Review of Finance, International Review of Finance Ltd., volume 12, issue 3, pages 305-327, September.
  12. Tālis J. Putniņš, 2012, "Market Manipulation: A Survey," Journal of Economic Surveys, Wiley Blackwell, volume 26, issue 5, pages 952-967, December, DOI: j.1467-6419.2011.00692.x.
  13. Xue‐Zhong He & Lei Shi, 2012, "Boundedly rational equilibrium and risk premium," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 52, issue 1, pages 71-93, March, DOI: j.1467-629X.2011.00421.x.
  14. He, Xue-Zhong & Shi, Lei, 2012, "Disagreement, correlation and asset prices," Economics Letters, Elsevier, volume 116, issue 3, pages 512-515, DOI: 10.1016/j.econlet.2012.04.064.
  15. Xue-Zhong He & Lei Shi, 2012, "Disagreement in a Multi-Asset Market," International Review of Finance, International Review of Finance Ltd., volume 12, issue 3, pages 357-373, September.

2011

  1. Alexeev, Vitali & Tapon, Francis, 2011, "Testing weak form efficiency on the Toronto Stock Exchange," Journal of Empirical Finance, Elsevier, volume 18, issue 4, pages 661-691, September.
  2. Gordon Menzies & Ron Bird & Peter B. Dixon & Maureen T. Rimmer, 2011, "Asset Price Regulators, Unite: You have the Macroeconomy to Win and the Microeconomic Losses are Small," The Economic Record, The Economic Society of Australia, volume 87, issue 278, pages 449-464, September, DOI: j.1475-4932.2010.00702.x.
  3. Bird, R. & Menzies, G. & Dixon, P. & Rimmer, M., 2011, "The economic costs of US stock mispricing," Journal of Policy Modeling, Elsevier, volume 33, issue 4, pages 552-567, July.
  4. Ron Bird & Lorenzo Casavecchia, 2011, "Conditional style rotation model on enhanced value and growth portfolios: The European experience," Journal of Asset Management, Palgrave Macmillan, volume 11, issue 6, pages 375-390, February, DOI: 10.1057/jam.2009.34.
  5. Ron Bird & Lorenzo Casavecchia & Paolo Pellizzari & Paul Woolley, 2011, "The impact on the pricing process of costly active management and performance chasing clients," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, volume 6, issue 1, pages 61-82, May, DOI: 10.1007/s11403-010-0076-4.
  6. Kardaras, Constantinos & Platen, Eckhard, 2011, "On the semimartingale property of discounted asset-price processes," Stochastic Processes and their Applications, Elsevier, volume 121, issue 11, pages 2678-2691, November.
  7. Tālis J. Putniņš & Arnis Sauka, 2011, "Size and determinants of shadow economies in the Baltic States," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, volume 11, issue 2, pages 5-25, December.
  8. Comerton-Forde, Carole & Putniņš, Tālis J. & Tang, Kar Mei, 2011, "Why Do Traders Choose to Trade Anonymously?," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 46, issue 4, pages 1025-1049, August.
  9. Comerton-Forde, Carole & Putnins, Talis J., 2011, "Measuring closing price manipulation," Journal of Financial Intermediation, Elsevier, volume 20, issue 2, pages 135-158, April.
  10. Carole Comerton-Forde & Tālis Putniņš, 2011, "Pricing accuracy, liquidity and trader behavior with closing price manipulation," Experimental Economics, Springer;Economic Science Association, volume 14, issue 1, pages 110-131, March, DOI: 10.1007/s10683-010-9259-z.
  11. Nielsen, J. Aase & Sandmann, Klaus & Schlögl, Erik, 2011, "Equity-linked pension schemes with guarantees," Insurance: Mathematics and Economics, Elsevier, volume 49, issue 3, pages 547-564, DOI: 10.1016/j.insmatheco.2011.08.012.
  12. Wang, Jianxin & Yang, Minxian, 2011, "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, volume 14, issue 1, pages 82-108, February.
  13. Jianxin Wamg, 2011, "Forecasting Volatility in Asian Stock Markets: Contributions of Local, Regional, and Global Factors," Asian Development Review, Asian Development Bank, volume 28, issue 2, pages 32-57.
  14. Ron Guido & Joshua Pearl & Kathleen Walsh, 2011, "Market timing under multiple economic regimes," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 51, issue 2, pages 501-515, June.

2010

  1. Jan Baldeaux & Marek Rutkowski, 2010, "Static Replication of Forward-Start Claims and Realized Variance Swaps," Applied Mathematical Finance, Taylor & Francis Journals, volume 17, issue 2, pages 99-131, DOI: 10.1080/13504860903075621.
  2. Pu Chen & Chih-Ying Hsiao, 2010, "Causal Inference for Structural Equations: With an Application to Wage-Price Spiral," Computational Economics, Springer;Society for Computational Economics, volume 36, issue 1, pages 17-36, June, DOI: 10.1007/s10614-010-9202-6.
  3. William Bertin & Paul Fowler & David Michayluk & Laurie Prather, 2010, "An analysis of Australian exchange traded options and warrants," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 2, pages 150-172, April, DOI: 10.1007/s12197-008-9052-4.
  4. David Michayluk & Ruoyun Zhao, 2010, "Stock Splits and Bond Yields: Isolating the Signaling Hypothesis," The Financial Review, Eastern Finance Association, volume 45, issue 2, pages 375-386, May, DOI: 10.1111/j.1540-6288.2010.00252.x.
  5. Danilo Drago & Valter Lazzari & Marco Navone, 2010, "Mutual Fund Incentive Fees: Determinants and Effects," Financial Management, Financial Management Association International, volume 39, issue 1, pages 365-392, March, DOI: 10.1111/j.1755-053X.2010.01076.x.
  6. Gianfranco Forte & Giuliano Iannotta & Marco Navone, 2010, "The Banking Relationship's Role in the Choice of the Target's Advisor in Mergers and Acquisitions," European Financial Management, European Financial Management Association, volume 16, issue 4, pages 686-701, September, DOI: 10.1111/j.1468-036X.2009.00481.x.
  7. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010, "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, volume 10, issue 1, pages 23-37, DOI: 10.1080/14697680902814233.
  8. Katja Ignatieva & Eckhard Platen, 2010, "Modelling Co-movements and Tail Dependency in the International Stock Market via Copulae," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 17, issue 3, pages 261-302, September, DOI: 10.1007/s10690-010-9116-2.
  9. Shane Miller & Eckhard Platen, 2010, "Real-World Pricing for a Modified Constant Elasticity of Variance Model," Applied Mathematical Finance, Taylor & Francis Journals, volume 17, issue 2, pages 147-175, DOI: 10.1080/13504860903155035.
  10. Emma L. Schultz & David T. Tan & Kathleen D. Walsh, 2010, "Endogeneity and the corporate governance - performance relation," Australian Journal of Management, Australian School of Business, volume 35, issue 2, pages 145-163, August, DOI: 10.1177/0312896210370079.

2009

  1. Joanne Mar & Ron Bird & Lorenzo Casavecchia & Danny Yeung, 2009, "Fundamental Indexation: An Australian Investigation," Australian Journal of Management, Australian School of Business, volume 34, issue 1, pages 1-20, June, DOI: 10.1177/031289620903400102.
  2. Peter Buchen & Otto Konstandatos, 2009, "A New Approach to Pricing Double-Barrier Options with Arbitrary Payoffs and Exponential Boundaries," Applied Mathematical Finance, Taylor & Francis Journals, volume 16, issue 6, pages 497-515, DOI: 10.1080/13504860903075480.
  3. Lin, Bing-Xuan & Michayluk, David & Oppenheimer, Henry R. & Sabherwal, Sanjiv, 2009, "French and U.S. trading of cross-listed stocks around the period of U.S. decimalization: Volume, spreads, and depth effects," International Review of Financial Analysis, Elsevier, volume 18, issue 5, pages 223-231, December.
  4. Paul Kofman & David Michayluk & James T. Moser, 2009, "Reversing the lead, or a series of unfortunate events? NYMEX, ICE, and Amaranth," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 29, issue 12, pages 1130-1160, December.
  5. Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlögl, 2009, "Alternative Defaultable Term Structure Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 16, issue 1, pages 1-31, March, DOI: 10.1007/s10690-009-9084-6.
  6. Damir Filipović & Eckhard Platen, 2009, "Consistent Market Extensions Under The Benchmark Approach," Mathematical Finance, Wiley Blackwell, volume 19, issue 1, pages 41-52, January, DOI: 10.1111/j.1467-9965.2008.00356.x.
  7. W. Breymann & D. R. Lüthi & E. Platen, 2009, "Empirical behavior of a world stock index from intra-day to monthly time scales," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, volume 71, issue 4, pages 511-522, October, DOI: 10.1140/epjb/e2009-00341-x.
  8. Chris Terry, 2009, "The new Basel Capital Accord: A major advance at a turbulent time," Agenda - A Journal of Policy Analysis and Reform, Australian National University, College of Business and Economics, School of Economics, volume 16, issue 1, pages 25-44.
  9. Rhee, S. Ghon & Wang, Jianxin, 2009, "Foreign institutional ownership and stock market liquidity: Evidence from Indonesia," Journal of Banking & Finance, Elsevier, volume 33, issue 7, pages 1312-1324, July.
  10. Wang, Jianxin & Yang, Minxian, 2009, "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 19, issue 4, pages 597-615, October.
  11. Fan, Elliott & Zhao, Ruoyun, 2009, "Health status and portfolio choice: Causality or heterogeneity?," Journal of Banking & Finance, Elsevier, volume 33, issue 6, pages 1079-1088, June.

2008

  1. Coltman, Tim & Devinney, Timothy M. & Midgley, David F. & Venaik, Sunil, 2008, "Formative versus reflective measurement models: Two applications of formative measurement," Journal of Business Research, Elsevier, volume 61, issue 12, pages 1250-1262, December.
  2. 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, volume 20, issue 4, pages 622-638, December.
  3. Hans-Peter Bermin & Peter Buchen & Otto Konstandatos, 2008, "Two Exotic Lookback Options," Applied Mathematical Finance, Taylor & Francis Journals, volume 15, issue 4, pages 387-402, DOI: 10.1080/13504860802012824.
  4. Lin, Bing-Xuan & Michayluk, David & Oppenheimer, Henry R. & Reid, Sean F., 2008, "Hubris amongst Japanese bidders," Pacific-Basin Finance Journal, Elsevier, volume 16, issue 1-2, pages 121-159, January.
  5. David Michayluk, 2008, "The rise and fall of single-letter ticker symbols," Business History, Taylor & Francis Journals, volume 50, issue 3, pages 368-385, DOI: 10.1080/00076790801968947.
  6. Gerhard van de Venter & David Michayluk, 2008, "An Insight into Overconfidence in the Forecasting Abilities of Financial Advisors," Australian Journal of Management, Australian School of Business, volume 32, issue 3, pages 545-557, March, DOI: 10.1177/031289620803200309.
  7. David Michayluk & Laurie Prather, 2008, "A Liquidity Motivated Algorithm for Discerning Trade Direction," Multinational Finance Journal, Multinational Finance Journal, volume 12, issue 1-2, pages 45-66, March-Jun.
  8. 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., volume 8, issue 3‐4, pages 159-178, September, DOI: 10.1111/j.1468-2443.2008.00080.x.
  9. Giuliano Iannotta & Marco Navone, 2008, "Which Factors Affect Bond Underwriting Fees? The Role of Banking Relationships," European Financial Management, European Financial Management Association, volume 14, issue 5, pages 944-961, November, DOI: 10.1111/j.1468-036X.2007.00426.x.
  10. Wolfgang Hardle & Torsten Kleinow & Alexander Korostelev & Camille Logeay & Eckhard Platen, 2008, "Semiparametric diffusion estimation and application to a stock market index," Quantitative Finance, Taylor & Francis Journals, volume 8, issue 1, pages 81-92, DOI: 10.1080/14697680601026998.
  11. Bruti-Liberati, Nicola & Martini, Filippo & Piccardi, Massimo & Platen, Eckhard, 2008, "A hardware generator of multi-point distributed random numbers for Monte Carlo simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 77, issue 1, pages 45-56, DOI: 10.1016/j.matcom.2007.01.031.
  12. 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., volume 11, issue 08, pages 841-867, DOI: 10.1142/S0219024908005056.
  13. 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, volume 16, issue 3, pages 224-235, June.
  14. Kathleen Walsh & David Tan, 2008, "Monetary Policy Surprises and the Bank Bill Term Premium," Australian Journal of Management, Australian School of Business, volume 33, issue 2, pages 231-260, December, DOI: 10.1177/031289620803300202.

2007

  1. Ron Bird & Lorenzo Casavecchia, 2007, "Value enhancement using momentum indicators: the European experience," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 3, issue 3, pages 229-262, July, DOI: 10.1108/17439130710756907.
  2. Ron Bird & Anthony D. Hall & Francesco Momentè & Francesco Reggiani, 2007, "What Corporate Social Responsibility Activities are Valued by the Market?," Journal of Business Ethics, Springer, volume 76, issue 2, pages 189-206, December, DOI: 10.1007/s10551-006-9268-1.
  3. Ron Bird & Lorenzo Casavecchia, 2007, "Sentiment and Financial Health Indicators for Value and Growth Stocks: The European Experience," The European Journal of Finance, Taylor & Francis Journals, volume 13, issue 8, pages 769-793, DOI: 10.1080/13518470701705777.
  4. Peter J Buckley & Timothy M Devinney & Jordan J Louviere, 2007, "Do managers behave the way theory suggests? A choice-theoretic examination of foreign direct investment location decision-making," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 38, issue 7, pages 1069-1094, December.
  5. Pat Auger & Timothy Devinney & Jordan Louviere, 2007, "Using Best–Worst Scaling Methodology to Investigate Consumer Ethical Beliefs Across Countries," Journal of Business Ethics, Springer, volume 70, issue 3, pages 299-326, February, DOI: 10.1007/s10551-006-9112-7.
  6. Pat Auger & Timothy Devinney, 2007, "Do What Consumers Say Matter? The Misalignment of Preferences with Unconstrained Ethical Intentions," Journal of Business Ethics, Springer, volume 76, issue 4, pages 361-383, December, DOI: 10.1007/s10551-006-9287-y.
  7. 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, volume 31, issue 7, pages 2135-2151, July.
  8. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007, "Intertemporal asset allocation when the underlying factors are unobservable," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 383-418, May, DOI: 10.1007/s10614-006-9072-0.
  9. Chen, Pu & Chihying, Hsiao, 2007, "Learning Causal Relations in Multivariate Time Series Data," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 1, pages 1-43, DOI: 10.5018/economics-ejournal.ja.2007-.
  10. 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, volume 17, issue 3, pages 246-260, July.
  11. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlogl, 2007, "A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton Models with Jumps," Applied Mathematical Finance, Taylor & Francis Journals, volume 14, issue 5, pages 365-399, DOI: 10.1080/13504860701255359.
  12. Carl Chiarella & Christina Nikitopoulos Sklibosios & Erik Schlögl, 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., volume 10, issue 01, pages 155-202, DOI: 10.1142/S0219024907004147.
  13. Nicola Bruti-Liberati & Eckhard Platen, 2007, "Approximation of jump diffusions in finance and economics," Computational Economics, Springer;Society for Computational Economics, volume 29, issue 3, pages 283-312, May, DOI: 10.1007/s10614-006-9066-y.
  14. Eckhard Platen & Wolfgang Runggaldier, 2007, "A Benchmark Approach to Portfolio Optimization under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 14, issue 1, pages 25-43, March, DOI: 10.1007/s10690-007-9045-x.
  15. 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., volume 10, issue 08, pages 1339-1364, DOI: 10.1142/S0219024907004688.
  16. Jianxin Wang, 2007, "Foreign Ownership and Volatility Dynamics of Indonesian Stocks," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 14, issue 3, pages 201-210, September, DOI: 10.1007/s10690-007-9059-4.
  17. Carpenter, Andrew & Wang, Jianxin, 2007, "Herding and the information content of trades in the Australian dollar market," Pacific-Basin Finance Journal, Elsevier, volume 15, issue 2, pages 173-194, April.
  18. Wang, Jianxin, 2007, "Foreign equity trading and emerging market volatility: Evidence from Indonesia and Thailand," Journal of Development Economics, Elsevier, volume 84, issue 2, pages 798-811, November.

2006

  1. Ron Bird & Richard Gerlach, 2006, "A Bayesian Model Averaging Approach to Enhance Value Investment," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 5, issue 2, pages 111-127, August.
  2. Sarah Azzi & Ron Bird & Paolo Ghiringhelli & Emanuele Rossi, 2006, "Biases and information in analysts' recommendations: The European experience," Journal of Asset Management, Palgrave Macmillan, volume 6, issue 5, pages 345-380, January, DOI: 10.1057/palgrave.jam.2240187.
  3. 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;Society for Computational Economics, volume 28, issue 2, pages 113-137, September, DOI: 10.1007/s10614-006-9036-4.
  4. 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;Southwestern Finance Association, volume 29, issue 2, pages 217-234, June, DOI: 10.1111/j.1475-6803.2006.00175.x.
  5. David Michayluk & Gary C. Sanger, 2006, "Day‐End Effect On The Paris Bourse," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, volume 29, issue 1, pages 131-146, March, DOI: 10.1111/j.1475-6803.2006.00170.x.
  6. Bruti-Liberati Nicola & Nikitopoulos-Sklibosios Christina & Platen Eckhard, 2006, "First Order Strong Approximations of Jump Diffusions," Monte Carlo Methods and Applications, De Gruyter, volume 12, issue 3, pages 191-209, October, DOI: 10.1515/156939606778705191.
  7. Kevin Fergusson & Eckhard Platen, 2006, "On the Distributional Characterization of Daily Log-Returns of a World Stock Index," Applied Mathematical Finance, Taylor & Francis Journals, volume 13, issue 1, pages 19-38, DOI: 10.1080/13504860500394052.
  8. David Heath & Eckhard Platen, 2006, "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor & Francis Journals, volume 6, issue 3, pages 197-206, DOI: 10.1080/14697680600699787.
  9. Eckhard Platen, 2006, "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, volume 16, issue 1, pages 131-151, January, DOI: 10.1111/j.1467-9965.2006.00265.x.
  10. Platen, Eckhard, 2006, "Portfolio selection and asset pricing under a benchmark approach," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 370, issue 1, pages 23-29, DOI: 10.1016/j.physa.2006.04.036.
  11. Eckhard Platen, 2006, "A benchmark approach to asset management," Journal of Asset Management, Palgrave Macmillan, volume 6, issue 6, pages 390-405, March, DOI: 10.1057/palgrave.jam.2240190.
  12. Henker, Thomas & Wang, Jian-Xin, 2006, "On the importance of timing specifications in market microstructure research," Journal of Financial Markets, Elsevier, volume 9, issue 2, pages 162-179, May.
  13. Kathleen D. Walsh, 2006, "Is the Ex Ante Risk Premium Always Positive? Further Evidence," Australian Journal of Management, Australian School of Business, volume 31, issue 1, pages 93-113, June, DOI: 10.1177/031289620603100106.

2005

  1. Azzi, Sarah & Bird, Ron, 2005, "Prophets during boom and gloom downunder," Global Finance Journal, Elsevier, volume 15, issue 3, pages 337-367, February.
  2. Ron Bird & Xue-Zhong (Tony) He & Satish Thosar & Paul Woolley, 2005, "The case for market inefficiency: Investment style and market pricing," Journal of Asset Management, Palgrave Macmillan, volume 5, issue 6, pages 365-388, April, DOI: 10.1057/palgrave.jam.2240154.
  3. Sunil Venaik & David F Midgley & Timothy M Devinney, 2005, "Dual paths to performance: the impact of global pressures on MNC subsidiary conduct and performance," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, volume 36, issue 6, pages 655-675, November.
  4. Peter Buchen & Otto Konstandatos, 2005, "A New Method Of Pricing Lookback Options," Mathematical Finance, Wiley Blackwell, volume 15, issue 2, pages 245-259, April, DOI: 10.1111/j.0960-1627.2005.00219.x.
  5. William Bertin & Paul Kofman & Professor David Michayluk & Laurie Prather, 2005, "Intraday REIT Liquidity," Journal of Real Estate Research, American Real Estate Society, volume 27, issue 2, pages 155-176.
  6. Eckhard Platen, 2005, "On The Role Of The Growth Optimal Portfolio In Finance," Australian Economic Papers, Wiley Blackwell, volume 44, issue 4, pages 365-388, December, DOI: 10.1111/j.1467-8454.2005.00271.x.
  7. Wolfgang Breymann & Leah Kelly & Eckhard Platen, 2005, "Intraday Empirical Analysis and Modeling of Diversified World Stock Indices," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 12, issue 1, pages 1-28, March, DOI: 10.1007/s10690-006-9010-0.
  8. Carl Chiarella & Eckhard Platen, 2005, "Editorials," Quantitative Finance, Taylor & Francis Journals, volume 5, issue 3, pages 235-235, DOI: 10.1080/14697680500242803.
  9. Eckhard Platen, 2005, "An Alternative Interest Rate Term Structure Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 8, issue 06, pages 717-735, DOI: 10.1142/S0219024905003244.
  10. 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., volume 8, issue 08, pages 1157-1177, DOI: 10.1142/S0219024905003360.
  11. Ron Guido & Kathleen Walsh, 2005, "Bond Term Premium Analysis in the Presence of Multiple Regimes," International Review of Finance, International Review of Finance Ltd., volume 5, issue 1‐2, pages 31-54, March, DOI: 10.1111/j.1468-2443.2006.00050.x.

2004

  1. Ron Bird & Jonathan Whitaker, 2004, "The performance of value and momentum investment portfolios: Recent experience in the major European markets Part 2," Journal of Asset Management, Palgrave Macmillan, volume 5, issue 3, pages 157-175, October, DOI: 10.1057/palgrave.jam.2240136.
  2. 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, volume 28, issue 4, pages 339-354, May.
  3. David Heath & Eckhard Platen, 2004, "Understanding the Implied Volatility Surface for Options on a Diversified Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 55-77, March, DOI: 10.1007/s10690-005-4249-4.
  4. Eckhard Platen, 2004, "Diversified Portfolios with Jumps in a Benchmark Framework," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 1-22, March, DOI: 10.1007/s10690-005-4253-8.
  5. Eckhard Platen & Jason West, 2004, "A Fair Pricing Approach to Weather Derivatives," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 23-53, March, DOI: 10.1007/s10690-005-4252-9.
  6. Shane Miller & Eckhard Platen, 2004, "A Two-Factor Model for Low Interest Rate Regimes," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 107-133, March, DOI: 10.1007/s10690-005-4251-x.
  7. Eckhard Platen & Wolfgang Runggaldier, 2004, "A Benchmark Approach to Filtering in Finance," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 11, issue 1, pages 79-105, March, DOI: 10.1007/s10690-005-4301-4.
  8. Eckhard Platen, 2004, "Modeling The Volatility And Expected Value Of A Diversified World Index," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 7, issue 04, pages 511-529, DOI: 10.1142/S0219024904002499.

2003

  1. Paul Woolley & Ron Bird, 2003, "Economic implications of passive investing," Journal of Asset Management, Palgrave Macmillan, volume 3, issue 4, pages 303-312, March, DOI: 10.1057/palgrave.jam.2240084.
  2. Ron Bird & Jonathan Whitaker, 2003, "The performance of value and momentum investment portfolios: Recent experience in the major European markets," Journal of Asset Management, Palgrave Macmillan, volume 4, issue 4, pages 221-246, December, DOI: 10.1057/palgrave.jam.2240105.
  3. 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;Society for Computational Economics, volume 22, issue 2, pages 113-138, October, DOI: 10.1023/A:1026177612385.
  4. Nadima El-Hassan & Paul Kofman, 2003, "Tracking Error and Active Portfolio Management," Australian Journal of Management, Australian School of Business, volume 28, issue 2, pages 183-207, September, DOI: 10.1177/031289620302800204.
  5. Tiffany Hutcheson, 2003, "Exchange Rate Movements As Explained By Dealers," Economic Papers, The Economic Society of Australia, volume 22, issue 3, pages 35-46, September, DOI: j.1759-3441.2003.tb01124.x.
  6. McDonald, Cynthia G. & Michayluk, David, 2003, "Suspicious trading halts," Journal of Multinational Financial Management, Elsevier, volume 13, issue 3, pages 251-263, July.
  7. Carl Chiarella & Christina Sklibosios, 2003, "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 10, issue 2, pages 87-127, September, DOI: 10.1007/s10690-005-6006-0.
  8. David Heath & Eckhard Platen, 2003, "Pricing of index options under a minimal market model with log-normal scaling," Quantitative Finance, Taylor & Francis Journals, volume 3, issue 6, pages 442-450, DOI: 10.1088/1469-7688/3/6/303.
  9. Eckhard Platen & Gerhard Stahl, 2003, "A Structure for General and Specific Market Risk," Computational Statistics, Springer, volume 18, issue 3, pages 355-373, September, DOI: 10.1007/BF03354603.
  10. Bühlmann, Hans & Platen, Eckhard, 2003, "A Discrete Time Benchmark Approach for Insurance and Finance," ASTIN Bulletin, Cambridge University Press, volume 33, issue 2, pages 153-172, November.

2002

  1. R Bird & DR Gallagher, 2002, "The evaluation of active manager returns in a non-symmetrical environment," Journal of Asset Management, Palgrave Macmillan, volume 2, issue 4, pages 303-324, March, DOI: 10.1057/palgrave.jam.2240055.
  2. David Heath & Eckhard Platen, 2002, "Consistent pricing and hedging for a modified constant elasticity of variance model," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 6, pages 459-467, DOI: 10.1080/14697688.2002.0000013.
  3. David Heath & Eckhard Platen, 2002, "A variance reduction technique based on integral representations," Quantitative Finance, Taylor & Francis Journals, volume 2, issue 5, pages 362-369, DOI: 10.1088/1469-7688/2/5/305.
  4. Küchler, Uwe & Platen, Eckhard, 2002, "Weak discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 59, issue 6, pages 497-507.
  5. Kubilius Kestutis & Platen Eckhard, 2002, "Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps," Monte Carlo Methods and Applications, De Gruyter, volume 8, issue 1, pages 83-96, December, DOI: 10.1515/mcma.2002.8.1.83.
  6. David Heath & Eckhard Platen, 2002, "Perfect Hedging Of Index Derivatives Under A Minimal Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 07, pages 757-774, DOI: 10.1142/S0219024902001729.
  7. Erik Schlögl, 2002, "A multicurrency extension of the lognormal interest rate Market Models," Finance and Stochastics, Springer, volume 6, issue 2, pages 173-196.

2001

  1. R Bird & R Gerlach & AD Hall, 2001, "The prediction of earnings movements using accounting data: An update and extension of Ou and Penman," Journal of Asset Management, Palgrave Macmillan, volume 2, issue 2, pages 180-195, September, DOI: 10.1057/palgrave.jam.2240043.
  2. Tiffany Hutcheson, 2001, "Trading In Foreign Exchange," Economic Papers, The Economic Society of Australia, volume 20, issue 2, pages 13-25, June, DOI: j.1759-3441.2001.tb00277.x.
  3. David Heath & Eckhard Platen & Martin Schweizer, 2001, "A Comparison of Two Quadratic Approaches to Hedging in Incomplete Markets," Mathematical Finance, Wiley Blackwell, volume 11, issue 4, pages 385-413, October, DOI: 10.1111/1467-9965.00122.
  4. Tim Dun & Geoff Barton & Erik Schlögl, 2001, "Simulated Swaption Delta–Hedging In The Lognormal Forward Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 4, issue 04, pages 677-709, DOI: 10.1142/S0219024901001127.
  5. 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, volume 41, issue 3, pages 229-242, November, DOI: 10.1111/1467-629X.00060.
  6. Wang, Jian-Xin, 2001, "Quote revision and information flow among foreign exchange dealers," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 11, issue 2, pages 115-136, June.
  7. Ron Guido & Kathleen Walsh, 2001, "Equity Market Valuation: Assessing the Adequacy of Value Measures to Predict Index Returns," Australian Journal of Management, Australian School of Business, volume 26, issue 2, pages 163-196, December, DOI: 10.1177/031289620102600205.

2000

  1. Kosedag, Arman & Michayluk, David, 2000, "Dividend initiations in reverse-LBO firms," Review of Financial Economics, Elsevier, volume 9, issue 1, pages 55-63.
  2. Norbert Hofmann & Eckhard Platen, 2000, "Approximating Large Diversified Portfolios," Mathematical Finance, Wiley Blackwell, volume 10, issue 1, pages 77-88, January, DOI: 10.1111/1467-9965.00081.
  3. Küchler, Uwe & Platen, Eckhard, 2000, "Strong discrete time approximation of stochastic differential equations with time delay," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 54, issue 1, pages 189-205.
  4. Erik Schlogl & Lutz Schlogl, 2000, "A square root interest rate model fitting discrete initial term structure data," Applied Mathematical Finance, Taylor & Francis Journals, volume 7, issue 3, pages 183-209, DOI: 10.1080/13504860110034770.

1999

  1. 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, volume 23, issue 9-10, pages 1387-1424, September.
  2. Eckhard Platen, 1999, "A short term interest rate model," Finance and Stochastics, Springer, volume 3, issue 2, pages 215-225.
  3. Fischer Paul & Platen Eckhard, 1999, "Applications of the balanced method to stochastic differential equations in filtering," Monte Carlo Methods and Applications, De Gruyter, volume 5, issue 1, pages 19-38, December, DOI: 10.1515/mcma.1999.5.1.19.
  4. Wang, Jianxin, 1999, "Asymmetric information and the bid-ask spread: an empirical comparison between automated order execution and open outcry auction," Journal of International Financial Markets, Institutions and Money, Elsevier, volume 9, issue 2, pages 115-128, April.

1998

  1. Tiffany Hutcheson & Ian G. Sharpe, 1998, "Ownership Structure and Building Society Efficiency," Australian Journal of Management, Australian School of Business, volume 23, issue 2, pages 151-168, December, DOI: 10.1177/031289629802300202.
  2. Paul Brockman & David Michayluk, 1998, "The persistent holiday effect: additional evidence," Applied Economics Letters, Taylor & Francis Journals, volume 5, issue 4, pages 205-209, DOI: 10.1080/135048598354825.
  3. Paul Brockman & David Michayluk, 1998, "Individual versus institutional investors and the weekend effect," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 22, issue 1, pages 71-85, March, DOI: 10.1007/BF02823234.
  4. Eckhard Platen & Martin Schweizer, 1998, "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, volume 8, issue 1, pages 67-84, January, DOI: 10.1111/1467-9965.00045.
  5. Walsh, David M. & Walsh, Kathleen D. & Evans, John P., 1998, "Assessing estimation error in a tracking error variance minimisation framework," Pacific-Basin Finance Journal, Elsevier, volume 6, issue 1-2, pages 175-192, May.

1997

  1. Simon Hurst & Eckhard Platen & Svetlozar Rachev, 1997, "Subordinated Market Index Models: A Comparison," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, volume 4, issue 2, pages 97-124, May, DOI: 10.1023/A:1009650313980.
  2. Rowan Trayler & Ross Jones & James Nielsen, 1997, "The Bank Selection Process: A Comparison Of Australia And The United States," Economic Papers, The Economic Society of Australia, volume 16, issue 4, pages 1-10, December, DOI: j.1759-3441.1997.tb00157.x.
  3. Bollerslev, Tim & Domowitz, Ian & Wang, Jianxin, 1997, "Order flow and the bid-ask spread: An empirical probability model of screen-based trading," Journal of Economic Dynamics and Control, Elsevier, volume 21, issue 8-9, pages 1471-1491, June.
  4. Wang, Jian-Xin & Wong, Hoi-In, 1997, "The predictability of Asian exchange rates: evidence from Kalman filter and ARCH estimations," Journal of Multinational Financial Management, Elsevier, volume 7, issue 3, pages 231-252, October.

1995

  1. Chan, Keith K. W. & McColough, Damien W. & Skully, Michael T., 1995, "Dividend reinvestment plans in australia," Global Finance Journal, Elsevier, volume 6, issue 1, pages 79-99.
  2. Platen, Eckhard, 1995, "On weak implicit and predictor-corrector methods," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 38, issue 1, pages 69-76, DOI: 10.1016/0378-4754(93)E0068-G.
  3. James F. Nielsen & Rowan M. Trayler & Bonnie M. Brown, 1995, "Banking Expectations: Do Bankers Really Understand the Needs of the Small Business Customer?," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 4, issue 2, pages 99-112, Fall.

1994

  1. Domowitz, Ian & Wang, Jianxin, 1994, "Auctions as algorithms : Computerized trade execution and price discovery," Journal of Economic Dynamics and Control, Elsevier, volume 18, issue 1, pages 29-60, January.

1993

  1. Keith K.W. Chan & Damien W. McColough & Michael T. Skully, 1993, "Australian Tax Changes and Dividend Reinvestment Announcement Effects: A Pre- and Post-Imputation Study," Australian Journal of Management, Australian School of Business, volume 18, issue 1, pages 41-62, June, DOI: 10.1177/031289629301800102.
  2. Devinney, Timothy M., 1993, "How well do patents measure new product activity?," Economics Letters, Elsevier, volume 41, issue 4, pages 447-450.

1992

  1. Norbert Hofmann & Eckhard Platen & Martin Schweizer, 1992, "Option Pricing Under Incompleteness and Stochastic Volatility," Mathematical Finance, Wiley Blackwell, volume 2, issue 3, pages 153-187, July, DOI: 10.1111/j.1467-9965.1992.tb00027.x.

1991

  1. Chaney, Paul K & Devinney, Timothy M & Winer, Russell S, 1991, "The Impact of New Product Introductions on the Market Value of Firms," The Journal of Business, University of Chicago Press, volume 64, issue 4, pages 573-610, October, DOI: 10.1086/296552.

1990

  1. Bird, Ron & Cunningham, Ross & Dennis, David & Tippett, Mark, 1990, "Portfolio insurance: a simulation under different market conditions," Insurance: Mathematics and Economics, Elsevier, volume 9, issue 1, pages 1-19, March.
  2. Keith K.W. Chan & Toan M. Pham, 1990, "Models of Inflation Forecasts: Some Australian Evidence," Australian Journal of Management, Australian School of Business, volume 15, issue 1, pages 89-105, June, DOI: 10.1177/031289629001500104.
  3. Timothy M. Devinney & Hellmuth Milde, 1990, "Agency Contracting and Inside Debt," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 126, issue 2, pages 97-111, June.

1989

  1. Devinney, Timothy M., 1989, "Rationally determined irrationality: An extension of the thesis of rationality as anti-entropic," Journal of Economic Psychology, Elsevier, volume 10, issue 3, pages 303-319, November.
  2. Platen, Eckhard, 1989, "A law of large numbers for wide range exclusion processes in random media," Stochastic Processes and their Applications, Elsevier, volume 31, issue 1, pages 33-49, March.

1988

  1. Lee, Bong Woo, 1988, "Rationing in a theory of the banking firm, studies in contemporary economics : Timothy M. Devinney, (Springer, New York, 1986) pp. VI + 102," Journal of Banking & Finance, Elsevier, volume 12, issue 4, pages 611-612, December.

1987

  1. Bird, Ron & McCrae, Michael & Beggs, John J, 1987, "Are Gamblers Really Risk Takers?," Australian Economic Papers, Wiley Blackwell, volume 26, issue 49, pages 237-253, December.
  2. Ron Bird & Michael McCrae, 1987, "Tests of the Efficiency of Racetrack Betting Using Bookmaker Odds," Management Science, INFORMS, volume 33, issue 12, pages 1552-1562, December, DOI: 10.1287/mnsc.33.12.1552.
  3. Liske, Horst & Platen, Eckhard, 1987, "Simulation studies on time discrete diffusion approximations," Mathematics and Computers in Simulation (MATCOM), Elsevier, volume 29, issue 3, pages 253-260, DOI: 10.1016/0378-4754(87)90135-2.

1986

  1. Ron Bird & Mark Tippett, 1986, "Note---Naive Diversification and Portfolio Risk---A Note," Management Science, INFORMS, volume 32, issue 2, pages 244-251, February, DOI: 10.1287/mnsc.32.2.244.

1985

  1. Platen, Eckhard & Rebolledo, Rolando, 1985, "Weak convergence of semimartingales and discretisation methods," Stochastic Processes and their Applications, Elsevier, volume 20, issue 1, pages 41-58, July.
  2. Terry, Chris, 1985, "Inflation and the Personal Income Tax," Economic Analysis and Policy, Elsevier, volume 15, issue 2, pages 145-163.

1983

  1. Ron Bird & Helen Chin & Michael McCrae, 1983, "The Performance of Australian Superannuation Funds," Australian Journal of Management, Australian School of Business, volume 8, issue 1, pages 49-69, June, DOI: 10.1177/031289628300800104.
  2. Schueler, Manfred & Terry, Chris, 1983, "Comparisons of the Structural Progressivity of the Personal Income Tax," Australian Economic Papers, Wiley Blackwell, volume 22, issue 4, pages 83-89, June.

Books

2015

  1. Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015, "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, number 978-3-662-45906-5, edition 127, ISBN: ARRAY(0x83fde7c0), December, DOI: 10.1007/978-3-662-45906-5.
  2. Vinay Patel, 2015, "Price Discovery in US and Australian Stock and Options Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 6-2015, January-A.
  3. Scott Walker, 2015, "Repeated Dividend Increases: A Collection of Four Essays," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2015, January-A.

2012

  1. Danny Yeung, 2012, "The Impact of Institutional Ownership: A Study of the Australian Equity Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2012, January-A.

2009

  1. Hardy Hulley, 2009, "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2009, January-A.

2005

  1. Christina Nikitopoulos-Sklibosios, 2005, "A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2005, January-A.

Chapters

2016

  1. Chi Chung Siu & Sheung Chi Phillip Yam & Wei Zhou, 2016, "Callable Stock Loans," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Masaaki Kijima & Yukio Muromachi & Takashi Shibata, "RECENT ADVANCES IN FINANCIAL ENGINEERING 2014 Proceedings of the TMU Finance Workshop 2014".

2011

  1. Eckhard Platen, 2011, "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 28, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
  2. Chi Chung Siu, 2011, "Option Pricing with a Regime-Switching Lévy Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".

2010

  1. Hardy Hulley & Martin Schweizer, 2010, "M6—On Minimal Market Models and Minimal Martingale Measures," Springer Books, Springer, in: Carl Chiarella & Alexander Novikov, "Contemporary Quantitative Finance", DOI: 10.1007/978-3-642-03479-4_3.
  2. Hardy Hulley, 2010, "The Economic Plausibility of Strict Local Martingales in Financial Modelling," Springer Books, Springer, in: Carl Chiarella & Alexander Novikov, "Contemporary Quantitative Finance", DOI: 10.1007/978-3-642-03479-4_4.
  3. In-Hwan Chung & Tim Dun & Erik Schlögl, 2010, "Lognormal Forward Market Model (LFM) Volatility Function Approximation," Springer Books, Springer, in: Carl Chiarella & Alexander Novikov, "Contemporary Quantitative Finance", DOI: 10.1007/978-3-642-03479-4_19.
  4. Chris Bajada & Rowan Trayler, 2010, "How Australia Survived the Global Financial Crises," Chapters, Edward Elgar Publishing, chapter 8, in: Benton E. Gup, "The Financial and Economic Crises".

2008

  1. R. Bird & M. McCrae, 2008, "The Efficiency Of Racetrack Betting Markets: Australian Evidence," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 57, in: Donald B Hausch & Victor SY Lo & William T Ziemba, "Efficiency Of Racetrack Betting Markets".
  2. Ron Bird & Michael Mccrae, 2008, "Tests Of The Efficiency Of Racetrack Betting Using Bookmaker Odds," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 59, in: Donald B Hausch & Victor SY Lo & William T Ziemba, "Efficiency Of Racetrack Betting Markets".
  3. Eckhard Platen, 2008, "Simulation Methods for Stochastic Differential Equations," International Handbooks on Information Systems, Springer, chapter 21, in: Detlef Seese & Christof Weinhardt & Frank Schlottmann, "Handbook on Information Technology in Finance", DOI: 10.1007/978-3-540-49487-4_21.
  4. Warren Hogan & Rowan Trayler, 2008, "Bank Governance: Perceptions from Experiences," Chapters, Edward Elgar Publishing, chapter 10, in: Benton E. Gup, "Handbook for Directors of Financial Institutions".

2007

  1. Rowan Trayler, 2007, "A Survey of Corporate Governance in Banking: Characteristics of the Top 100 World Banks," Chapters, Edward Elgar Publishing, chapter 9, in: Benton E. Gup, "Corporate Governance in Banking".

2004

  1. Eckhard Platen, 2004, "A Benchmark Framework for Risk Management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Jiro Akahori & Shigeyoshi Ogawa & Shinzo Watanabe, "Stochastic Processes And Applications To Mathematical Finance".

2001

  1. David Heath & Eckhard Platen, 2001, "Pricing and Hedging of Index Derivatives under an Alternative Asset Price Model with Endogenous Stochastic Volatility," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Jiongmin Yong, "Recent Developments In Mathematical Finance".

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