I'm an associate professor of Economics at Macquarie University in Sydney. I work in the areas of Econometrics, Data Analytics and Empirical Finance.
My current research interests include:
- Forecasting and Machine Learning
- Housing Market Risk and Investment Opportunities
- Quantifying Connectedness Between Financial Markets
- Simultaneous Equations Models
For a copy of my CV click here
- “Inference in Partially Identified Heteroskedastic Simultaneous Equations Models” with Lütkepohl, H. and Yang, M. accepted for publication in the Journal of Econometrics
- "Bubble Detection and Sector Trading in Real Time" with Shi, S. and Tan, D. accepted for publication in Quantitative Finance
- “Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness” (2018), Australian Economic Review 51(4), 551-563.
- “Simultaneous Equation Systems with Heteroskedasticity: Identification, Estimation, and Stock Price Elasticities” (2018), with Yang, M., Journal of Business and Economic Statistics, 36(2), 288-308.
- "Testing for Identification in SVAR-GARCH Models” (2016), with Lütkepohl, H. , Journal of Economic Dynamics and Control, 73, 241-258.
- “Endogenous crisis dating and contagion using smooth transition structural GARCH” (2015), with Dungey, M., Thorp, S., and Yang, M., Journal of Banking and Finance, 58, 71-79.
- “Speculative Bubbles, Financial Crises and Convergence in Global Real Estate Investment Trusts” (2015), with Joyeux, R., Applied Economics, 47(27), 2878-2898.
- “Local and Global Illiquidity Effects in the Balkans Frontier Markets“ (2014), with Minović, J., Applied Economics, 46(31), 3861-3873.
- “On Identifying Structural VAR models via ARCH Effects” (2013), with Yang, M., Journal of Time Series Econometrics, 5(2), 117–131.
- “Regional and Global Contagion in Real Estate Investment Trusts: The case of the Financial Crisis of 2007-2009” (2013), with Trueck, S. Journal of Property Investment & Finance, 31(1), 53-77.
- “Testing for Contagion in US Industry Portfolios – A Four-Factor Pricing Approach” (2013), with Tan, A., Applied Financial Economics, 23(1), 15-26.
- “Linkages between the U.S. and Asia-Pacific REITs: The Role of Economic and Financial Factors” (2012), with Liu, J., Loudon, G, Journal of Property Investment & Finance, 30(5), 100-119.
- “Forecasting Demand for Australian Passports” (2012), with Joyeux, R. and Rigg, J., Asia Pacific Journal of Tourism Research, 17(1), 100-119.
- “Do Equity Market Correlations Really Change Over Time? The Case of the US and Asia-Pacific Markets” (2011), Insurance Markets and Companies: Analyses and Actuarial Computations, 2(2), 107-114.
- “Measuring the Impact of the GFC on European Equity Markets” (2011), Economics Bulletin, Vol. 31(2), 1237-1246.
- “International Commodity Prices and the Australian Stock Market” (2011), with Heaton, C. and Passé-de Silva, A. ,Economic Record, 87, 37-44.
- “Temporal Links Between the Asia-Pacific and International Stock Markets: 1971-2010” (2010), Investment Management and Financial Innovations, 7(2), 200-208.
- "Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH” (2010), with Dungey, M. and Thorp, S., Journal of Banking and Finance, 34(5), 1008-1021.
- “Testing Market Efficiency in the EU Carbon Futures Market” (2010), with Joyeux, R., Applied Financial Economics, 20(10), 803-809.
- "Measuring the Impact of Carbon Allowance Trading on Energy Prices” (2010), with Nazifi, F., Energy and Environment, 21(5), 367-383.
- “Crude Oil Volatility: Hedgers or Investors” (2010), with Ripple, R., Economics Bulletin, 30(4), 2877-2883.
- “Size-Sorted Portfolios and Information Spillovers: Structural Evidence from Australia” (2009), Investment Management and Financial Innovations, 4(6), 75-83.
- "Measuring Equity Market Integration Using Uncorrelated Information Flows: Tokyo, London and New York" (2007), with Thorp, S., Journal of Multinational Financial Management, 17(4), 275 - 289.
- “Carbon Trading Theory and Practice” (2007), with Stegman, A. and Cotton, D., Journal of the Australian Society of Securities Analysts (JASSA), (3), 3-9.
- "Symmetric Versus Asymmetric Conditional Covariance Forecasts: Does it Pay to Switch" (2007), with Thorp, S., Journal of Financial Research, 30(3), 355 - 377.
- “Valuing Volatility Spillovers” (2006), with Thorp, S., Global Finance Journal, 17(1), 1-22.
- "Explaining House Prices in Australia: 1970-2003" (2005), with Abelson, P, Joyeux, R. and Chung, D., Economic Record, (81), 96-103.
- ECON131 Quantitative Methods in Economics, Business and Finance
- ECON334 Financial Econometrics
- ECON634 Econometrics and Business Statistics
Interesting Non-Fiction I'd Recommend
- A History of Western Philosophy by Bertrand Russell
- Irrational Exuberance (3rd Edition) by Robert J. Shiller
- Thinking, Fast and Slow by Daniel Kahneman
- Everybody Lies by Seth Stephens-Davidowitz
- The Gene by Siddhartha Mukherjee
- Homo Deus: A Brief History of Tomorrow by Yuval Noah Harari
- Ending Aging: The Rejuvenation Breakthroughs That Could Reverse Human Aging in Our Lifetime by Aubrey de Grey and Michael Rae
- Sapiens: A Brief History of Humankind by Yuval Noah Harari
- Subliminal: How Your Unconscious Mind Rules Your Behavior by Leonard Mlodinow