I'm an associate professor in Business Analytics at Macquarie University (Sydney) and a program director of Master of Business Analytics.
I work in the areas of Predictive Analytics, Econometrics 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
About my Research
I have contributed to several areas of econometrics and empirical economics including forecasting, modelling of volatility, and the identification of structural/causal models. Over the last two years I have worked on a number of forecasting projects, incorporating machine learning methods into time series forecasts.
I have published 28 refereed journal articles since 2005, including five A* and nine A ranked publications, according to the 2019 Australian Business Deans Council (ABDC) journal quality List. As part of my recent work I investigate identification issues in structural econometric models within various macroeconomic and finance applications. This has led to a number of publications in top journals such as the Journal of Business and Economic Statistics (A*), Journal of Econometrics (A*), Journal of Economic Dynamics and Control (A*), and the Journal of Banking and Finance (A*). I also work in the area of real estate economics and have published six journal articles on that topic. In my early research I focused on modelling and forecasting asset returns and volatilities. Hence, most of that research was published in various finance journals such as Journal of Banking and Finance (A*) and Journal of Financial Research (A).
According to Google scholar my h-index is 14 and my i10-index is 15. In total I have had 796 citations, with the most successful publication being a paper titled “Explaining House prices in Australia: 1970 – 2003” with 215 citations, which was published in Economic Record (ABDC: A rank).
I have obtained research grants from top funding bodies. For instance, I have been successful as a Chief Investigator on two ARC Discovery Projects – DP120102239 and DP190102049. Outcomes of those projects have been awarded prizes at conferences and by academic journals. I have also had a number of smaller research grants secured from other sources.
The ordering of author names in my publications is typically alphabetical, as is common in the field of economics and does not represent author contributions. In joint work with research students, the student names are often listed first.
- "Mapping Out Connectedness Amongst International Residential Property Markets" accepted for publication in Economics Letters
- “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" (2019) with Shi, S. and Tan, D. Quantitative Finance, 19(2), 247-263.
- “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
- The Age of Surveillance Capitalism by Shoshana Zuboff
- 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