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
Current Working Papers
Rail Location Neighbourhoods: Proximity Premiums and Residential Sorting in the Sydney Metropolitan Area (with Laurence Carleton and Roselyne Joyeux)
"Forecasting Australian Real House Price Index: A Comparison Study of Machine Learning and Time Series Methods", Journal of Forecasting, 39(7), 1098-1118 .
"Mapping Out Connectedness Amongst International Residential Property Markets", Economics Letters, 189, 109006.
“Inference in Partially Identified Heteroskedastic Simultaneous Equations Models” with Lütkepohl, H. and Yang, M., Journal of Econometrics, 218(2), 317-345.
"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.
"Pricing Efficiency and Arbitrage in the EU ETS Carbon Futures Market" (2007), with Joyeux, R., Journal of Investment Strategy, 2(2), 23-25.
“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.
ASCT6003 Principles of Finance
BUSA8001 Applied Predictive Analytics
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