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Working Paper Series
from School of Finance and Economics, University of Technology, Sydney PO Box 123, Broadway, NSW 2007, Australia. Contact information at EDIRC . Series data maintained by Duncan Ford ().
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58: Stochastic Interest Rates, Transaction Costs and Immunizing Foreign Currency Risk
R. Chiang , John Okunev and M. Tippett
57: Some Further Evidence in Relation to Short Termism of Stock Prices
Ian Davidson , John Okunev and M. Tippett
56: Estimating the Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach
Ram Bhar and Carl Chiarella
55: Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework
Ram Bhar and Carl Chiarella
54: The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques
Ram Bhar and Carl Chiarella
53: Transformation of Heath-Jarrow-Morton Models to Markovian Systems
Ram Bhar and Carl Chiarella
52: Keynesian Monetary Growth Dynamics: The Missing Prototype
Carl Chiarella and Peter Flaschel
51: Fitting Parsimonious Yield Curve Models to Australian Coupon Bond Data
Ben Hunt
50: Modelling the Yields on Australian Coupon Paying Bonds
Ben Hunt
49: Measuring the Degree of Integration Amongst Domestic and International Real Estate and Financial Assets Markets
Pat Wilson , John Okunev and Guy Ta
48: Testing for Nonlinearities in Economic and Financial Time Series
Maurice Peat and Max Stevenson
47: Using Non-Linear Tests to Examine Integration Between Real Estate and Equity Markets
John Okunev and Pat Wilson
46: Comparing and Contrasting Native Property Title Claims in South Africa and Australia
Pat Wilson and P. DuPlessis
45: Immigration and Labor Government in Australia: 1983-95
Jock Collins
44: Chinese in Australia 1945-1994: Changing Patterns of Migration, Racialisation and Opportunity
Jock Collins and C. Reid
43: A Dynamic Analysis of Cournot Duopoly in Imperfectly Competitive Product and Factor Markets
Carl Chiarella and Koji Okuguchi
42: Are Real Estate and Securities Markets Integrated? Some Australian Evidence
Pat Wilson , John Okunev and Guy Ta
41: The Changing Political Economy of Australian Racism
Jock Collins
40: A Survey of Expectations of Bankers on the Factors Business Firms Use in Selecting a Bank
Rowan Trayler , J. Nielsen and B. Brown
39: Modelling Yen Futures Return Using Daily Data From IMM and Simex
Ram Bhar
38: Earnings, Dividends and Returns: A Theoretical Model
Garry Hobbes , Graham Partington and Max Stevenson
37: Asymmetry in the Business Cycle: Evidence from the Australian Labour Markets
Maurice Peat and Max Stevenson
36: Takeover Bids, Share Prices, and the Expected Value Hypothesis
Elaine Hutson
35: Yield Curve as a Cointegrated System: Evidence from Australian Treasury Securities
Ram Bhar
34: A Limited Stock Arbitrage of the Sydney Futures Exchange SPI Contract
Ben Hunt
33: Circumstantial Evidence of the Influence of Estate Agents on Exchange Price and Market Reserve Price
Pat Wilson
32: The Sources of Unemployment: A Simple Econometric Analysis
Tom Valentine
31: Bank Share Prices and Profitability
Daniel Daugaard
30: Will We Survive the Debt Crisis?
Tom Valentine
29: Miller Modigliani and Ohlson: A Note on an Old Model in New Clothes
Graham Partington
28: Cohesion with Diversity? Immigration and Multiculturalism in Canada and Australia
Jock Collins
27: The Impact of the Closer Economic Relations Agreement on the Cultural Industries in Australia and New Zealand
Ross Jones
26: An Economic Analysis of Genetic Improvement Within a Commercial Livestock Population
Max Stevenson
25: Racism, Ethnicity and Immigration in Canada and Australia
Jock Collins and F. Henry
24: In Shared Information Services is Size Important?
Pat Wilson and Wayne Dwyer
23: Shared Information - Comparing Multilist and Franchise Operations
Pat Wilson
22: Bank Interest Rate Margins
Tom Valentine
21: Lessons From Australia's Lending Experience in the Eighties
Tom Valentine
20: Share Prices: A Comparison of Fundamental Models
Daniel Daugaard and Tom Valentine
19: Performance Differences Within the Market for Housing
Garry de Jager and Joseph Winsen
18: Performance Differences Within the Market for Housing
Pat Wilson
17: Asset Allocation and Diversification by Real Estate Sector Within a Portfolio: Two Australian Case Studies
Mike Wallace
16: Australian Tax Changes and Dividend Reinvestment Announcement Effects: A Pre- and Post-Imputation Study
Keith Chan , D McColough and Michael Skully
15: The Strategic Importance of the Rural Sector
Carolyn Currie
14: Developments in Nonlinear Economic Dynamics: Past, Present and Future
Carl Chiarella
13: The Dynamics of Speculative Behaviour
Carl Chiarella
12: Immigrant Families in Australia
Jock Collins
11: The Birth of Limit Cycles in Cournot Oligopoly Models with Time Delays
Carl Chiarella
10: A Forecasting Model of Option Pricing Volatility
Ben Hunt
9: The Need for Reform of the Australian Financial Regulatory System
Carolyn Currie
8: Exploiting Volatility Movements in the Sydney Futures Exchange's Bank Bill Contract
Ben Hunt and Ram Bhar
7: Multiculturalism in Australia: The Challenges Ahead
Jock Collins
6: Monetary and Fiscal Policy Under Nonlinear Exchange Rate Dynamics
Carl Chiarella
5: The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context
Simon Loria , Toan Pham and Ah Boon Sim
4: The Interaction of the Financing and Investment Decisions: Preliminary Results in the Australian Context
Carl Chiarella , Toan Pham , Ah Boon Sim and Madeleine Tan
3: Determinants of Corporate Capital Structure: Australian Evidence
Carl Chiarella , Toan Pham , Ah Boon Sim and Madeleine Tan
2: A Note on Parameters in Binomial Option Pricing
Garry de Jager
1: Costly Information, Informed Investors and the Use of Sophisticated Capital Budgeting Techniques
Mark Freeman and Garry Hobbes