Working Papers

From University of Tasmania, Tasmanian School of Business and Economics
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2019-05: Multi-product firms and increasing marginal costs

Oscar Pavlov

2019-04: How resilient is ASEAN-5 to trade shocks? Regional and global shocks compared

Mala Raghavan and Evelyn Devadason

2019-03: Profit and equity trade-offs in the management of small pelagic fisheries: the case of the Japanese sardine fishery

Ho Geun Jang, Satoshi Yamazaki and Eriko Hoshino

2019-02: An empirical examination of the jump and diffusion aspects of asset pricing: Japanese evidence

Biplob Chowdhury and Nagaratnam Jeyasreedharan

2019-01: An analysis of the global oil market using SVARMA models

Mala Raghavan

2018-10: Tourist arrivals, energy consumption and pollutant emissions in a developing economy–implications for sustainable tourism

Rabindra Nepal, Muhammad Indra al Irsyad and Sanjay Kumar Nepal

2018-09: Estimating the impacts of financing support policies towards photovoltaic market in Indonesia: A social-energy-economy-environment (SE3) model simulation

Muhammad Indra al Irsyad, Anthony Halog and Rabindra Nepal

2018-08: Annual report "Graphicity" and stock returns

Xiaohu Deng and Lei Gao

2018-07: Financial and non-financial global stock market volatility shocks

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

2018-06: Home advantage: the preference for local residential real estate

Danika Wright and Maria. B Yanotti

2018-05: The changing network of financial market linkages: the Asian experience

Biplob Chowdhury, Mardi Dungey, Moses Kangogo, Mohammad Abu Sayeed and Vladimir Volkov

2018-04: An unobserved component modeling approach to evaluate multi-horizon forecasts

Jing Tian and Thomas Goodwin

2018-03: The demand and supply for esteem: an experimental analysis

Paul Blacklow, Amy Beth Corman and Hugh Sibly

2018-02: Analysis of shock transmissions to a small open emerging economy using a SVARMA model

Mala Raghavan and George Athanasopoulos

2018-01: Who, What, Where? Residential Property Investment in Australia

Mardi Dungey, Danika Wright and Maria Yanotti

2017-15: A state space approach to evaluate multi-horizon forecasts

Thomas Goodwin and Jing Tian

2017-14: Short Selling and Politically Motivated Negative Information Hoarding

Xiaohu Deng, Christine Jiang and Danqing Young

2017-13: The information content of short selling and put option trading: When are they substitutes?

Xiaohu Deng, Lei Gao and David Kemme

2017-12: R&D and wholesale trade are critical to the economy: Identifying dominant sectors from economic networks

Mardi Dungey and Vladimir Volkov

2017-11: Signed spillover effects building on historical decompositions

Mardi Dungey, John Harvey, Pierre Siklos and Vladimir Volkov

2017-10: Quantile relationships between standard, diffusion and jump betas across Japanese banks

Biplob Chowdhury, Nagaratnam Jeyasreedharan and Mardi Dungey

2017-09: Divergence of opinion and long-run performance of private placements: evidence from the auction market

Jianlei Han, Zheyao Pan and Guangli Zhang

2017-08: World steel production: A new monthly indicator of global real economic activity

Francesco Ravazzolo and Joaquin Vespignani

2017-07: Macro-financial effects of portfolio flows: Malaysia’s experience

Tng Boon Hwa, Mala Raghavan and Teh Tian Huey

2017-06: A semi-parametric point process model of the interactions between equity markets

Adam Clements, Stan Hurn, K.A. Lindsay and V.v Volkov

2017-05: Global commodity prices and global stock volatility shocks: effects across countries

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

2017-04: The changing international network of sovereign debt and financial institutions

Mardi Dungey, John Harvey and Vladimir Volkov

2017-03: Trade uncertainty and income inequality

Markus Brueckner and Joaquin Vespignani

2017-02: Oil price shocks and policy uncertainty: New evidence on the effects of US and non-US oil production

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

2017-01: The impact of global uncertainty on the global economy, and large developed and developing economies

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

2016-04: Forecasting output gaps in the G-7 countries: The role of correlated Innovations and structural breaks

Mardi Dungey, Jan Jacobs and Jing Tian

2016-03: The impact of oil price shocks on the US stock market: A note on the roles of the US and non-US oil production

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

2016-02: The implications of liquidity expansion in China for the US dollar

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

2016-01: Global uncertainty and the global economy: Decomposing the impact of uncertainty shocks

Wensheng Kang, Ronald Ratti and Joaquin Vespignani

2015-10: The macroeconomic effects of oil price shocks on ASEAN-5 economies

Mala Raghavan

2015-09: What drives the global official/policy interest rate?

Ronald Ratti and Joaquin Vespignani

2015-08: Oil prices and global factor macroeconomic variables

Ronald Ratti and Joaquin Vespignani

2015-07: A new monthly indicator of global real economic activity

Francesco Ravazzolo and Joaquin Vespignani

2015-06: Understanding the deviations of the Taylor Rule: a new methodology with an application to Australia

Kerry Hudson and Joaquin Vespignani

2015-05: The role of intra-day volatility pattern in jump detection: empirical evidence on how financial markets respond to macroeconomic news announcements

Wenying Yao and Jing Tian

2015-04: High frequency characterization of Indian banking stocks

Mohammad Abu Sayaeed, Mardi Dungey and Wenying Yao

2015-03: Turn-taking in finitely repeated symmetric games: experimental evidence

Hugh Silby, John Tisdell and Shaun Evans

2015-02: Intra- and inter-village conflict in rural coastal communites in Indonesia: the case of the Kei islands

Satoshi Yamazaki, Budy Resosudarmo, Wardis Girsang and Eriko Hoshino

2015-01: Surfing through the GFC: systemic risk in Australia

Mardi Dungey, Matteo Luciani, Marius Matei and David Veredas

2014-14: VAR(MA), what is it good for? more bad news for reduced-form estimation and inference

Wenying Yao, Timothy Kam and Farshid Vahid

2014-13: OPEC and non-OPEC oil producioon and the global economy

Ronald Ratti and Joaquin Vespignani

2014-12: Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data

Mardi Dungey, Marius Matei and Sirimon Treepongkaruna

2014-11: The impact of post-IPO changes in corporate governance mechanisms on firm performance: evidence from young Australian firms

Biplob Chowdhury, Mardi Dungey and Thu Phuong Pham

2014-10: Contagion and banking crisis — internatonal evidence for 2007-2009

Mardi Dungey and Dinesh Gajurel

2014-09: VAR modelling in the presence of China’s rise: an application to the Taiwanese economy

Mardi Dungey, Tugrul Vehbi and Charlton Martin

2014-08: How many stocks are enough for diversifying Canadian institutional portfolios?

Vitali Alexeev and Francis Tapon

2014-07: Forecasting with EC-VARMA models

George Athanasopouolos, Donald Poskitt, Farshid Vahid and Wenying Yao

2014-06: Canadian monetary policy analysis using a structural VARMA model

Mala Raghavan, George Athanasopoulos and Param Silvapulle

2014-05: The sectorial impact of commodity price shocks in Australia

Stephen J. Knop and Joaquin Vespignani

2014-04: Should ASEAN-5 Monetary Policymakers Act Pre-emptively Against Stock Market Bubbles?

Mala Raghavan and Mardi Dungey

2014-03: Mortgage Choice Determinants: the Role of Risk and Bank Regulation

Mardi Dungey, Firmin Doko Tchatoka, Graeme Wells and Maria Belen Yanotti

2014-02: Concurrent momentum and contrarian strategies in the Australian stock market

Minh Phuong Doan, Vitali Alexeev and Robert Brooks

2014-01: A review of the Australian mortgage market

Maria Belen Yanotti

2013-20: Towards a diagnostic approach to climate adaptation for fisheries

Peat Leith, Emily Ogier, Gretta Pecl, Eriko Hoshino, Julie Davidson and Marcus Haward

2013-18: Equity portfolio diversification with high frequency data

Vitali Alexeev and Mardi Dungey

2013-18: Measuring the performance of hedge funds using two-stage peer group benchmarks

Marco Wilkens, Juan Yao, Nagaratnam Jeyasreedharan and Patrick Oehler

2013-17: What Australian investors need to know to diversity their portfolios

Vitali Alexeev and Francis Tapon

2013-16: Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets

Vitali Alexeev and Francis Tapon

2013-02: The impact of jumps and thin trading on realized hedge ratios

Mardi Dungey, Ólan Henry and Lyudmyla Hvodzdyk

2013-01: Why crude oil prices are high when global activity is weak?

Ronald Ratti and Joaquin Vespignani

2012-12: The industrial impact of monetary shocks during the inflation targeting era in Australia

Joaquin Vespignani

2012-09: Exchange Rate Risk Exposure and the Value of European Firms

Fabio Parlapiano and Vitali Alexeev

1455: Transaction costs, trust, and the structuring of markets

Paul Robertson

818: A Regular Demand System with Commodity-Specific Demographic Effects

Paul Blacklow, Russell Cooper, Roger Ham and Keith McLaren