Working Papers

From University of Tasmania, Tasmanian School of Business and Economics
Contact information at EDIRC.
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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 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