Working Paper Series

From Finance Discipline Group, UTS Business School, University of Technology, Sydney
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85: Disequilibrium Growth Theory: Foundations, Synthesis, Perspectives

Carl Chiarella and Peter Flaschel

84: An International Comparison of Regulatory Regimes and Trading Structures: Seven Stock Markets, (Parts II and III)

Lori Semaan

83: An International Comparison of Regulatory Regimes and Trading Structures: Seven Stock Markets, (Part I)

Lori Semaan

82: Is Speculative Activity in Asia Pacific Markets Anything New?

Tiffany Hutcheson

81: Zero-Coupon Yield Curve Estimation: A Principal Component, Polynomial Approach

Ben Hunt and Chris Terry

80: Regime Switches in Property Market Risk Premiums: Some International Comparisons

Patrick Wilson, John Okunev and Tiffany Hutcheson

79: Modelling the Expected Value of the Classical Rescaled Adjusted Range for Long-Term Dependent Series

Craig Ellis

78: Ownership Structure and Building Society Efficiency

Tiffany Hutcheson and Ian Sharpe

77: The Wallis Inquiry, an Information Brief From the Perspective of a Political Economic Historian

Carolyn Currie

76: Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems

Ram Bhar and Carl Chiarella

75: A Survey of Models for the Pricing of Interest Rate Derivatives

Carl Chiarella and Nadima El-Hassan

74: Individual Share Futures Contracts: The Economic Impact of Their Introduction on the Underlying Equity Market

Maurice Peat and M. McCorry

73: Testing for Evidence of Nonlinear Structure in Daily and Weekly United Kingdom Stock and Property Market Indicies

Graham Newell, Maurice Peat and Max Stevenson

72: Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques

Carl Chiarella and Nadima El-Hassan

71: Ethnic Small Business and Employment Creation in Australia in the 1990s

Jock Collins

70: Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data

Ram Bhar and Carl Chiarella

69: Mis-Specification in the Estimation of the Expected Rescaled Adjusted Range Statistic: The Case Versus Peters

Craig Ellis

68: Cosmopolitan Capitalism: Ethnicity, Gender and Small Business in Australia in the 1990s

Jock Collins

67: Does the Process of Spatial Aggregation of U.K. Unemplyment Rate Series Serve to Induce or Remove Evidence of Asymmetry in the Business Cycle

D. Jones, Maurice Peat and Max Stevenson

66: Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model

Ram Bhar and Carl Chiarella

65: Fractional Co-Integration in Domestic and International Real Estate and Stock Markets

John Okunev and Patrick Wilson

64: Learning Dynamics in a Nonlinear Stochastic Model of Exchange Rates

Carl Chiarella and Alexander Khomin

63: A Preference Free Partial Differential Equation for the Term Structure of Interest Rates

Carl Chiarella and Nadima El-Hassan

62: Unit Root Testing with Known and Unknown Structural Breaks in Property and Equity Markets

Patrick Wilson and John Okunev

61: Testing for Evidence of Nonlinear Structure in Australian Real Estate Market Returns

Graham Newell, Maurice Peat and Max Stevenson

60: Some Further Theoretical and Empirical Implications Regarding the Relationship between Earnings, Dividends and Stock Prices

Raymond Chiang, Ian Davidson and John Okunev

59: Modelling the Equity Risk Premium in the Long Term

Ian Davidson, John Okunev and Mohammad Tahir

58: Stochastic Interest Rates, Transaction Costs and Immunizing Foreign Currency Risk

Raymond Chiang, John Okunev and Mark Tippett

57: Some Further Evidence in Relation to Short Termism of Stock Prices

Ian Davidson, John Okunev and Mark 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

Patrick 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 Patrick Wilson

46: Comparing and Contrasting Native Property Title Claims in South Africa and Australia

Patrick 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 Carol 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

Patrick 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 and Graham Partington