Subject area for

Faculty Member
 PROF Guay Lim Faculty Member
 PROF Richard Smith

Conference Papers Refereed

Grant
 A New Class of Statistical Methods for Analysing Long Memory Time Series Models with Heteroskedasticity
 A new paradigm for catchment management: detection, forecasting and management of water catchments with multiple steady states
 Analysis of Fiscal Policy Responses to Macroeconomic Conditions in Australia and the US using Real Time Data
 Asset Market Interconnectedness and Exotic Options: The Mean Impact Surface
 Australian Real Time Data: Construction, Analysis and Implications for Real Time Policy Making
 Developing a longterm satellite soil moisture record for model evaluation
 Dynamic Count Models of Financial Contagion with Applications to Global Banking and Currency Crises
 Early Career Researcher Grant Scheme
 Helping Central Banks Measure Unobserved Variables Using Realtime Forecasts
 LABOUR’S CHANGING SHARE OF AUSTRALIA’S NATIONAL INCOME
 Measuring and predicting systematic and systemic risks in financial markets
 NONLINEAR TIME SERIES ANALYSIS USING COPULAS: NEW MODELS & BETTER FORECASTS
 The US Interest Rate Conundrum and its Implications for Australia

Journal Articles Refereed
 A multivariate GARCH model incorporating the direct and indirect transmission of shocks
 Asymmetric Forecast Densities for US Macroeconomic Variables from a Gaussian Copula Model of CrossSectional and Serial Dependence
 Bond Return Predictability: Economic Value and Links to the Macroeconomy
 CURRENCY OVERLAY FOR GLOBAL EQUITY PORTFOLIOS: CROSSHEDGING AND BASE CURRENCY
 Complete subset regressions
 Complete subset regressions with largedimensional sets of predictors
 Consumptor economicus: How do consumers form expectations on economic variables?
 EFFICIENT METHOD OF MOMENTS ESTIMATORS FOR INTEGER TIME SERIES MODELS
 Estimation of time varying skewness and kurtosis with an application to Value at Risk
 Financial contagion and asset pricing
 Forecasting commodity price indexes using macroeconomic and financial predictors
 Forecasting global recessions in a GVAR model of actual and expected output
 Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
 Granger Causality and Regime Inference in Markov Switching VAR Models with Bayesian Methods
 HETEROSKEDASTICITYROBUST TESTING FOR A FRACTIONAL UNIT ROOT
 Identifying Speculative Bubbles Using an Infinite Hidden Markov Model
 Inference on SelfExciting Jumps in Prices and Volatility Using HighFrequency Measures
 Influence diagnostics for multivariate GARCH processes
 Information rigidities and the newsadjusted output gap
 LABOR'S SHARE, THE FIRM'S MARKET POWER, AND TOTAL FACTOR PRODUCTIVITY
 LOCAL ASYMPTOTIC POWER OF THE IMPESARANSHIN PANEL UNIT ROOT TEST AND THE IMPACT OF INITIAL OBSERVATIONS
 Measuring Inflation Expectations Uncertainty Using HighFrequency Data
 Modelling nonlinearities in equity returns: The mean impact curve analysis
 Monetary shocks, macroprudential shocks and financial stability
 OrnsteinUhlenbeck type processes with heavy distribution tails
 Probabilistic forecasts of volatility and its risk premia
 Risk and return spillovers among the G10 currencies
 Testing causality between two vectors in multivariate GARCH models
 Testing for a Unit Root in the Presence of a Possible Break in Trend.
 Tests of the cointegration rank in VAR models in the presence of a possible break in trend at an unknown point
 The Australian RealTime Database: An Overview and An Illustration of its Use in Business Cycle Analysis

Major Reports And Working Papers

Minor Reports And Working Papers
 Bayesian Testing of Granger Causality in MarkovSwitching VARs
 Egyptian and Syrian commodity markets after the dissolution of the Ottoman Empire: A Bayesian structural VECM analysis
 Estimating the expected duration of the zero lower bound in DSGE models with forward guidance
 GrangerCausal Analysis of VARMAGARCH Models
 Testing Causality Between Two Vectors in Multivariate GARCH Models

Research Book Chapters

Revised Books