Jonathan Dark

Forecasting variance swap payoffs

Jonathan Dark, Xin Gao, Thijs van der Heijden, Federico Nardari

Journal article  |  2022  |  JOURNAL OF FUTURES MARKETS

We investigate the predictability of payoffs from selling variance swaps on the S&P500, US 10-year treasuries, gold, and crude oil..

An application of the Flexible Fourier Form to the Australian housing market

Jonathan Dark, Jack McCorkell

Journal article  |  2022  |  Victoria's Economic Bulletin

We apply the Flexible Fourier Form or FFF (a semi-nonparametric non-linear function) to Australian house prices from 1980 to 2021...

The lead of oil price rises on US equity market beliefs and preferences

Jonathan Dark

Journal article  |  2021  |  JOURNAL OF FUTURES MARKETS

We find that oil price rises from a strengthening global economy have a state-dependent lead on US equity market beliefs and prefe..

THE IMPACT OF COVID-19 ON AUSTRALIA’S HOUSING MARKET

James Brugler, Jonathan Dark

Scholarly Contribution to Database/Website  |  2020

As the world faces one of the fastest and largest global economic contractions in living memory, Australia’s house prices are like..

Multivariate models with long memory dependence in conditional correlation and volatility

Jonathan Dark

Journal article  |  2018  |  JOURNAL OF EMPIRICAL FINANCE

Multivariate models with long memory (LM) in conditional correlation and volatility are proposed. The models employ a fractionally..

Randomized controlled trial of probiotics after colonoscopy

Basil D'Souza, Timothy Slack, Shing W Wong, Francis Lam, Mark Muhlmann, Jakob Koestenbauer, Jonathan Dark, Graham Newstead

Journal article  |  2017  |  ANZ JOURNAL OF SURGERY

BACKGROUND: Up to 20% of patients have ongoing abdominal symptoms at day 2 and beyond following colonoscopy. It was hypothesized t..

Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH

Jonathan Dark

Journal article  |  2015  |  JOURNAL OF BANKING & FINANCE

Markov switching vector error correction asymmetric long memory volatility models with fat tailed innovations are proposed. Bivari..

CURRENCY OVERLAY FOR GLOBAL EQUITY PORTFOLIOS: CROSS-HEDGING AND BASE CURRENCY

Wei Opie, Jonathan Dark

Journal article  |  2015  |  JOURNAL OF FUTURES MARKETS

The effectiveness of a currency overlay hedge for a global equity portfolio can be significantly affected by changes in the base c..

Lymph node status as a prognostic indicator after preoperative neoadjuvant chemoradiotherapy of rectal cancer

N Mirbagheri, B Kumar, S Deb, BR Poh, JG Dark, CC Leow, WMK Teoh

Journal article  |  2014  |  COLORECTAL DISEASE

AIM: The primary aim of this study was to examine lymph node status after neoadjuvant chemoradiotherapy (CRT) using a novel scorin..

Factors predicting stomal wound closure infection rates

N Mirbagheri, J Dark, S Skinner

Journal article  |  2013  |  TECHNIQUES IN COLOPROCTOLOGY

BACKGROUND: Stoma closure is associated with high wound infection rates. The aim of this study was to evaluate risk factors for in..