Working papers


Han, L; Kordzakhia, N; Trueck, S (2017) Volatility Spillovers in Australian Electricity Markets
Liu, F; Kalotay, E; Trueck, S (2017) Assessing Sovereign Default Risk: A Bottom-Up Approach
Okhrin, O; Ristig, A; Sheen, J; Trüeck, S (2017) Quantifying effects from extreme events with applications to financial crises


Okhrin, O; Ristig, A; Sheen, J; Trueck, S (2015) Conditional Systemic Risk with Penalized Copula
Trueck, S; Wellmann, D (2015) Factors of the Term Structure of Sovereign Yield Spreads
Vassallo, A; Fisher, L; Kingston, G (2015) Protecting Retirement Wealth: A Survey of Australian Products
Sadeghi, M (2015) The Systemic Benefits of Islamic Banking and Finance Practices: A Comparative Study
Mayer, K, Trueck, S (2015) Electricity Markets around the World
Salazar, Y, Bianchi, R, Drew, M, Trueck, S (2015) Retirement Wealth Outcomes for Superannuation Portfolios: A Risk-Adjusted Analysis
Pastorekova, S, Sheen, J, Trueck, S, Truong, C, Wang, B (2015) Can a Real-Time Business Conditions Indicator Help to Predict Stock Returns?
Wellmann, D, Trueck, S (2015) Forecasting the term structure of interest rates in low yield environments: why is it so hard to beat the random walk?
Longden, T, Mathew, S, Trueck, S (2015) A matter of time: an analysis of decision making using estimates for the frequency and severity of bushfire risk


Salazar, Y, Bianchi, R, Drew, M, Trueck, S (2014) The Diversification Delta: A Different Perspective
Truong, C, Trueck, S (2014) It's not now or never: Implications of Investment Timing and Risk Aversion on Climate Adaptation to Extreme Events
Keighley, T, Longden, T, Mathew, S, Trueck, S (2014) Quantifying catastrophic and climate impacted hazards based on local expert opinions
Sheen, J, Trueck, S, Truong, C, Wang, B (2014) Systemic Financial Risk Interference in a Global Setting
Milunovich, G (2014) Complete and Partial Identification of the A- and B-Models in the Context of Heteroskedastic SVARs.
Cummings, J, Durrani, K (2014) Effect of the Basel Accord capital requirements on the loan-loss provisioning practices of Australian banks.
Hollander, H, Trueck, S (2014) Modelling the Term Structure of Credit Default Swap Spreads
Sheen, J, Trueck, S, Wang, B (2014) Understanding a small open Economy Business Conditions Index
Handika, R., Trueck, S, Truong, C, Weron, R (2014) Modeling Price Spikes in Electricity Markets: The Impact of Load, Weather and Capacity, Macquarie University
Handika, R., Trueck, S (2014) The Dynamics of Risk Premiums in Australian Electricity Futures Markets, Macquarie University
Handika, R., Trueck, S (2014) Risk Premiums in Interconnected Australian Electricity Futures Markets, Macquarie University



Pitt, D, Guillen, M & Bolance, C (2016) Estimation of Parametric and Non-Parametric Models for Univariate Loss Distributions - an approach using R. Journal of Financial Education (forthcoming)


Pitt, D (2015) On the scaling of NSW HSC marks in mathematics and encouraging higher participation in calculus-based courses. Australian Journal of Education, 59 (1), 65-81.
Choo, W, de Jong, P (2015) 'The trade-off insurance premium as a two-sided generalisation of the distortion premium' Insurance Mathematics and Economics (forthcoming)
Sarmiento-Sabogal, J, Sadeghi, M (2015) 'Estimating the Cost of Equity for Private Firms Using Accounting Fundamentals' Applied Economics 47(3): 288-301
Sheedy, E, Griffin, B, Barbour, J. 2015 'A Framework and Measure for Examining Risk Climate in Financial Institutions' Journal of Business Psychology (forthcoming)
Cummings, J.R. (2015), 'Effect of fund size on the performance of Australian superannuation funds', Accounting and Finance, forthcoming.
Cummings, J.R. and Ellis, K. (2015), 'Risk and return of illiquid investments: A trade-off for superannuation funds offering transferable accounts', Economic Record, forthcoming.
Cummings, J.R and Wright, S. (2015), 'Effect of higher capital requirements on the funding costs of Australian banks', Australian Economic Review, forthcoming.
Perera, RS (2015) Dynamic Asset Allocation for a Bank under CRRA and HARA Framework: International Journal of Financial Engineering, DOI 10. 1142/S24247866315500310.
De Jong, P, Loudon, G & Choo, W 2015 Measuring background and systemic risk using financial time series. Produced for the Centre for International Finance and Regulation (CIFR).
Hoadley, S, Tickle, L, Wood, LN & Kyng, T 2015 Threshold concepts in finance: Conceptualizing the curriculum. International Journal of Mathematical Education in Science and Technology (forthcoming)
Abelson, P & Joyeux, R 2015 Smoke and Mirrors: Fallacies on the NSW Government Views on Local Government Capacity, Public Money and Management, 35, 315-320.
Joyeux, R & Milunovich, G 2015 Speculative Bubbles, Financial Crises and Convergence in Global Real Estate Investment Trusts, Applied Economics (forthcoming).
Heaton, C 2015 Testing for multiple-period predictability between serially dependent time series International Journal of Forecasting, 31(3), p.587-597
Shi, S & Vipin, A 2015 Nonlinearities and Tests of Asset Price Bubbles, Empirical Economics, forthcoming
Shi, S 2015 Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500, International Economic Review, forthcoming
De Mello, L, Sheedy, E & Storck, S 2015 A Practical Guide for Non-Financial Companies When Modelling Longer-Term Currency and Commodity Exposures Journal of Applied Corporate Finance, 27: 89-100. doi: 10.1111/jacf.12108
Sheedy, E, Griffin, B & Barbour, J 2015 A Framework and Measure for Examining Risk Culture in Financial Institutions (under review)


Herrerias, M & Joyeux, R 2014 Regional Electricity Consumption and Economic Growth in China, in Yao, S & Herrerias, MJ (eds) Energy Security and Sustainable Economic Growth in China, Palgrave Macmillan.
Li, R, Joyeux, R & Ripple, R 2014 International Gas Market Integration, The Energy Journal, 35, 159-179 .
Dufrenot G G, Joyeux, R &  Peguin-Feissolle, A 2014 Which of the real money gap or nominal money gap helped predict inflation in Europe? A retrospective analysis. Banks and Bank Systems, 3, 91-102.
Park, JS & Heaton, C 2014 Technical trading rules in Australian financial markets, International Journal of Economics and Finance, 6(10), p.67-75
Trueck, S, Inchauspe, J & Ripple, R 2014 The Dynamics of Returns on Renewable Energy Companies:  A State-Space Approach, Energy Economics, forthcoming.
Trueck, S, Nowotarski, J, Raviv, E & Weron, R. 2014 An empirical comparison of alternative schemes for combining electricity spot price forecasts, Energy Economics 46, 2014.
Sarmiento-Sabogal, J & Sadeghi, M 2014 Unlevered betas and the cost of equity capital:
An empirical approach, North American Journal of Economics and Finance, 30. 90-105
Salazar, Y & Ng, W 2014 Nonparametric Estimation of General Multivariate Tail Dependence and Applications to Financial Time Series, Statistical Methods & Applications, In press, (DOI) 10.1007/s10260-014-0274-7
Salazar, Y 2014 General Multivariate Dependence using Associated Copulas, REVSTAT-Revista Portuguesa de Estati­stica (forthcoming)
Dyball M, Wang F & Wright S 2014 (Dis)Engaging with Sustainability: Evidence from an Australian Business Faculty, accepted  in Accounting, Auditing and Accountability Journal.
Choi S.K, Chen X, Wright S & Wu H 2014 Analysts Forecasts Following Forced CEO Changes, Abacus, 50, 2: 146-173
Booth, H, Hyndman, R & Tickle, L 2014 Prospective Life Tables, In A. Charpentier (forthcoming), Computational Actuarial Science with R, Chapman and Hall.
Tickle, L & Booth, H 2014. The Longevity Prospects of Australian Seniors: An evaluation of forecast method and outcome. Asia Pacific Journal of Risk and Insurance, 8(2), 259-292
Tickle, L, Kyng, T & Wood, L 2014 The role of universities in preparing graduates to use software in the financial services workplace. International Journal of Mathematical Education in Science and Technology, 45(2), 200-213
Sadeghi, M 2014 Are Faithfuls rewarded by the Market: Evidence from Australian Data, International Review of Business Research Papers, September (forthcoming)
Sadeghi, M & Sabogal, J 2014 M Estimating the Cost of Equity for Private Firms Using Accounting Fundamentals, Journal of Applied Economics (forthcoming)
Sadeghi, M & Sabogal, J 2014 Unlevered Betas and the Cost of Equity Capital: An Empirical Approach, North American Journal of Economics and Finance (forthcoming)
Zhao,Q, Wei, J and Wang, R 2014 On Dividend Strategies with Non-Exponential Discounting. Insurance: Mathematics and Economics, 58:1-13.
Zhao,Q, Shen, Y and Wei, J. 2014 Consumption-Investment Strategies with Non-Exponential Discounting and Logarithmic Utility. European Journal of Operational Research, 238:824-835.
Dyball M, Wang, F and Wright S 2014 "(Dis)Engaging with Sustainability: Evidence from an Australian Business Faculty", accepted  in Accounting, Auditing and Accountability Journal.
Choi S.K, Chen X, Wright S and Wu H 2014, "Analysts Forecasts Following Forced CEO Changes", Abacus, 50, 2: 146-173
Joyeux, R, Li, R & Ripple, R 2014 International Gas Market Integration, The Energy Journal, 35, 159-179
Poudel, G, Hellmann, A & Perera, H 2014 The adoption of International Financial Reporting Standards in a non-colonized developing country: The case of Nepal, Advances in Accounting, incorporating Advances in International Accounting, 30(1).
Shi, S & Song, Y 2014 'Identifying Speculative Bubbles with an Infinite Hidden Markov Model', Journal of Financial Econometrics, (forthcoming)
Shi, S, Phillips, PCB & Yu, J 2014 'Testing for Multiple Bubbles: Limit Theory of Real Time Detectors', International Economic Review, (forthcoming)
Trueck, S, Nowotarski, J, Raviv, E & Weron, R 2014 'An Empirical Comparison of Alternative Schemes for Combining Electricity Spot Price Forecasts', Energy Economics (forthcoming)
Centre for Financial Risk Newsletter Vol. 1 Issue 1 - 2014 (PDF)
Shen,Y & Wei, J 2014 'Optimal Investment-Consumption-Insurance with Random Parameters', Scandinavian Actuarial Journal, DOI: 10.1080/03461238.2014.900518.
Trueck, S & Kumar, S 2014 'Unbiasedness and Risk Premiums in the Indian Currency Futures Market' Journal of International Financial Markets, Institutions and Money 29, 2014
Trueck, S & Rong, N 2014 'Modelling the Dependence Structure between Australian Equity and Real Estate Markets - a Conditional Copula Approach' Australasian Accounting, Business and Finance Journal (forthcoming)
Kingston, G & Weng, H 2014 'Agency Theory and Financial Planning Practice' Australian Economic Review, September issue, pp29-303
Kingston, G, Ding, J & Purcal, S 2014 'Dynamic Asset Allocation when Bequests are Luxury Goods' Journal of Economics and Control 65-71
Fu, J, Wei, J & Yang, H 2014 'Elasticity Approach to Portfolio Optimization in a Regime-Switching Market'. European Journal of Operational Research, 233:184-192.
Butt A, Evans J, Farmer J & Pitt D 2014 A Pilot Survey of Actuarial Graduates' Views on their Education Australian Journal of Actuarial Practice; 1: 63-75
Hariyanto, EA, Dickson, DCM & Pitt, D 2014. Estimation of Disability Transition Probabilities in Australia I: Preliminary. Annals of Actuarial Science, 8, pp 131-155
Hariyanto, EA, Dickson, DCM & Pitt, D 2014. Estimation of Disability Transition Probabilities in Australia II: Implementation. Annals of Actuarial Science, 8, pp 156-175
Liu, Q, Pitt, D & Wu, X 2014 On the prediction of claim duration for income protection insurance policyholders, Annals of Actuarial Science (forthcoming)

Past publications


Adrian C, Wright S and Kilgore A 2013 Corporate Governance: What Matters Most to Directors, JASSA, 3: 17-22
Kyng, T, Tickle, L & Wood, L. 2013 Perceptions of the software skills of graduates by employers in the financial services industry. International Journal of Mathematical Education in Science and Technology, 44(8), 1,224-1,238.
Sadeghi,M 2013 Misvaluation and Merger Wave: Evidence from Australia, Journal of Business, Economic and Management , 2013, Volume 1, pp. 49-58
Kingston, G & Fisher, L 2013 'Down the Retirement Risk Zone with Gun and Camera', Economic Papers, 2014 pp153-162
Tweedie D, Dyball M., Hazelton J. and Wright S. 2013 "Teaching Global Ethical Standards: A Case and Strategy For Broadening the Accounting Ethics Curriculum", Journal of Business Ethics, 115:1, 1-15.
Potter B., Ravlic T. and Wright S. 2013 "Developing Accounting Regulations that Reflect Public Viewpoints: The Australian Solution to Differential Reporting", Australian Accounting Review, 64, 23:1, 18-28.
Milunovich, G. & Yang, M. 2013 "On Identifying Structural VAR models via ARCH Effects" Journal of Time Series Econometrics, 5(2), 117-131.
Tani, M, Heaton, C. and Chan, G. 2013 "The wage premium of foreign education: New evidence from Australia" The Australian Economic Review, 46(4), p.395-404.
Kingston, G & Bateman, H 2013 'Restoring a Level Playing Field for Defined Benefits Superannuation', JASSA: The Finsia Journal of Applied Finance, December issue, pp36-41
Adrian C, Wright S & Kilgore A 2013 'Good Corporate Governance: What Matters Most to Directors', JASSA: The Finsia Journal of Applied Finance, 3:17-22
Liu, Q, Pitt, D, Wang, Y & Wu, X 2013 'Survival Analysis of Left Truncated Income Protection Insurance Data', Asia-Pacific Journal of Risk and Insurance, 7(1).
Wei, J, Wong, KC, Yam, SCP & Yung, SP 2013 'Markowitz's Mean-Variance Asset-Liability Management with Regime Switching: A Time-Consistent Approach'. Insurance: Mathematics and Economics, 53:281- 291.  
Trueck, S, Janczura, J, Weron, R & Wolff, R 2013 'Identifying spikes and seasonal components in electricity spot price data: A guide to robust modelling', Energy Economics 38.
Trueck, S & Cotton, D 2013 'Emissions Mitigation Schemes in Australia - the past, present and future', Low Carbon Economy, 4(2)
Trueck, S & Milunovich, G 2013 'Regional and Global Contagion in Real Estate Investment Trusts: The case of the Financial Crisis of 2007-2009', Journal of Property Investment and Finance 31(1).
Truong, CH 2013 'Capital Budgeting Methods for Irrigation Technology Adoption Decisions: A Review in Ali, M.H. (ed), Irrigation Management, Technologies and Environmental Impact. Nova Science Publishers Inc, United States.
Truong, CH 2013 'A Two Factor Model for Water Prices and Its Implications for Evaluating Real Options and Other Water Price Derivatives', Canadian Journal of Agricultural Economics (Revue canadienne d'agroeconomie).
Truong, CH & Drynan, RG 2013 'Capacity Sharing Enhances Efficiency in Water Markets Involving Storage', Agricultural Water Management 122, 46-52.
Bowers, C & Heaton, C 2013 'What does high-dimensional factor analysis tell us about risk factors in the Australian Stock Market?' Applied Economics, p.1395-1404
Joyeux, R, Herrerias, MJ & Girardin, E 2013. 'Short-and long-run causality between energy consumption and economic growth: Evidence across regions in China', forthcoming in Applied Energy.
Joyeux, R, Girardin, E 2013 'Macro Fundamentals as a Source of Stock Market Volatility in China: A GARCH-MIDAS Approach', Economic Modelling, 34, 59-68.
Joyeux, R, Abelson, P & Mahuteau, S 2013 'Modelling House Prices across Sydney', Australian Economic Review, 46, 269-285.


Heaton, C & Solo, V 2012 Estimation of high-dimensional linear factor models with grouped variables, Journal of Multivariate Analysis, 105, p.348-367
Elliott, RJ & Siu, TK 2012 'An HMM approach for optimal investment of an insurer'. International Journal of Robust and Nonlinear Control 22(7), 778-807.
Song, N, Siu, TK, Ching, WK, Tong H & Yang H 2012 'Asset allocation under threshold autoregressive models'. Applied Stochastic Models in Business and Industry 28(1), 60-72.
Elliott, RJ, Siu,TK & Fung, E 2012 'Filtering nonlinear stochastic volatility models', Nonlinear Dynamics 67(2), 1295-1313.
Trueck, S, Matthew, S & Henderson, A. 2012 'Kochi, India case study of climate adaptation to floods: Ranking local government investment options', Global Environmental Change 22.
Tweedie D, Dyball M, Hazelton J and Wright S 2012 'Teaching Global Ethical Standards: A Case and Strategy for Broadening the Accounting Ethics Curriculum', Journal of Business Ethics, June 2012.
Wright, S, Dyball, MC, Byers, P & Radich, R. 2012 'Preparing Students for an International Career: The Case for Contextualizing and Integrating Ethics Education', Asian Social Science, Vol. 8, No. 4, pp.97-108.
Potter, B, Ravlic, T and Wright, S 2012 'Developing Accounting Regulations that Reflect Public Viewpoints: The Australian Solution to Differential Reporting', Australian Accounting Review.
Madden, R, Tickle, L, Jackson, Pulver, L & Ring, I. (2012). 'Estimating Indigenous Life Expectancy: Pitfalls with consequences', Journal of Population Research, 29(3): 269-281.


Kyng, T, Tickle, L & Wood, L 2011 Graduates' use of technical software in financial services. In Lau, M & Sugden, S (eds), Applications of Spreadsheets in Education - the Amazing Power of a Simple Tool, pages 241-260. Bentham Science Publishers
Heaton, C, Milunovich, G & Passe De Silva, A 2011 International commodity prices and the Australian stock market, Economic Record, March, 87(276), p.37-44
Siu, TK 2011 'Regime Switching Risk: To Price or Not to Price?'. International Journal of
Stochastic Analysis
Siu, TK,Fung, E & Ng M.K 2011 'Option valuation with a discrete-time double
Markovian regime-switching model'. Applied Mathematical Finance 18(6), 473-490.
Elliott, RJ & Siu, TK 2011 A risk-based approach for pricing American options under a generalized Markov regime-switching model. Quantitative Finance 11(11), 1633-1646.
Trueck, S & Cotton, D 2011 'Interaction between Australian Carbon Prices and Energy Prices' Australasian Journal of Environmental Management 18(4).
Neville, SE, Taylor, LK, Moore, H, Madden, R, Ring, I, Pulver, LJ & Tickle, L 2011 'Using linkage between hospital and ABS mortality data to enhance reporting of deaths among Aboriginal and Torres Strait Islander peoples'. Australian and New Zealand Journal of Public Health, 35: 543-548. doi: 10.1111/j.1753-6405.2011.00738.x
Joyeux, R, Milunovich, G & Rigg, J 2011 'Forecasting demand for Australian passports', Asia Pacific Journal of Tourism Research, published online 30 September
Joyeux, R 2011 'Energy consumption and real income: A panel cointegration multi-country study' , The Energy Journal, 32, 107-142
Siu, TK 2011 'Long-term strategic asset allocation with inflation risk and regime switching', Quantitative Finance, vol 11, no 10: 1565-1580.
Gronwald, M, Ketterer, J & Trueck, S 2011 'The relationship between carbon, commodity and financial markets - a copula analysis'. Economic Record, 87, September.
Weng, H & Trueck, S 2011 'Style factors and value-at-risk of Asia-focused hedge funds", Pacific-Basin Finance Journal 19(5).
Bock, K & Trueck, S 2011 'Assessing uncertainty and risk in public sector investment projects', Technology and Investment 2(2).
Herbertsson, A, Jang, J & Schmidt, T 2011 'Pricing basket default swaps in a tractable shot-noise model', Statistics and Probability Letters 81(8): 1196-1207.
Elliott, RJ & Siu, TK 2011 'A BSDE approach to a risk-based optimal investment of an insurer', Automatica, 47(2): 253-428. Regular Paper (Lead Article).
Korn, R, Siu TK & Zhang, A 2011 'Asset allocation for a DC pension fund under regime-switching environment', European Actuarial Journal, 1(2): 361-377.
Elliott, RJ, Siu, TK & Badescu, A 2011 'On pricing and hedging options in regime-switching models with feedback effect', Journal of Economic Dynamics and Control, 35(5): 694-713.
Elliott, RJ, Siu, TK & Yang, H 2011 'Ruin theory in a hidden Markov-modulated risk model', Stochastic Models, 27: 474-489.
Cai, X, Wu, X & Zhou, X 2011 'Scheduling deteriorating jobs on a single machine subject to breakdowns', Journal of Scheduling, 14(2): 173-186.
Elliott, RJ. & Siu, TK 2011 'A stochastic differential game for optimal investment of an insurer with regime switching', Quantitative Finance
Liu, Q, Pitt, D, Zhang, X, & Wu, X 2011 'A Bayesian approach to parameter estimation for kernel density estimation via transformations', Annals of Actuarial Science, Cambridge University Press.
Meng, H & Siu, TK 2011 'On optimal reinsurance, dividend and reinvestment strategies', Economic Modelling, 28(40575): 211-218. 
Sadeghi, M 2011 'Investment opportunities and stock liquidity: Evidence from DJIM index additions in Persian Gulf States', Investment Management and Financial Innovations, Business Perspectives.
Sun, L, Tong, X & Zhou, X 2011 'A class of Box-Cox transformation models for recurrent event data', Lifetime Data Analysis, 17(2): 280-301. 
You, J, Zhou, X, Zhu, L & Zhou, B 2009 'Weighted denoised minimum distance estimation in a regression model with autocorrelated measurement errors', Statistical Papers, 52(2): 263-286.
Kang, W, Kilgore A & Wright S 2011 'The Effectiveness of Audit Committees for low and mid-cap firms', Managerial Auditing Journal, 26, 7, 623-650.
Wright S, Byers P, Dyball M, Hazelton J & Radich R 2011 'Engaging Staff in Curriculum Change: Reflections from an Accounting Ethics Initiative', Asian Social Science, 7, 11, 93-99.


Heaton, C & Oslington, P 2010 Micro vs macro explanations of post-war US unemployment movements, Economics Letters, February, 106(2), p.87-91
Siu, TK 2010 'A Markov regime switching marked point process for short rate analysis with credit risk', International Journal of Stochastic Analysis, Volume 2010, Article ID 870516, 18 pages.
Bryant, WA & Joyeux, R 2010 'Interest rates linkages between the US, UK and German interest rates: Should the UK join the European Monetary Union?', International Review of Applied Economics, 24.
Choo, W & De Jong, P 2010 'Determining and allocating diversification benefits for a portfolio of risks', ASTIN Bulletin - The Journal of the International Actuarial Association, 1(1): 257-269.
Cui, J, Pitt, D & Qian G 2010 'Model selection and claim frequency for workers' compensation insurance', ASTIN Bulletin - The Journal of the International Actuarial Association, 40(2): 779-796.
Dean, W, Faff, R & Loudon, G 2010 'Asymmetry in return and volatility spillover between equity and bond markets in Australia', Pacific-Basin Finance Journal, 18(3): 272-289.
Dungey, M, Milunovich, G & Thorp, S 2010 'Unobservable shocks as carriers of contagion: A dynamic analysis using identified structural GARCH', Journal of Banking and Finance, 35(5): 1008-1021.
Elliott, RJ, Siu, TK & Yang, H 2010 'Filtering a Markov modulated random measure', IEEE Transactions on Automatic Control, 55(1): 74-88.
Elliott, RJ, Siu, TK & Badescu, A 2010 'On mean-variance portfolio selection under a hidden Markovian regime-switching model', Economic Modeling, 27(3): 678-686. 
Elliott, RJ & Siu, TK 2010 'Risk-based indifference pricing under a stochastic volatility model', Communications on Stochastic Analysis. Special issue for Professor G. Kallianpur, 4(1): 51-73. 
Farmer, J 2010 'Model fitting for predicted precipitation in darwin: Some issues with model choice', Australian Senior Mathematics Journal, 24 (2), Australian Association of Mathematics Teachers Inc, 12 June.
Ferris, S 2010 'Someone else's problem: The failure of the Guarantee Security Life Insurance Company', Australian Actuarial Journal, 16(1): 1-64.
Ferris, S 2010 'How to destabilise the financial system: A beginner's guide', Variance: Advancing the Science of Risk, 4(1): 81-112.
Ferris, S & Gillies, P 2010 The legal obligations of superannuation fund trustees: The VBN v APRA litigation', Journal of Banking and Finance Law and Practice, 21(3): 214-244.
Fisher, LA, Otto, G, Voss, GM 2010 'The response of Australian consumption to housing wealth', Journal of Macroeconomics, 32(1): 284-299.
Fitzherbert, R & Pitt, D 2010 'Investment return calculations and senior school mathematics', Australian Senior Mathematics Journal, 24(1): 7-17.
Huang, M, Chen, G, Ching, W, & Siu, T 2010 'Principal-agent theory based risk allocation model for virtual enterprise', Journal of Service Science and Management, 3(2): 241-249.
Joshi, M & Pitt D. 2010 'Fast sensitivity computations for Monte Carlo valuation of pension funds', ASTIN Bulletin - The Journal of the International Actuarial Association, 40(2): 655-667.
Joyeux, R 2010 'Long memory processes: A joint paper with Clive Granger'. Journal of Financial Econometrics, 8: 184-186. 
Li, R, Joyeux, R, & Ripple, R 2010 'International Steam Coal Market Integration', The Energy Journal, 31: 179-200.
Liew, C & Siu, TK 2010 'A hidden Markov regime-switching model for option valuation', Insurance Mathematics and Economics, 47(3): 374-384
Milunovich, G 2010 'Temporal Links Between the Asia-Pacific and International Stock Markets: 1971 - 2010'. Investment Management and Financial Innovations, 2.
Milunovich, G & Joyeux, R 2010 'Testing Market Efficiency in the EU Carbon Futures Market', Applied Financial Economics, 20.
Nazifi, F & Milunovich, G 2010 'Measuring the Impact of Carbon Allowance Trading on Energy Prices', Energy and Environment, 21(5): 367-383.
Perera, R 2010 'Optimal consumption, investment and insurance with insurable risk for an investor in a Levy market', Insurance Mathematics and Economics, 46(3): 479-484.
Sadeghi, M 2010 'The evolution of Islamic insurance - Takaful: a literature survey', Insurance Markets and Companies: Analyses and Actuarial Computations, 1(2): 100-107.
Sheedy, E 2010 "The Future of Risk Modelling", In Robert W. Kolb (Ed.) Lessons from the financial crisis: causes, consequences, and our economic future, (pp. 301-306). Hoboken, NJ: Wiley.
Siu, TK 2010 'Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows', Applied Mathematics and Computation, 216 (11), Elsevier, 3184-3190. 
Siu, TK 2010 Discussion of published paper: 'Computation of multivariate barrier crossing probability and its applications in credit risk models', Joonghee Huh and Adam Kilkiewicz, July 2008. North American Actuarial Journal, 14(1): 150-156.  
Trueck, S, & Rong, N 2010 'Returns of REITS and stock markets - measuring dependence and risk', Journal of Property Investment and Finance, 28(1): 34-57. 
Truong, H & Trueck, S 2010 'Evaluation of investment options mitigating catastrophic losses under the impacts of climate change', Environmental Economics, 1(2): 111-117. 
Wylie, J, Zhang, Q, & Siu, T 2010 'Can expected shortfall and value-at-risk be used to statically hedge options?' Quantitative Finance, 10(6): 575-583.  
Yiu, C, Liu, J, Siu, T, & Ching, W 2010 'Optimal portfolios with regime-switching and value-at-risk constraint', Automatica, 46(6): 979-989 .
Yip, P, Pitt, D, Wang, Y, Wu, X & Watson, R. 2010 'Assessing the impact of suicide exclusion periods on Australian life insurance crisis'. The Journal of Crisis Intervention and Suicide Pr, 31(4): 217-223.
You, J & Zhou, X 2010 'Statistical inference on seemingly unrelated varying coefficient partially linear models', Statistica Neerlandica, 64(2): 227-253.
You, J, Zhou, X & Zhou, Y 2010 'Statistical inference for panel data semiparametric partially linear regression models with heteroscedastic errors', Journal of Multivariate Analysis, 101(5): 1079-1101.
Zhang, X, Siu, T, & Meng, Q 2010 'Portfolio selection in the enlarged Markovian regime-switching market', Siam Journal On Control and Optimization, 48(5): 3368-3388.  
Zhao, X & Zho, Z 2010 'Applying copula models to individual claim loss reserving method', Insurance: Mathematics and Economics, 46: 290-299.
Zhao, X & Zhou, X 2010 'Empirical receiver operating characteristic curve for two-sample comparison with cure fractions', Lifetime Data Analysis, 16(3): 316-332.
Zhao, X & Zhou X 2010 'Semiparametric estimation in transformation models with cure fraction'. Communications in Statistics-Theory and Methods, 39(18): 3371-3388.
Cheung, E, Evans, E & Wright, S. 2010 'An historical review of quality in financial reporting in Australia', Pacific Accounting Review, 22, 2, 147-169.
Wu, H, Fargher, N & Wright S. 2010 'Accounting for investments and the relevance of losses to firm value', The International Journal of Accounting, 45, 104-127.


Badescu, A. Elliott, R, & Siu, T 2009 'Esscher transforms and consumption-based models', Insurance: Mathematics and Economics, 45(3): 337-34.
Blazey, P 2009 'Fiscal and regulatory challenges of managing sinks on the basis of the Australian experience: Critical issues in environmental taxation', International and Comparative Perspectives Vol VI Oxford University Press UK.
Blazey, P & Zenos, J 2009 'The European Union's response to the global financial crisis: Can it avoid a move to protectionism?', Business Law Journal.
Cai, X, Wu, X and Zhou, X 2009 'Stochastic scheduling on parallel machines to minimize discounted holding costs', Journal of Scheduling, 12(4), 375-388.
Cai, X, Wu, X & Zhou, X, 2009 'Stochastic scheduling subject to preemptive-repeat breakdowns with incomplete information', Operations Research, 57(5): 1236-1249.
Ching, W, Siu, T, Li, L, Li, T & Li, W 2009 'A parsimonious multivariate markov chain model for credit risk', Journal of Credit Risk, 5: 1-25.
Ching, W, Siu, T, Li, L, Li, T, & Li, W 2009 'Modeling default data via an interactive hidden Markov model', Computational Economics, 34(1): 1-19.
Choo, W, & De Jong, P 2009 'Loss reserving using loss aversion functions', Insurance, Mathematics & Economics, 45(2): 271-277.
Elliott, RJ & Siu, TK 2009 'On Markov-modulated exponential-affine bond price formulae', Applied Mathematical Finance, 16(1): 1-15.
Elliott, RJ & Siu, TK 2009 'On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy', Annals of Operations Research, 176(1): 271-291.
Elliott, RJ & Siu, TK 2009 'Portfolio risk minimization and differential games', Nonlinear Analysis Series A: Theory, Methods and Applications, 71(12): 2127-2135.
Elliott, RJ & Siu, TK 2009 'Robust optimal portfolio choice under Markovian regime-switching model', Methodology and Computing in Applied Probability, 11(2): 145-157.
Jang, J 2009 'The cost of delay in a mortgage/credit loan portfolio', Asia Pacific Journal of Risk and Insurance, 4(1), Article 5.
Kingston, G 2009, 'Financial plans for baby boomers: How much risk?', Economic Papers, June 2009.
Li, Y & Sadeghi, M 2009 'Price-performance and liquidity effects of index additions and deletions: Evidence from Chinese equity markets', Asian Journal of Finance and Accounting, 1(2): 16-52.
Milunovich, G 2009 'Size-sorted portfolios and information spillovers: Structural evidence from Australia', Investment Management and Financial Innovations, 4(6): 75-83.
Siu, T. Ching, W, Fung, E, Ng, M & Li, X 2009 'A higher-order Markov-switching model for risk measurement', Computers and Mathematics Applications, 58: 1-10.
Siu, TK, & Yang, H 2009 'Nonparametric Bayesian credibility', Australian Actuarial Journal, 15(2): 209-230.
Siu, TK & Yang, H 2009 Option pricing when the regime-switching risk is priced', Special issue of ACTA Mathematicae Applicatae Sinica, 25(3): 369-388.
Tanthanongsakkun, S, Pitt, D & Treepongkaruna, S 2009 'A comparison of corporate bankruptcy models in Australia: The Merton vs accounting-based models', Asia-Pacific Journal of Risk and Insurance, 3(2): 93-112.
Trueck, S, Bradford, W, Henderson-Sellers, A, Mathew, S, Scott, J, Street, M & Taplin, R 2009 'Assessing climate change adaptation options for local government', in Henderson-Sellers and You (eds), Climate alert: Climate change monitoring and strategy, Sydney University Press.
Trueck, S, Chernobai, A, Menn, C, & Rachev, S.T. 2009 'Estimation of operational value-at-risk with minimum collection thresholds' in Roesch and Schedule (eds), Model Risk in financial crises - challenges and solutions for financial risk models, Risk Books.
Trueck, S & Benz, E 2009 'Modeling the price dynamics of CO2 emission allowances', Energy Economics, 31(1).
Trueck, S & Rachev, ST 2009 'Rating Based Modeling of Credit Risk', Theory and Application of Migration Matrices, Academic Press, Elsevier 2009.
Wen, L, Wu, X and Zhou, X 2009 'The credibility premiums for models with dependence induced by common effects', Insurance: Mathematics and Economics, 44(1): 19-25.
Wu, X, Wang, J & Zhou, X, 2009 'Estimation of multi-stage survival distributions based on age stage data', Australian Actuarial Journal, 15(1): 117-142.
You, J & Zhou, X 2009 'Partially linear models and polynomial spline approximations for the analysis of unbalanced panel data', Journal of Statistical Planning and Inference, 139(3): 679-695.
You, J, Zhou, X, & Zhu, L 2009 'Inference on a regression model with noised variables and serially correlated errors', Journal of Multivariate Analysis, 100(6): 1182-1197.
Zhang, X & Siu, T 2009 'Optimal investment and reinsurance of an insurer with model uncertainty', Insurance: Mathematics and Economics, 45(1): 81-88. 
Zhao, X & Zhou, X 2009 'Semiparametric modeling of medical cost data containing zeros', Statistics and Probability Letters, 79(9): 1207-1214.
Zhao, XB, Zhou, X & Wu, X 2009 'A change-point model for survival data with long-term survivors', Statistica Sinica, 19: 377-390.
Zhao, XB, Zhou, X & Wang, JL 2009 'Semiparametric model for prediction of individual claim loss reserving', Insurance: Mathematics and Economics, 45(I): 1-8.


Alexander, C & Sheedy, E 2008 'Developing a stress testing framework based on market risk models', Journal of Banking and Finance, 32(10): 2220-2236.
Benson, K, Gray, P, Kalotay, E, & Qiu, J 2008 'Portfolio construction and performance measurement when returns are non-normal', Australian Journal of Management, 32(3): 445-461.
Booth, H & Tickle, L 2008 'Mortality modeling and forecasting: A review of methods', Annals of Actuarial Science, 3(I and II): 3-44.
Dassios, A & Jang, J 2008 'The distribution of the interval between events of a Cox process with shot noise intensity', Journal of Applied Mathematics and Stochastic Analysis, 2008 (367170), Hindawi Publishing Corporation, Article ID 367170.
Farmer, J 2008 'Understanding statistical variation: A response to Sharma', Australian Senior Mathematics Journal, 22(1): 59-62.
Fisher, LA 2008 'Consumption, wealth and expected stock returns in Australia: Some further results', Applied Financial Economics Letters, 4: 13-18.
Jang, J & Fu, G 2008 'Transform approach for operational risk modeling: Value-at-risk and tail conditional expectation', The Journal of Operational Risk, 3(2): 45-62.
Kyng, T & Taylor, P 2008 'Graduates' use of spreadsheet tools in learning and applying financial mathematics', Asian Social Science, 4(3): 66-77.
Neill, B, Sadeghi, M & Watts, E 2008 'Are insider trades profitable? Evidence from directors' trade on the Australian Stock Exchange', Corporate Ownership & Control, 5(3): 176-187.
Purcal, S & Piggott, J 2008 'Explaining low annuity demand: An optimal portfolio application to Japan'. Journal of Risk and Insurance, 75(2): 493-516. 
Sadeghi, M 2008 'Financial performance of shariah-compliant investment: Evidence from Malaysian stock market', International Research Journal of Finance and Economics, 20: 15-26.
Siu, TK, Erlwein, C & Mamon, RS 2008 'The pricing of credit default swaps under a Markov-modulated Merton's structural model', North American Actuarial Journal, 12(1): 19-46.
Sun, L & Zhou, X 2008 'Inference in the additive risk model with time-varying covariates subject to measurement errors',Statistics and Probability Letters, 78(16): 2559-2566.
Sun, X, Zhou, X & Wang, J 2008 'Confidence intervals for the scale parameter of exponential distribution based on type II doubly censored samples'. Journal of Statistical Planning and Inference, 138(7): 2045-2058.
Trueck, S 2008 'Forecasting credit migration matrices with business cycle effects - a model comparison'. The European Journal of Finance, 14(5): 359-379.
Wang, S, Shao, Q & Zhou, X 2008 'Knot-optimizing spline networks (KOSNETS) for nonparametric regression'. Journal of Industrial and Management Optimization, 4(1): 351-380.
Wu, X & Zhou, X 2008 'Stochastic scheduling to minimize expected maximum lateness'. European Journal of Operational Research, 190(1): 103-115.
Zhao, X & Zhou, X 2008 'Discrete-time survival models with long-term survivors'. Statistics in Medicine, 27(8): 1261-1281.


Cai, X, Wang, L & Zhou, X 2007 'Single-machine scheduling to stochastically minimize maximum lateness', Journal of Scheduling, 10: 293-301.
Cai, X, Wu, X & Zhou, X 2007 'Single-machine scheduling with general costs under compound-type distributions', Journal of Scheduling, 10(1): 77-84.
de Jong, P, Heller, G, Stasinopoulos, M, & Rigby, R 2007 'Mean and dispersion modelling for policy claims costs', Scandinavian Actuarial Journal, 4: 281-292. 
de Jong, P & Marshall, C 2007 Mortality projection based on the Wang transform', Astin Bulletin the Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 37(1): 149-162.
Elliott, RJ, Siu, TK & Chan, L 2007 Pricing volatility swaps under Heston's stochastic volatility model with regime switching', Applied Mathematical Finance, 14(1): 41-62.
Farmer, J 2007 'Misconceptions of randomness and expected sequential pairs in a permutation of integers', Mathematical Gazette, 91(521): 246-248. 
Ferris, S 2007,'Broken promises: Solvency issues for defined benefit superannuation funds', Law, Probability and Risk: a journal of reasoning under uncertainty, 5: 201-232.
Gray, P, Edwards, S & Kalotay, E 2007 'Canonical valuation and hedging of index options', Journal of Futures Markets, 27(8): 771-790. 
Hobbes, G, Lam, F & Loudon, G 2007 'Regime shifts in the stock-bond relation in Australia', Review of Pacific Basin Financial Markets & Policies, 10(1): 81-99.
Jang, J 2007 'Jump diffusion processes and their applications in insurance and finance', Insurance Mathematics and Economics, 41(1): 62-70.
Kalotay, E, Gray, P & Sin, S 2007 'Consumer expectations and short-horizon return predictability', Journal of Banking and Finance, 31(10): 3102-3124.
Kalotay, E 2007 'Discussion of Hensher and Jones', Abacus A Journal of Accounting and Business Studies, 43(3): 265-270.
Kingston, G 2007 'Tax reform: A different view', Economic Papers, 26(2): 128-146.
Kingston, G, Bateman, H & Thorp, S 2007 'Financial engineering for Australian annuitants' in H Bateman (ed.), Retirement and Scary Markets, Edward Elgar, pp124-148.
Kingston, G & Bateman H 2007 'Superannuation and personal income tax reform', Australian Tax Forum, 137-162.
Kingston, G & Melecky, M 2007 'Currency preferences and the Australian dollar', Journal of International Money and Finance, 454-467.
Loudon, G & Rai, A 2007 'Is volatility risk priced after all? Some disconfirming evidence', Applied Financial Economics, 17(5): 357-368.
Parr, N, Ferris, S, & Mahuteau, S 2007 'The impact of children on Australian women's and men's superannuation'. The Economic and Labour Relations Review, 18(1): 3-26..
Pitt, D. 2007 'Modeling the claim duration of income protection insurance policyholders using parametric mixture models', Annals of Actuarial Science, 2 (1): 1-24.
Sadeghi, M & Wright, S 2007 'Can FDI be encouraged? An analysis of Iran's future economic prospects', International Economics & Finance Journal, 2 (1): 43-61.
Sadeghi, M, Samsami, H & Sherafat, N 2007 'Inflation-targeting exchange rate policy for an oil producing country: The case of Iran', International Research Journal of Finance and Economics, 12: 80-97.
Sheen, J, & Kim, D 2007 'Consumption risk-sharing within Australia and with New Zealand', Economic Record, 83(260): 46-59.
Trueck, S, Bierbrauer, M, Menn, C & Rachev, ST 2007 'Spot and derivative pricing in the EEX Power Market', Journal of Banking and Finance 31(11).
Trueck, S, Prokopczuk, M, Rachev, ST & Schindlmayr, G 2007 'Quantifying risk in the electricity business: A RAROC-based approach', Energy Economics, 29(5).
Trueck, S 2007 'Exploring the relationship between the sustainability of construction and market value', Property Management, 25(2): 119-149.
Zhao, X, Zhou, X, & Wu, X 2007 'Local linear regression in proportional hazards model with censored data', Communications in Statistics-Theory and Methods, 36(15): 2761-2776.


Booth, H, Hyndman, R, Tickle, L & de Jong, P 2006 'Lee-Carter mortality forecasting: A multi-country comparison of variants and extensions', Demographic Research, 15(9): 289-310. 
Cai, X & Zhou, X 2006 'Stochastic scheduling with asymmetric earliness and tardiness penalties under random machine breakdowns' Probability in the Engineering and Informational Sciences, 20(4): 635-654.
de Jong, P & Tickle, L 2006 'Extending Lee-Carter forecasting', Mathematical Population Studies, 13: 1-18.
de Jong, P 2006 'Forecasting runoff triangles', North American Actuarial Journal, 10(2): 28-38.
de Jong, P & Ferris, S 2006 'Adverse selection spirals', Astin Bulletin the Journal of the ASTIN and AFIR Sections of the International Actuarial Association, 36(2): 589-628.
Kingston, G 2006 'Choice of tax regime for superannuation contributors', Australian Accounting Review, 16(40): 41-46.
Lorenz, D, Trueck, S & Lutzkendorf, T 2006 'Addressing risk and uncertainty in property valuations: A viewpoint from Germany', Journal of Property Investment and Finance, 24(5): 400-433.
Loudon, G & Nguyen, K 2006 'Evidence on the issuer effect in warrant overpricing', Applied Financial Economics,16(3): 223-232.
Loudon, G & Nguyen, K 2006, 'Evidence on the issuer effect in warrant overpricing', Applied Financial Economics,16(3): 223-232.
Loudon, G 2006 'Is the risk-return relation positive? Further evidence from a stochastic volatility in mean approach' Applied Financial Economics, 16(3): 981-992.
Pitt, D 2006 'Regression quantile analysis of claim termination rates for income protection insurance', Annals of Actuarial Science., 1(2): 345-357. 
Sheen, J & Kim, SJ 2006 'Interventions in the yen-dollar spot market: A story of price, volatility and volume', Journal of Banking and Finance, 30: 3191-3214.
Siu, TK 2006 'Option pricing under autoregressive random variance models', North American Actuarial Journal, 10(2): 62-75.
Trueck, S 2006 'Asset correlations and capital requirements for SME in the revised Basel II framework'. Banks and Bank Systems, 1(1): 75-92.
Trueck, S 2006 'CO2 emission allowances trading in Europe - specifying a new class of assets', Problem and Perspectives in Management, 3(3): 30-40.
Trueck, S 2006 'Modelling catastrophe claims with left-truncated severity distributions', Computational Statistics, 21(4): 537-555.
Trueck, S, Weron, R & Misiorek, A 2006 'Point and interval forecasting of spot electricity prices: Linear v non-linear time series', Studies in Non-Linear Dynamics & Econometrics 10(3).
Wu, X & Zhou, X 2006 'A new characterization of distortion premiums via countable additivity for comonotonic risks' Insurance Mathematics and Economics, 38(2): 324-334.
You, J & Zhou, X 2006 'Empirical likelihood in a regression model with noised variables', Journal of Statistical Planning and Inference, 2(9): 1343-1349.
You, J & Zhou, X 2006 'Statistical inference in a panel data semiparametric regression model with serially correlated errors'. Journal of Multivariate Analysis, 97(4): 844-873.
Zhao, X & Zhou, X 2006 'Proportional hazards models for survival data with long-term survivors'. Statistics and Probability Letters, 76(15): 1685-1693.


Cai, X & Zhou, X 2005 'Single-machine scheduling with exponential processing times and general stochastic cost functions', Journal of Global Otimization, 31(2): 317-332.
Cai, X, Wu, X & Zhou, X 2005 'Dynamically optimal policies for stochastic scheduling subject to preemptive-repeat machine breakdowns', IEEE Transactions On Automation Science and Engineering, 2(2): 158-172.
Chen, G, You, J & Zhou, X 2005 'B-Spline estimation in a semiparametric regression model with nonlinear time series errors', American Journal of Applied Sciences, 2(9): 1343-1349.
Dassios, A & Jang, J 2005 'Kalman-Bucy filtering for linear system driven by the Cox process with shot noise intensity and its application to the pricing of reinsurance contracts', Journal of Applied Probability, 42(1): 93-107.
de Jong, P & Ferris, S 2005 'Assessing the costs of adverse selection', The ICFAI Journal of Risk and Insurance, (2): 64-82.
Farmer, J 2005 'The volume of a torus using cylindrical and spherical coordinates' Australian Senior Mathematics Journal,19(2): 49-58.
Fisher, L & Kingston, G 2005 'Joint implications of consumption and tax smoothing', Journal of Money, Credit and Banking, 37(6): 1101-1119.
Kingston, G & Thorp, S 2005 'Annuitization and asset allocation with HARA utility', Journal of Pension Economics and Finance, 225-248.
Puza, B, Pitt, D & O'Neill, T 2005 'The Monty Hall three doors problem', Teaching Statistics, 27(1): 11-15.
Siu, TK 2005 'Fair valuation of participating policies with surrender options and regime switching', Insurance: Mathematics and Economics, 37(3): 533-552.
Trueck, S, Chernobai, A, Menn, C & Rachev, S 2005 'A Note on the estimation of the frequency and severity distribution of operational losses', The Mathematical Scientist, 30(2).
Trueck, S 2005 'Credit portfolio risk and probability of default confidence sets through the business cycle', The Journal of Credit Risk, 1(4): 61-88
Trueck, S, Mugele, C & Rachev, S 2005 'Stable modelling of different European power markets', Investment Management and Financial Innovations, 2(3).
Tickle, L, Booth, H, & Smith, L 2005 'Evaluation of the variants of the Lee-Carter method of forecasting mortality: A multi-country comparison', New Zealand Population Review, 31(1): 13-34.
Wu, X, You, J & Zhou, X 2005 'Asymptotic properties of the ISE in nonparametric regressions with serially correlated errors', Communications in Statistics-Theory and Methods, 34(4): 943-953.
You, J & Zhou, X 2005 'Bootstrap of a semiparametric partially linear model with autoregressive errors'. Statistica Sinica, 15(1): 117-133.
You, J & Zhou, X 2005 'Jackknifing in partially linear regression models with serially correlated errors', Journal of Multivariate Analysis, 92(2): 386-404.
You, J & Zhou, X 2005 'The law of iterated logarithm of estimators for partially linear panel data models', Statistics and Probability Letters, 75(4): 267-279.


Heaton, C & Solo, V 2004 Identification of causal factor models of stationary time series, Econometrics Journal, 7 p.618-627
Booth, H & Tickle, L 2004 'Beyond three score years and ten: Prospects for longevity in Australia'. People and Place, 12(1): 15-27.
Tickle, L 2004 'Causes of death among Australian insured lives', Australian Actuarial Journal, 10(4): 623-694
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