Publications
Exchange rate risk exposure and the value of European firms, European Journal of Finance (2015) (with Fabio Parlapiano and Mardi Dungey) Abstract | Download
Equity portfolio diversification with high frequency data, Quantitative Finance (2014) (with Mardi Dungey) Abstract | Article | Free journal PDF | Working Paper
The number of stocks in your portfolio should be larger than you think: Diversification evidence from five developed markets, Journal of Investment Strategies (2014) (with Francis Tapon) Abstract | Working Paper version
Concurrent momentum and contrarian strategies in the Australian stock market, Australian Journal of Management (2014) (with Minh Phuong Doan and Robert Brooks) Abstract | Download | Working Paper
Diversification, Canadian Style: How many stocks are enough for diversifying Canadian portfolios? Canadian Investment Review (2014) (with Francis Tapon) Abstract | Download
What Australian investors need to know to diversify their portfolios, JASSA The Finsia Journal of Applied Finance (2013) (with Francis Tapon) Abstract | Download | Working Paper
Testing Weak Form Efficiency on the Toronto Stock Exchange, Journal of Empirical Finance (2011) (with Francis Tapon) Abstract | Download
Localized Level Crossing Random Walk Test Robust to the Presence of Structural Breaks, Computational Statistics and Data Analysis (2012) (with Alex Maynard) Abstract | Download
Working Papers
Time-varying continuous and jump betas: The role of firm characteristics and periods of stress (with Wenying Yao and Mardi Dungey). Revise and Resubmit, Journal of Empirical Finance. Abstract | Download
Continuous and Jump Betas: Implications for Portfolio Diversification (with Wenying Yao and Mardi Dungey). Submitted to Econometrics.
Asymmetric jump beta estimation with implications for portfolio risk management (with Wenying Yao and Giovanni Urga).
Large scale robust portfolio optimisation with high-frequency data (with Lyudmyla Hvozdyk).
Bias in variance of fixed weight rebalanced portfolios (with Katja Ignatieva). Abstract | Download
M&A announcements in Australia and their impact on competitors (with Fabio Parlapiano). Abstract | Download
When We Mistake Economics for Ethics: Evidence that Larger Cap Firms are Not Punished for Commonly Occurring Negative Social or Environmental Behavior. Abstract | Download
Optimal Portfolio Allocation and Industry Bias in the Australian Equity Market (with Kane Hannan). Abstract | Download
Conference Presentations
49th annual meeting of the Canadian Economics Association, Ryerson University, Canada, 201532nd meeting of the Canadian Econometrics Study Group, Ryerson University, Canada, 2015
International Conference on Finance and Economics, Rio de Janeiro, Brazil, 2015
1st Conference on Recent Developments in Financial Econometrics and Applications, Deakin University, Dec 2014
Joint conference of Economic Society Australasian Meeting and Australian Conference of Economists, Hobart, Tasmania, 2014
Auckland Finance Meeting 2013, Auckland Centre for Financial Research, Auckland University of Technology, New Zealand, 2013
SIRCA Young Researchers workshop, Sydney, 2013
47th annual meeting of the Canadian Economics Association, HEC Montreal, Canada, 2013
“The Art of Finance”, Financial Research Network (FIRN) Conference, Hobart, Australia, 2012
46th annual meeting of the Canadian Economics Association, University of Calgary, Canada, 2012
Financial, Energy and Environmental Econometrics workshop, University of Tasmania, Australia, 2011
The Econometrics Society Australasian Meeting, University of Adelaide, Australia, 2011
45th annual meeting of the Canadian Economics Association, University of Ottawa, Canada, 2011
4th International conference on Computational and Financial Econometrics, University of London, UK, 2010
Research Day in Finance, FIRN, Melbourne, Australia, 2010
44th annual meeting of the Canadian Economics Association, Laval University, Quebec, Canada, 2010
26th annual meeting of Canadian Econometric Study Group, Carleton University, Canada, 2009 (poster)
19th annual meeting of the Midwest Econometrics Group, Purdue University, U.S., 2009
15th International Conference in Computing in Economics and Finance, University of Technology, Sydney, Australia, 2009
43rd annual meeting of the Canadian Economics Association, University of Toronto, Canada, 2009
