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Fitting Parsimonious Yield Curve Models to Australian Coupon Bond Data
This study uses a unique data set on Australian coupon bonds to test a number of yield curve models. A non-linear least squares technique is employed to directly fit four alternative, zero coupon,Expand
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Feasible high growth investment strategy: Growth optimal portfolios applied to Dow Jones stocks
A number of investment strategies designed to maximise portfolio growth are tested on a long-run US equity dataset. The application of these growth optimal portfolio techniques produces impressiveExpand
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The Timid Corporation: Why Business is Terrified of Taking Risk
Acknowledgements. Introduction: The Rise of the Cautious Manager. PART ONE: THE RE--REGULATION OF THE CORPORATION. The New Dynamic of Regulation. Self--Regulation: Entrenching Caution. The Rise ofExpand
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Modelling the Yields on Australian Coupon Paying Bonds
Before coupon bond data can be used to make term structure inferences it must be adjusted to account for the coupon effect. This paper compares the performance of two alternative adjustment methods,Expand
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Generalized Adjustment of Asset Equations
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Growth Optimal Investment Strategy Efficacy: An application on long run Australian equity data
A number of investment strategies designed to maximise portfolio growth are tested on a long run Australian equity data set. The application of these growth optimal portfolio techniques producesExpand
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Australian equity warrants: Are retail investors getting a fair go?
The ASX has two functionally similar markets for contingent equity contracts a warrants market principally serving retail investors and an ETO market that may be used by retail and professionalExpand
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Zero-Coupon Yield Curve Estimation: A Principal Component, Polynomial Approach
Polynomial functions of the term to maturity have long been used to provide a general functional form for zero-coupon yield curves. The polynomial form has many advantages over alternative functionalExpand
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Estimation of a system of linear dynamic asset demand equations: Computational considerations
Abstract The error covariance matrix of a system of linear dynamic asset demand equations is of less than full rank. This property requires that system be modified before estimation. We show that aExpand
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SHORT RUN PRICE CYCLES IN THE SYDNEY WOOL FUTURES MARKET
Evidence of systematic short run price movements in Sydney wool futures prices is presented. Traders' reaction to market uncertainty is suggested as a rationale of wool futures price periodicity.Expand
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