Research School of Finance, Actuarial Studies & Statistics

Research output

Research output per year 1983 2005 2008 2011 2013 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023 2024 2025

• 21802 Citations
• 70 h-index
• 951 Article
• 74 Chapter
• 45 Conference contribution
• 11 Commissioned report
• 74 More
  • 11 Review article
  • 8 Comment/debate
  • 8 Letter
  • 8 Working paper
  • 7 Literature review
  • 6 Book
  • 6 Entry for encyclopedia/dictionary
  • 5 Meeting Abstract
  • 4 Other contribution
  • 3 General Article
  • 2 Paper
  • 2 Conference article
  • 2 Editorial
  • 1 Edited Book
  • 1 Thesis

Research output per year

Research output per year

Search results

• 2021

  A Review of the Linear Suf�ciency and Linear Prediction Suf�ciency in the Linear Model with New Observations

  Haslett, S., Isotalo, J., Kala, R., Markiewicz, A. & Puntanen, S., 2021, Multivariate, Multilinear and Mixed Linear Models. K. F. A. M. D. V. R. (ed.). 1 ed. Switzerland: Springer Cham, Vol. 1. p. 265-318

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Linear Prediction 100%

• No-Tie Conditions for Large Values of Extremal Processes

  Ipsen, Y. & Maller, R., 2021, Progress in Probability. Birkhauser, p. 231-243 13 p. (Progress in Probability; vol. 78).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Probability Theory 100%
  • Necessary and Sufficient Condition 100%
  • Extremal 100%
  • Poisson Point Process 100%
• 2019

  Symbolic Formulae for Linear Mixed Models

  Tanaka, E. & Hui, F. K. C., 2019, Statistics and Data Science - Research School on Statistics and Data Science, RSSDS 2019, Proceedings. Nguyen, H. (ed.). Springer, p. 3-21 19 p. (Communications in Computer and Information Science; vol. 1150 CCIS).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  Open Access

  • Linear Mixed Model 100%
  • Statistical Model 33%
  • Random Effect 33%
  • Linear Models 16%
  • Mixed Model 16%
  2 Citations (Scopus)

• The Higher Education Contribution Scheme: Keeping tertiary education affordable and accessible

  Higgins, T., 1 Apr 2019, Successful Public Policy: Lessons from Australia and New Zealand. ANU Press, p. 59-85 27 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review
• 2018

  The Intellectual connections between british and european economists in the 1920s: Cambridge and geneva on international economic policies

  Fleming, G., 1 Jan 2018, Britain in Europe: Prospects for Change. Taylor and Francis, p. 66-78 13 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • International Economic Policy 100%
  • Economic Integration 33%
  • Purchasing Power 33%
  • Public Construction Contract 33%
  • Business Cycle 33%
• 2017

  Grouped multivariate functional time series method: An application to mortality forecasting, in Functional Statistics and Related Fields

  Shang, H. & Yang, Y., 2017, Functional Statistics and Related Fields. G. A. G. B. C. V. (ed.). 1 ed. Springer, Cham: Springer, Vol. 1. p. 233-241pp

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Statistics 100%
  • Series Method 100%
  • Time Series 100%
  • Subpopulation 50%
  • Time Series Forecasting 50%

• High-dimensional functional time series forecasting, in Functional Statistics and Related Fields

  Gao, Y., Shang, H. & Yang, Y., 2017, Functional Statistics and Related Fields. G. A. G. B. C. V. (ed.). 1 ed. Springer, Cham: Springer, Vol. 1. p. 131-136pp

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Statistics 100%
  • Time Series Model 100%
  • Functional Principal Component Analysis 100%
  • Simulation Study 100%
  • Latent Factor 100%
• 2016

  An Australian disease and long-term care microsimulation model

  Cumpston, R., 1 Jan 2016, New Pathways in Microsimulation. Taylor and Francis, p. 61-70 10 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Diseases 100%
  • Social Survey 100%
  • Time Period 100%
  • Marital Status 100%
  • Work Accident 100%

• Mortality and Life Expectancy Forecasting for a Group of Populations in Developed Countries: A Robust Multilevel Functional Data Method

  Shang, H., 2016, Recent Advances in Robust Statistics: Theory and Applications. A. C. B. A. F. P. M. D. (ed.). 1st ed. India: Springer, Vol. 1. p. 169-184pp

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Developed Country 100%
  • Functional Data 100%
  • Residuals 20%
  • Functional Principal Component Analysis 20%
• 2015

  High-Frequency News Flow and States of Asset Volatility

  Ho, K. Y., Shi, Y. & Zhang, Z., 4 Feb 2015, Handbook of High Frequency Trading. Elsevier Inc., p. 359-383 25 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Volatility 100%
  • Capital Market Returns 100%
  • Returns Volatility 75%
  • Macroeconomics 25%
  • Generalized Autoregressive Conditional Heteroskedasticity 25%
• 2014

  A Bayesian method for determining the optimal semi-metric and bandwidth in functional partial linear model with unknown error density

  Shang, H., 2014, Contibutions in infinite- dimensional statistics and related topics. E. G. B. A. GE. SP. V. (ed.). 1st ed. Bologna, Italy: Societa Editrice Seculapio, Vol. 50. p. 263-268

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• A Regime-Switching Analysis of Asian Bank Stocks

  Ho, K. Y., Shi, Y. & Zhang, Z., 4 Jun 2014, Handbook of Asian Finance: Financial Markets and Sovereign Wealth Funds. Elsevier Inc., Vol. 1. p. 105-129 25 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Capital Market Returns 100%
  • Regime Switching 100%
  • Macroeconomics 50%
  • Financial System 25%

• Corporate savings, investment and financial structure in East Asia: Micro-evidence

  Corbett, J. & Twite, G., 13 Nov 2014, Rebalancing Economies in Financially Integrating East Asia. Taylor and Francis Inc., p. 25-52 28 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Financial Crisis 100%
  • International Bank 100%
  • Monetary Policy 50%
  • Shock 50%
  • Financial Stability 50%

• Improving Paid Parental Leave through Income Contingent Loans

  Higgins, T., 2014, INCOME CONTINGENT LOANS: Theory, Practice and Prospects. B. C. T. H. . J. E. S. (ed.). 1st ed. Basingstoke and New York: Palgrave Macmillan Ltd, Vol. 1. p. 127-135

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Introduction and Summary

  Chapman, B., Higgins, T. & Stiglitz, J., 2014, INCOME CONTINGENT LOANS: Theory, Practice and Prospects. B. C. T. H. . J. E. S. (ed.). 1st ed. Basingstoke and New York: Palgrave Macmillan Ltd, Vol. 1. p. 1-11 (Theory, Practice and Prospects).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

• News Sentiment and High-Frequency Volatility Dynamics in the Japanese Stock Market

  Ho, K. Y., Shi, Y. & Zhang, Z., 28 May 2014, Handbook of Asian Finance: REITs, Trading, and Fund Performance. Elsevier Inc., Vol. 2. p. 285-308 24 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Volatility 100%
  • News Sentiment 100%
  • Returns Volatility 25%
  • Stock Exchange 25%

• Risk Taking by Banks: The Role of Governance and Executive Pay

  Brandão Marques, L., Erik Oppers, S., Araújo Ribeiro, I., Asai, K., Beauchamp, J., Deb, P., Duma, N., Ehrentraud, J., Khadarina, O., Khan, A., Pancorbo, A. & Pazarbaşiogˇlu, C., 2014, Global Financial Stability Report: Risk Taking, Liquidity, and Shadow Banking Curbing Excess while Promoting Growth. Wed Oct 01 00:00:00 AEST 2014 ed. Washington, DC; USA.: Joint Bank-Fund Library, Vol. 1. p. 105-142pp

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

• What Drives the Time-Varying Performance of Japanese Mutual Funds?

  Ho, K. Y., Shi, Y. & Zhang, Z., 28 May 2014, Handbook of Asian Finance: REITs, Trading, and Fund Performance. Elsevier Inc., Vol. 2. p. 393-421 29 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Volatility 100%
  • Business Cycle 80%
  • Investors 20%
  • International Business Cycle 20%
  • Portfolio Diversification 20%
• 2011

  Projecting future mortality

  Browne, B., 2011, Longevity Risk. E. M. (ed.). London: Risk Books, Vol. 1. p. 91-122

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• The COGARCH: a review, with news on option pricing and statistical inference

  Klüppelberg, C., Maller, R. & Szimayer, A., 2011, Surveys in Stochastic Processes. J. B. P. I. S. RÅ. (ed.). Zürich Switzerland: European Mathematical Society Publishing House, Vol. 1. p. 29-58

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review
• 2010

  Capital Structure of Firms and Real-Financial Linkages in East Asia

  Corbett, J. & Twite, G., 2010, Linkages Between Real and Financial Aspects of Economic Integration in East Asia. C. F. F. P. A. J. C. (ed.). 1st ed. Jakarta: Economic Research Institute for ASEAN and East Asia (ERIA), Vol. 1. p. 152-195

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

  • Industry 100%
  • Financial Market 100%
  • Capital Structure 100%
  • Market Structure 100%
  • Corporate Asset 100%

• Institutional Investment in Private Equity: Motivations, Strategies, and Performance

  Fleming, G., 2010, Private Equity: Fund Types, Risks and Returns, and Regulation. John Wiley and Sons, p. 7-29 23 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review
  2 Citations (Scopus)

• Sparse-patterned wavelet neural networks and their applications to stock market forecasting

  Penm, J. & Terrell, R. D., 1 Jan 2010, Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration. Palgrave Macmillan, p. 161-170 10 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  Open Access

  • Neural Network 100%
  • Series System 100%
  • Epileptic Absence 20%
• 2009

  Analysis of stock market volatility by continuous-time GARCH models

  Müller, G., Durand, R. B., Maller, R. & Klüppelberg, C., 1 Jan 2009, Stock Market Volatility. CRC Press, p. 31-50 20 p.

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Continuous Time 100%
  • Volatility 100%
  • ARCH Model 100%
  • Capital Market Returns 50%
  • Finance 25%
  4 Citations (Scopus)

• A Review of China's Financial System and Initiatives for the Future

  Allen, F., Qian, J., Qian, M. & Zhao, M., 2009, China’s Emerging Financial Markets: Challenges and Opportunities. B. J. (ed.). Germany: ResearchGate GmbH, Vol. 1. p. 3-72

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Financial System 100%
  • Financial Market 25%
  • Financial Crisis 25%
  • Real Estate Sector 25%
  • Foreign Exchange Market 25%

• Balanced Time-Series State Space Model Identification Using the Bootstrap and the Lyapunov Equations

  Penm, J. HW. & Terrell, D., 2009, Collaborative research in electronic healthcare - computer intensive time series, pharmacy informatics and bioinformatics. Y. H. R. D. T. T. J. ON. A. J. P. (ed.). 1st ed. Japan: Evergreen Publishing, Vol. 1. p. 133-156

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Introduction to Survey Sampling

  Brewer, K. & Gregoire, T. G., 1 Jan 2009, Handbook of Statistics. PA ed. p. 9-37 29 p. (Handbook of Statistics; vol. 29, no. PA).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  Open Access

  • French 100%
  • Sampling Survey 100%
  • France 100%
  • Annuals 100%
  • Commune 75%
  22 Citations (Scopus)

• Ornstein-Uhlenbeck processes and extensions

  Maller, R., Maller, R., Müller, G. & Szimayer, A., 2009, Handbook of Financial Time Series. A. T. G. . D. R. A. . KŸ. J-P. . M. T. (ed.). 1st ed. USA: Springer, Vol. 1. p. 16

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Sparse patterned moving-average modelling and its applications in both direct and indirect granger-causality

  Penm, J. HW. & Terrell, D., 2009, Collaborative research in electronic healthcare - computer intensive time series, pharmacy informatics and bioinformatics. Y. H. R. D. T. T. J. ON. A. J. P. (ed.). 1st ed. Japan: Evergreen Publishing, Vol. 1. p. 157 - 173

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Stochastic Compactness of Levy Processes

  Maller, R. & Mason, D. M., 2009, High Dimensional Probability V: The Luminy Volume. C. H. V. K. D. M. M. A. M. P. (ed.). 1st ed. Beachwood, Ohio, USA: Institute of Mathematical Statistics, Vol. 1. p. 239-257

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Subset autoregressive maximum likelihood recursions using the bootstrap and forgetting factor approaches for financial simulations

  Penm, J. HW. & Terrell, D., 2009, Collaborative research in electronic healthcare - computer intensive time series, pharmacy informatics and bioinformatics. Y. H. R. D. T. T. J. ON. A. J. P. (ed.). 1st ed. Japan: Evergreen Publishing, Vol. 1. p. 107-132

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• 2008

  A Comparison of the Arma Process, Fixed Order Linear Filter and Nonlinear Range Filter for Image Noise Reduction

  O'Neill, T., Penm, J. HW., Penm, R. & Penm, S., 2008, Collaborative Research in Electronic Healthcare - Bioinformatics, Pharmacy Informatics and Computing. T. J. ON. J. P. R. D. T. (ed.). 1st ed. Canberra Australia: Evergreen Publishing, Vol. 1. p. 75-84

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• A New Approach for Estimating Relationships between Stock Market Returns: Evidence of Financial Integration in the Southeast Asian Region

  Brailsford, T. J., O'Neill, T. & Penm, J. HW., 2008, Asia-Pacific Financial Markets: Integration, Innovation and Challenges, vol 8. S-J. K. . M. D. M. (ed.). 1st ed. Oxford, Amsterdam, San Diego: Elsevier, Vol. 1. p. 17-37

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• A New Approach Using Parallel Nets with Inhibitor Arcs and its Application to Concurrent Process Systems

  Penm, J. HW., 2008, Selected Papers Commemorating the 10th Anniversary of the JASS (Japanese Association of Administration Science). Y. H. (ed.). 1st ed. Japan: Evergreen Publishing, Vol. 1. p. 130-150

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Breast Cancer Diagnosis by using a Subset Neural Networks Approach

  O'Neill, T., Penm, J. HW. & Penm, J., 2008, Collaborative Research in Electronic Healthcare - Bioinformatics, Pharmacy Informatics and Computing. T. J. ON. J. P. R. D. T. (ed.). 1st ed. Canberra Australia: Evergreen Publishing, Vol. 1. p. 18

  Research output: Chapter in Book/Report/Conference proceeding › Chapter

• Identification, Prediction and Estimation of Two Dimensional Arma Modelling

  O'Neill, T., Penm, J. HW., Penm, J. & Penm, R., 2008, Collaborative Research in Electronic Healthcare - Bioinformatics, Pharmacy Informatics and Computing. T. J. ON. J. P. R. D. T. (ed.). 1st ed. Canberra Australia: Evergreen Publishing, Vol. 1. p. 41-74

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Identification and Prevention of Pharmacist's Unintentional Transgressions

  Penm, J. & Chaar, B., 2008, Collaborative Research in Electronic Healthcare - Bioinformatics, Pharmacy Informatics and Computing. T. J. ON. J. P. R. D. T. (ed.). 1st ed. Canberra Australia: Evergreen Publishing, Vol. 1. p. 97-128

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Optimum Healthcare Image Smoothing and Restoration Based on the Two-Dimensional Arma Model

  O'Neill, T., Penm, J. HW. & Penm, J., 2008, Collaborative Research in Electronic Healthcare - Bioinformatics, Pharmacy Informatics and Computing. T. J. ON. J. P. R. D. T. (ed.). 1st ed. Canberra Australia: Evergreen Publishing, Vol. 1. p. 86-96

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Specification Approach of a Two-Dimensional Time Series Model for Picture Processing

  Penm, J. HW. & Penm, J., 2008, Collaborative Research in Electronic Healthcare - Bioinformatics, Pharmacy Informatics and Computing. T. J. ON. J. P. R. D. T. (ed.). 1st ed. Canberra Australia: Evergreen Publishing, Vol. 1. p. 19-40

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• The role of higher oil prices: A case of major developed countries

  O'Neill, T. J., Penm, J. & Terrell, R. D., 2008, Research in Finance. Chen, E. (ed.). p. 287-299 13 p. (Research in Finance; vol. 24).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Inflation 100%
  • Industrialized Countries 100%
  • Inflation Expectations 66%
  • Organisation for Economic Co-Operation and Development 33%
  • Public Bond 33%
  73 Citations (Scopus)
• 2007

  Assessment on synthetic collateralised debt obligations by using modified SSRD stochastic intensity modelling

  Penm, J. HW., Terrell, D. & Liao, S-L., 2007, Collaborative Research in Financial Services and Administrative Science. 2007. D. T. TJ. B. TJ. ON. Y. H. JHW. P. (ed.). 1st ed. Australia: Evergreen Publishing, Vol. 1. p. 53-92

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Does the US IT stock market dominate other IT stock markets: Evidence from multivariate garch model

  Penm, J. HW. & Wong, W. S., 2007, Collaborative Research in Financial Services and Administrative Science. 2007. D. T. TJ. B. TJ. ON. Y. H. JHW. P. (ed.). 1st ed. Australia: Evergreen Publishing, Vol. 1. p. 171-180

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• IPO In China: Underpricing or Syndicates' Competition?

  Penm, J. HW. & Wong, W. S., 2007, Collaborative Research in Financial Services and Administrative Science. 2007. D. T. TJ. B. TJ. ON. Y. H. JHW. P. (ed.). 1st ed. Australia: Evergreen Publishing, Vol. 1. p. 99-170

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• The project Evaluation of Bio-Tech Firms' Venture Capital Case: A Real Option Approach

  Lin, S. L. & Penm, J. HW., 2007, Collaborative Research in Financial Services and Administrative Science. 2007. D. T. TJ. B. TJ. ON. Y. H. JHW. P. (ed.). 1st ed. Australia: Evergreen Publishing, Vol. 1. p. 23-52

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• 2006

  Breast Cancer Diagnosis by using a Subset Neural Networks Approach

  O'Neill, T., Penm, J. HW., Penm, J. & Terrell, D., 2006, Collaborative Research in Financial Services, Risk Management and Actuarial Sciences.. R. D. T. T. B. TJ. ON. J. HW. P. (ed.). 1 ed. Australia: Evergreen Publishing, Vol. 1. p. 291 - 302

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Continuous time volatility modelling: COGARCH versus Ornstein-Uhlenbeck models

  Kluppelberg, C., Lindner, A., Maller, R. & Maller, R., 2006, From stochastic calculus to mathematical finance. Y. K. R. L. (ed.). 1st ed. Germany: Springer, Vol. 1. p. 393-419

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Impact of higher oil prices on Inflation Expectations and Stock Market Returns: A study of five OECD countries

  O'Neill, T., Penm, J. HW., Penm, R. & Terrell, D., 2006, Collaborative Research in Financial Services, Risk Management and Actuarial Sciences.. R. D. T. T. B. TJ. ON. J. HW. P. (ed.). 1 ed. Australia: Evergreen Publishing, Vol. 1. p. 233 - 250

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• International Linkages of the Japanese Government Bond Market: Time-Series Evidence

  Brailsford, T. J., Penm, J. HW. & Terrell, D., 2006, Japanese Fixed Income Markets. J. A. B. T. A. F. A. P. G. S. (ed.). 1 ed. The Netherlands: Elsevier, Vol. 1. p. 395-412

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

• Kernel Bandwidth Applications to the Euro and the U.S. Mutual Fund Movements

  Brailsford, T. J., Penm, J. H. W. & Terrell, R. D., 2006, Research in Finance. Chen, A. (ed.). p. 81-97 17 p. (Research in Finance; vol. 23).

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

  • Time Series 100%
  • Exchange Rate 100%
  • Net Asset Value 100%
  3 Citations (Scopus)

• The Use of Support Vector Machines in Ratings of Financial Debt Issuers from an Actuarial Perspective

  O'Neill, T. & Penm, J. HW., 2006, Collaborative Research in Financial Services, Risk Management and Actuarial Sciences.. R. D. T. T. B. TJ. ON. J. HW. P. (ed.). 1 ed. Australia: Evergreen Publishing, Vol. 1. p. 1 - 21

  Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review