B.Ec. (Hons), Ph.D.
Department of Econometrics & Business Statistics,
Monash University
Research Interests
Marginal likelihood methods, Financial Econometrics,
Demand systems, Bayesian methodology.
Current Research Projects
- Autoregressive approximations to long memory processes
(with Don Poskitt) - Estimating Consumer Demand with Missing Expenditure Data
(with Keith McLaren)
Recent Publications
- “Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms”, with D.B. Flynn, G.M. Martin and V.L. Martin, Australian & New Zealand Journal of Statistics, 47, No.1 (2005). (online@ingentaconnect)
- “A state space framework for automatic forecasting using exponential smoothing methods”, with R.J. Hyndman, A.B. Koehler, and R.D.Snyder, International Journal of Forecasting, 18, No.3 (2002).
Working Papers
- “The Finite-Sample Properties of Autoregressive Approximations of Fractionally-Integrated and Non-Invertible Processes”, with D.S. Poskitt (2006).
- “Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms”, with D.B. Flynn, G.M. Martin and V.L. Martin (2003)
- “Estimating Demand with Varied Levels of Aggregation”, with K.R. McLaren (2000)
- “An EM Algorithm for Modelling Variably-Aggregated Demand”, with K.R. McLaren (2000)
- “A State Space Framework for Automatic Forecasting Using Exponential Smoothing Methods”, with R.J. Hyndman, A.B. Koehler, and R.D.Snyder (2000)
- “Testing for a structural break in the linear model with non-stationary regressors”, with B.A. Inder. Presented at the 1999 European Meeting of the Econometric Society.
Teaching
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