Publications

2017 Publications

Drienko, J., Smith, T., von Reibnitz, A.H., 2017. A review of the return-illiquidity relationship. Critical Finance Review, forthcoming

Gao, Y., Shang, H.L., 2017. Multivariate functional time series forecasting: An application to age-specific mortality rates, Risks, forthcoming.

Gao, Y., Shang, H.L., Yang, Y, 2017. High-dimensional functional time series forecasting, in Functional Statistics and Related Fields, Aneiros, G., Bongiorno, E., Cao, R., Vieu, P. (eds.), Springer, Heidelberg, pp. 131-136.

Moshirian, F., Nanda, V.K., Vadilyev, A., Zhang, B., 2017. What drives investment-cash flow sensitivity around the world? An asset tangibility perspective. Journal of Banking and Finance 77, 1-17.

Shang, H.L., 2017. Forecasting intraday S&P 500 index returns: A functional time series approach. Journal of Forecasting, forthcoming.

Shang, H.L., Haberman, S., 2017. Grouped multivariate and functional time series forecasting: An application to annuity pricing. Insurance Mathematics and Economics, forthcoming.

Shang, H.L., Yang, Y, 2017. Grouped multivariate functional time series method: An application to mortality forecasting, in Functional Statistics and Related Fields, Aneiros, G., Bongiorno, E., Cao, R., Vieu, P. (eds.), Springer, Heidelberg, pp. 233-241.

2016 Publications

Adhikary, S., Karanzalis, D., Liu, W.M., Hadzic, A., McQuillan, P., 2016. A prospective randomized study to evaluate a new learning tool for ultrasound-guided regional anesthesia. Pain Medicine, forthcoming.

Buchmann, B., Kaehler, B., Maller, R., Szimayer, A., 2016. Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing, forthcoming.

Chapman, M., Johnson N., Lovell C., Forbat E., Liu, W.M., 2016. Avoiding costly hospitalisation at end of life: Findings from a specialist palliative care pilot in residential care for older adults. British Medical Journal - Supportive & Palliative Care, forthcoming.

Dai, L., Fu, R., Kang, J., Lee, I., 2016. Corporate governance and the profitability of insider trading. The Journal of Corporate Finance, forthcoming.

Drienko, J., Sault, S.J., von Reibnitz, A.H., 2016. Company responses to exchange queries in real time. Pacific-Basin Finance Journal, forthcoming

Gao, J., Han, X., Pan, G., Yang, Y., 2016. High dimensional correlation matrices: CLT and its applications. Journal of the Royal Statistical Society: Series B, forthcoming.

Higgins, T., 2016. “Income Contingent Loans for Social Policy: the Case of Paid Parental Leave”, Chapter 9, in Contemporary Issues in Microeconomics, Stiglitz, J.E., Guzman, M. (eds.), IEA Conference Volume, No. 155-III, Houndmills, UK and New York: Palgrave Macmillan, pp.159-168.

Huang, F., 2016. Mortality forecasting using a modified CMI mortality projections model for China II: Cities, towns and counties. Annals of Actuarial Science, forthcoming.

Huang, F., Browne, B., 2016. Mortality forecasting using a modified CMI mortality projections model for China I: Methodology and country-level results. Annals of Actuarial Science, forthcoming.

Johnston N., Lovell C., Liu W.M., Chapman M., Forbat, E., 2016. Normalising and planning for death in residential care: Findings from a qualitative focus group study of a specialist palliative care intervention. British Medical Journal - Supportive & Palliative Care, forthcoming.

Liu, W.M., Ho, K.Y., Shi, Y., 2016. Public news arrival and the idiosyncratic volatility puzzle. Journal of Empirical Finance, forthcoming.  

Maller, R., 2016. Small time almost sure comparisons between a Levy process and its maximal jump processes. Markov Processes and Related Fields, forthcoming.

Maller, R., Roberts, S., Tourky, R., 2016. The large-sample distribution of the maximum Sharpe ratio with and without short sales. Journal of Econometrics, forthcoming.  

Qian, M., Huang, Y., 2016. Political institutions, entrenchments, and the sustainability of economic development – a lesson from rural finance. China Economic Review 40, 152-178.

Qian, M., Cao, J., Pan, X., Tian, G., 2016. Political capital and CEO entrenchment: Evidence from CEO turnover in Chinese non-SOEs. Journal of Corporate Finance, forthcoming

Reiss, P., Goldsmith, J., Shang, H. L., Ogden, T., 2016. Methods for scalar-on-function regression. International Statistical Review, forthcoming.

Rice, G., Shang, H.L., 2016. A plug-in bandwidth selection procedure for long run covariance estimation with stationary functional time series. Journal of Time Series Analysis, forthcoming.

Scealy, J.L., Welsh, A.H., 2016. A Directional mixed effects model for compositional expenditure data. Journal of the American Statistical Association, forthcoming.

Shang, H.L., 2016. Mortality and life expectancy forecasting for a group of populations in developed countries: A multilevel functional data method. Annals of Applied Statistics, forthcoming.

Shang, H.L., 2016. Functional time series forecasting with dynamic updating: An application to intraday particulate matter concentration. Econometrics and Statistics, forthcoming.

Shang, H.L., 2016. Reconciling forecasts of infant mortality rates at national and sub-national levels: Grouped time-series methods. Population Research and Policy Review, forthcoming.

Shang, H.L., Hyndman, R.J., 2016. Grouped functional time series forecasting: An application to age-specific mortality rates. Journal of Computational and Graphical Statistics, forthcoming.

Shang, H.L., 2016. Mortality and life expectancy forecasting for a group of populations in developed countries: A robust multilevel functional data method, in Agostinelli, C., Basu, A., Filzmoser, P., Mukherjee, D. (Eds), "Recent Advances in Robust Statistics: Theory and Applications", Springer, India, Chapter 9.

Shang, H. L., 2016. Bootstrap methods for stationary functional time series. Statistics and Computing, forthcoming.

Tan, C.I. 2016. Varying transition rules in bonus-malus systems: From rules specification to determination of optimal relativities. Insurance: Mathematics and Economics 68, 134-140.

Tan, C.I., Li, J., Li, J.S.-H., Balasooriya, U., 2016. Stochastic modelling of the hybrid survival curve. Journal of Population Research, forthcoming.

Tong, L., Ye, K., Asai, K., Ertac, S., List, J., Nusbaum, H., Hortacsu, A., 2016. Trading experience modulates anterior insula to reduce the endowment effect. Proceedings of the National Academy of Sciences, forthcoming.

Van Rooij, B., Zhu, Q., Na, L., Wang, Q., 2016. Centralizing trends and pollution law enforcement in China. The China Quarterly, forthcoming.

Zhang, X., King, M. L., Shang, H. L., 2016. Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors, Econometrics. forthcoming.

Zou, T., Lan, W., Wang, H., Tsai, C.-L., 2016. Covariance regression analysis. Journal of the American Statistical Association, forthcoming.

Zou, T., Chen, S.X., 2016. Enhancing estimation for interest rate diffusion models with bond prices. Journal of Business & Economic Statistics, forthcoming.

2015 Publications

Adhikary, S.D., Davis, C.M., Liu, J., Liu, W.M., Memtsoudis, S.G., 2015. Is there a cutoff point of BMI for postoperative complications in TKA and THA? The answer is YES. Journal of Arthroplasty, forthcoming.

Bennedsen, M., Fan, J., Jian, M., Yeh, Y., The family business map: framework, selective survey, and evidence from Chinese family firm succession. Journal of Corporate Finance, forthcoming.

Berndt, A., 2015. A credit spread puzzle for reduced-form models. Review of Asset Pricing Studies, forthcoming.

Berndt, A., Yeltekin, S., 2015. Monetary policy, bond returns and debt dynamics. Journal of Monetary Economics, forthcoming.

Bruhn, A., 2015. Personal and social impacts of significant financial loss. Australian Journal of Management 40, 459-477.

Butt, A., Donald, S., Foster, D., Thorp, S., Warren, G., 2015. Design of mysuper default funds: influences and outcomes. Accounting and Finance, forthcoming.

Buchmann, B., Maller, R.A., Mason, D., 2015. Laws of the iterated logarithm
for self-normalized Levy processes at zero. Transactions of the American Mathematical Society 367, 1737–1770.

Buchmann, B., Fan, Y., Maller, R.A., 2015. Distributional representations and dominance of a Levy process over its maximal jump processes. Bernoulli, forthcoming.

Chapman, B., Clarke, P., Higgins, T., Stewart, M., 2015. Income contingent collection of a ‘brain drain tax’: theory, policy and empirical potential. Population Review 54, 13-27.

Dai, L., Parwada, J.T., Zhang, B., 2015. The governance effect of the media's news dissemination role: evidence from insider trading. Journal of Accounting Research 53, 331-366.

Doney, R.A., Kluppelberg, C., Maller, R.A., 2015. Passage time and fluctuation calculations for subexponential Levy processes. Bernoulli, forthcoming.

Duong, T.X., Huszar, Z.R., Yamada, T., 2015. Costs and benefits of short sell disclosure. Journal of Banking and Finance 53, 124-139.

Fan, J., Guan, F., Li, Z., Yang, Y.G., Relationship networks and earnings informativeness: evidence from corruption cases. Journal of Business Finance and Accounting 41, 831-866.

Fan, J., Huang, J., Morck, R., Yeung, B., Institutional determinants of vertical integration in China. Journal of Corporate Finance, forthcoming.

Fan, J., Jin, L., Zheng, G., Revisiting the bright and dark sides of capital flows in business groups. Journal of Business Ethics, forthcoming.

Fan, J., Wong, T.J., Zhang, T., Politically connected CEOs, corporate governance, and post-ipo performance of China's newly partially privatized firms. Journal of Applied Corporate Finance 84, 330-357.

Griffin, P., Roberts, D., 2015. Sample paths of a Lévy process leading to first passage over high levels in finite time. Stochastic Processes and their Applications, forthcoming.

Ho, K.Y., Shi, Y., 2015. Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model. Journal of Banking and Finance, forthcoming.

Hannah, L., Puza, B., 2015. Approximations of value-at-risk as an extreme quantile of a random sum of heavy-tailed random variables. Journal of Operational Risk 10(2), 1-21.

Humphrey, J.E., Warren, G.J., Boon, J., 2015. What is different about socially responsible funds? A holdings-based analysis. Journal of Business Ethics, forthcoming.

Katselas, D., Sidhu, B., Yu, C., 2015. Merging time-series Australian data across databases: challenges and solutions. Accounting and Finance, forthcoming.

Liang, X., Zou, T., Guo, B., Li, S., Zhang, H., Zhang, S., Huang, H., Chen, S.X., 2015. Assessing Beijing's PM2.5 pollution: Severity, weather impact, APEC and winter heatingProceedings of the Royal Society A 471, 20150257.

Maller, R.A., 2015. Feller’s work in renewal theory, the law of the iterated
logarithm and Karamata theory. To appear in: Rene L. Schilling, Zoran Vondracek and Wojbor A. Woyczynski, Eds. Selected Works of William Feller, Springer.

Maller, R.A., 2015. Conditions for a Levy process to stay positive near 0, in probability. Bernoulli, forthcoming.

Maller, R.A., 2015. Strong laws at zero for trimmed Levy processes. Electronic Journal of Probability 88, 1-24.

Maller, R.A., Mason, D.M., 2015. Matrix normalised convergence of a Levy
process to normality at zero. Stochastic Processes and their Applications 125, 2353-2382.

O’Meara, T., Sharma, A., Bruhn, A., 2015. Australia’s piece of the puzzle – why don’t people buy annuities? Australian Journal of Actuarial Practice 3, 47-57, Institute of Actuaries of Australia.

Puza, B., 2015. Bayesian methods for statistical analysis. Canberra: ANU eView.

Rajaratnam, B., Roberts, S., Sparks, D., Onkar, D., 2015. Lasso regression: estimation and shrinkage via limit of gibbs sampling. Journal of the Royal Statistical Society – Series B, forthcoming.

Roberts, D., 2015. Rapid, high-resolution detection of environmental change over continental scales from satellite data – the Earth Observation Data Cube. International Journal of Digital Earth, forthcoming.

Roberts, D., 2015. Water observations from space: Mapping surface water from 25 years of landsat imagery across Australia. Remote Sensing of Environment, forthcoming.

Scealy, J. L., Caritat, P. de, Grunsky, E. C., Tsagris, M. T., Welsh, A. H., 2015. Robust principal component analysis for power transformed compositional data. Journal of the American Statistical Association 110, 136-148.

Schultz, E., Tan, D. and Walsh, K., 2015, Corporate governance and the probability of default. Accounting and Finance, forthcoming.

Shang, H. L., 2015. A Bayesian approach for determining the optimal semi-metric and bandwidth in scalar-on-function quantile regression with unknown error density and dependent functional data. Journal of Multivariate Analysis, forthcoming.

Shang, H. L., 2015. Forecast accuracy comparison of age-specific mortality and life expectancy: statistical tests of the results. Population Studies, forthcoming.

Shang, H. L., Smith, P. W. F., Bijak, J., Wisniowski, A., 2015. A multilevel functional data method for forecasting population, with an application to the United Kingdom, International Journal of Forecasting, forthcoming.

Shi, Y., Ho, K.Y., Liu W.M., 2015. Public information arrival and stock return volatility: Evidence from news sentiment and Markov regime-switching approach. International Review of Economics and Finance, forthcoming.

Siau, K., Sault, S., Warren, G., 2015. Are imputation credits capitalised into stock prices?, Accounting and Finance 55, 241-277.

Tan, C.I., 2015. Optimal design of a bonus-malus system: linear relativities revisited. Annals of Actuarial Science, forthcoming.

Tang, C., Browne, B., Bruhn, A., 2015. Valuing annuities based on alternative mortality projections. Australian Journal of Actuarial Practice 3, 23-33, Institute of Actuaries of Australia.

von Reibnitz, A., 2015. When Opportunity Knocks: Cross-Sectional Return Dispersion and Active Fund Performance, Critical Finance Review, forthcoming.

Yang, Y., Pan, G., 2015. Independence test for high dimensional data based on regularized canonical correlation coefficients. Annals of Statistics 43(2), 467-500.

2014 Publications

Bennett, S., Gallagher, D.R., Harman, G., Warren, G.J., Xi, Y., 2014. Alpha generation in portfolio management: long-run Australian equity fund evidence. Australian Journal of Management, forthcoming.

Beyaztas, U., Aylin, A., Martin, M.A., 2014. Robust BCa-JaB method as a diagnostic tool for linear regression models. Journal of Applied Statistics 41, 1593-1610.

Bilson, C., Daniliuc, S., Shailer, G., 2014. The interaction of post-acquisition integration and acquisition focus in relation to long-run performance. International Review of Finance 14, 587-612.

Bruhn, A., Miller, M., 2014. Lessons about Best Interests Duty. The Australasian Accounting Business and Finance Journal 8, 23-44.

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, 63-76.

Butt, A., 2014. Student views on the use of a flipped classroom approach: evidence from Australia. Business Education and Accreditation 6, 33-43.

Butt, A., Huang, F., Ho, K., 2014. Stochastic economic models for actuarial use: an example from China. Annals of Actuarial Science 8(2), 374-403.

Chapman, B., Higgins, T., Stiglitz, J.E. (eds) (2014) Income Contingent Loans: Theory, Practice and Prospects. International Economic Association Conference Volume No.153, Palgrave Macmillan.

Chiu, G.S., Westveld, A.H., 2014. A statistical social network model for consumption data in trophic food webs. Statistical Methodology 17, 139-160.

Cheah, K., Foster, F.D., Heaney, R., Higgins, T., Oliver, B., O’Neill, Terry., Russell, R., 2014. Discussions on Long-Term Financial Choice. Australian Journal of Management, forthcoming.

Deng, H., Moshirian, F., Pham, P. K., Zein, J., 2013. Creating value by changing the old guard: The impact of controlling shareholder heterogeneity on firm performance and corporate policies. Journal of Financial and Quantitative Analysis 48, 1781-1811.

Feng, L., Nowak, G., O’Neill, T. J., Welsh, A. H., 2014. CUTOFF: A spatio-temporal imputation method. Journal of Hydrology 519, 3591–3605.

Foster, F.D., Warren, G.J., 2014. Interviews with institutional investors: the how and why of active investing. Journal of Behavioural Finance, forthcoming.

Huynh, A., Browne, B., Bruhn, A., 2014. Catastrophic Mortality Bonds: Analysing Basis Risk and Hedge Effectiveness. Australian Journal of Actuarial Practice 1, 45-62, Institute of Actuaries of Australia.

Kaczynski, D., Salmona, M., Smith, T., 2014. Qualitative research in finance. Australian Journal of Management 39(1), 127-135.

Li, Z., Yamada, T., 2015. Political and economic incentives of government in partial privatization. Journal of Corporate Finance, forthcoming.

Liu, W., Ngo, P., 2014. Elections, Political Competition and Bank Failure. Journal of Financial Economics 112, 251-268.

Liu, W., Schultz, E. and Swieringa, J., 2014. Price Dynamics in Global Crude Oil Markets. Journal of Futures Markets 35, 148-162

Roberts, S., Nowak, G., 2014. Stabilizing the lasso against cross-validation variability. Computational Statistics and Data Analysis 70, 198-211.

Roberts, S., Zheng, L., Martin, M., An adaptive, automatic multiple-case deletion technique for detecting influence in regression. Technometrics, forthcoming.

Schultz, E. and Swieringa, J., 2014. Catalysts for Price Discovery in the European Union Emissions Trading System. Journal of Banking and Finance 42, 112-122.

Shang, H. L., 2015. Resampling techniques for estimating the distribution of descriptive statistics of functional data. Communication in Statistics--Simulation and Computation 44(3), 614-635.

Shang, H. L., 2015. On the selection of optimal Box-Cox transformation parameter for modeling and forecasting age-specific fertility. Journal of Population Research 32(1), 69-79.

Shang, H.L., 2014. A survey of functional principal component analysis. AStA Advances in Statistical Analysis 98, 121-142.

Shang, H. L., 2014. Bayesian bandwidth estimation for a functional nonparametric regression model with mixed types of regressors and unknown error density. Journal of Nonparametric Statistics 26(3), 599-615.

Shang, H. L., 2014. Bayesian bandwidth estimation for a semi-functional partial linear regression model with unknown error density. Computational Statistics 29 (3-4), 829.848.

Shang, H. L., 2014. A Bayesian method for determining the optimal semi-metric and bandwidth in functional partial linear model with unknown error density, in Enea G. Bongiorno, Ernesto Salinelli, Aldo Goia, Philippe Vieu, eds, `Contributions in infinite-dimensional statistics and related topics', Società Editrice Esculapio, Stresa, Italy, pp. 263-268. ISBN: 9788874887637.

Shang, H. L., Wisniowski, A., Bijak, J., Smith, P. W. F., Raymer, J. (2014) Bayesian functional models for population forecasting, in Marsili, M. and Capacci, G., eds, "Proceedings of the Sixth Eurostat/Unece Work Session on Demographic Projections", Istituto nazionale di statistica, Roma, Italy, pp. 313-325, ISBN: 9788845818103.

Wisniowski, A., Bijak, J., Shang, H. L., 2014. Scottish migration in the context of the 2014 constitutional change debate. Population, Space and Place 20(5), 455-464.

Pan, G., Gao, J., Yang, Y., 2014. Test independence among a large number of high-dimensional random vectors. Journal of the American Statistical Association 109(506), 600-612.

Zhang, X., King, M. L., Shang, H. L., 2014. A sampling algorithm for bandwidth estimation in a nonparametric regression model with a flexible error density. Computational Statistics and Data Analysis 78, 218-234.​

Zhu, Q., Pan, R., Tang, X., Tan, Y., 2014. The Chinese stock dividend puzzle. Emerging Markets Finance and Trade 50(3), 178-195.

Zhu, Q., Powell, J., Shi, J., Qian, M., 2014. Should stock market return forecast be conditioned on politics? Australian Journal of Management, forthcoming.

2013 Publications

Bruhn, A., 2013. Aftermath of a storm. The Australian Journal of Financial Planning 8, 22-24.

Bruhn, A., Higgins, T., 2013. Barriers to co-contribution in superannuation: a comparative assessment of the financial benefits of scheme participation. The Australasian Accounting Business and Finance Journal 7, 127-144.

Buchmann, B., Chan, N., 2013. Unified asymptotic theory for nearly unstable AR(p) processes. Stochastic Processes and their Applications 123, 952-985.

Butt, A., 2013. Effects of scheme default insurance on decisions and financial outcomes in defined benefit pension schemes. Annals of Actuarial Science 7, 288-305.

Chapman, B., Higgins, T., 2013. The costs of unpaid HECS debts of graduates working abroad. Australian Economic Review 46, 286-299.

Drienko, J., Sault, S., 2013. The intraday impact of company responses to exchange queries. Journal of Banking and Finance 37, 4810-4819.

Griffin, P.S., Maller, R.A., 2013. Small and large time stability of the time taken for a Levy process to cross curved boundaries. Annales de l’Institut Henri Poincare, Probabilit ́es et Statistiques 49, 208–235.

Griffin, P.S., Maller, R.A., Roberts, D., 2013. Finite time ruin probabilities for tempered stable insurance risk processes. Insurance: Mathematics and Economics 53, 478-489.

Higgins, T., Sinning, M., 2013. Modeling income dynamics for public policy design: an application to income contingent student loans. Economics of Education Review 37, 273-285.

Huynh, A., Bruhn, A., Browne, B., 2013. A review of catastrophic risks for life insurers. Risk Management and Insurance Review 16, 233-266.

Loong B., Zaslavsky A.M., He Y., Harrington D.P., 2013. Disclosure control using partially synthetic data for large-scale health surveys, with applications to CanCORS. Statistics in Medicine 32, 4139 -4161.

Maller, R.A., Mason, D.M., 2013. A characterisation of small and large time limit laws for self-normalized Levy processes, Limit Theorems in Probability, Statistics and Number Theory, In Honor of Friedrich Gotze: Eichelsbacher, P.; Elsner, G.; Kosters, H.; Lowe, M.; Merkl, F.; Rolles, S. (Eds.) Springer Proceedings in Mathematics & Statistics, Vol. 42, VIII, 317, 141–172.

O'Meara, T., Bruhn, A., 2013. Compulsory annuitisation: a policy option for Australia? The Australasian Accounting Business and Finance Journal 7, 5-30.

Puza, B., Roberts, S., 2013. A Bayesian approach to modeling the interaction between air pollution and temperature. Annals of Epidemiology 23, 198-203.

Roberts, D., 2013. Equations with dirichlet boundary noise. Bulletin of the Australian Mathematical Society 87, 174-176.

Roberts, S., 2013. Have the short-term mortality effects of particulate matter air pollution changed in Australia over the period 1993-2007? Environmental Pollution 182, 9-14.

Salmona, M., Melton, J., Miller, R., 2013. Online social networking across cultures: an exploration of divergent and common practices. Journal of Technical Writing and Communication 43, 317-331.

Salmona, M., Kaczynski, D., Smith, T., 2013. Qualitative research in finance. Australian Journal of Management 38, 1-9.

Siau, K.W., Sault, S., Warren, G., 2013. Are imputation credits capitalised into stock prices? Accounting and Finance 55, 241-277.

Schultz, E., Tian, G., Twite, G., 2013. Corporate governance and the CEO pay-performance link: Australian evidence. International Review of Finance 13, 447 -472.

Schultz, E., Swieringa, J., 2013. Price discovery in European natural gas markets. Energy Policy 61, 628-634.

Shang, H. L., 2013. Bayesian bandwidth estimation for a nonparametric functional regression model with unknown error density, Computational Statistics and Data Analysis 67, 185-198.

Shang, H. L., 2013. ftsa: An R package for analyzing functional time series. The R Journal 5, 64-72.

Shang, H. L., 2013. Functional time series approach for forecasting very short-term electricity demand. Journal of Applied Statistics 40, 152-168.

Shi, Y., Ho, K., Zhang, Z., 2013. How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches. North American Journal of Economics and Finance 26, 436-456.

Smith T., Walsh, K., 2013. Why the CAPM is half right and everything else is wrong. Abacus 49, 73-78.

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