All Stories

  1. Panel data analysis of multi-factor capital asset pricing models

    Article • Applied Economics, May 2019, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  2. Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval

    Article • Econometric Reviews, August 2014, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  3. Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods

    Article • Applied Economics, October 2012, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  4. ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia

    Article • Economic Modelling, May 2012, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  5. Effects of the open policy on the dependence between the Chinese ‘A’ stock market and other equity markets: An industry sector perspective

    Article • Journal of International Financial Markets Institutions and Money, February 2011, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  6. Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: a semi-parametric approach

    Article • International Journal of Finance & Economics, November 2010, Wiley

    Professor Paramsothy (Param) n/a Silvapulle

  7. An empirical analysis of the operational losses of Australian banks

    Article • Accounting and Finance, November 2010, Wiley

    Professor Paramsothy (Param) n/a Silvapulle

  8. Malaysian monetary transmission mechanism: Evidence from the pre- and post-Asian financial crisis periods

    Article • November 2010, Institute of Electrical & Electronics Engineers (IEEE)

    Professor Paramsothy (Param) n/a Silvapulle

  9. Estimating the error distribution in multivariate heteroscedastic time-series models

    Article • Journal of Statistical Planning and Inference, May 2008, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  10. Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion

    Article • Applied Financial Economics, March 2008, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  11. Assessing dependence changes using nonparametric methods

    Article • Applied Financial Economics Letters, November 2007, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  12. SEMIPARAMETRIC ESTIMATION OF THE ERROR DISTRIBUTION IN MULTIVARIATE REGRESSION USING COPULAS

    Article • Australian & New Zealand Journal of Statistics, August 2007, Wiley

    Professor Paramsothy (Param) n/a Silvapulle

  13. Analysis of dependence in the G11 countries' financial markets: simulation and empirical evidence

    Article • Applied Financial Economics Letters, July 2007, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  14. Half-life estimation based on the bias-corrected bootstrap: A highest density region approach

    Article • Computational Statistics & Data Analysis, April 2007, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  15. Comparison of semiparametric and parametric methods for estimating copulas

    Article • Computational Statistics & Data Analysis, March 2007, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  16. Asymmetry in Okun's law

    Article • Canadian Journal of Economics/Revue canadienne d économique, April 2004, Wiley

    Professor Paramsothy (Param) n/a Silvapulle

  17. Testing for Temporal Asymmetry in the Price‐Volume Relationship

    Article • Bulletin of Economic Research, September 2003, Wiley

    Professor Paramsothy (Param) n/a Silvapulle

  18. Experimental evidence on robustness of data envelopment analysis

    Article • Journal of the Operational Research Society, June 2003, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  19. Robust estimation and inflation forecasting

    Article • Applied Economics, December 2002, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  20. Tests against inequality constraints in semiparametric models

    Article • Journal of Statistical Planning and Inference, September 2002, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  21. Australian mutual fund performance appraisal using data envelopment analysis

    Article • Managerial Finance, September 2002, Emerald

    Professor Paramsothy (Param) n/a Silvapulle

  22. Robust Tests Against Smooth Transition Autoregressive Models

    Article • Journal of Statistical Computation and Simulation, January 2002, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  23. Large returns, conditional correlation and portfolio diversification: a value-at-risk approach

    Article • Quantitative Finance, May 2001, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  24. A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION

    Article • Econometric Reviews, February 2001, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  25. Long‐term memory in stock market returns: international evidence

    Article • International Journal of Finance & Economics, January 2001, Wiley

    Professor Paramsothy (Param) n/a Silvapulle

  26. The price–volume relationship in the crude oil futures market Some results based on linear and nonlinear causality testing

    Article • International Review of Economics & Finance, February 2000, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  27. The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests

    Article • Journal of Statistical Computation and Simulation, January 2000, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  28. The relationship between spot and futures prices: Evidence from the crude oil market

    Article • Journal of Futures Markets, April 1999, Wiley

    Professor Paramsothy (Param) n/a Silvapulle

  29. The relationship between spot and futures prices: Evidence from the crude oil market

    Article • Journal of Futures Markets, April 1999, Wiley

    Professor Paramsothy (Param) n/a Silvapulle

  30. Testing for linear and nonlinear granger causality in the stock price-volume relation: Korean evidence

    Article • The Quarterly Review of Economics and Finance, March 1999, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  31. Business cycle asymmetry and the stock market

    Article • Applied Financial Economics, February 1999, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  32. Testing for serial correlation in the presence of dynamic heteroscedasticity

    Article • Econometric Reviews, January 1998, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  33. The impact of inflation rate announcements on interest rate volatility: Australian evidence

    Article • Applied Financial Economics, October 1997, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  34. Robustness of the arch tests in the presence of serial correlation

    Article • Communications in Statistics - Simulation and Computation, January 1997, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  35. Testing for a unit root in a time series with mean shifts

    Article • Applied Economics Letters, October 1996, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  36. A Score Test against One-Sided Alternatives

    Article • Journal of the American Statistical Association, March 1995, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  37. TESTING FOR PHILIPPINES RICE MARKET INTEGRATION: A MULTIPLE COINTEGRATION APPROACH

    Article • Journal of Agricultural Economics, September 1994, Wiley

    Professor Paramsothy (Param) n/a Silvapulle

  38. Testing for ar(1) against ima(1,1) disturbances in the linear regression model

    Article • Communication in Statistics- Theory and Methods, January 1994, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  39. Nonnested testing for autocorrelation in the linear regression model

    Article • Journal of Econometrics, August 1993, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  40. Does the Fisher effect apply in Australia?

    Article • Applied Economics, June 1993, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  41. Testing for AR(p) against IMA(1, q) disturbances in the linear regression model

    Article • Economics Letters, November 1992, Elsevier

    Professor Paramsothy (Param) n/a Silvapulle

  42. Testing Moving Average against Autoregressive Disturbances in the Linear-Regression Model

    Article • Journal of Business and Economic Statistics, July 1991, JSTOR

    Professor Paramsothy (Param) n/a Silvapulle

  43. Testing Moving Average Against Autoregressive Disturbances in the Li near-Reg ression Model

    Article • Journal of Business and Economic Statistics, July 1991, Taylor & Francis

    Professor Paramsothy (Param) n/a Silvapulle

  44. Estimation of Operational Risks Using Non-Parametric Approaches with an Application to US Business Losses

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Paramsothy (Param) n/a Silvapulle

  45. Modelling and Predicting of Australian Mortgage Delinquency Risk: A Preliminary Data Analysis

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Paramsothy (Param) n/a Silvapulle

  46. Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Paramsothy (Param) n/a Silvapulle

  47. A Semi-Parametric Approach to Estimating the Operational Risk and Expected Shortfall

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Paramsothy (Param) n/a Silvapulle

  48. Nonlinear and Semi-Parametric Modelling of Personal Loan Credit Scoring

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Paramsothy (Param) n/a Silvapulle

  49. Value at Risk and Optimum Asset Allocation in Stock-Bond Portfolio Before and after the Global Financial Crisis: Empirical Evidence from Australia and G7 Countries

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Paramsothy (Param) n/a Silvapulle