Prior studies of the Australian Rugby League betting market report a degree of predictability well in excess of that attributable to chance. However, two important recent changes in the structure of the market facilitate an unambiguous assessment of the statistical significance of predictability...

This paper examines evidence of predictability in Australian equities using both statistical and economic metrics of significance. A probit-based predictive model is used to forecast the probability that the 1 month ahead excess market return will be positive. Funds under management are then...

type="main" xml:id="acfi12014-abs-0001" <title type="main">Abstract</title> <p>Liu and Strong (2008) note that researchers often employ a simple (but incorrect) averaging approach that induces significant error into estimated buy-and-hold portfolio returns. This study explores the additional challenges that arise when stocks...</p>

The present paper explores a class of jump-diffusion models for the Australian short-term interest rate. The proposed general model incorporates linear mean-reverting drift, time-varying volatility in the form of LEVELS (sensitivity of the volatility to the levels of the short-rates) and...