This paper examines international equity market co-movements using time-varying copulae. We examine distributions from the class of Symmetric Generalized Hyperbolic (SGH) distributions for modelling univariate marginals of equity index returns. We show based on the goodness-of-fit testing that...

The aim of this paper is to model the dependency among log-returns when security account prices are expressed in units of a well diversified world stock index. The paper uses the equi-weighted index EWI104s, calculated as the average of 104 world industry sector indices. The log-returns of its...

The growth optimal portfolio (GOP) plays an important role in finance, in particular in derivative pricing, where it is employed as a num\'eraire portfolio, allowing to price contingent claims directly under the real world probability measure. This paper derives an extension of a time dependent...

The growth optimal portfolio (GOP) plays an important role in finance, where it serves as the num eraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance...

This paper deals with the estimation of continuous-time diffusion processes which model the dynamics of a well diversified world stock index (WSI). We use nonparametric kernel-based estimation to empirically identify a square root type diffusion coefficient function in the dynamics of the...

This paper examines market concentration and stock returns on the Australian Securities Exchange. We find that dominant companies operating in concentrated industries in Australia are able to generate significant risk-adjusted excess stock returns. Our results for Australian data are opposite to...

This paper introduces a Generalised Additive Model (GAM) to link high frequency intraday (5-minute) aggregate electricity demand in Australia to the time of the day and intra-day temperature. We show a superior model fit when using Daylight Saving Time (DST), or clock time, instead of the...

We examine the dependence structure of electricity spot prices across regional markets in Australia. One of the major objectives in establishing a national electricity market was to provide a nationally integrated and efficient electricity market, limiting market power of generators in the...

This paper deals with the estimation of continuous time diffusion processes describing the dynamics of electricity spot prices. Different parametric models have been proposed in the literature, each attempting to capture empirical characteristics and stylized facts of the electricity market like...