Below is a list of upcoming seminars in finance and economics being hosted by the School of Finance and Economics. All seminars unless stated otherwise are held from 12-1 pm in:

Room D301

Level 3, Block D

1-59 Quay St

Ultimo, Sydney

Australia

Access to seminars is by invitation. Please contact Lakmali Dias on +61 2 9514 7713 for further details.

Should you want to present a paper at our seminar series then please contact:

Susan Thorp

School of Finance and Economics

University of Technology, Sydney

PO Box 123

Broadway, NSW 2007

Australia

Ph: +61 2 9514 7784

Fax: +61 2 9514 7711

E-mail: Susan.Thorp@uts.edu.au

View a past seminar for:

Speaker:	James Young, Department of Property, University of Auckland
Title:	"TBA"
Date:	10 October, 2008

Speaker:	Ian King, Department of Economics, University of Melbourne
Title:	"TBA"
Date:	26 September, 2008

Speaker:	Gael Martin, Department of Econometrics and Business Statistics, Monash University
Title:	"TBA"
Date:	19 September, 2008

Speaker:	Kathy Walsh, School of Banking and Finance, University of NSW
Title:	"TBA"
Date:	12 September, 2008

Speaker:	Adam Clements, School of Economics and Finance, Queensland University of Technology
Title:	"TBA"
Date:	22 August, 2008

Speaker:	Angeline Low, School of Finance and Economics, University of Technology, Sydney
Title:	"TBA"
Date:	15 August, 2008

Speaker:	Quan Gan, School of Economics, University of NSW
Title:	"Measuring Housing Affordability: Looking Beyond the Median"
Date:	6 August, 2008

Speaker:	Jonathan Reeves, University of New South Wales
Title:	"Monthly Forecasts of Systematic Risk: An Evaluation"
Date:	30 July, 2008

Speaker:	Yacine Ait-Sahalia, Princeton University
Title:	"TBA"
Date:	29 July, 2008

Speaker:	Daniel Lim, MathWorks Australia Pty Ltd
Title:	"Parrallel Computing in MATLAB"
Date:	23 July, 2008
Time:	11 am - 1 pm

Speaker:	Professor Pete Kyle, University of Maryland
Title:	"Cash Settlement and Price Manipulation"
Date:	11 July, 2008

Speaker:	Patrick Wilson, Len Perry and Chris Bajada, School of Finance and Economics, University of Technology, Sydney
Title:	"Looking for Price Leaders in the Aberdeen Housing Market" and "Some Thoughts on the Political Economy of the Rise and Demise of the Strike
Date:	20 June, 2008

Speaker:	Dr Constantinos Kardaras, Boston University
Title:	The Numeraire Portfolio in Ito Process Models
Date:	13 June, 2008
Abstract:	In a financial market model with stochastic asset-price evolution, the numeraire portfolio is the unique positive wealth process with the property that all other nonnegative wealth processes become supermartingales when discounted by it. The numeraire portfolio has many optimality properties (apart from the one appearing in its definition), and its existence gives a lot of information regarding the viability of the market. Using the vessel of Ito processes for the stochastic evolution of asset prices, the numeraire portfolio will be introduced. This modeling environment allows for a closed-form description of the numeraire portfolio, and its corresponding properties, as well as the proofs that these hold, become particularly clear and clean. In the course of the lecture, focus shall be given in connections of the numeraire portfolio with the following areas: Logarithmic utility maximization from terminal wealth. Long-term growth-optimality. Minimization of expected (opportunity) time to reach a certain wealth level. Absence of opportunities for free lunches in the market.

Speaker:	Gordon Menzies and Susan Thorp, School of Finance and Economics, University of Technology, Sydney
Title:	"'The Storyboard Approach to Lectures and Presentations" and "'Peer Feedback: A Pilot Study' Teaching Tools from the International Teachers Programme"
Date:	6 June, 2008
Abstract:	We give two short presentations. The first shows how to build persuasive and coherent visual presentations using the Storyboard Approach. The second describes and demonstrates the power of peer feedback for teaching development using our own recent experience from a pilot project. Please come and join the discussion.
Files:	080606_p1.ppt, Format: Powerpoint, Size: 2.3 Mb 080606_p2.ppt, Format: Powerpoint, Size: 740 Kb

Speaker:	Jack Gray, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney
Title:	"Barriers to Long Term Investing"
Date:	30 May, 2008
Abstract:	72 years ago Keynes railed against the "contemporary evils" of short-termism; 39 years ago Buffet warned about the "current obsession with short-term performance". The persistence of short-term thinking and decision-making hints at profound and subtle barriers to long-termism, barriers that stem from three inter-related sources: the structure of institutions, our evolution-driven patterns of behaviour, and the very nature of investment markets. The talk will tentatively suggest ways of overcoming these barriers.

Speaker:	Heather Anderson, School of Economics, Australian National University
Title:	"Constructing Historical Euro Area Data"
Date:	23 May, 2008
Abstract:	Time series analysis for the Euro Area requires the availability of sufficiently long historical data series, but the appropriate construction methodology has received little attention. The benchmark dataset, developed by the European Central Bank for use in its Area Wide Model (AWM), is based on fixed-weight aggregation across countries with historically distinct monetary policies and financial markets of varying international importance. This paper proposes a new methodology, based on the historical distance from monetary integration between core and periphery countries, for producing back-dated monetary and financial series for the Euro Area. The impact of using the new methodology versus the AWM data is illustrated through VAR analysis and estimates of an international DSGE model. An important advantage of the new methodology is that it can be applied to develop appropriate series as new member countries join the Euro Area.

Speaker:	Stanley Cho, School of Economics, University of NSW
Title:	"Accounting for Life-Cycle Wealth Accumulation: The Role of Housing Institution"
Date:	16 May, 2008
Abstract:	This paper constructs a quantitative general equilibrium lifecycle model with uninsurable labor income to account for the differences in the pattern of wealth accumulation across two countries, Korea and the United States. The model incorporates the differences in the housing market institution in the two countries, namely, the mortgage market and the rental market. As a focal point of the model, housing plays multiple roles for households: collateral as well as a source of service flows. The results from the calibrated model can quantitatively explain some empirical findings on the profile of wealth and homeownership in the aggregate as well as over the life cycle. The mortgage market alone can account for more than 50 percent of the differences in the aggregate homeownership ratios in the two countries, as well as 11 percent of the differences in the capital output ratios. On the other hand, the difference in the rental market is unable to account for the differences in the homeownership patterns, while it only accounts for around 5 percent of the differences in the aggregate wealth in the two countries. Welfare analysis shows that both institutions, when changed, can result in positive overall gains but mixed implications for different age groups.

Speaker:	Garry Barrett, School of Economics, University of NSW
Title:	"Consistent Nonparametric Tests for Lorenz Dominance"
Date:	9 May, 2008
Abstract:	This paper considers two consistent, nonparametric tests for Lorenz dominance. The tests are based on different measures of the difference between the empirical Lorenz curves for two independent samples of welfare related variables.The asymptotic properties of the test statistics are derived. Although the limiting distribution of the test statistics are nonstandard, we propose and justify bootstrap methods of inference. The performance of the two approaches is examined and compared in the context of a Monte Carlo study and an analysis of income and consumption inequality in Australia over 1980's and 1990's.

Speaker:	Renee Fry, Centre for Applied Macroeconomic Analysis, Australian National University
Title:	"A New Class of Tests of Contagion with Applications"
Date:	2 May, 2008
Abstract:	A new class of tests of contagion is proposed which identifies transmission channels of financial market crises through changes in higher order moments of the distribution of returns such as coskewness. Applying the framework to test for contagion in real estate and equity markets following the Hong Kong crisis in 1997-1998 and the US subprime mortgage crisis in 2007 shows that the coskewness based tests of contagion detect additional channels that are not identified by the correlation based tests. Implications of contagion in pricing exchange options where there is a change in higher order comoments of returns on the underlying assets, are also investigated.

Speaker:	Peter Dixon, The Centre of Policy Studies and the IMPACT Project, Monash University
Title:	"Illegal Immigration"
Date:	16 April, 2008

Speaker:	Adam Clements, School of Economics and Finance, Queensland University of Technology
Title:	"What Do We Know About Implied Volatility?"
Date:	11 April, 2008
Abstract:	Given that forecasting the volatility of asset returns is important in many financial applications, this issue has attracted a great deal of research attention. Broadly speaking, there are two approaches to obtaining such forecasts, utilise an econometric model or a market based option implied volatility. The relative performance of these approaches has been closely scrutinised. This paper summarises recent developments in our understanding of the performance of implied volatility. Recent findings in relation to the informational content of implied volatility and its relative forecast performance will be discussed.

Speaker:	Dominique Guégan, University Paris I, France
Title:	"Global and Local Stationary Modelling in Finance: Theory and Empirical Evidence"
Date:	7 April, 2008
Abstract:	To model real data sets using second order stochastic processes imposes that the data sets verify the second order stationarity condition. This stationarity condition concerns the unconditional moments of the process. It is in that context that most of models developed from the sixties' have been studied; We refer to the ARMA processes (Brockwell and Davis, 1988), the ARCH, GARCH and EGARCH models (Engle, 1982, Bollerslev, 1986, Nelson, 1990), the SETAR process (Lim and Tong, 1980 and Tong, 1990), the bilinear model (Granger and Andersen, 1978, Guégan, 1994), the EXPAR model (Haggan and Ozaki, 1980), the long memory process (Granger and Joyeux, 1980, Hosking, 1981, Gray, Zang and Woodward, 1989, Beran, 1994, Giraitis and Leipus, 1995, Guégan, 2000), the switching process (Hamilton, 1988). For all these models, we get an invertible causal solution under specific conditions on the parameters, then the forecast points and the forecast intervals are available. Thus, the stationarity assumption is the basis for a general asymptotic theory for identification, estimation and forecasting. It guarantees that the increase of the sample size leads to more and more information of the same kind which is basic for an asymptotic theory to make sense. Now non-stationarity modelling has also a long tradition in econometrics. This one is based on the conditional moments of the data generating process. It appears mainly in the heteroscedastic and volatility models, like the GARCH and related models, and stochastic volatility processes (Ghysels, Harvey and Renault 1997). This non- stationarity appears also in a different way with structural changes models like the switching models (Hamilton, 1988), the stopbreak model (Diebold and Inoue, 2001, Breidt and Hsu, 2002, Granger and Hyung, 2004) and the SETAR models, for instance. It can also be observed from linear models with time varying coefficients (Nicholls and Quinn, 1982, Tsay, 1987). Thus, using stationary unconditional moments suggest a global stationarity for the model, but using non-stationary unconditional moments or non-stationary conditional moments or assuming existence of states suggest that this global stationarity fails and that we only observe a local stationary behavior.

Speaker:	Talis Putnins, Discipline of Finance, University of Sydney
Title:	"The Prevalence and Underpinnings of Closing Price Manipulation"
Date:	4 April, 2008
Abstract:	We empirically analyze the prevalence and economic underpinnings of closing price manipulation and its detection using methodology that overcomes biases caused by incomplete detection. We find that stocks with high levels of information asymmetry and mid to low levels of liquidity are most likely to be manipulated. A significant proportion of manipulation occurs on month-end and quarter-end days. We estimate that a 1% increase in regulatory budgets would result in a 1.2% increase in detection and a 2.1% decrease in the amount of manipulation. We estimate that between 1.8% and 3.6% of closing prices are manipulated suggesting that for each prosecuted instance of closing price manipulation there are between five and 5,000 instances that remain undetected or not prosecuted depending on the exchange. We also observe differences in detection rates across the US and Canadian markets.

Speaker:	Tony He, School of Finance and Economics, University of Technology, Sydney
Title:	"Heterogeneous Expectations and Exchange Rate Dynamics"
Date:	28 March, 2008
Abstract:	The paper extends the classical Dornbusch exchange rate model to incorporate heterogeneous expectations and market fundamental into a dynamic model of exchange rates. The change in the exchange rate depends on both the market fundamental, which is determined by the interest rate differential, and the market expectation of exchange rate depreciation. The market expectation is a weighted average of two expectation schemes, one is a fundamentalist expectation which is mean-reverting to interest rate parity exchange rate level, and the other is a chartist expectation which is mean-reverting to the latest change in exchange rates. By applying stability and bifurcation theory of dynamical systems, it is shown that the market fundamental can stabilise an otherwise unstable market characterised by the well-known saddle-point problem and overshooting as in the classical Dornbusch model. When the market fundamental equilibrium is unstable, the fundamentalist expectation tends to cause the exchange rate to deviate from the fundamental towards a non-fundamental equilibrium level (either above or below the fundamental equilibrium level), whilst the chartist expectation causes the exchange rate to fluctuate periodically around the fundamental equilibrium. Furthermore, it turns out that a balance between the two heterogeneous expectations can stabilise the market fundamental equilibrium. Numerical simulations of the corresponding stochastic model show realistic time series and volatility.

Speaker:	Paul Oslington, University of Notre Dame Australia
Title:	"Micro vs Macro Explanations of Post-War US Unemployment Movements"
Date:	14 March, 2008
Abstract:	We consider the contribution of sectoral shocks to post-war US unemployment movements in a dynamic factor framework. Whereas previously published estimates of the contribution of sectoral shocks to unemployment relate to a particular theory of unemployment, our approach is sufficiently general to encompass almost any theory. This general model is estimated in the frequency domain using data on unemployment rather than employment or output. Sectoral shocks are found to account for around half of post-war movements in US unemployment, and tend to be of higher frequency than the common shocks and concentrated in the service and manufacturing sectors. Frequencies, sectoral patterns and flows provide clues to the identity of some of the shocks driving unemployment. For certain periods, such as the rise in unemployment in the 1970s, common shocks were dominant, but sectoral shocks have been more important in recent years.

Speaker:	Dick van Dijk, Econometric Institute, Erasmus University Rotterdam
Title:	"Getting the Most Out of Macroeconomic Information for Predicting Stock Returns and Volatility"
Date:	7 March, 2008
Abstract:	This paper considers the application of approximate dynamic factors for predicting stock returns and volatility. This approach enables us to incorporate a large amount of macroeconomic information into the forecasting models, while the model size remains reasonable. Our findings demonstrate that factor-based approaches provide substantial gains when predicting monthly S&P500 excess returns and volatility, compared to benchmark models that use a small number of specific financial and macroeconomic variables. At the same time we find that pre-selecting macroeconomic variables is of crucial importance for the performance of the factor models. A striking result is that the performance of this procedure does not deteriorate during the 1990s, which typically is thought of as a period of declining predictability. We evaluate the economic value of incorporating a large amount of macroeconomic information by simulating a mean-variance investor who uses return and volatility forecasts to determine optimal portfolio weights. We find that the investor would be willing to pay several hundreds of basis points per annum to switch from passive and dynamic strategies based on benchmark models to the dynamic strategy that employs the factor-based approach.

Speaker:	Gerald Cheang, Nanyang Business School, Nanyang Technological University
Title:	"An Extension of Merton's Jump-Diffusion Model"
Date:	29 February, 2008
Abstract:	Merton has provided a formula for the price of a European call option on a single stock where the stock price process contains a continuous Poisson jump component, in addition to a continuous log-normally distributed component. In Merton's analysis, the jump-risk is not priced. Thus the distribution of the jump-arrivals and the jump-sizes do not change under the change of measure. We introduce a Radon-Nikod´ym derivative process that induces the change of measure from the market measure to an equivalent martingale measure. The choice of parameters in the Radon-Nikodym derivative allows us to price the option under different financial-economic scenarios. In our hedging portfolio, two options of different maturities are required so that the jump-risk is properly priced in the portfolio.