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Susan Thorp : Citation Profile


Are you Susan Thorp?

University of Sydney

8

H index

7

i10 index

332

Citations

RESEARCH PRODUCTION:

29

Articles

43

Papers

2

Chapters

RESEARCH ACTIVITY:

   30 years (1987 - 2017). See details.
   Cites by year: 11
   Journals where Susan Thorp has often published
   Relations with other researchers
   Recent citing documents: 49.    Total self citations: 24 (6.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pth50
   Updated: 2018-02-17    RAS profile: 2017-12-13    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Dobrescu, Loretti (4)

Ortmann, Andreas (4)

Silvennoinen, Annastiina (3)

Stavrunova, Olena (2)

Iskhakov, Fedor (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Susan Thorp.

Is cited by:

McAleer, Michael (12)

Nguyen, Duc Khuong (12)

Chang, Chia-Lin (12)

Tansuchat, Roengchai (9)

Mitchell, Olivia (8)

Kilian, Lutz (7)

Filis, George (6)

Uddin, Gazi (6)

Mensi, walid (6)

Baumeister, Christiane (5)

Degiannakis, Stavros (5)

Cites to:

Laibson, David (29)

Madrian, Brigitte (28)

Lusardi, Annamaria (26)

Keane, Michael (25)

Mitchell, Olivia (21)

van Rooij, Maarten (20)

Campbell, John (18)

Skinner, Jonathan (17)

Choi, James (16)

alessie, rob (16)

Thaler, Richard (15)

Main data


Where Susan Thorp has published?


Journals with more than one article published# docs
The Economic Record7
Journal of Banking & Finance3
Journal of Pension Economics and Finance3
Australian Journal of Management2

Working Papers Series with more than one paper published# docs
Research Paper Series / Quantitative Finance Research Centre, University of Technology, Sydney14
RBA Research Discussion Papers / Reserve Bank of Australia5
Working Paper Series / The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney4
Working Papers / ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales2
Discussion Papers / School of Economics, The University of New South Wales2
NCER Working Paper Series / National Centre for Econometric Research2
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Susan Thorp (2018 and 2017)


YearTitle of citing document
2017An equilibrium model for spot and forward prices of commodities. (2017). Anthropelos, Michail ; Papapantoleon, Antonis ; Kupper, Michael. In: Papers. RePEc:arx:papers:1502.00674.

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2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

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2017Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2017). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard . In: Staff Working Papers. RePEc:bca:bocawp:17-35.

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2017Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2017). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11740.

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2017Examining the Common Dynamics of Commodity Futures Prices. (2017). Gross, Christian . In: CQE Working Papers. RePEc:cqe:wpaper:6317.

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2017Has Financialization in Commodity Markets Affected the Predictability in Metal Markets? The Efficient Markets Hypotheses for Metal Returns. (2017). Sierra, Lya Paola ; Osorio, Carolina ; Giron, Luis Eduardo. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-03.

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2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

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2017The long and short of commodity tails and their relationship to Asian equity markets. (2017). Pham, Thach N ; Powell, Robert J ; Singh, Abhay K ; Vo, Duc H. In: Journal of Asian Economics. RePEc:eee:asieco:v:52:y:2017:i:c:p:32-44.

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2017Can investors of Chinese energy stocks benefit from diversification into commodity futures?. (2017). Nguyen, Duc Khuong ; Wen, Xiaoqian . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:184-200.

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2017Informativeness of trade size in foreign exchange markets. (2017). Gradojevic, Nikola ; Erdemlioglu, Deniz ; Genay, Ramazan. In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:27-33.

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2017Information diffusion, cluster formation and entropy-based network dynamics in equity and commodity markets. (2017). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Junior, Leonidas Sandoval . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:3:p:945-961.

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2017Commodity price cycles and financial pressures in African commodities exporters. (2017). Kablan, Akassi ; Guesmi, Khaled ; Ftiti, Zied. In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:215-231.

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2017Diversification benefits of commodities: A stochastic dominance efficiency approach. (2017). Daskalaki, Charoula ; Topaloglou, Nikolas ; Skiadopoulos, George. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:250-269.

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2017Profitability of insider trading in Europe: A performance evaluation approach. (2017). Gebka, Bartosz ; Traczykowski, Jdrzej ; Korczak, Piotr ; Gbka, Bartosz . In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:66-90.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2017Contagion, volatility persistence and volatility spill-overs: The case of energy markets during the European financial crisis. (2017). Andriosopoulos, Kostas ; Spyrou, Spyros ; Galariotis, Emilios. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:217-227.

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2017Crude inventory accounting and speculation in the physical oil market. (2017). Diaz-Rainey, Ivan ; Lont, David H ; Roberts, Helen. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:508-522.

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2017Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. (2017). Sensoy, Ahmet ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Wanas, Idries Mohammad. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:454-475.

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2017“De-financialization” of commodities? Evidence from stock, crude oil and natural gas markets. (2017). Chevallier, Julien ; Guesmi, Khaled ; Zhang, Yue-Jun. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:228-239.

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2017Cross-financial-market correlations and quantitative easing. (2017). Zhang, Jie ; Zhong, Rui ; Kryzanowski, Lawrence. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:13-21.

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2017Optimal consumption, investment and housing with means-tested public pension in retirement. (2017). Andreasson, Johan G ; Novikov, Alex ; Shevchenko, Pavel V. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:75:y:2017:i:c:p:32-47.

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2017The Copula ADCC-GARCH model can help PIIGS to fly. (2017). del Mar, Maria ; Miralles-Quiros, Jose Luis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:1-12.

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2017Variance risk in commodity markets. (2017). Symeonidis, Lazaros ; Prokopczuk, Marcel ; Simen, Chardin Wese . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:136-149.

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2017A tale of two tails: Explaining extreme events in financialized agricultural markets. (2017). Algieri, Bernardina ; Koch, Nicolas ; Kalkuhl, Matthias . In: Food Policy. RePEc:eee:jfpoli:v:69:y:2017:i:c:p:256-269.

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2017Black swan events and safe havens: The role of gold in globally integrated emerging markets. (2017). Uddin, Gazi ; Nguyen, Duc Khuong ; Bekiros, Stelios ; Boubaker, Sabri . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pb:p:317-334.

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2017Financialization of metal markets: Does futures trading influence spot prices and volatility?. (2017). Mayer, Herbert ; Wanner, Markus ; Rathgeber, Andreas. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:300-316.

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2017Time-varying volatility spillovers between stock and precious metal markets with portfolio implications. (2017). Mensi, walid ; Kang, Sang Hoon ; Al-Yahyaee, Khamis Hamed. In: Resources Policy. RePEc:eee:jrpoli:v:53:y:2017:i:c:p:88-102.

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2017The behaviour of asset return and volatility spillovers in Turkey: A tale of two crises. (2017). Berke, Burcu ; Bajo-Rubio, Oscar ; McMillan, David . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:577-589.

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2017Do commodities make effective hedges for equity investors?. (2017). Wohar, Mark ; Vivian, Andrew ; Olson, Eric. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:1274-1288.

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2017Joint tests of contagion with applications to financial crises. (2017). Martin, Vance ; Hsiao, Cody Yu-Ling ; Fry-McKibbin, Renee. In: CAMA Working Papers. RePEc:een:camaaa:2017-23.

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2017Signed spillover effects building on historical decompositions. (2017). Siklos, Pierre ; Dungey, Mardi ; Volkov, Vladimir ; Harvey, John . In: CAMA Working Papers. RePEc:een:camaaa:2017-52.

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2017Linkages Between Equity and Global Food Markets: New Evidence from Including Structural Changes. (2017). JOUINI, Jamel ; Alshogeathri, Mofleh . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:3:p:166-198.

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2017Optimal Time to Enter a Retirement Village. (2017). Zhang, Jinhui ; Wei, Jiaqin ; Purcal, Sachi . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:1:p:20-:d:93729.

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2017Assessment of Policy Changes to Means-Tested Age Pension Using the Expected Utility Model: Implication for Decisions in Retirement. (2017). Andreasson, Johan G ; Shevchenko, Pavel V. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:47-:d:111425.

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2017A Cointegrated Regime-Switching Model Approach with Jumps Applied to Natural Gas Futures Prices. (2017). Leonhardt, Daniel ; Zagst, Rudi ; Ware, Antony. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:48-:d:111674.

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2017Non-Parametric Integral Estimation Using Data Clustering in Stochastic dynamic Programming: An Introduction Using Lifetime Financial Modelling. (2017). Khemka, Gaurav ; Butt, Adam. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:57-:d:117091.

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2017Volatility Spillover between Water, Energy and Food. (2017). Peri, Massimo ; Baldi, Lucia ; Vandone, Daniela. In: Sustainability. RePEc:gam:jsusta:v:9:y:2017:i:6:p:1071-:d:101981.

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2017Jumps in Commodity Markets. (2017). Benno, Duc Binh ; Prokopczuk, Marcel . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-615.

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2017Information intermediaries in the social care market for the older population. (2017). Albuquerque, Paula. In: Working Papers Department of Economics. RePEc:ise:isegwp:wp172017.

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2017Searching for a listed infrastructure asset class using mean–variance spanning. (2017). Blanc-Brude, Frederic ; Wilde, Simon ; Whittaker, Timothy. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:2:d:10.1007_s11408-017-0286-z.

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2017Good Consumer Information: the Information Paradigm at its (Dead) End?. (2017). Oehler, Andreas ; Wendt, Stefan . In: Journal of Consumer Policy. RePEc:kap:jcopol:v:40:y:2017:i:2:d:10.1007_s10603-016-9337-5.

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2017A four-factor stochastic volatility model of commodity prices. (2017). Schone, Max F ; Spinler, Stefan . In: Review of Derivatives Research. RePEc:kap:revdev:v:20:y:2017:i:2:d:10.1007_s11147-016-9126-y.

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2017Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?. (2017). Kilian, Lutz ; Baumeister, Christiane ; Ellwanger, Reinhard . In: NBER Working Papers. RePEc:nbr:nberwo:23752.

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2017Forecasting oil prices. (2017). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:77531.

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2017Time-varying correlation between oil and stock market volatilities: Evidence from oil-importing and oil-exporting countries. (2017). Filis, George ; Degiannakis, Stavros ; Boldanov, Rustam . In: MPRA Paper. RePEc:pra:mprapa:80435.

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2017The Role of Economic and Financial Uncertainties in Predicting Commodity Futures Returns and Volatility: Evidence from a Nonparametric Causality-in-Quantiles Test. (2017). GUPTA, RANGAN ; Balcilar, Mehmet ; Bahloul, Walid ; Cunado, Juncal. In: Working Papers. RePEc:pre:wpaper:201725.

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2017Individual Survival Expectations and Actual Mortality: Evidence from Dutch Survey and Administrative Data. (2017). Kalwij, Adriaan ; Kutlu-Koc, Vesile . In: European Journal of Population. RePEc:spr:eurpop:v:33:y:2017:i:4:d:10.1007_s10680-017-9411-y.

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2017The changing international network of sovereign debt and financial institutions. (2017). Dungey, Mardi ; Volkov, Vladimir ; Harvey, John . In: Working Papers. RePEc:tas:wpaper:23500.

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2017Has Crude Oil Become a Financial Asset? Evidence from Ten Years of Financialization. (2017). Adams, Zeno ; Kartsakli, Maria . In: Working Papers on Finance. RePEc:usg:sfwpfi:2017:10.

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Works by Susan Thorp:


YearTitleTypeCited
2011Financial Competence, Risk Presentation and Retirement Portfolio Preferences In: Working Papers.
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2014Financial competence, risk presentation and retirement portfolio preferences.(2014) In: Journal of Pension Economics and Finance.
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2011Economic Rationality, Risk Presentation, and Retirement Portfolio Choice In: Working Papers.
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2011Economic Rationality, Risk Presentation, and Retirement Portfolio Choice..(2011) In: MPRA Paper.
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2017Design of MySuper default funds: influences and outcomes In: Accounting and Finance.
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article0
1988VAR Forecasting Models of the Australian Economy: A Preliminary Analysis. In: Australian Economic Papers.
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article6
1988VAR Forecasting Models of the Australian Economy: A Preliminary Analysis.(1988) In: RBA Research Discussion Papers.
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2005That Courage is not Inconsistent with Caution: Currency Hedging for Superannuation Funds In: The Economic Record.
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2008Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations In: The Economic Record.
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article2
2007Choices and constraints over retirement income streams: comparing rules and regulations.(2007) In: Discussion Papers.
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2007Choices and Constraints over Retirement Income Streams: Comparing Rules and Regulations.(2007) In: Research Paper Series.
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2012Financial Competence and Expectations Formation: Evidence from Australia In: The Economic Record.
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article4
2013Means-Tested Public Pensions, Portfolio Choice and Decumulation in Retirement In: The Economic Record.
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article8
2009Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement.(2009) In: Research Paper Series.
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2014Just Interested or Getting Involved? An Analysis of Superannuation Attitudes and Actions In: The Economic Record.
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article2
2015Optimal Annuity Purchases for Australian Retirees In: The Economic Record.
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article5
2016How Portfolios Evolve after Retirement: Evidence from Australia In: The Economic Record.
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2013How Portfolios Evolve After Retirement: Evidence from Australia.(2013) In: CAMA Working Papers.
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2015How portfolios evolve after retirement: evidence from Australia.(2015) In: CAMA Working Papers.
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2013How Portfolios Evolve After Retirement: Evidence From Australia.(2013) In: Working Paper Series.
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2007SYMMETRIC VERSUS ASYMMETRIC CONDITIONAL COVARIANCE FORECASTS: DOES IT PAY TO SWITCH? In: Journal of Financial Research.
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article7
2005Annuitization and asset allocation with HARA utility In: Journal of Pension Economics and Finance.
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article21
2004Annuitization and Asset Allocation with HARA Utlity.(2004) In: Econometric Society 2004 Australasian Meetings.
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2007Decentralized investment management: an analysis of non-profit pension funds In: Journal of Pension Economics and Finance.
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2015Family, friends and framing: A cross-country study of subjective survival expectations In: DNB Working Papers.
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2004That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds In: Econometric Society 2004 Australasian Meetings.
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2015Cohort and target age effects on subjective survival probabilities: Implications for models of the retirement phase In: Journal of Economic Dynamics and Control.
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2006Valuing volatility spillovers In: Global Finance Journal.
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article19
2005Valuing Volatility Spillovers.(2005) In: International Finance.
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2016Complex Decision Making In: Handbook of the Economics of Population Aging.
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2008The private value of public pensions In: Insurance: Mathematics and Economics.
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2007The Private Value of Public Pensions.(2007) In: Research Paper Series.
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2013Financialization, crisis and commodity correlation dynamics In: Journal of International Financial Markets, Institutions and Money.
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2010Financialization, Crisis and Commodity Correlation Dynamics.(2010) In: Research Paper Series.
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2010Unobservable shocks as carriers of contagion In: Journal of Banking & Finance.
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2015Endogenous crisis dating and contagion using smooth transition structural GARCH In: Journal of Banking & Finance.
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2012Endogenous crisis dating and contagion using smooth transition structural GARCH.(2012) In: Working Papers.
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2012Endogenous Crisis Dating and Contagion Using Smooth Transition Structural GARCH.(2012) In: Research Paper Series.
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2017Determinants of the crude oil futures curve: Inventory, consumption and volatility In: Journal of Banking & Finance.
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2016As easy as pie: How retirement savers use prescribed investment disclosures In: Journal of Economic Behavior & Organization.
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article1
2013As Easy as Pie: How Retirement Savers use Prescribed Investment Disclosures.(2013) In: Research Paper Series.
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2007Measuring equity market integration using uncorrelated information flows: Tokyo, London and New York In: Journal of Multinational Financial Management.
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article5
2008DISCOUNTING AND CONSUMPTION OVER AN UNCERTAIN HORIZON: DRAW-DOWN PLANS FOR FAMILY TRUSTS In: CAMA Working Papers.
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2007Discounting and Consumption Over an Uncertain Horizon: Draw-Down Plans for Family Trusts.(2007) In: Research Paper Series.
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2008SCENARIO ANALYSIS WITH RECURSIVE UTILITY: DYNAMIC CONSUMPTION PLANS FOR CHARITABLE ENDOWMENTS In: CAMA Working Papers.
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2007Scenario Analysis with Recursive Utility: Dynamic Consumption Plans for Charitable Endowments.(2007) In: Research Paper Series.
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2009MEANS-TESTED INCOME SUPPORT, PORTFOLIO CHOICE AND DECUMULATION IN RETIREMENT In: CAMA Working Papers.
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2009Means-Tested Income Support, Portfolio Choice and Decumulation in Retirement.(2009) In: Research Paper Series.
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2007Financial engineering for Australian annuitants In: Chapters.
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2014Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds In: Emerging Markets Finance and Trade.
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2013Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds.(2013) In: Research Paper Series.
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2016Complex Decision Making: The Roles of Cognitive Limitations, Cognitive Decline and Ageing In: Economics Papers.
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2016Risk Presentation and Portfolio Choice In: Review of Finance.
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2008Unobservable Shocks as Carriers of Contagion: A Dynamic Analysis Using Identified Structural GARCH In: NCER Working Paper Series.
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2015Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics In: NCER Working Paper Series.
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2016Crude Oil and Agricultural Futures: An Analysis of Correlation Dynamics.(2016) In: Journal of Futures Markets.
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1987The Australian Demand Function for Money: Another Look at Stability In: RBA Research Discussion Papers.
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1987Money Demand, Own Interest Rates and Deregulation In: RBA Research Discussion Papers.
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1988Do Financial Aggregates Lead Activity?: A Preliminary Analysis In: RBA Research Discussion Papers.
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1989The Relationship between Financial Indicators and Economic Activity: Some Further Evidence In: RBA Research Discussion Papers.
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2017Default and naive diversification heuristics in annuity choice In: Australian Journal of Management.
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2017Age pensioner decumulation: Responses to incentives, uncertainty and family need In: Australian Journal of Management.
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2011Uncertain survival and time discounting: intertemporal consumption plans for family trusts In: Journal of Population Economics.
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article1
2015Suspicious Minds (can be a good thing when saving for retirement) In: Discussion Papers.
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2014Financial Autarchy as Contagion Prevention: The Case of Colombian Pension Funds In: Emerging Markets Finance and Trade.
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2011Infrastructure: Real Assets and Real Returns In: Working Paper Series.
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2011Private Equity: Strategies for Improving Performance In: Working Paper Series.
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2012The Tortoise and the Hare: Risk Premium Versus Alternative Asset Portfolios In: Working Paper Series.
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paper1
2010Hedge Fund Excess Returns Under Time-Varying Beta In: Working Paper Series.
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2005Asymmetric Risk and International Portfolio Choice In: Research Paper Series.
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2005Decentralised Portfolio Management: Analysis of Australian Accumulation Funds In: Research Paper Series.
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2006Information processing and measures of integration: New York, London and Tokyo In: Research Paper Series.
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2012Estimating Consumption Plans for Recursive Utility by Maximum Entropy Methods In: Research Paper Series.
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2008Piloting a Peer Feedback Program in the Faculty of Business at UTS In: Working Paper Series.
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