Web Access Research Portal

Researcher: Jeyasreedharan, N (Dr Nagaratnam Jeyasreedharan)

Fields of Research

Financial Econometrics
Financial Economics
Investment and Risk Management
International Economics and International Finance
Economic Theory
Time-Series Analysis
Banking, Finance and Investment
Economic Models and Forecasting
Real Estate and Valuation Services
Applied Statistics
Econometric and Statistical Methods

Research Objectives

Economic Framework
Expanding Knowledge in Economics
Finance Services
Microeconomics
Monetary Policy
Service Industries Standards and Calibrations
Measurement Standards and Calibration Services
Technological and Organisational Innovation
Expanding Knowledge in the Mathematical Sciences
Economic Growth
Market-Based Mechanisms

Career Best Publications

Compound models of high-low speculative prices: a cointegration-based approach; The First International Workshop on Intelligent Finance
Yet Another ACD Model: The Autoregressive Conditional Directional Duration (ACDD) Model; Annals of Financial Economics

Research Publications

A DoW-statistic for Gauging Day-of-the-Week Anomalies; Finance Letters
An immediacy and non-immediacy based trading model; International Journal of Accounting & Business Finance
Compound models of high-low speculative prices: a cointegration-based approach; The First International Workshop on Intelligent Finance
Duration Dynamics in the After-Hours Electronic Futures Market during the Global Financial Crisis; Review of Futures Markets
Evaluating the performance of hedge funds using two-stage peer group benchmarks; Journal of Asset Management
Existence and Persistence of Conditional Skewness and Kurtosis: Evidence from Sri Lanka; International Journal of Accounting & Business Finance
Extremal expectations: A paradigm for fat-tails; Society for the Advancement of Behavioral Economics (SABE) Conference
Extremal expectations: A Paradigm for Fat-tails; Australasian Finance and Banking Conference
Learning about the role of market micro-structure from high-frequency data on Asian banks; Regional Growth and Sustainable Development in Asia
Measuring the performance of hedge funds using two-stage peer group benchmarks; 42nd Australian Conference of Economists
Optimal sampling frequencies for realized variance, realized skewness and realized kurtosis; 2017 Quantitative Methods in Finance Conference
The Asymptotics of Extreme Returns in the Australian Stock Market; Australasian Finance and Banking Conference
The Day-of-the-Week (DoW) Efficiency of Asia-Pacific Stockmarkets; Journal of Business and Behavioral Sciences
The Day-of-the-Week Effect: Anomaly or Illusion? New Evidence from Sri Lanka’; International Journal of Accounting & Business Finance
Understanding Derivatives: Options, Futures, Swaps, MBSs, CDOs and Others; Tilde Publishing and Distribution
Understanding Derivatives: Theory and Practice; Tilde Publishing and Distribution
Yet Another ACD Model: The Autoregressive Conditional Directional Duration (ACDD) Model; Annals of Financial Economics
Yet Another Trading Simulation: The Nonimmediacy Model; Economic Society of Australia, Conference of Economists

Research Projects

The behaviour of diffusion and jump risks in conflict and post-conflict markets (Evidence from Sri Lanka); Accounting & Finance Association of Australia and New Zealand Ltd (AFAANZ)

Research Candidate Supervision

Analysis of Chinese Financial Markets
Duration Modelling of the After-Hours Electronic Futures Market