Publications

Navone, M 2004, 'Diversifying market risk through market neutral strategies' in Gregoriou, GN, Rouah, F & Karavas, VN (eds), Hedge funds: Strategies, risk assessment, and returns, Beard Books, US, pp. 303-312.

Navone, M 2004, 'L'individuazione del portafoglio ottimo per l'investitore' in Anderloni (ed), L'innovazione finanziaria. Osservatorio Newfin 2004, Bancaria Editrice, Italy, pp. 477-497.

Glascock, JL, Michayluk, D & Neuhauser, K 2004, 'The Riskiness of REITs Surrounding the October 1997 Stock Market Decline', The Journal of Real Estate Finance and Economics, vol. 28, no. 4, pp. 339-354.
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Real estate investment trusts (REITs) are viewed as low risk/low return stocks that exhibit defensive stock characteristics. The stock market decline of October 1997 provides all excellent opportunity to examine the riskiness of REITs during high levels of market uncertainty. We find that the decline in REIT stock values was about one-half as large as the decline of non-REIT stocks. Additionally, market uncertainty on the event day was shown with all increased bid-ask spread for all stocks. On the following day when the market decline was partially reversed, the bid-ask spreads continual to increase for non-REIT stocks, but declined for REIT stocks. This suggests that REITs, like defensive stocks in general, are less prone to significant declines during market-wide disturbances. Also, we order stocks based on the standard deviation measures of risk and show that this risk measure explains the cross-section of returns for non-REITs but is not valid for REITs.

Lin, B & Michayluk, D 2004, 'The liquidity response to auditor reputation concerns', Finance Letters, vol. 2, no. 5, pp. 1-18.

RÖSCH, D & SCHEULE, H 2004, 'Forecasting Retail Portfolio Credit Risk', The Journal of Risk Finance, vol. 5, no. 2, pp. 16-32.
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A major topic in retail lending is the measurement of the inherent portfolio credit risk. The needs for a better understanding and dealing with default risky securities have been reinforced by the Basel Committee on Banking Supervision [1999a, 1999b, 2000, 2001a, 2001b, 2002, 2003] which has proposed a revision of the standards for banks' capital requirements.

Wilson, P, Okunev, J, Hutcheson, T & Zurbruegg, R 2004, 'Regime Switching in the Real Estate Risk Premium', Pacific Rim Property Research Journal, vol. 10, no. 2, pp. 168-192.
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Bertin, W, Holland, C & Michayluk, D 1970, 'Liquidity and the neglected firm effect', Eastern Finance Association Annual Meeting, Mystic, Connecticut, USA.

Chiarella, C & Nikitopoulos-Sklibosios, C 1970, 'A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework', 20th AFFI International Conference 2003, 20th AFFI International Conference 2003, The Association Francaise de Finance, Lyon, France, pp. 1-36.
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This paper considers a class of term structure models that is a parameterisation of the Shirakawa (1991) extension of the Heath, Jarrow and Morton (1992) model to the case of jump-diffusions. We consider specific forward rate volatility structures that incorporate state dependent Wiener volatility functions and time dependent Poisson volatility functions. Within this framework, we discuss the Markovianisation issue, and obtain the corresponding affine term structure of interest rates. As a result we are able to obtain a broad tractable class of jump-diffusion term structure models. We relate our approach to the existing class of jump-diffusion term structure models whose starting point is a jump-diffusion process for the spot rate. In particular we obtain natural jump-diffusion versions of the Hull and White (1990, 1994) one-factor and two-factor models and the Ritchken and Sankarasubramanian (1995) model within the HJM framework. We also give some numerical simulations to gauge the effect of the jump-component on yield curves and the implications of various volatility specifications for the spot rate distributions.

Chiarella, C, Schlogl, E & Sklibosios Nikitopoulos, C 1970, 'A Markovian Defaultable Term Structure Model with State Dependent Volatilities', CREDIT 2003 Conference on Dependence Modelling for Credit Portfolios, --, Venice, Italy.

Hulley, H 1970, 'Fair pricing in a benchmark model with jumps', -, Quantitative Methods in Finance 2004 Conference, -, Sydney, Australia.

Lin, B & Michayluk, D 1970, 'The impact of immaterial corporate disclosure on market liquidity: Evidence of the disjunction effect', Proceedings of the 2004 Decision Sciences Institute annual meeting, Annual Meeting of the Decision Sciences Institute, Decision Sciences Institute, Boston, Massachusetts, USA, pp. 1-11.

Lin, B & Michayluk, D 1970, 'The impact of immaterial corporate disclosure on market liquidity: Evidence of the disjunction effect', Southern Finance Association annual meeting, Naples, Florida, USA.

Mathew, P, Michayluk, D, Prather, L & Roth, B 1970, 'Liquidity and the intraday variation in components of the bid-ask spread', Eastern Finance Association Annual Meeting, Mystic, Connecticut, USA.

Michayluk, D & Neuhauser, K 1970, 'Overreaction or increased uncertainty: Evidence from the October 1997 stock market decline', Financial Management Association annual meeting, New Orleans, Louisiana, USA.

Chiarella, C, Schlogl, E & Nikitopoulos Sklibosios, C 2004, 'A Markovian defaultable term structure model with state dependent volatilities (QFRC paper #135)'.

Hutcheson, T & Tse, H 2004, 'Learning by Students at University'.

Hutcheson, TJ & Tse, HP 2004, 'Learning by students (F&E paper #136)'.