Quan Gan

University of Sydney Business School

Senior Lecturer

Discipline of Finance

University of Sydney

Sydney, NSW 2006

Australia

http://sydney.edu.au/business/staff/quang

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

10

DOWNLOADS
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1,269

CITATIONS
Rank 33,235

SSRN RANKINGS

Top 33,235

in Total Papers Citations

6

Scholarly Papers (10)

Modeling Dependence Using Skew T Copulas: Bayesian Inference and Applications

Number of pages: 39 Posted: 04 Sep 2010
University of Melbourne - Melbourne Business School, University of Sydney Business School and University of New South Wales - School of Economics and School of Banking and Finance
Downloads 203 (126,226)
Citation 3

Abstract:

Asymmetric Dependence, Bayesian Cross-Validation, Copula Modeling, Electricity Market Efficiency, Electricity Spot Prices, Nonlinear Dependence, Website Exposure, Online Advertising

2.

A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering

Forthcoming in Quantitative Finance
Number of pages: 33 Posted: 05 Dec 2013 Last Revised: 17 Feb 2015
University of Sydney Business School, Macquarie Group and University of Sydney Business School
Downloads 214 (93,407)

Abstract:

PIN, CPIN, Market microstructure, Cluster analysis, Mixture model, Skellam distribution

3.

A New Perspective on the Relationship between House Prices and Income

UNSW Australian School of Business Research Paper No. 2008 ECON 13
Number of pages: 24 Posted: 09 Dec 2008
Robert J. Hill and Quan Gan
UNSW Australia Business School, School of Economics and University of Sydney Business School
Downloads 181 (133,236)
Citation 1

Abstract:

Real Estate, Permanent income, Mortgage market, Housing bubble, Hedonic index

Does the Probability of Informed Trading Model Fit Empirical Data?

Number of pages: 43 Posted: 24 Oct 2014 Last Revised: 07 Aug 2015
University of Sydney Business School, Macquarie Group and University of Sydney Business School
Downloads 156 (160,531)

Abstract:

PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness-of-fit test

Does the Probability of Informed Trading Model Fit Empirical Data?

Financial Review, Vol. 52, Issue 1, pp. 5-35, 2017
Number of pages: 31 Posted: 15 Jan 2017
University of Sydney Business School, Macquarie Group and University of Sydney Business School
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Abstract:

PIN, dependence structure, copula, mixture model, Rosenblatt's transformation, goodness‐of‐fit test

5.

Measuring Housing Affordability: Looking Beyond the Median

UNSW Australian School of Business Research Paper No. 2008 ECON 09
Number of pages: 27 Posted: 02 Dec 2008
Robert J. Hill and Quan Gan
UNSW Australia Business School, School of Economics and University of Sydney Business School
Downloads 141 (133,236)
Citation 2

Abstract:

Housing affordability, Affordability at risk, Affordable limit, Mortgage market

Optimal Selling Mechanism, Auction Discounts, and Time on Market

Number of pages: 49 Posted: 13 Jun 2010 Last Revised: 21 Jul 2011
Quan Gan
University of Sydney Business School
Downloads 64 (299,289)

Abstract:

Selling mechanism, Efficient set, Auction, Mean-value at risk, Loss aversion, Liquidity risk

Optimal Selling Mechanism, Auction Discounts and Time on Market

Real Estate Economics, Vol. 41, Issue 2, pp. 347-383, 2013
Number of pages: 37 Posted: 18 Jun 2013
Quan Gan
University of Sydney Business School
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Abstract:

Optimal Selling Mechanism, Auction Discounts, and Time on Market

Real Estate Economics, Forthcoming
Posted: 22 Feb 2012
Quan Gan
University of Sydney Business School

Abstract:

Selling mechanism, Efficient set, Auction, Mean-value at risk, Loss aversion, Liquidity risk

7.

Location-Scale Portfolio Selection with Factor-Recentered Skew Normal Asset Returns

Journal of Economic Dynamics and Control, Volume 48, November 2014, Pages 176–187,
Number of pages: 31 Posted: 29 Apr 2014 Last Revised: 23 Nov 2014
Quan Gan
University of Sydney Business School
Downloads 49 (308,148)

Abstract:

Portfolio selection, CARA - skew normal, Certainty equivalent, Non-monotonicity, Factor model

8.

Comparing Time-Varying Price Impact and Information Impounding Time Across Asian Stock Exchanges: An Adaptive Lasso Approach

25th Australasian Finance and Banking Conference 2012
Number of pages: 34 Posted: 29 Oct 2012
Wang Chun Wei and Quan Gan
Macquarie Group and University of Sydney Business School
Downloads 46 (286,340)

Abstract:

adaptive lasso, attention, price impact, market microstructure

9.

Do Corporate Managers Manipulate Disclosure Through Changing 10-K File Size?

Number of pages: 44 Posted: 20 Jul 2017
Quan Gan and Buhui Qiu
University of Sydney Business School and University of Sydney Business School
Downloads 0 (368,468)

Abstract:

readability, 10-K file size change, stock return predictability, cash flow news, disclosure manipulation

10.

Do Sovereign Credit Ratings Matter for Foreign Direct Investments?

Number of pages: 39 Posted: 07 Jul 2017 Last Revised: 07 Aug 2017
Peilin Cai, Quan Gan and Suk-Joong Kim
The University of Sydney, Business School, Discipline of Finance, Students, University of Sydney Business School and The University of Sydney Business School
Downloads 0 (441,485)

Abstract:

FDI, sovereign credit rating, regional effect