Jonathan Dark

University of Melbourne

185 Pelham Street

Carlton, Victoria 3053

Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

http://www.firn.org.au

SCHOLARLY PAPERS

6

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694

2

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Scholarly Papers (6)

1.

Exchange Traded Contracts for Difference: Design, Pricing and Effects

Number of pages: 58 Posted: 18 Jun 2009 Last Revised: 24 Jul 2009
Department of Banking and Finance, University of Melbourne and University of Melbourne - Department of Finance
Downloads 402 (71,064)

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Contracts for Difference, CFDs, futures, Bid-Ask Spreads, arbitrage

2.

Economic Significance of Non-Hedger Investment in Commodity Markets

Number of pages: 35 Posted: 15 Mar 2012
Les Coleman and Jonathan Dark
University of Melbourne - Department of Finance and University of Melbourne
Downloads 136 (208,018)

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commodity prices, market efficiency, index investors, speculative activity, futures markets

3.

Will Tighter Futures Price Limits Decrease Hedge Effectiveness?

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 46 Posted: 23 Aug 2010
Jonathan Dark
University of Melbourne
Downloads 89 (281,027)

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Price Limits, Long Memory, Maturity Effects, Tobit

4.

Modeling the Joint Dynamics of Spot and Futures Markets with a Regime Switching Long Memory Volatility Process

24th Australasian Finance and Banking Conference 2011 Paper
Number of pages: 42 Posted: 22 Aug 2011
Jonathan Dark
University of Melbourne
Downloads 64 (339,425)

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long memory, regime switching, dynamic futures hedging, cost of carry

5.

Influence Diagnostics for Multivariate GARCH Processes

Journal of Time Series Analysis, Vol. 31, Issue 4, pp. 278-291, July 2010
Number of pages: 14 Posted: 14 Jun 2010
Jonathan Dark, Xibin Zhang and Nan Qu
University of Melbourne, Monash University and affiliation not provided to SSRN
Downloads 3 (616,770)
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6.

Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach

Posted: 22 Feb 2012 Last Revised: 05 Jun 2013
Yi Ling Low and Jonathan Dark
The University of Melbourne and University of Melbourne

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Extreme Value Theory, Transformed Kernel Density