John Okunev

Coda Asset Management

Managing Director

10 Arnold St

Queens park

Sydney, 2022

Australia

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 1,972

SSRN RANKINGS

Top 1,972

in Total Papers Downloads

14,848

CITATIONS
Rank 7,033

SSRN RANKINGS

Top 7,033

in Total Papers Citations

68

Scholarly Papers (17)

1.

Hedge Fund Risk Factors and Value at Risk of Credit Trading Strategies

Number of pages: 63 Posted: 28 Nov 2003
John Okunev and Derek R. White
Coda Asset Management and UNSW Australia Business School, School of Banking and Finance
Downloads 3,092 (2,639)
Citation 13

Abstract:

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Hedge Funds, Value at Risk

2.

Do Momentum Based Strategies Still Work in Foreign Currency Markets?

Number of pages: 57 Posted: 01 Jun 2001
Derek R. White and John Okunev
UNSW Australia Business School, School of Banking and Finance and Coda Asset Management
Downloads 2,856 (3,044)
Citation 41

Abstract:

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Momentum, technical trading rules, GARCH, foreign exchange, bootstrap

3.

Modelling the Equity Risk Premium in the Long Term

Number of pages: 25 Posted: 09 Aug 2000
John Okunev and Ian Davidson
Coda Asset Management and Loughborough University - Business School
Downloads 1,909 (6,637)
Citation 5

Abstract:

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4.

Predictability of Equity REIT Returns: Implications for Property Tactical Asset Allocation

Number of pages: 24 Posted: 29 Sep 2000
John Okunev and Patrick J. Wilson
Coda Asset Management and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 1,872 (6,570)

Abstract:

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property asset allocation

5.

Using a Value at Risk Approach to Enhance Tactical Asset Allocation

Number of pages: 15 Posted: 30 Jan 2006
John Okunev
Coda Asset Management
Downloads 1,623 (8,374)

Abstract:

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Tactical Asset Allocation, Value at Risk

6.

Generating Excess Returns Through Global Industry Rotation

Number of pages: 36 Posted: 24 May 2006
John Okunev
Coda Asset Management
Downloads 1,051 (16,324)

Abstract:

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Global Industry Rotation

7.

The Returns to Following Currency Forecasts

Number of pages: 62 Posted: 03 Jan 2004
Patrick Lehner, John Okunev and Derek R. White
Independent, Coda Asset Management and UNSW Australia Business School, School of Banking and Finance
Downloads 902 (21,552)

Abstract:

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Currency, Foreign Exchange, Forecasts, Bayes

8.

Moment Matching for the Masses

Number of pages: 36 Posted: 04 Aug 2006
Derek R. White and John Okunev
UNSW Australia Business School, School of Banking and Finance and Coda Asset Management
Downloads 348 (74,763)

Abstract:

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Value at Risk, Simulation, Cholesky decomposition, Risk Management

9.

What Should Your Asset Allocation Be When You Retire?

Number of pages: 15 Posted: 19 Dec 2009 Last Revised: 30 Dec 2009
John Okunev
Coda Asset Management
Downloads 192 (129,109)
Citation 1

Abstract:

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retirement asset allocation

10.

Lifestyle or Lifecycle Funds Are They the Answer to Retirement Wealth Creation?

Number of pages: 18 Posted: 27 Jan 2013
John Okunev
Coda Asset Management
Downloads 150 (147,215)

Abstract:

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Lifestyle and lifecycle funds, tactical asset allocation

Has International Financial Integration Increased?

NYU Working Paper No. FIN-98-040
Number of pages: 31 Posted: 07 Nov 2008
University of Miami - Department of Finance, Fordham University - Gabelli School of Business and Coda Asset Management
Downloads 28 (448,541)
Citation 8

Abstract:

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Has International Financial Integration Increased?

Open Economics Review, Vol. 14, pp. 299-317, July 2003
Posted: 05 Nov 2004
Fordham University - Gabelli School of Business, University of Miami - Department of Finance and Coda Asset Management

Abstract:

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Financial integration, interest-rate equalization, real interest rates

12.
Downloads 0 (399,127)

Abstract:

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Value at Risk, Lifecycle funds

13.

The Causal Relationship between Real Estate and Stock Markets

Journal of Real Estate Finance and Economics, Vol. 21, Issue 3
Posted: 09 Mar 2001
Coda Asset Management, University of Technology Sydney (UTS) - School of Finance and Economics and University of Adelaide

Abstract:

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14.

Regression to the Mean and Mean Reversion in Futures Markets

J of Financial Engineering, Vol. 3, No. 2, June 1994
Posted: 14 May 2000
Robert W. Kolb and John Okunev
Loyola University of Chicago - Department of Finance and Coda Asset Management

Abstract:

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15.

Long-Term Dependencies and Long Run Non-Periodic Co-Cycles: Real Estate and Stock Markets

Journal of Real Estate Research, Vol. 2, No. 18, November 1999
Posted: 19 Oct 1999
Patrick J. Wilson and John Okunev
University of Technology Sydney (UTS) - School of Finance and Economics and Coda Asset Management

Abstract:

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16.

Using Non-Linear Tests to Examine Integration between Real Estate and Stock Markets

Posted: 26 Jun 1998
John Okunev and Patrick J. Wilson
Coda Asset Management and University of Technology Sydney (UTS) - School of Finance and Economics

Abstract:

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17.

Step Interventions and Market Integration: Tests in the Us, UK and Australian Property Markets

Posted: 08 Oct 1996
Patrick J. Wilson, John Okunev and James R. Webb
University of Technology Sydney (UTS) - School of Finance and Economics, Coda Asset Management and Cleveland State University

Abstract:

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