Craig Ellis

Education Centre Australia

Dean

Sydney

Australia

SCHOLARLY PAPERS

8

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CITATIONS
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11

Scholarly Papers (8)

1.

Volatility Scaling in Foreign Exchange Markets

Nanyang Technological University Working Paper No. 99-04
Number of pages: 23 Posted: 25 Apr 1999
Jonathan A. Batten and Craig Ellis
Universiti Utara Malaysia and Education Centre Australia
Downloads 521 (51,829)
Citation 3

Abstract:

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2.

Scaling the Volatility of Credit Spreads: Evidence from Australian Dollar Eurobonds

Nanyang Technological University, Department of Banking and Finance Working Paper No. 99-03
Number of pages: 36 Posted: 13 Dec 1999
Universiti Utara Malaysia, Education Centre Australia and University of Technology, Sydney - School of Finance and Economics
Downloads 435 (64,898)
Citation 7

Abstract:

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3.

Return Anomalies on the Nikkei: Are They Statistical Illusions?

Number of pages: 18 Posted: 26 May 2003
Universiti Utara Malaysia, Education Centre Australia and University of Alabama at Birmingham
Downloads 412 (69,307)
Citation 3

Abstract:

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Long-term dependence, Return Anomalies, CUSUM, Rescaled-range statistic, Hurst statistic

4.

Economic Capital, Loan Pricing and 'Ratings Arbitrage'

Number of pages: 28 Posted: 02 Oct 2008
Maike Sundmacher and Craig Ellis
affiliation not provided to SSRN and Education Centre Australia
Downloads 360 (81,138)

Abstract:

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economic capital, loan pricing, ratings arbitrage

5.

International Financial Integration: Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries.

29th Australasian Finance and Banking Conference 2016
Number of pages: 18 Posted: 18 Aug 2016
Xuan Vinh Vo and Craig Ellis
University of Economics Ho Chi Minh City and Education Centre Australia
Downloads 62 (346,277)
Citation 1

Abstract:

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Stock market linkage, Volatility transmission, VAR-GARCH, BEKK-GARCH

6.

Statistical Illusions and Long-Term Return Anomalies on the Nikkei

Jonathan Batten, Craig Ellis and Thomas Fetherston, STATISTICAL ILLUSIONS AND LONG-TERM RETURN ANOMALIES ON THE NIKKEI, CHAOS, SOLTIONS & FRACTAL, Vol. 23, pp.1125-1136, Elsevier Science, 2005
Posted: 02 Aug 2005
Universiti Utara Malaysia, Education Centre Australia and University of Alabama at Birmingham

Abstract:

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Long-term dependence, Return Anomalies, CUSUM, Rescaled-range statistic, Hurst statistic, Nikkei

7.

Decomposing Intraday Dependence in Currency Markets: Evidence from the Aud/Usd Spot Market

Physica A: Statistical Mechanics and its Applications, Vol. 352, No. 2-4, pp. 558-572, 2005
Posted: 02 Aug 2005 Last Revised: 15 Jul 2010
Universiti Utara Malaysia, Education Centre Australia and University of Technology, Sydney - School of Finance and Economics

Abstract:

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Scaling volatility, long-range dependence, foreign exchange, market microstructure

8.

Scaling Relationships of Gaussian Processes

Economics Letters, Vol. 72, No. 3, pp. 291-296
Posted: 26 May 2003
Jonathan A. Batten and Craig Ellis
Universiti Utara Malaysia and Education Centre Australia

Abstract:

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Scaling, Volatility, Currency returns