Mervyn J Silvapulle

Monash University - Department of Econometrics & Business Statistics

Wellington Road

Clayton, Victoria 3168

Australia

  • Monash University - Department of Econometrics & Business Statistics

SCHOLARLY PAPERS

5

DOWNLOADS

626

SSRN CITATIONS

0

CROSSREF CITATIONS

1

Scholarly Papers (5)

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1.

A Semiparametric Approach to Value-at-Risk, Expected Shortfall and Optimum Asset Allocation in Stock-Bond Portfolios Before and After the Global Financial Crisis

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 56 Posted: 24 Aug 2010 Last Revised: 19 Jul 2012
Param Silvapulle, Xiangjin Bruce Chen and Mervyn J Silvapulle
Monash University - Department of Econometrics & Business Statistics, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 320 (146,693)

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Dependence, Blanket tests, Semi-parametric method, copula, Investment decision, Value-at risk

2.

Testing for a Structural Break in Dynamic Panel Data Models with Common Factors

Number of pages: 31 Posted: 25 Sep 2015
Huanjun Zhu, Vasilis Sarafidis, Mervyn J Silvapulle and Jiti Gao
Monash University - Department of Econometrics & Business Statistics, BI Norwegian Business School, Monash University - Department of Econometrics & Business Statistics and Monash University - Department of Econometrics & Business Statistics
Downloads 160 (283,139)

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Break-point detection; Fixed T asymptotics; Method of moments; Unobserved heterpgeneity

3.

Specification Tests for Time Series Models with GARCH-Type Conditional Variance

Number of pages: 56 Posted: 22 Mar 2018
Indeewara Perera and Mervyn J Silvapulle
University of Sheffield - Department of Economics and Monash University - Department of Econometrics & Business Statistics
Downloads 51 (580,393)

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GARCH, AGARCH, Bootstrap Test, Goodness-of-Fit Test

4.

Consistent Pretesting for Jumps

Number of pages: 33 Posted: 12 Jun 2014
Valentina Corradi, Mervyn J Silvapulle, Norman R. Swanson and Norman R. Swanson
University of Surrey - School of Economics, Monash University - Department of Econometrics & Business Statistics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 48 (595,580)
Citation 2

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5.

Testing for Jumps and Jump Intensity Path Dependence

Number of pages: 37 Posted: 14 Jul 2017
Valentina Corradi, Mervyn J Silvapulle, Norman R. Swanson and Norman R. Swanson
University of Surrey - School of Economics, Monash University - Department of Econometrics & Business Statistics and Rutgers, The State University of New Jersey - Department of EconomicsRutgers University - Department of Economics
Downloads 47 (600,699)
Citation 2

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diffusion model, jump intensity, jump size density, tricity