Ramaprasad Bhar

UNSW Business School, Risk and Actuarial Studies

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

33

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5,202

SSRN CITATIONS
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Top 25,338

in Total Papers Citations

11

CROSSREF CITATIONS

26

Scholarly Papers (33)

1.

Construction of Zero-Coupon Yield Curve from Coupon Bond Yield Using Australian Data

U. of Technology, Sydney Finance and Economics Working Paper No. 70
Number of pages: 23 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Business School, Risk and Actuarial Studies and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 894 (32,032)

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Component Structure of Credit Default Swap Spreads and Their Determinants

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 49 Posted: 04 Sep 2008
Ramaprasad Bhar, David B. Colwell and Peipei Wang
UNSW Business School, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and Deakin University
Downloads 421 (83,840)
Citation 4

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Credit default swaps, Credit risk, Latent components, Kalman filter

Component Structure of Credit Default Swap Spreads and Their Determinants

Number of pages: 45 Posted: 09 Dec 2017
Ramaprasad Bhar, David B. Colwell and Peipei Wang
UNSW Business School, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and Deakin University
Downloads 29 (578,416)
Citation 1

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CDS Spread, Component Structure, State Space Model

3.
Downloads 401 ( 89,460)
Citation 1

A Multifactor Model of Credit Spreads

Number of pages: 30 Posted: 07 Jul 2008
Ramaprasad Bhar and Nedim Handzic
UNSW Business School, Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 238 (155,888)
Citation 2

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Credit Spreads, Macroeconomic Factors, Kalman Filter

A Multifactor Model of Credit Spreads

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 38 Posted: 04 Sep 2008
Ramaprasad Bhar and Nedim Handzic
UNSW Business School, Risk and Actuarial Studies and affiliation not provided to SSRN
Downloads 163 (220,829)
Citation 2

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Credit Spreads, Macroeconomic Factors, Kalman Filter, State-space model

4.

Exchange Rate Volatility and its Impact on the Transaction Costs of Covered Interest Rate Parity

Japan and the World Economy, Vol. 16, pp.503-525, 2004
Number of pages: 36 Posted: 20 Oct 2003
Ramaprasad Bhar, Toan M. Pham and Suk-Joong Kim
UNSW Business School, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and The University of Sydney Business School
Downloads 353 (103,518)
Citation 1

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Deviations from CIP, Markov regime shifting probabilities

5.

Are There Rational Bubbles in the US Stock Market? Overview and a New Test

ASSET PRICE BUBBLES: IMPLICATIONS FOR MONETARY AND REGULATORY POLICY, ELSEVIER SCIENCE, George Kaufman, ed., pp. 125-144, Elsevier Science, 2001
Number of pages: 27 Posted: 17 Jan 2008
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Business School, Risk and Actuarial Studies and Loyola University of Chicago - Department of Economics
Downloads 339 (108,310)

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Stock Market, Asset Bubbles, Testing for Market Overvaluation, Fundamental Valuation

6.

Oil Prices and the Impact of the Financial Crisis of 2007-2009

Energy Economics, 2011
Number of pages: 21 Posted: 28 Mar 2011 Last Revised: 02 Apr 2011
A. (Tassos) G. Malliaris and Ramaprasad Bhar
Loyola University of Chicago - Department of Economics and UNSW Business School, Risk and Actuarial Studies
Downloads 261 (142,834)
Citation 1

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Oil prices, Euro, Gold, Time series analysis, Markov switching regimes

7.

Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework

U. of Technology, Sydney Finance and Economics Working Paper No. 55
Number of pages: 14 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Business School, Risk and Actuarial Studies and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 261 (142,834)

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8.

Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems

U. of Technology, Sydney Finance and Economics Working Paper No. 76
Number of pages: 25 Posted: 05 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Business School, Risk and Actuarial Studies and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 236 (157,619)

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9.

The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques

U. of Technology, Sydney Finance and Economics Working Paper No. 54
Number of pages: 23 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Business School, Risk and Actuarial Studies and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 227 (163,689)
Citation 3

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10.

Transformation of Heath-Jarrow-Morton Models to Markovian Systems

U. of Technology, Sydney Finance and Economics Working Paper No. 53
Number of pages: 36 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Business School, Risk and Actuarial Studies and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 222 (167,242)
Citation 6

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11.

Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market

Number of pages: 33 Posted: 13 May 2009
Ramaprasad Bhar, David B. Colwell and Peipei Wang
UNSW Business School, Risk and Actuarial Studies, UNSW Australia Business School, School of Banking and Finance and Deakin University
Downloads 188 (194,975)
Citation 5

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12.

Comparing Estimation Procedures for Stochastic Volatility Models of Short-Term Interest Rates

Number of pages: 44 Posted: 16 Jul 2008 Last Revised: 13 Nov 2009
Ramaprasad Bhar and Damien Lee
UNSW Business School, Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 157 (227,684)
Citation 1

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Short term interest rates, Stochastic Volatility, Maximum likelihood estimation, Monte Carlo Likelihood, Particle Filter.

13.

Quantitative Easing and the U.S. Stock Market: A Decision Tree Analysis

Review of Economic Analysis 7 (2015)
Number of pages: 21 Posted: 11 Apr 2016
UNSW Business School, Risk and Actuarial Studies, Loyola University of Chicago - Department of Economics and Loyola University Chicago
Downloads 144 (244,429)

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Quantitative Easing, Decision Tree, Stock Market, S&P 500 Index, 10 Year Notes

14.

CDS Option Valuation under Double-Exponential Jump-Diffusion (DEJD)

Number of pages: 28 Posted: 22 Jan 2013
Ramaprasad Bhar and Nedim Handzic
UNSW Business School, Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 121 (279,207)

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Double exponential jump-diffusion, Pareto-beta jump diffusion, Leptokurtic distribution, Volatility smile, Skew, Maximum likelihood, CDS options, iTraxx, MLE

15.

Dividends, Momentum and Macroeconomic Variables as Determinants of the U.S. Equity Premium Across Economic Regimes

Review of Behavioral Finance, Forthcoming
Number of pages: 40 Posted: 28 Mar 2011 Last Revised: 02 Apr 2011
A. (Tassos) G. Malliaris and Ramaprasad Bhar
Loyola University of Chicago - Department of Economics and UNSW Business School, Risk and Actuarial Studies
Downloads 120 (280,864)

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Excess stock returns, equity premium, dividends, macroeconomic variables, momentum, Markov regimes

16.

Estimating the Term Structure of Volatility in Futures Yield - a Maximum Likelihood Approach

U. of Technology, Sydney Finance and Economics Working Paper No. 56
Number of pages: 33 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Business School, Risk and Actuarial Studies and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 120 (280,864)

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17.

The Impact of Large-Scale Asset Purchases on the S&P 500 Index, Long-Term Interest Rates and Unemployment

Number of pages: 17 Posted: 09 Jun 2015
UNSW Business School, Risk and Actuarial Studies, Loyola University of Chicago - Department of Economics and Loyola University Chicago
Downloads 113 (293,007)
Citation 2

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Quantitative Easing, Stock Market, S&P 500 Index, 10 Year Notes, Unemployment

18.

Speculative Components in Mature Stock Markets: Do They Exist and are They Related?

Advances in Quantitative Analysis of Finance and Accounting, Vol. 3, pp. 217-246, 2006
Number of pages: 39 Posted: 19 Oct 2007 Last Revised: 09 Apr 2008
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Business School, Risk and Actuarial Studies and Loyola University of Chicago - Department of Economics
Downloads 103 (312,362)

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Speculative, components, mature, stock, markets

Asset Price Momentum and Monetary Policy: Time Varying Parameter Estimation of Taylor Rules

Number of pages: 19 Posted: 02 Nov 2013
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Business School, Risk and Actuarial Studies and Loyola University of Chicago - Department of Economics
Downloads 50 (471,953)

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Monetary policy rule, Nonlinear model, Stock market, Housing market, Time-varying coefficient

Asset Price Momentum and Monetary Policy: Time Varying Parameter Estimation of Taylor Rules

Applied Economics, Forthcoming
Number of pages: 25 Posted: 11 Apr 2016
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Business School, Risk and Actuarial Studies and Loyola University of Chicago - Department of Economics
Downloads 41 (512,533)

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Monetary policy rule, Nonlinear model, Stock market, Housing market, Time-varying coefficient

20.

Bootstrap Results from the State Space from Representation of the Heath-Jarrow-Morton Model

U. of Technology, Sydney Finance and Economics Working Paper No. 66
Number of pages: 12 Posted: 21 Feb 2006
Ramaprasad Bhar and Carl Chiarella
UNSW Business School, Risk and Actuarial Studies and University of Technology, Sydney - UTS Business School, Finance Discipline Group
Downloads 76 (376,702)

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21.

A Structural Model for the Fair Valuation of CDS Index Tranches

Number of pages: 37 Posted: 14 Feb 2018
Ramaprasad Bhar and Nedim Handzic
UNSW Business School, Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 69 (397,327)

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CDS, CDO, Structural Model, Credit Risk, Copula

22.

Computational Issues in the Stochastic Discount Factor Framework for Equity Risk Premium

Number of pages: 21 Posted: 19 Nov 2013
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Business School, Risk and Actuarial Studies and Loyola University of Chicago - Department of Economics
Downloads 61 (423,227)

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Equity premium, Stochastic discount factor, Daily frequency, Momentum, Copula

23.

Relationships between Financial Sectors’ CDS Spreads and Other Gauges of Risk: Did the Great Recession Change Them?

Number of pages: 47 Posted: 08 Sep 2011
Shawkat M. Hammoudeh, Ramaprasad Bhar and Tengdong Liu
Montpellier Business School, UNSW Business School, Risk and Actuarial Studies and Drexel University - Bennett S. LeBow College of Business
Downloads 51 (459,808)
Citation 2

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CDS, Risk Premium, Great Recession, Quantitative Easing

24.

Modeling U.S. Monetary Policy during the Global Financial Crisis and Lessons for COVID-19

Journal of Policy Modeling, Forthcoming
Number of pages: 27 Posted: 11 Sep 2020
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Business School, Risk and Actuarial Studies and Loyola University of Chicago - Department of Economics
Downloads 50 (463,880)

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Monetary Policy, Quantitative Easing, 10-Year Treasury Rate, Unemployment, Labor Market, The COVID-19 Pandemic and the Fed

25.

CDS Option Valuation with Double-Exponential Jumps

Number of pages: 24 Posted: 15 Feb 2018
Ramaprasad Bhar and Nedim Handzic
UNSW Business School, Risk and Actuarial Studies and University of New South Wales (UNSW)
Downloads 34 (536,046)
Citation 1

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CDS, Volatility, Skew, Double-Exponential, Jump Diffusion

26.

What Factors Contribute to U.S. Stock Market Bubbles?

Number of pages: 44 Posted: 09 Mar 2008
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Business School, Risk and Actuarial Studies and Loyola University of Chicago - Department of Economics
Downloads 34 (536,046)

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Bubbles, Excessive stock returns, Macroeconomic variables, Regimes, Business cycles

27.

Excess U.S. Equity Returns: Are They Determined by Fundamental or Behavioral Variables?

Number of pages: 34 Posted: 20 Aug 2007
Ramaprasad Bhar and A. (Tassos) G. Malliaris
UNSW Business School, Risk and Actuarial Studies and Loyola University of Chicago - Department of Economics
Downloads 23 (600,951)

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Excessive stock returns, macroeconomic variables, Regimes, Business cycle

28.

Global Oil Prices, Oil Industry and Equity Returns: Russian Experience

Scottish Journal of Political Economy, Vol. 57, No. 2, pp. 169-186, May 2010
Number of pages: 18 Posted: 09 Mar 2010
Ramaprasad Bhar and Biljana Nikolova
UNSW Business School, Risk and Actuarial Studies and affiliation not provided to SSRN
Downloads 2 (758,327)
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29.

Oil Prices and Equity Returns in the BRIC Countries

World Economy, Vol. 32, Issue 7, pp. 1036-1054, July 2009
Number of pages: 19 Posted: 09 Jul 2009
Ramaprasad Bhar and Biljana Nikolova
UNSW Business School, Risk and Actuarial Studies and affiliation not provided to SSRN
Downloads 1 (769,747)
Citation 3
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30.

Measuring the Interconnectedness of Financial Institutions

Economic Systems, Vol. 37, No. 1, 2013
Posted: 26 Feb 2015
Ramaprasad Bhar and Biljana Nikolova
UNSW Business School, Risk and Actuarial Studies and Independent

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Interconnectedness, Convergence, Kalman filter, Financial institutions

31.

Stochastic Filtering with Applications in Finance

STOCHASTIC FILTERING WITH APPLICATIONS IN FINANCE, 2010
Posted: 29 Jul 2010 Last Revised: 19 Sep 2010
Ramaprasad Bhar
UNSW Business School, Risk and Actuarial Studies

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Kalman Filter, Stochastic Volatility, Unscented Kalman Filter, Extended Kalman Filter, Interest Rate Process, Stochastic Volatility, Inflation Uncertainty, Forward Exchange Rate, Equity Price of Risk, Credit Default Swaps

32.

Co-Movement in the Price of Risk of Aggregate Equity Markets

Economic Systems, Vol. 31, No. 3, 2007
Posted: 11 Sep 2007
Ramaprasad Bhar and Shigeyuki Hamori
UNSW Business School, Risk and Actuarial Studies and Kobe University - Faculty of Economics

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Price of risk, Risk premium, GARCH, Unobserved component

33.

New Evidence of Linkages Among G7 Stock Markets

Finance Letters, Vol. 1, No. 1, 2003
Posted: 06 Jun 2003
Ramaprasad Bhar and Shigeyuki Hamori
UNSW Business School, Risk and Actuarial Studies and Kobe University - Faculty of Economics

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Markov Switching Heteroscedasticity Model, Stock Returns, Concordance Measure