Jonathan Dark

University of Melbourne — Australia

Economics, Econometrics and Finance · Social Sciences

12h-index312citations34works0.02yr avg
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Research Topics

Market Dynamics and Volatility(24), Financial Risk and Volatility Modeling(21), Monetary Policy and Economic Impact(11), Complex Systems and Time Series Analysis(8), Financial Markets and Investment Strategies(6)

Publications34 total

Projecting Economic Loss with Climate Change
2025Open Access
An adaptive long memory conditional correlation model
Journal of Empirical Finance·2023· 1 citedOpen Access
Forecasting variance swap payoffs
Journal of Futures Markets·2022· 1 citedOpen Access
The lead of oil price rises on US equity market beliefs and preferences
Journal of Futures Markets·2021· 3 cited
THE IMPACT OF COVID-19 ON AUSTRALIA’S HOUSING MARKET
2020· 1 cited
Multivariate models with long memory dependence in conditional correlation and volatility
Journal of Empirical Finance·2018· 14 cited
Basis Convergence and Long Memory in Volatility when Dynamic Hedging With Spi Futures
RePEc: Research Papers in Economics·2017· 1 citedOpen Access
Bivariate Error Correction FIGARCH and FIAPARCH Models on the Australian All Ordinaries Index and Its SPI Futures.
Figshare·2017· 8 citedOpen Access
Long Term Hedging of the Australian All Ordinaries Index Using a Bivariate Error Correction FIGARCH Model
Figshare·2017· 2 citedOpen Access
Long Memory in the Volatility of the Australian All Ordinaries Index and the Share Price Index Futures
Figshare·2017· 1 citedOpen Access
Futures hedging with Markov switching vector error correction FIEGARCH and FIAPARCH
Journal of Banking & Finance·2015· 18 cited
Randomized controlled trial of probiotics after colonoscopy
ANZ Journal of Surgery·2015· 28 cited
A multivariate dynamic correlation model with long memory dependence and asymmetries
2015
Lymph node status as a prognostic indicator after preoperative neoadjuvant chemoradiotherapy of rectal cancer
Colorectal Disease·2014· 24 cited
Currency Overlay for Global Equity Portfolios: Cross‐Hedging and Base Currency
Journal of Futures Markets·2014· 7 cited
Factors predicting stomal wound closure infection rates
Techniques in Coloproctology·2012· 25 citedOpen Access
Economic Significance of Non-Hedger Investment in Commodity Markets
SSRN Electronic Journal·2012· 5 citedOpen Access
A comparison of developed and emerging equity market return volatility at different time scales
Managerial Finance·2011· 14 cited
Will tighter futures price limits decrease hedge effectiveness?
Journal of Banking & Finance·2011· 6 cited
Modeling the Joint Dynamics of Spot and Futures Markets with a Regime Switching Long Memory Volatility Process
SSRN Electronic Journal·2011Open Access
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Frequent Co-authors

Naseem Mirbagheri(3), Elizabeth Ann Maharaj(3), Christine Brown(2), Mala Raghavan(2), Basil D’Souza(1), Timothy Slack(1), Shing Wai Wong(1), Francis Lam(1), Mark Muhlmann(1), Jakob Koestenbauer(1), Graham L. Newstead(1), Stewart Skinner(1), Bhaskar Kumar(1), Siddhartha Deb(1), Benjamin Poh(1), Chai‐Hooi Leow(1), William Teoh(1), Kevin Davis(1), Aswanth Kamepalli(1), David Watters(1)