Assoc Prof Ann Maharaj - Researcher Profile

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Address

Department of Econometrics and Business Statistics
Building 11E, Clayton

Biography

Ann Maharaj is an Associate Professor in the Department of Econometrics and Business Statistics in the Faculty of Business & Economics at Monash University.

Ann Maharaj is a Statistician and an Associate Professor in the Department of Econometrics and Business Statistics at the Caulfield Campus of Monash University. She teaches subjects on business data analysis, business forecasting and survey data analysis and she also supervises Masters and PhD students. Her main research interests are in time series classification, wavelets analysis and fuzzy systems. She has presented several papers on these topics at international conferences and many of them have been published in highly ranked international journals. Ann has also been involved in research projects in climatology, environmental science, labour markets, human mobility and finance, and she has also published in journals in some of these fields. She is also involved in statistical consulting and has presented several workshops on various aspects of statistical analysis.

Research & Supervision Interests

    Time Series Classification, Wavelet Analysis, Fuzzy Systems

Keywords

Statistics, Time Series Classification, Wavelet, Analysis, Spectral Analysis, Fuzzy Systems

Qualifications

ECONOMETRICS AND BUSINESS STATISTICS
Institution: Monash University
Year awarded: 1998

Publications

Books

Maharaj, E.A., 1999, A test for the difference parameter of the Arfima model using the moving blocks bootstrap, Monash University, Melbourne Vic Australia.

Maharaj, E.A., Inder, B.A., 1999, Forecasting time series from clusters, Monash University, Melbourne Vic Australia.

Maharaj, A.E., 1997, Comparison and classification of stationary multivariate time series, Monash University, Melbourne Vic Australia.

Maharaj, A.E., 1997, The comparison of two or more stationary time series, Monash University, Melbourne Vic Australia.

Book Chapters

Ha, T.T.H., Coghill, K.A., Maharaj, E.A., 2009, Current measures to protect E-consumers' privacy in Australia, in Online Consumer Protection: Theories of Human Relativism, eds Kuanchin Chen and Adam Fadlalla, Information Science Publishing, Hershey PA USA, pp. 123-150.

Maharaj, E.A., 2009, Time series analysis of the Indian Ocean Dipole index, in Atlantic and Indian Oceans: New Oceanographic Research, eds Edward S Askew and James P Bromley, Nova Science Publishers, New York USA, pp. 141-158.

Journal Articles

Tan, P.P., Galagedera, D.U.A., Maharaj, E.A., 2012, A wavelet based investigation of long memory in stock returns, Physica A: Statistical Mechanics and its Applications [P], vol 391, issue 7, Elsevier BV, Amsterdam Netherlands, pp. 2330-2341. View Publication

In, F.H., Cui, J., Maharaj, E.A., 2012, The impact of a new term auction facility on Libor-OIS spreads and volatility transmission between money and mortgage markets during the subprime crisis, Journal of International Money and Finance [P], vol 31, issue 5, Pergamon, Kidlington Oxford UK, pp. 1106-1125. View Publication

D'Urso, P., Maharaj, E.A., 2012, Wavelets-based clustering of multivariate time series, Fuzzy Sets and Systems [P], vol 193, Elsevier BV, Amsterdam Netherlands, pp. 33-61. View Publication

Maharaj, E., Galagedera, D., Dark, J., 2011, A comparison of developed and emerging equity market return volatility at different time scales, Managerial Finance [P], vol 37, issue 10, Emerald Group Publishing Ltd, Bingley UK, pp. 940-952. View Publication

Maharaj, E., D'Urso, P., 2011, Fuzzy clustering of time series in the frequency domain, Information Sciences [P], vol 181, issue 7, Elsevier Inc, Philadelphia PA USA, pp. 1187-1211. View Publication

Maharaj, E.A., D'Urso, P., 2010, A coherence-based approach for the pattern recognition of time series, Physica A: Statistical Mechanics and its Applications [P], vol 389, issue 17, Elsevier BV, North-Holland, Netherlands, pp. 3516-3537. View Publication

Raghavan, M., Dark, J., Maharaj, E., 2010, Impact of capital control measures on the Malaysian stock market: A multiresolution analysis, International Journal of Managerial Finance [P], vol 6, issue 2, Emerald Group Publishing Ltd, UK, pp. 116-127. View Publication

Maharaj, E., D'Urso, P., Galagedera, D., 2010, Wavelet-based fuzzy clustering of time series, Journal Of Classification [P], vol 27, issue 2, Springer New York LLC, USA, pp. 231-275. View Publication

D'Urso, P., Maharaj, E.A., 2009, Autocorrelation-based fuzzy clustering of time series, Fuzzy Sets and Systems [P], vol 160, issue 24, Elsevier BV, North-Holland, The Netherlands, pp. 3565-3589. View Publication

Nyland, B., Nyland, C., Maharaj, E.A., 2009, Early childhood education and care in urban China: The importance of parental choice, Early Child Development and Care [P], vol 179, issue 4, Routledge, United Kingdom, pp. 517-528. View Publication

Brooks, R.D., Maharaj, E.A., Pellegrini, B., 2008, Estimation and analysis of the Hurst exponent for Australian stocks using wavelet analysis, Applied Financial Economics Letters, vol 4, issue 1, Routledge, UK, pp. 41-44.

Galagedera, D.U.A., Maharaj, E.A., Brooks, R.D., 2008, Relationship between downside risk and return: New evidence through a multiscaling approach, Applied Financial Economics, vol 18, issue 20, Routledge, UK, pp. 1623-1633. View Publication

Maharaj, E.A., Moosa, I.A., Dark, J.G., Silvapulle, P., 2008, Wavelet estimation of asymmetric hedge ratios: Does econometric sophistication boost hedging effectiveness?, International Journal of Business and Economics [P], vol 7, issue 3, Feng Chia University, College of Business, Taiwan, Republic of China, pp. 213-230.

Galagedera, D.U.A., Maharaj, E.A., 2008, Wavelet timescales and conditional relationship between higher-order systematic co-moments and portfolio returns, Quantitative Finance, vol 8, issue 2, Routledge, UK, pp. 201-215.

Nyland, C., Maharaj, E.A., O'Rourke, A.H., 2007, Australia/US/China preferential trade negotiations: Building alliances and realizing workers' rights to a 'voice at the table', Journal of Industrial Relations, vol 49, issue 5, Sage Publications, UK, pp. 648-672.

Maharaj, E.A., Alonso, A.M., 2007, Discrimination of locally stationary time series using wavelets, Computational Statistics and Data Analysis, vol 52, issue 2, Elsevier BV, North-Holland, Netherlands, pp. 879-895.

Alonso, A.M., Maharaj, E.A., 2006, Comparison of time series using subsampling, Computational Statistics & Data Analysis, vol 50, issue 10, Elsevier BV, North-Holland, The Netherlands, pp. 2589-2599. View Publication

Maharaj, E.A., Wheeler, M.C., 2005, Forecasting an index of the Madden-oscillation, International Journal of Climatology, vol 25, issue 12, John Wiley & Sons Ltd, UK, pp. 1611-1618. View Publication

Maharaj, E.A., 2005, Using wavelets to compare time series patterns, International Journal of Wavelets, Multiresolution and Information Processing, vol 3, issue 4, World Scientific Publishing Co. Pte Ltd, Singapore, pp. 511-521. View Publication

Ward, P.R., Fillery, I.R.P., Maharaj, E.A., Dunin, F.X., 2003, Water budgets and nutrients in a native Banksia woodland and an adjacent Medicago sativa pasture, Plant and Soil: International Journal on Plant-Soil Relationships, vol 257, issue 2, Kluwer Academic Publishers, The Netherlands, pp. 305-319. View Publication

Maharaj, E., 2002, Comparison of non-stationary time series in the frequency domain, Computational Statistics and Data Analysis, vol 40, issue 1, Elsevier Science, Amsterdam Netherlands, pp. 131-141.

Maharaj, E.A., 2000, Clusters of time series, Journal of Classification, vol 17 issue 2, Springer-Verlag, New York NY USA, pp. 297-314.

Maharaj, A.E., 1999, Comparison and classification of stationary multivariate time series, Pattern Recognition, vol 32, 7, Elsevier Science Ltd, Exeter UK, pp. 1129-1138.

Conference Proceedings

Maharaj, E.A., Alonso, A.M., 2006, Discriminant analysis of time series using wavelets, COMPSTAT: Proceedings of the 17th Symposium in Computational Statistics, 28 August 2006 to 01 September 2006, Physica-Verlag, Heidelberg Germany, pp. 893-900.

Maharaj, E., 2002, Pattern recognition of time series using wavelets, Proceedings in computational statistics 2002, 24/08/02 to 28/08/02, Physica-Verlag, Heidelberg USA, pp. 497-502.

Maharaj, E.A., 2000, Comparison of stationary time series using distribution free methods, COMPSTAT - Proceedings in Computational Statistics, Utrecht The Netherlands, 21-25 August 2000, Physica Verlag, Heidelberg Germany, pp. 349-354.

Other

Maharaj, E., 1998, Pattern recognition in time series analysis.

Postgraduate Research Supervisions

Current Supervision

Program of Study:
(DOCTORATE BY RESEARCH).
Thesis Title:
What does the Libor-OIS spread say about the behaviour of credit market and banking systems?.
Supervisors:
In, F (Main), Maharaj, E (Associate).

Completed Supervision

Student:
Ha, T.
Program of Study:
Governance to address consumer protection in e-retailing. (PHD) 2007.
Supervisors:
Coghill, K (Main), Maharaj, E (Associate).
Student:
Hastings, M.
Program of Study:
Monetary policy and the term structure of interest rates. (Masters) 2004.
Supervisors:
Silvapulle, P (Main), Maharaj, E (Associate).
Student:
Liu, S.
Program of Study:
Classification methods for time series. (PHD) 2012.
Supervisors:
Maharaj, E (Main), Inder, B (Associate).
Student:
Tan, P.
Program of Study:
Econometric analysis of stock returns and idiosyncratic volatility. (PHD) 2011.
Supervisors:
Galagedera, D (Joint), Maharaj, E (Joint-Co).