Prof Param Silvapulle - Researcher Profile

Biography

Param works in the Faculty of Business & Economics at Monash University as a Professor.

Qualifications

PHD IN ECONOMETRICS

Institution: Monash University

Year awarded: 1992

MASTER OF ECONOMICS

Institution: Australian National University, Canberra

Year awarded: 1987

GRADUATE DIPLOMA IN ECONOMICS

Institution: Australian National University, Canberra

Year awarded: 1984

MSC MASTER OF STATISTICS

Institution: Australian National University

Year awarded: 1981

BACHELOR OF SCIENCE(MATHEMATICS)(HONS 1ST CLASS)

Institution: University of Sri Lanka, Colombo Campus, Sri

Year awarded: 1974

Publications

Journal Articles

Rushdi, M., Kim, J., Silvapulle, P., 2012, ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia, Economic Modelling [P], vol 29, issue 3, Elsevier BV, Amsterdam Netherlands, pp. 535-543.

Moosa, I.A., Silvapulle, P., 2012, An empirical analysis of the operational losses of Australian banks, Accounting and Finance [P], vol 52, issue 1, Wiley-Blackwell Publishing Asia, Richmond Vic Australia, pp. 165-185.

Raghavan, M.V., Silvapulle, P., Athanasopoulos, G., 2012, Structural VAR models for Malaysian monetary policy analysis during the pre- and post-1997 Asian crisis periods, Applied Economics [P], vol 44, issue 29, Routledge, Abingdon UK, pp. 3841-3856.

Luo, W., Brooks, R., Silvapulle, P., 2011, Effects of the open policy on the dependence between the Chinese 'A' stock market and other equity markets: An industry sector perspective, Journal of International Financial Markets, Institutions and Money [P], vol 21, issue 1, Elsevier BV, Amsterdam Netherlands, pp. 49-74.

Boero, G., Silvapulle, P., Tursunalieva, A., 2011, Modelling the bivariate dependence structure of exchange rates before and after the introduction of the euro: A semi-parametric approach, International Journal Of Finance & Economics [P], vol 16, issue 4, John Wiley and Sons Ltd, West Sussex UK, pp. 357-374.

Kim, G., Silvapulle, M.J., Silvapulle, P., 2008, Estimating the error distribution in multivariate heteroscedastic time-series models, Journal of Statistical Planning and Inference, vol 138, issue 5, Elsevier BV, North-Holland, Netherlands, pp. 1442-1458.

Kim, G., Silvapulle, M.J., Silvapulle, P., 2008, Estimating the error distribution in multivariate heteroscedastic time-series models, Journal of Statistical Planning and Inference, vol 138, issue 1, Elsevier BV, North-Holland, Netherlands, pp. 1442-1458.

Sriananthakumar, S., Silvapulle, P., 2008, Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion, Applied Financial Economics, vol 18, issue 4, Routledge, UK, pp. 267-273.

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.

Hoque, H.A.A., Silvapulle, P., Moosa, I.A., 2007, A threshold cointegration approach to the stock prices-inflation puzzle, International Journal of Economic Perspectives, vol 1, issue 2, International Economic Society, Turkey, pp. 83-101.

Silvapulle, P., Azam, M.N., Yeasmin, M., 2007, Analysis of dependence in the G11 countries' financial markets: Simulation and empirical evidence, Applied Financial Economics Letters, vol 3, issue 4, Routledge, UK, pp. 211-214.

Silvapulle, P., Zhang, X., 2007, Assessing dependence changes using nonparametric methods, Applied Financial Economics Letters, vol 3, issue 6, Routledge, UK, pp. 397-401.

Kim, G., Silvapulle, M.J., Silvapulle, P., 2007, Comparison of semiparametric and parametric methods for estimating copulas, Computational Statistics & Data Analysis, vol 51, issue 6, Elsevier BV, North-Holland, Netherlands, pp. 2836-2850.

Kim, J., Silvapulle, P., Hyndman, R.J., 2007, Half-life estimation based on the bias-corrected bootstrap: A highest density region approach, Computational Statistics & Data Analysis, vol 51, issue 7, Elsevier BV, North-Holland, Netherlands, pp. 3418-3432.

Kim, G., Silvapulle, M.J., Silvapulle, P., 2007, Semiparametric estimation of the error distribution in multivariate regression using copulas, Australian and New Zealand Journal of Statistics, vol 49, issue 3, Blackwell Publishing Asia, Australia, pp. 321-336.

Silvapulle, P., Moosa, I.A., Silvapulle, M.J., 2004, Asymmetry in Okun's law, Canadian Journal of Economics, vol 37, issue 2, Blackwell Publishing, Inc., USA, pp. 353-374.

Galagedera, D.U.A., Henry, D., Silvapulle, P., 2004, Empirical evidence on the conditional relation between higher-order systematic co-movements and security returns, Quarterly Journal of Business and Economics, vol 42, issue 1 & 2, University of Nebraska at Lincoln, USA, pp. 121-137.

Silvapulle, P., 2004, Testing for seasonal behaviour of monthly stock returns: evidence from international markets, Quarterly Journal of Business and Economics, vol 43, issue 1/2, University of Nebraska at Lincoln, College of Business Administration, USA, pp. 93-109.

Galagedera, D.U.A., Silvapulle, P., 2003, Experimental evidence on robustness of data envelopment analysis, Journal of the Operational Research Society, vol 54, issue 6, Palgrave Macmillan Ltd, UK, pp. 654-660.

Henry, D., Silvapulle, P., 2003, Testing for asymmetry in the price-volume relationship of listed Australian banks, Journal of Accounting and Finance, vol 2, Korea Accounting Information Association, Korea, pp. 1-13.

Moosa, I.A., Silvapulle, P., Silvapulle, M., 2003, Testing for temporal asymmetry in the price-volume relationship, Bulletin of Economic Research, vol 55, issue 4, Blackwell Publishing Ltd, UK, pp. 373-389.

Galagedera, D.U., Silvapulle, P., 2002, Australian mutual fund performance appraisal using data envelopment analysis, Managerial Finance, vol 28, issue 9, Barmarick Publications, UK, pp. 60-73.

Silvapulle, P., Hewarathna, R., 2002, Robust estimation and inflation forecasting, Applied Economics, vol 34, issue 18, Routledge, UK, pp. 2277-2282.

Beg, A.B., Silvapulle, M., Silvapulle, P., 2002, Robust tests against smooth transition autoregressive models, Journal of Statistical Computation and Simulation, vol 72, issue 2, Taylor and Francis, UK, pp. 167-178.

Silvapulle, P., 2002, Testing for short memory against long memory processes with applications to international financial markets, Accounting Research Journal, vol 15, issue 1, RMIT, Melbourne Vic Australia, pp. 82-89.

Silvapulle, M., Silvapulle, P., Basawa, I.V., 2002, Tests against inequality contraints in semiparametric models, Journal of Statistical Planning and Inference, vol 107, Elsevier Science, Netherland, pp. 307-320.

Silvapulle, P., 2001, A score test for seasonal fractional integration and cointegration, Econometric Reviews, vol 20, issue 1, Dekker, USA, pp. 85-104.

Brooks, R.D., Fausten, D., Silvapulle, P., 2001, Causality in international capital movements: The income mobility of Australian investment abroad, Accounting Research Journal, vol 14, issue 1, Queensland Institute of Technology, Brisbane Australia, pp. 58-64.

Moosa, I.A., Silvapulle, P., Silvapulle, M., 2001, Is the interest rate-inflation relationship asymmetric?, Journal of Economic Research, vol 6, issue 2, Asia Pacific Economic Association, Korea, pp. 127-142.

Silvapulle, P., Granger, C.W., 2001, Large returns, conditional correlation and portfolio diversification: A value-at-risk approach, Quantitative Finance, vol 1, I.O.P. Publishing, USA, pp. 542-551.

Sadique, S., Silvapulle, P., 2001, Long-term memory in stock market returns: International evidence, International Journal of Finance and Economics, vol 6, Wiley, UK, pp. 59-67.

Brooks, R.D., Silvapulle, P., 2001, Testing for linear and nonlinear Granger causality between the Australian current account and trade weighted index, Journal of Quantitative Economics, vol 17, issue 1, The Indian Econometric Society, India, pp. 102-116.

Beg, A.B., Silvapulle, M., Silvapulle, P., 2001, Tests against inequality constraints when some nuisance parameters are present only under the alternative: Test of ARCH, Journal of Business and Economic Statistics, vol 19, issue 2, American Statistical Association, USA, pp. 245-253.

Silvapulle, P., Silvapulle, M., Soupourzis, M., 2000, Business cycle asymmetry and the stock market in Japan, Keio Economic Studies, vol 37 issue 1, Keio Economic Society, Tokyo Japan, pp. 1-12.

Silvapulle, P., Podivinsky, J.M., 2000, The effect of non-normal disturbances and conditional heteroskedasticity on multiple cointegration tests, Journal of Statistical Computation and Simulation, vol 65, Overseas Publishers Association, Switzerland, pp. 173-189.

Silvapulle, P., Evans, M.A., 1998, Testing for serial correlation in the presence of dynamic heteroscedasticity, Econometric Reviews, vol 17, 1, Marcel Dekker Inc., New York NY USA, pp. 31-56.

Silvapulle, P., Inder, B.A., 1998, Yield spreads and interest rate movements: A cointegration approach, Accounting Research Journal, vol 11, 2, QUT, Brisbane Qld Australia, pp. 378-386.

Conference Proceedings

Silvapulle, P., Shami, R.G., 2006, Testing for non-stationary hypotheses against local and global non-linear stationary alternatives, Proceedings of ESAM 2006: Australasian Meeting of the Econometric Society, 04 July 2006 to 07 July 2006, The Econometric Society, http://esam06.anu.edu.au, pp. 1-25.

Postgraduate Research Supervisions

Current Supervision

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Bandwidth selection for kernel density estimation with asymmetric kernels.

Supervisors:

Gao, J (Joint), Silvapulle, P (Joint-co).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Semiparametric Estimation of the Probabilities of Defaults (in the area of Credit Risk modelling).

Supervisors:

Gao, J (Main), Silvapulle, P (Associate), Zhang, X (Associate).

Program of Study:

(DOCTORATE BY RESEARCH).

Thesis Title:

Semiparametric and nonparametric modelling in financial econometrics.

Supervisors:

Silvapulle, P (Main), Brooks, R (Associate), Gao, J (Associate).

Completed Supervision

Student:

Aruman, S.

Program of Study:

FOREIGN EXCHANGE INTERVENTION IN THE AUSTRALIAN CURRENCY MARKET. (PHD) 2002.

Supervisors:

Silvapulle, P (Main).

Student:

Bainbridge, C.

Program of Study:

Association between idiosyncratic volatility and expected return. (Masters) 2011.

Supervisors:

Galagedera, D (Joint), Silvapulle, P (Joint-Co).

Student:

Galagedera, D.

Program of Study:

INVESTMENT PERFORMANCE APPRAISAL AND ASSET PRICING MODELS. (PHD) 2003.

Supervisors:

Silvapulle, P (Main).

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:

Joiner, A.

Program of Study:

MEDELLING MONETARY POLICY IN SMALL OPEN ECONOMIES USING BAYESIAN VARS. (PHD) 2003.

Supervisors:

Silvapulle, P (Main).

Student:

Kim, G.

Program of Study:

Semiparametric estimation of copula parameters. (PHD) 2008.

Supervisors:

Silvapulle, M (Main), Silvapulle, P (Associate).

Student:

Lestari, T.

Program of Study:

Econometrics analysis of Indonesian purchasing power parity using nonlinear models. (PHD) 2005.

Supervisors:

Kim, J (Joint), Silvapulle, P (Joint-Co).

Student:

Raghavan, M.

Program of Study:

Econometrics analysis of Malaysian monetary policy. (PHD) 2010.

Supervisors:

Silvapulle, P (Main), Athanasopoulos, G (Associate).

Student:

Rushdi, M.

Program of Study:

Do stocks provide a hedge against inflation? An empirical analysis of Australian data. (PHD) 2012.

Supervisors:

Silvapulle, P (Main).

Student:

Wickremasinghe Mudiyanselage, G.

Program of Study:

NON LINEAR MODELS FOR EXCHANGE RATE PASS-THROUGH TO JAPANESE IMPORT PRICES. (PHD) 2004.

Supervisors:

Silvapulle, P (Main).