Associate Professor Ramaprasad Bhar

Prizes and Honours

Awarded the highest quality rating for the following publications by ANBAR Electronic Intelligence:
- “The information on inflation in the Australian term structure”, Applied Financial Economics, (1997).
- “Cointegration in interest rate futures trading on the Sydney Futures Exchange,” Applied Financial Economics, (1996).
Received University of Waterloo, Canada, to study Computer Science.
Awarded Gold medals for ranking first in both the B.Tech and the M.Tech examinations at the University of Calcutta, India.

Employment

July 2000 to Present: Associate Professor of Finance, The University of New South Wales, Sydney.
July 1999 to July 2000: Associate Professor (Quantitative Finance), University of Technology, Sydney.
February 1998 to July 1999: Senior Lecturer, The University of New South Wales, Sydney.
July 1994 to February 1998: Lecturer in Finance, University of Technology, Sydney.
February 1992 to June 1994: Lecturer in Finance, University of Western Sydney.
August 1984 to January 1992: Senior Systems Engineering Manager, Colonial State Bank.
1974 – 1984: Various positions in Systems Software support including Technical Adviser, Database Administration and Technical Advice, Credit Lyonnais Bank, Netherlands

Graduate Students

PhD (2 current), Hons/Dip. (9).

Research Interests

Hidden Markov Models; Estimation of Stochastic Volatility Models; State Space Models with Markov Switching; Non-fundamental Component of Asset Price; Dynamic Bayesian Algorithm; Portfolio Flows and Its Impact on Asset Prices; Independent Component Analysis for Factor Models.

Selected Research Grants

Large A. R. C. Research Grant (2001-2003), “Dynamic Evolution of the Term Structure of Interest Rates”, jointly with Prof. C. Chiarella
Large A. R. C. Research Grant (2000-2002), “The Time Variation of Beta Coefficients Implied by Prices of Derivative Securities”, jointly with Prof. C. Chiarella
Australian Stock Exchange Research Grant (1997), “Price Volatility As A Determinant of Volume of Options Traded”, Jointly with Prof. C. Chiarella

Professional Activities

Reviewer, ARC Linkage grants applications.
Academic referee for journal papers in Journal of Computational Finance, Journal of Futures Markets, Journal of Economic Dynamics and Control, Computational Economics, Journal of Empirical Finance, The European Journal of Finance, Journal of International Money and Finance, Journal of Economics and Finance.

Industry Experience

Various consulting in technical computing software before commencing academic career in 1992. More Recently provided expert comments on Federal Government budget and in court cases involving financial market practitioners.

Selected Recent Publications

“An International Study of Causality in Variance: Interest Rate and Financial Sector Return”, Journal of Economics and Finance, 2003.
“Alternative Characterisation of the Volatility in the Growth Rate of Real GDP,” Japan and the World Economy, 2003.
“Estimation of Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm”, in Advances in Finance and Stochastic, 2002.
“Modelling the Currency Forward Risk Premium: A New Perspective”, Asia-Pacific Financial Markets, 2001
“Return and Volatility Dynamics in the Spot and Futures Markets in Australia: An Intervention Analysis in a Bivariate EGARCH-X Framework”, The Journal of Futures Markets, 2001.
“The Reduction of Forward rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Options”, The Journal of Computational Finance, 2000.
“Volume and Volatility in Foreign Currency Futures Markets”, Review of Quantitative Finance and Accounting”, 1998.
“Interest Rate Futures: Estimation of the Volatility Parameters in an Arbitrage-Free Framework”, Applied Mathematical Finance, 1997.
“Transformation of the Heath-Jarrow-Morton Models to Markovian System”, The European Journal of Finance, 1997.
Book to be delivered in March 2004 to Kluwer Academic Press: Hidden Markov Models with Application to Financial Economics