Contact
Economics & Finance
Queensland University of Technology
GPO Box 2434
Brisbane QLD 4001 Australia
Webpage

Professor Rodney C. Wolff

Positions Held

Professor in Financial Econometrics, Queensland University of Technology
Senior Research Fellow, Jesus College, Oxford

Prizes and Honours

1987 University of Queensland Medal.
1988 Shell Australia Postgraduate Scholarship (UK).
1991 Apgar Prize, Magdalen College, Oxford.
1992 Paper read before the Royal Statistical Society.
1994 Paper read before the Royal Society of London.
2002-3 Senior Research Fellow, Jesus Coll, Oxford.

Professional Memberships

Statistical Society of Australia Inc (member since 1989): 1996-2000 National Councillor; 1999-2000 Qld Branch President.
Royal Statistical Society (fellow since 1989): 1992-1995 Research Section Committee.

Employment

2003- Associate Professor (as above), QUT.
2002-2003 Senior Lecturer in Statistics, Univ Qld.
1999-2002 Student Ombudsman, QUT (50%).
1995 -2001 Senior Lecturer in Statistics, QUT.
1991-1995 Lecturer in Statistics, Univ Glasgow.

Graduate Students

PhD (incl current) (6), Hons (5).

Research Interests

Non-linear Time Series; Dynamical Systems and Chaos; Non-parametric Curve Estimation; Applications of these in Financial Econometrics; Risk.

Selected Research Grants

2003-2005 ARC Discovery Grant (with S Hurn): Novel Non-parametric Methods for Computing Financial Risk ($90,000).
2001-2003 ARC SPIRT Grant (with R Willett, B Pham, VFC Pty Ltd): Statistical Activity Cost Allocation to Support Return and Risk Management ($142,612 plus two APAIs).
2003-2005 NHMRC Large Grant (with S Tong, N Nicholls, P Dale, A McMichael): Climate Variability and Ross River Virus ($160,000).
2002-2004 ARC Discovery Grant (with S Tong, R Gerber, K Verral): Development of Environmental Health Indicators in the Context of Sustainable Development ($115,500).
1998-2000 ARC Large Grant (with K Mengersen): Convergence Diagnostics for Markov Chain Monte Carlo: a Non-parametric and Non-Linear Dynamical Systems Approach ($99,906).
2002 Australian Academy of Science Grant (with T Brailsford et al): Selby Visitorship ($10,000).
2000, 1999 ARC Small Grants (total $16,200).
2000, 1996 ANU Maths Symposia (total $14,000).
2003, 1999, 1998 QUT Visiting Scholar Grants (total ca $17,000)
1993-1996, 1992-1995 Two UK SERC Large Grants (with DM Titterington et al) (total £146,567).

Industry Experience

Statistical consulting and collaborative projects with industry and government since 1998.

Professional Activities

2002- Editor, Bernoulli News.
2001 Guest Editor, Statist Comp
1998-2001 Assoc Editor, Austral NZ J Statist.
1994-1998 Assoc Editor, J Roy Statist Soc Ser B.
Referee for major probability and statistics journals.
Referee for Australian and French tenure and promotion cases.

Selected Recent Publications

  • A time-domain test for non-linearity (with A Barnett), IEEE Trans Sig Proc (2004), in press.
  • Binary time series generated by logistic maps (with A Lawrance). Stoch Dyn (2004), in press.
  • Statistical tests for Lyapunov exponents of deterministic systems (with Q Yao & H Tong). Stud Nonlin Dyn Economet (2004), in press.
  • Recent statistical developments in cost accounting (with M Falta). Subm to Int Statist Rev (2003).
  • On non-parametric, recursive estimators of invariant densities of chaotic maps (with D Guégan). Subm to J Roy Statist Soc Ser B (2003).
  • Model specification tests in nonparametric stochastic regression models (with J Gao & H Tong). J Multiv An 83(2002), 324-359.
  • Adaptive orthogonal series estimation in additive stochastic regression models (with J Gao & H Tong) Statist Sin 12(2001), 409-428.
  • On the estimation of common non-linearity among repeated time series (with A Barnett). Proc 11th IEEE Wshop Statist Sig Proc (2001), 437-439.
  • Semiparametric approximation methods in multivariate model selection (with J Gao & V Anh). J Compl 17(2001), 754-772.
  • Phase randomisation: numerical study of higher cumulants behaviour (with K Mengersen & D Nur). Comp Statist Data An 37(2001), 487-513.
  • Local linear regression with long-range dependent errors (with V Anh, J Gao, Q Tieng). Austral NZ J Statist 41(1999), 901-917.
  • Methods for estimating a conditional distribution function (with P Hall & Q Yao). J Amer Statist Assoc 94(1999), 154-163.
  • Estimators of integrals of powers of density derivatives (with P Hall). Statist Prob Lett 15(1995), 105-110.
  • Independence in time series: another look at the BDS test (Read Paper). Phil Trans Roy Soc Ser A 348(1994), 383-395.
  • Local Lyapunov exponents: looking closely at chaos (Read Paper). J Roy Statist Soc Ser B 54(1992), 353-371.