Ramaprasad Bhar

Research intensive authored books 

• 'Hidden Markov Models: Application to Financial Economics', jointly with S. Hamori, SPRINGER, Germany, July 2004
• 'Empirical Techniques in Finance', Jointly with S. Hamori, SPRINGER, Germany, June 2005
• 'Stochastic Filtering in Finance', Published by World Scientific Press, August 2010

Refereed articles

• Bhar, R., Hammoudeh, S., & Liu T. (2013). Relationships between Financial Sectors’ CDS Spreads and other Gauges of Risk: Did the Great Recession Change Them? The Financial Review, 48(1), 151-178.

• Bhar, R., & Mallik, G. S. (2012). Inflation Uncertainty, Growth Uncertainty, Oil Prices and Output Growth in the U.K. Empirical Economics, Accepted for publication,  Available online: http://link.springer.com/article/10.1007/s00181-012-0650-9

• Bhar, R., & Lee, D. (2011). Time-varying market price of risk in the crude oil futures market. Journal of Futures Markets, 31(8), 779–807.

• Bhar, R., & Karunaratne, N. D. (2011). Regime-shifts and post-float inflation dynamics of Australia. Economic Modelling, 28, 1941–1949.

• Bhar, R., & Malliaris, A. G. (2011). Oil prices and the impact of the financial crisis of 2007–2009. Energy Economics, 33, 1049–1054.

• Bhar, R., & Malliaris, A. G. (2011). Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium across Economic Regimes. Review of Behavioral Finance, 3, 27–53.

• Bhar, R., & Mallik, G. S. (2010). Inflation, Inflation Uncertainty and the Output Growth in the USA. Physica A: Statistical Mechanics and its Applications, 389(23), 5503-5510.

• Bhar, R., & Nikolova, B. (2010). Global Oil Prices, Oil Industry and Equity Returns: Russian Experience. Scottish Journal of Political Economy, 57(2), 169-186.

• Bhar, R., & Nikolova, B. (2009). Oil Prices and Equity Returns in the BRIC Countries. The World Economy, 32(7), 1036-1054.

• Bhar, R., & Hamori, S. (2008). Measuring response of output growth to changes in yield spread in a state switching framework. Journal of Economic and Social Measurement,  33, 221–239.

• Bhar, R., & Wang, P. (2008). Is Jump risk in iTraxx sector indices diversifiable? The Journal of Fixed Income, 1-15.

• Bhar, R., & Hamori, S. (2008). Information Content of Commodity Futures Prices for Monetary Policy. Economic Modelling, 25(2), 274-283.

• Alaganar, V. T., & Bhar, R. (2007). Time Varying Currency Risk in Country Index Portfolios. The Quarterly Review of Economics and Finance, 47, 159-174.

• Bhar, R., & Hamori, S. (2007). Co-movement in the Price of Risk of Aggregate Equity Markets. Economic Systems, 31, 256-271.

• Bhar, R., Chiarella. C., Hung, H., & Runggaldier, W. (2006). The volatility of the instantaneous spot interest rate implied by arbitrage pricing – A dynamic Bayesian approach. Automatica, 42, 1381-1393.
• Bhar, R., & Hamori, S. Link between Inflation and Inflation Uncertainty: Evidence from G7 Countries. Empirical Economics, 29(4), 825-853.
• Bhar, R., Chiarella, C., & Runggaldier, W. (2004). Inferring Forward Looking Equity Risk Premia from Derivative Prices. Studies in Non-Linear Dynamics and Econometrics, 8(1), Article 3.
• Bhar, R., Chiarella, C., & Pham, T. (2001). Modelling the Currency Forward Risk Premium: A New Perspective. Asia-Pacific Financial Markets, 8(4), 341-360.
• Bhar, R. (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, 21(9), 833-850.
• Bhar, R., Chiarella, C., El-Hassan, N., & Zheng, X. (2000). The Reduction of Forward rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Options. The Journal of Computational Finance, 3(3), 47-62.
• Bhar, R., & Malliaris, A. G. (1998). Volume and Volatility in Foreign Currency Futures Markets. Review of Quantitative Finance and Accounting, 10, 281-298.
• Bhar, R., & Chiarella, C. (1997). Transformation of the Heath-Jarrow-Morton Models to Markovian System. The European Journal of Finance, 3, 1-26.
• Bhar, R., & Chiarella, C. (1997). Interest Rate Futures: Estimation of the Volatility Parameters in an Arbitrage-Free Framework. Applied Mathematical Finance, 4(4), 81-200.
• Bhar, R., Chiarella, C., & Runggaldier, W. (2002). Estimation of Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm. In K. Sandmann & P. J. Schonbucher (Eds.), Advances in Finance and Stochastics  (pp. 177-196). Berlin, DEU: Springer.
• Bhar, R., & Chiarella, C. (1997). The estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques. In H. Amma (Ed.), Computational Approaches to Economic Problems, Dordrecht, NLD: Kluwer Publishing.

• 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
• Credit risk modelling
• Use of copulas in asset pricing

• 2011: UNSW Major Research Equipment & Infrastructure Scheme
  Hardware and Software Infrastructure for Ontology Based Multi Agent Systems (OBMAS): jointly with P. K. Ray, Information Systems, Technology and Management, $90,000
• 2007-2009: ARC (Australian Research Council) Discovery Project Grant
  A. R. C. Discovery Project Grant DP0770719: “Managing E-Business Security using Ontology-Based Multi-Agent Systems”, jointly with P. K Ray, N. Parameswaran, R. Jamieson, L. M. Lewis, $230,000