Australian School of Business > Schools

Ramaprasad Bhar

Ramaprasad Bhar - Australian School of Business 

PhD, UTS

MBA, Finance specialty strand, UTS

MASc, Computer Science, University of Waterloo Canada

MTech, Radio Physics and Electronics, University of Calcutta India

BTech, Radio Physics and Electronics, University of Calcutta India

BSc, Honours in Physics, University of Calcutta India

Associate Professor

Coordinator, Risk Management Programs

Phone:

+61 2 9385 4930 

Fax:

+61 2 9385 1883 

Room:

2070 

Address:

Quadrangle Building

Publications

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

 

  • Ramprasad Bhar's published works

 

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 Markets31(8), 779–807.

  • Bhar, R., & Karunaratne, N. D. (2011). Regime-shifts and post-float inflation dynamics of Australia. Economic Modelling28, 1941–1949.
  • Bhar, R., & Malliaris, A. G. (2011). Oil prices and the impact of the financial crisis of 2007–2009. Energy Economics33, 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 Finance3, 27–53.

  • Bhar, R., & Mallik, G. S. (2010). Inflation, Inflation Uncertainty and the Output Growth in the USA. Physica A: Statistical Mechanics and its Applications389(23), 5503-5510.

  • Bhar, R., & Nikolova, B. (2010). Global Oil Prices, Oil Industry and Equity Returns: Russian Experience. Scottish Journal of Political Economy57(2), 169-186.

  • Bhar, R., & Nikolova, B. (2009). Oil Prices and Equity Returns in the BRIC Countries. The World Economy32(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 Measurement33, 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 Modelling25(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 Systems31, 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. Automatica42, 1381-1393.
  • Bhar, R., & Hamori, S. Link between Inflation and Inflation Uncertainty: Evidence from G7 Countries. Empirical Economics29(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 Econometrics8(1), Article 3.
  • Bhar, R., Chiarella, C., & Pham, T. (2001). Modelling the Currency Forward Risk Premium: A New Perspective. Asia-Pacific Financial Markets8(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 Markets21(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 Finance3(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.

 

  • Ramprasad Bhar's scholarly papers on SSRN

 

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
  • Credit risk modelling
  • Use of copulas in asset pricing

Research grants

  • 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

 Courses taught

  • FINS3625 Applied Corporate Finance
  • FINS5535 Derivatives and Risk Management Techniques
  • FINS5541 Advanced Investments and Funds Management
  • FINS5576 Advanced Topics in Asset Pricing
  • FINS5577 Advanced Topics in Corporate Finance
  • MFIN6210 Empirical Studies in Finance
  • ACTL6002 Risk Tools
  • RISK5001 Fundamentals of Risk and Risk Management
  • RISK5002 Risk Tools
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