Associate Professor Craig Ellis
ASSOCIATE PVC (EDUCATION) - BUSINESS & LAW,
Office of the PVC (Education)
ASSOCIATE PROFESSOR,
Economics & Finance (SoBus)
Personal
Qualifications
- BBus University of Western Sydney, Macarthur
- PhD University of Western Sydney, Macarthur
- BCom University of Western Sydney, Macarthur
UWS Organisational Unit (School / Division)
- Office of the PVC (Education)
- Economics & Finance (SoBus)
Contact
| Email: | C.Ellis@uws.edu.au |
|---|---|
| Extension: | 9462 |
| Mobile: | 0414349025 |
| Location: | EH.G.11 Parramatta |
| Website: |
Publications
Chapters in Books
- Ellis, C. and Sundmacher, M. (2011), 'Dependence and return Distributions During Crises: Evidence From Emerging Asian Economies', The Impact of the Global Financial Crisis on Emerging Financial Markets, Emerald 9780857247537.
- Ellis, C. and Sundmacher, M. (2009), 'The Economic Implications of Volatility Scaling by the Square-Root-of-Time Rule', Stock Market Volatility, Chapman & Hall/Taylor & Francis 9781420099546.
- Ellis, C. and Sundmacher, M. (2009), 'How 'Normal' are Emerging Market Returns', Emerging Markets: Performance, Analysis and Innovation, CRC Press, Taylor & Francis Group 9781439804483.
- Ellis, C. and Hogan, W. (2006), 'The Distribution of Yen Denominated Credit Spreads', Japanese Fixed Income Markets: Money, Bond and Interest Rate Derivatives, Elsevier Science Ltd 9780444520203.
- Ellis, C. (2005), 'Statistical Dependence Matter? Evidence from the USD/AUD.', Asian Pacific Financial Markets in Comparative Perspective: Issues and Implications for the 21st Century. Contemporary Studies in Economics and Financial Analysis Volume 86, Elsevier Ltd 0762312580.
Journal Articles
- Franco Laverde, J., Littlewood, A., Ellis, C., Schraner, I., Varua, M. and Varua, M. (2012), 'FMCG Portfolio Budget Allocation to Price Promotions Using Modern Portfolio Theory (MPT)', International Review of Business Research Papers, 15.
- Franco Laverde, J., Littlewood, A., Ellis, C., Schraner, I. and Varua, M. (2012), 'FMCG portfolio budget allocation to price promotions using Modern Portfolio Theory (MPT)', International Review of Business Research Papers, 15.
- Sundmacher, M. and Ellis, C. (2011), 'Bank 'ratings arbitrage': Is LGD a blind spot in economic capital calculations?', International Review of Financial Analysis, 6.
- Batten, J., Ellis, C. and Fetherston, T. (2008), 'Sample Period Selection and Long-Term Dependence: New Evidence from the Dow Jones', Chaos Solitons and Fractals, 15.
- Ellis, C. (2007), 'The sampling properties of Hurst exponent estimates', Physica A: Statistical Mechanics and its Applications, 15.
- Ellis, C. and Hudson, C. (2007), 'Scale-adjusted volatility and the Dow Jones index', Physica A: Statistical Mechanics and its Applications, 13.
- Ellis, C., Wilson, P. and Zurbruegg, R. (2007), 'Real Estate 'Value' Stocks and International Diversification', Journal of Property Research, 23.
- Ellis, C. (2006), 'The Mis-specification of the Expected Rescaled Adjusted Range', Physica A: : Statistical Mechanics and its Applications, 8.
- Ellis, C. and Wilson, P. (2006), 'Expert System Portfolios of Australian and UK Securitised Property Investments', Pacific Rim Property Research Journal, 22.
- Batten, J., Ellis, C. and Hogan, W. (2005), 'Decomposing Intraday Dependence in Currency Markets: Evidence from the AUD/USD Spot Market', Physica A, 15.
- Batten, J. and Ellis, C. (2005), 'Parameter Estimation Bias and Volatility Scaling in Black-Scholes Option Prices', International Review of Financial Analysis, 12.
- Batten, J., Ellis, C. and Fetherston, T. (2005), 'Return Anomalies on the Nikkei: Are They Statistical Illusions', Chaos Solitons and Fractals, 12.
- Ellis, C. and Wilson, P. (2005), 'A Stochastic Approach to Modelling the USD/AUD Exchange Rate', International Journal of Managerial Finance, 13.
- Ellis, C. and Parbery, S. (2005), 'Is Smarter Better? A Comparison of Adaptive and Simple Moving Average Trading Strategies', Research in International Business and Finance, 13.
- Ellis, C. and Wilson, P. (2005), 'Can a Neural Network Property Portfolio Selection Process Outperform the Property Market', Journal of Real Estate Portfolio Management, 17.
- Ellis, C. and Wilson, P. (2004), 'Another Look at the Forecast Performance of ARFIMA Models', International Review of Financial Analysis, 19.
- Batten, J., Ellis, C. and Hogan, W. (2002), 'Scaling the Volatility of Credit Spreads: Evidence from Australian Dollar Eurobonds', International Review of Financial Analysis, 14.
- Batten, J. and Ellis, C. (2001), 'Scaling Properties of Gaussian Series', Economics Letters, 6.
Conference Papers
- Varua, M., Varua, M., Ellis, C. and Sundmacher, M. (2011), 'Student Perceptions on the Quality of Economics and Accounting Education at UWS', The 16th Australasian Teaching Economics Conference, Sydney.
- Sundmacher, M. and Ellis, C. (2008), 'Economic Capital, Loan Pricing and Ratings Arbitrage', 13th Annual Finsia - Melbourne Centre for Financial Studies Banking & Finance Conference, Melbourne.
- Ellis, C. and Wilson, P. (2004), 'A Stochastic Approach to Modelling and Forecasting Dependent Time-Series', 2004 Financial Management Association Annual Meeting, New Orleans USA.
Supervision
Associate Professor Ellis is available to be a principal supervisor for doctoral projects
Current Supervision
| Title: | Corporate Governance and Firm Performance: Evidence from Vietnamese Listed Companies. |
|---|---|
| Field of Research: | |
| Title: | Valuation of Companies in Emerging Market: The Case of Vietnam. |
| Field of Research: |
