Refereed Journals (HERDC Category C1)
  1. Bhar, R.: "Interconnectedness in Credit Market: An Empirical Investigation Using UK and US CDS Data", Journal of data Science, 2016, Vol. 14, No. 01, pp. 19-32.
 
  1. Bhar, R., Malliaris, A. G. and M. Malliaris: "Quantitative Easing and the U.S. Stock Market", Review of Economic Analysis, Accepted for publication 20 March. 2016.
 
  1. Bhar, R. and A. G. Malliaris: “Asset Price Momentum and Monetary Policy: Time Varying Parameter Estimation of Taylor Rules”, Applied Economics, Published online: 28 Apr 2016, DOI:10.1080/00036846.2016.1176117.
 
  1. Bhar, R. and Rajiv Bhar: “Commodity Prices and AUD/USD Exchange Rate: A Regime Dependent Analysis”, Journal of Business and Policy Research, Accepted for publication 25 February, 2016.
 
  1. Bhar, R., Malliaris, A. G. and Malliaris, M. “The impact of large-scale asset purchases on the S&P 500 index, long-term interest rates and unemployment”, Applied Economics, 2015, Published online 26 June, DOI: http://dx.doi.org/10.1080/00036846.2015.1061646.
 
  1. Bhar, R., Shao Chengwu, and Colwell, David B. “A multi-factor model with time-varying and seasonal risk premiums for the natural gas market”, Energy Economics, 2015, 50, pp. 207-214.
 
  1. Bhar, R. and Peipei Wang: "Information Content in CDS Spreads for Equity Returns", Journal of International Financial Markets, Institutions & Money, 2014, Volume 30, pp. 55–80.
 
  1. Bhar, R., Pham, T. and Quang Nguyen: "Foreign Direct Investment and Economic Growth during Financial Liberalization Episodes", International Journal of Economics and Finance, 2014, Volume 6, No. 8, August.
 
  1. Bhar, R., Colwell, D. and Y. Xiao: "Risk Premium in Electricity Prices: Evidence from the PJM Market", Journal of Futures Markets, July 2014; DOI: 10.1002/fut.21681.
 
  1. Bhar, R., Colwell, D. and Y. Xiao: "A jump diffusion model for spot electricity prices and market price of risk", Physica A: Statistical Mechanics and its Applications, 2013, Volume 392, pp. 3213-3222.
 
  1. Bhar, R. and G. S. Mallik: "Inflation Uncertainty, Growth Uncertainty, Oil Prices and Output Growth in the U.K.", Empirical Economics, 2013, December, Volume 45, Issue 3, pp. 1333-1350.
 
  1. Bhar, R., Hammoudeh, S. and Tengdong Liu: "Relationships between Financial Sectors’ CDS Spreads and other Gauges of Risk: Did the Great Recession Change Them?", The Financial Review, 2013, Volume 48, pp. 151-178.
 
  1. Bhar, R. and B. Nikolova: "Measuring the Interconnectedness of Financial Institutions", Economic Systems, 2013, Volume 37, Issue 1, pp. 17-29.
 
  1. Bhar, R. and G. S. Mallik: "Components of Inflation Uncertainty and Interest Rates: Evidence from Australia and New Zealand", Economic Analysis and Policy, 2012, Volume 42, Issue 1, pp. 39-49.
 
  1. Bhar, R. and B. Nikolova: "Determinants of Changes in Sovereign Bond Yield Spreads in the BRIC Countries", Journal of Current Issues in Finance, Business and Economics, 2012, Volume 4, Issue 4.
 
  1. Bhar, R. and G. S. Mallik: "Inflation, Inflation Uncertainty and Macroeconomic Performance in Australia", Economic Analysis and Policy, 2012, Volume 42, Issue 3, pp. 305-318.
 
  1. Bhar, R., Colwell, D. and Peipei Wang: "Regime Dependent Causality: Equity and Credit Markets", International Journal of Financial Markets and Derivatives, 2012, Volume 3, No. 1, pp. 36-44.
 
  1. Bhar, R. and N. Handzic: “A Multifactor Model of Credit Spreads", Asia-Pacific Financial Markets, 2011, Volume 18, pp. 105–127.
 
  1. Bhar, R., and S. Hammoudeh: “Commodities and financial variables: Analysing relationships in a changing regime environment”, International Review of Economics & Finance, 2011, Volume 20, Issue 4, pp. 469-484.
 
  1. Bhar, R. and G. S. Mallik: “Has the link between inflation uncertainty and interest rates changed after inflation targeting”? Journal of Economic Studies, 2011, Volume 38 Issue 6, pp. 620 - 636.
 
  1. Bhar, R. and D. Lee: “Time-varying market price of risk in the crude oil futures market”, Journal of Futures Markets, 2011, Volume 31, Issue 8, pp. 779–807.
 
  1. Bhar, R. and N. D. Karunaratne: “Regime-shifts and post-float inflation dynamics of Australia”, Economic Modelling, 2011, Volume 28, pp. 1941–1949.
 
  1. Bhar, R. and A. G. Malliaris: “Oil prices and the impact of the financial crisis of 2007–2009”, Energy Economics, 2011, Volume 33, pp. 1049–1054.
 
  1. Bhar, R. and A. G. Malliaris: “Dividends, Momentum, and Macroeconomic Variables as Determinants of the US Equity Premium across Economic Regimes”, Review of Behavioral Finance, 2011, Volume 3, pp. 27–53.
 
  1. Bhar, R., “Inflation Uncertainty and Stock Return: A Reassessment of Macroeconomic Time Series”, International Review of Applied Financial Issues and Economics, 2010, Volume 2, No. 3, pp. 416- 427.
 
  1. Bhar, R. and C. Chiarella: “A Model for the Ex-Ante U.K. Stock Market Risk Premium”, Journal of Applied Quantitative Methods, 2010, December 30, Volume 4, Issue 4.
 
  1. Bhar, R. and G. S. Mallik: “Inflation, Inflation Uncertainty and the Output Growth in the USA”, Physica A: Statistical Mechanics and its Applications, 2010, Volume 389, Issue 23, pp. 5503-5510.
 
  1. Bhar, R., Hammoudeh, S. and M. A. Thompson: “Re-examining the dynamic causal oil–macroeconomy relationship”, International Review of Financial Analysis, 2010, Volume 19, Issue 4, pp. 298-305.
 
  1. Bhar, R. and B. Nikolova: “Global Oil Prices, Oil Industry and Equity Returns: Russian Experience”, Scottish Journal of Political Economy, 2010, Volume 57, Issue 2, pp. 169 - 186.
 
  1. Bhar, R. and B. Nikolova: “Oil Prices and Equity Returns in the BRIC Countries”, Accepted for publication in The World Economy, 2009, Vol. 32 (7), 1036-1054.
 
  1. Bhar, R. and C. Chiarella: “Inference on Forward Exchange Rate Risk Premium: Reviewing Signal Extraction Methods”, International Journal of Monetary Economics and Finance, 2009, Vol. 2(2), 115-125.
 
  1. Bhar, R. and S. Hamori: “Growth Rate of Domestic Credit and Output: Evidence of Asymmetric Relationship between Japan and the United States”, International Journal of Applied Economics, 2009, Vol. 6 (1), 77-89.
 
  1. Bhar, R., Colwell, D. B. and M. U. Peiris: (2008), “A Markov Chain Modulated Short-Term Interest Rate Model: Inference on Central Bank Transparency”, Accepted for Publication by the Journal of Applied Statistical Science, October 21, 2008.
 
  1. Bhar, R. and B. Nikolova: “Return, Volatility Spillovers and Dynamic Correlation in the BRIC Equity Markets: An Analysis using a Bi-Variate EGARCH Framework”, Global Finance Journal, 2009, Vol. 19, 203-218.
 
  1. Bhar, R. and S. Hamori: “Measuring response of output growth to changes in yield spread in a state switching framework”, Journal of Economic and Social Measurement, 2008, Vol.  33, IOS Press, 221–239.
 
36.Bhar, R., Hammoudeh, S. and M. A. Thompson: “Component Structure for Non-Stationary Time Series: Application to Benchmark Oil Prices”, International Review of Financial Analysis, 2008, Vol. 17, 971-983.
 
  1. Bhar, R. and P. Wang: “Is Jump risk in iTraxx sector indices diversifiable?” The Journal of Fixed Income, Spring 2008, 1-15.
 
  1. Bhar, R. and S. Hamori: “A New Approach to Analysing Comovement in European Equity Markets”, Studies in Economics and Finance, 2008, Vol. 5 (1), 4-20.
 
  1. Bhar, R. and S. Hamori: “Information Content of Commodity Futures Prices for Monetary Policy”, Economic Modelling, 2008, Vol. 25 (2), 274-283.
 
40.Bhar, R. and S. Hamori: “Analyzing Yield Spread and Output Dynamic in an Endogenous Markov Switching Regression Framework”, Asia-Pacific Financial Markets, Vol. 14 (1-2), March 2007, 141-156.
 
  1. Bhar, R., D. Lee, N. Paramesh, P. Ray, A, Sujanani, and W. Ying: “The Development of Ontology based Multi-Agent Systems: A Case Study for the Financial Services Domain”, Accepted for Publications Computing and Informatics, June 2007.
 
42.Bhar, R. and B. Nikolova: “Analysis of Mean and Volatility Spillover using BRIC Countries and World Stock Index Returns”, Journal of Economic Integration,, 2007, Vol. 22 (2), 369-381.
 
43.Alaganar, V.T. and R. Bhar: “Time Varying Currency Risk in Country Index Portfolios”, The Quarterly Review of Economics and Finance, 2007, Vol. 47, 159-174.
 
  1. Bhar, R. and S. Hamori: “Co-movement in the Price of Risk of Aggregate Equity Markets”, Economic Systems,, 2007, Vol. 31, 256-271.
 
  1. Bhar, R. and S. Hamori: “Component structures of Agricultural Commodity Futures traded on the Tokyo Grain Exchange”, Asia-Pacific Financial Markets, 2007, Published online February 13, http://www.springerlink.com/content/g14640r683675227/.
 
  1. Bhar, R. and S. Hamori: “Empirical investigation on the relationship between Japanese and Asian emerging equity markets”, Applied Financial Economics Letters, 2006, Vol. 2, 77-86.
 
  1. Bhar, R. and S. Hamori: “Linkages among agricultural commodity futures prices: Some evidence from Tokyo”, Applied Economics Letters, 2006, Vol. 13, 535-539.
 
48.Bhar, R., Chiarella. C., Hung, H. and W. Runggaldier: “The volatility of the instantaneous spot interest rate implied by arbitrage pricing – A dynamic Bayesian approach”, Automatica, 2006, Vol. 42, 1381-1393.
 
  1. Bhar, R. and S. Hamori: “A Coincident Financial Indicator for the Australian Stock Market:, Accepted for publication, Investment Management and Financial Innovation, 2005, Vol. 2 (3), 39-48.
 
  1. Bhar, R. and S. Hamori: “Yield Spread as a Predictor of Economic Growth: Evidence from Japan, Korea and the U.S.”, Eurasian Review of Economics and Finance, 2005, Vol. 1 (2).
 
  1. Bhar, R. and S. Hamori: “Causality in variance and the type of traders in the crude oil futures”, Energy Economics, 2005, Vol. 27, 527-539.
 
  1. Bhar, R. and S. Hamori: “Link between Inflation and Inflation Uncertainty: Evidence from G7 Countries”, Empirical Economics, 2004, Vol. 29 (4), 825-853.
 
  1. Bhar, R., Kim, S. and T. Pham: “Exchange Rate Volatility and Its Impact on the transaction cost of Covered Interest Rate Parity”, Japan and the World Economy, 2004, Vol. 16, 503-525.
 
  1. Alaganar, V.T. and R. Bhar: “Impact of International Listing on Return Distribution: An Intervention Analysis with Australian Stocks”, Journal of the Asia-Pacific Economy, 2004, Vol. 9, No. 1, 101-117.
 
55.Bhar, R. and S. Hamori:Empirical Characteristics of the Transitory Component of Stock Return: Analysis in a Markov Switching Heteroscedasticity Framework”, Economics Letters, 2004, 82, 157-165.
 
  1. Bhar, R., Chiarella. C. and W. Runggaldier: “Inferring Forward Looking Equity Risk Premia from Derivative Prices”, Studies in Non-Linear Dynamics and Econometrics, March 2004, Vol. 8 (1), Article 3.
 
  1. Bhar, R. and S. Hamori: “Information Flow between Price Change and Trading Volume in Gold Futures Contracts”, International Journal of Business and Economics, 2004, Vol. 3, No. 1, 45-56.
 
58.Bhar, R. and S. Hamori: “Evidence of Linkages Among G7 Stock Markets Using Causality in Variance Test”, Finance Letters, 2003, Vol. 1, No. 1, 35-40.
 
  1. Alaganar, V.T. and R. Bhar: “An International Study of Causality in Variance: Interest Rate and Financial Sector Return”, Journal of Economics and Finance, Spring 2003, Vol. 27, 39-55.
 
  1. Bhar, R. and S. Hamori: “Alternative Characterisation of the Volatility in the Growth Rate of Real GDP,” Japan and the World Economy, 2003, Vol. 15, Issue 2, 223-231.
 
  1. Bhar, R., Chiarella, C. and T. Pham: “Modelling the Currency Forward Risk Premium: A New Perspective”, Asia-Pacific Financial Markets, December 2001, Vol. 8(4), 341-360.
 
  1. Alaganar, V.T. and R. Bhar: “Information and Volatility Linkage Under External Shocks: Evidence from Dually Listed Australian Stocks”, International Review of Financial Analysis, 2002, Vol. 11(1), pp. 59-71.
 
  1. Bhar, R. “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, Vol. 21 (9), 2001, pp. 833-850.
 
  1. Bhar, R., Chiarella, C., El-Hassan, N.  and Xiaosu Zheng: “The Reduction of Forward rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Options””, The Journal of Computational Finance, Vol. 3, No. 3, 2000, pp.47-62. 
 
  1. Bhar, R. and C. Chiarella: “Expectations of Monetary Policy Changes in Australia Implied by the Probability Distribution of Interest Rate Derivatives”, The European Journal of Finance, Vol. 6, 2000, pp. 113-125.
 
  1. Alaganar, V.T. and R. Bhar: “Diversification Gains from ADRs and Foreign Equities: Evidence from Australian Stocks”, in press 2000, Journal of International Financial Markets, Institutions & Money.
 
  1. Bhar, R. and A.G. Malliaris: “Volume and Volatility in Foreign Currency Futures Markets”, Review of Quantitative Finance and Accounting”, 10, 1998, 281-298.
 
  1. Bhar, R. and L. Alles: “The Information on Inflation in the Australian Term Structure”, Applied Financial Economics, 7, 1997, 721-730.
 
  1. Bhar, R. and C. Chiarella: “Interest Rate Futures: Estimation of the Volatility Parameters in an Arbitrage-Free Framework”, Applied Mathematical Finance, 4(4), 1997, 181-200.
 
  1. Bhar, R. and C. Chiarella: “Transformation of the Heath-Jarrow-Morton Models to Markovian System”, The European Journal of Finance, 3, 1997, 1-26.
 
  1. Bhar, R. and C. Chiarella: “Pricing of Futures Options by Use of Generalised Binomial Lattice Model - An Empirical Study on the SFE”, Hong Kong Economic Papers, 24, 1996, 41-54.
 
  1. Bhar, R.: “Cointegration in Interest Rate Futures Trading on the Sydney Futures Exchange”, Applied Financial Economics, 6, 1996, 251-257.
 
  1. Bhar, R.: “Modelling Australian Bank Bill Rates: A Kalman Filter Approach”, Accounting Finance, 36 (1), May, 1996, 1-14.
 
  1. Bhar, R.: “Do Australian Foreign Exchange Markets Still Show Evidence of Cointegration?”, Accounting and Finance, Vol. 35 (2), 197-205, November 1995.
 
  1. Bhar, R.: “Martingale Property in Bond Futures Return Including Volatility Spillover Effect From Bank Bill Futures”, Asia Pacific Journal of Management, 12(1), 37-48, 1995.
 
  1. Bhar, R.: “Testing For Long-Term Memory in Yen/Dollar Exchange Rate”, Financial Engineering and the Japanese Markets, 1 (2), 101-109, 1994.
 
  1. Bhar, R.: “Interest Rate Futures Options - An Empirical Test of the Ho and Lee Model in the Australian Context”, Review of Futures Markets, 12(3), 661-684, 1993.
 
  1. Bhar, R. and B. F. Hunt: “Predicting the Short Term Interest Structure Using A Parsimonious Model”, Review of Futures Markets, 12(3), 577-590, 1993.
 
  1. Bhar, R. and B. F. Hunt: “An Empirical Test of Efficiency of the Market for Bank Accepted Bills Futures”, International Review of Economics and Finance, 2(4), 403-415, 1993.

Refereed Edited Volume (HERDC Category B1)
  1. Bhar, R. “Application of Kalman Filter to Time Series Properties”, 2015, Wiley StatsRef-Statistics Reference Online, Accepted 5th November, 2015.
 
  1. Bhar, R. and A. G. Malliaris: "Computational Issues in the Stochastic Discount Factor Framework for Equity Risk Premium", Nonlinear Economic Dynamics and Financial Modelling, Publisher: Springer; 2014 edition (September 14, 2014), ISBN-13: 978-3319074696.
 
  1. Bhar, R. and B. Nikolova: "The economic powerhouse of Brazil, Russia, India and China: is continued growth sustainable?", Handbook on Geopolitics of Business, edited by Joseph M. S. Munoz, Edward Elgar Publisher, 2013, ISBN: 978 0 85793 9746.
 
  1. Bhar, R.: “A Jump Diffusion Model for Spot Electricity Prices”, Proceedings of the Mathematics in Industry Study Group (January 2007), University of Wollongong, published January 2008, ISBN: 978-0-646-48555-3.
 
  1. Bhar, R. and A. G. Malliaris: “Speculative Non-Fundamental Components in Mature Stock Markets: Do They Exist and Are They Related?”, 2006, Advances in Quantitative Analysis of Finance and Accounting, Vol. 3, World Scientific, Singapore, ISBN: 981-256-626-0.
 
  1. Bhar, R., Chiarella, C. and W. Runggaldier: “Estimation of Models of the Instantaneous Short Term Interest Rate by Use of a Dynamic Bayesian Algorithm”, in Advances in Finance and Stochastics, Klaus Sandmann and Phillip, J. Schonbucher (eds.), Springer, Germany, 2002, pp. 177-196, ISBN: 3-540-43464-X.
 
  1. Bhar, R. and A.G. Malliaris: “Are There Rational Bubbles in the U.S. Stock Market? Overview and a New Test,” Elsevier Science, Asset Price Bubbles: Implications for Monetary and Regulatory Policies, Vol. 13, ed. George Kaufman, Loyola University of Chicago, 2001, pp. 125-144, ISBN: 0-7623-0845-1.
 
  1. Bhar, R. and C. Chiarella: “Analysis of Time Varying Forward Exchange Risk Premia”, Kluwer Publication, Advances in Quantitative Asset Management, ed. C. L. Dunis, Liverpool Business School, Kluwer Publication, (2000), ISBN: 0-7923-7778-8, pp. 255-274.
 
  1. Bhar, R. and C. Chiarella: “Estimating Interest rate Futures Model in the Heath-Jarrow-Morton Framework”, Advances in Pacific Basin Financial Markets, Vol. IV, edited by T. Bos and T. A. Fetherston, JAI Press, Greenwich, Connecticut, USA, 1998, 211-226, ISBN: 0-7623-0319-0.
 
  1. Bhar, R. and C. Chiarella: “Estimating The Term Structure of Volatility in Bond Prices Using Kalman Filter Methodology”, Advances in Pacific Basin Financial Markets, Vol. III, edited by T. Bos and T. A. Fetherston, JAI Press, Greenwich, Connecticut, USA, forthcoming, 1997, 243-256, ISBN: 0-7623-0196-1.
 
  1. Bhar, R. and C. Chiarella: “The estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques”, Computational Approaches to Economic Problems, edited by H. Amman, Kluwer Publishing, The Netherlands, 1997, 113-126, ISBN: 0-7923-4397-2.
 
  1. Bhar, R. and C. Chiarella: “Non-Linear Filters and Estimation of Diffusion Coefficients in the Heath-Jarrow-Morton Framework”, Postprint Volume of The 1995 IFAC/IFIP/IFORC/SEDC Symposium on Modelling and Control of National and Regional Economies, Pergamon, 321-326, ISBN: 0-08-042376-0, February, 1996.
 
  1. Bhar, R.: “Testing Uncovered Interest Rate Parity in Australian FX Market Before and After Deregulation”, Advances in Pacific Basin Financial Markets, Vol. II, edited by T. Bos and T. A. Fetherston, JAI Press, Greenwich, Connecticut, USA, 183-194, ISBN 0-7623-0093-0, 1996.
 
  1. Bhar, R. and J. Batten: “Volume And Price Relationships in Three Yen Futures Markets”, Advances in Pacific Basin Financial Markets, Vol.  I, edited by T. Bos and T. A. Fetherston, JAI Press, Greenwich, Connecticut, USA, 23-38, ISBN: 1-55938-861-7, 1995.
 
Contributed Articles (HERDC Category C3)
  1. Bhar, R. : “Credit Default Swaps : Characteristics and Pricing Mechanism:, Special Issue Banking, Intelligence Unit of the Indian Institute of Planning and Management, Volume 1, Issue 3, December 2006, 74-78.
 
  1. Bhar, R. and C. Chiarella:  “Risk-Neutral Valuation and the State Space Framework”, The Current State of Economic Science edited by B. Dahiya, Jan Tilbergen Institute of Development Planning, Rohtak, India, ISBN: 81-7600-042-6, June 1999, 409-416, ISBN: 81-7600-042-6, June 1999, 409-416.
 
  1. Bhar, R. and L. Alles: “Embedded Inflation”, The Blackwell Dictionary of Finance, edited by Dean Paxson and Douglas Wood, Manchester Business School, 1996. 

Refereed Conference Volume (HERDC Category E1)
  1. Allen, D., R. Bhar, and S. Peiris: “Analysis and Applications of Autoregressive Moving Average Models with Stochastic Variance”, International Statistics Conference, Organised by the Institute of Mathematical Sciences, University of Malaya, December 2005.
 
  1. Bhar, R., N. Paramesh, P. Ray, and A. Sujanani: “The development of ontology driven multi-agent systems: A case study in the financial services domain”, Business Services Network, March 29, 2005, Hong Kong.
 
  1. Bhar, R., D. Colwell, and M. U. Peiris: “A Markov Chain Modulated Short-Term Interest Rate Model and its Comovement across Countries”, Proceedings of the 2004 Workshop on Research Methods: Statistics and Finance, University of Wollongong, December.
 
  1. Bhar, R. and C. Chiarella: “Analysis of Time Varying Financial Market Risk-Premia”, 3rd High Performance Computing Asia Conference, IEEE Singapore Computer Chapter, 23-25 September 1998, ISBN: 981 04 0634 7, pp. 909-920.
 
  1. Bhar, R. and C. Chiarella: “Estimating The Term Structure of Volatility in Futures Yield - A Maximum Likelihood Approach”, Presented at the Sixth Annual Chicago Board of Trade Asia-Pacific Research Symposium, Hong Kong, March, 1995, pp. 119-148.
 
Recent Conference Presentation (Other Research Output)
  1. Bhar, R. and Bhar, Rajiv, “Commodity Prices and AUD/USD Exchange Rate: A Regime Dependent Analysis”, 4th European Business Research Conference, 9 – 10 April, 2015, Imperial College, London.
 
  1. Bhar, R., Malliaris, A. G. and M. Malliaris: "Quantitative Easing and the U.S. Stock Market", 21st Annual Conference of the Multinational Finance Society, held at the Corinthia Hotel Prague, Czech Republic, June 29 - July 2, 2014.
 
  1. Bhar, R,. Colwell, D. and Y. Xiao: "Regime-Switching of Electricity Prices: Evidence from the PJM Market", 25th Annual Australasian Finance and Banking Conference Sydney, 16th - 18th December, 2012.
 
  1. Bhar, R. and N. Handzic:  "CDS Option Valuation under Double Exponential Jump Diffusion", 6th CSDA International Conference on COMPUTATIONAL AND FINANCIAL ECONOMETRICS (CFE'12), 1-3 December, 2012, Conference Center, Oviedo, Spain.
 
  1. Bhar, R., Colwell, D. and Y. Xiao: "A Jump Diffusion Model for Spot Electricity Prices and Market Price of Risk", Presented at the Energy and Finance Conference, Erasmus School of Economics, Rotterdam, October 5-6, 2011.
 
  1. Bhar, R. and B. Nikolova: "Determinants of Changes in Sovereign Bond Yield Spreads in the BRIC Countries", Presented at the Singapore Economic Review Conference 2009, August 6 - 8, 2009.
 
  1. Bhar, R. and D. Lee: “Comparing estimation procedures for stochastic volatility models of short term interest rates”, Presented at The 15th Annual Conference on Computing in Economics and Finance (CEF 2009), Society for Computational Economics, Wednesday, 15th to Friday, 17th July 2009 at the University of Technology, Sydney, Australia.
 
8.Bhar, R. and B. Nikolova: “Determinants of Sovereign Bond Yield Spreads in the BRIC Countries”, Presented at the 16th Annual Global Finance Conference, April 5-8, 2009, Honolulu, Hawaii.
 
9.Bhar, R., Colwell, David and Wong, Peipei: “Component Structure of Credit Default Swap Spreads and their Determinants”, Presented at the 13th FINSIA (Financial Services Institute of Australasia) in Melbourne, September 29 – 30, 2008.
 
10.Bhar, R. and Handzic, Nedim: “A Multifactor Model of Credit Spreads”, Presented at the CREDIT Conference in Venice, Italy, September 22 - 23, 2008, sponsored by Department of Economics of the University Ca’ Foscari of Venice and ABI - Italian Banking Association.
 
11.Bhar, R. and Hammoudeh, Shawkat: “Commodity, Money, Exchange Rate and the Stock Market: Empirical Analysis of Dynamic Causal Relationship in a Regime Switching Environment”, Presented at the 83rd Conference of the Western Economic International, Honolulu, June 29, 2008 – July 3rd 2008.
 
  1. Bhar, R. and B. Nikolova: “Oil Prices and Equity Returns in the BRIC Countries”, Presented at All China Economics International Conference, Hong Kong, December 2007.
 
  1. Bhar, R. and D. Lee: “Empirical Investigation of Interest Rate Volatility: A Look at Alternative Specification of Stochastic Volatility Models”, Presented at All China Economics International Conference, Hong Kong, December 2007.
 
  1. Bhar, R. and B. Nikolova: “Return, Volatility Spillovers and Dynamic Correlation in the BRIC Equity Markets: An Analysis using a Bivariate EGARCH Framework”, Presented at the Global Finance Conference, Melbourne, April 2007. Received Best Paper Award (Emerging Markets) section.
 

Papers with Journals
 
 
  1. Bhar, R., Colwell, D. and Bao Huy Doan: "Copula-based Spread Option Valuation".
 
  1. Bhar, R.: "Credit Market Convergence: An Empirical Investigation Using UK and US CDS Data".
 
  1. Bhar, R., Colwell, D. and Shao, C.: " A Multi-Factor Model for the Natural Gas Market with Time-Varying and Seasonal Risk Premiums".
 
  1. Bhar, R., Colwell, D. and Shao, C.: "A Markov Regime-Switching Model for the Natural Gas Futures Curve".
 
  1. Bhar, R., Colwell, D. and Shao, C.: "Variance Dynamics of the US Natural Gas Futures Market".
 
  1. Bhar, R. and Malliaris, A. G.: "Asset Price Momentum and Monetary Policy: Time Varying Parameter Estimation of Taylor Rules".
 
 
Work in Progress
 
 
  1. Bhar, R., Chiarella. C. and Thuy-Duong To: “Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Market”.
 
  1. Bhar, R. and A. G. Malliaris: “Analysing Equity Premium: A Stochastic Discount Factor Based Approach”.
 
  1. Bhar, R. and N. Handzic: “A Structural Model for Fair Valuation of CDOs”.
 
  1. Bhar, R. and D. Lee: “Alternative Specifications of Stochastic Volatility with Jumps: An Investigation of Short Term Interest Rates”.
 
  1. Bhar, R. and D. Lee: “Comparing Estimation Procedures for Stochastic Volatility Models of Short Term Interest Rates”.
 
  1. Bhar, R., Colwell, David and Peipei Wang: “CDSwaption Pricing Based On Heston Model”.
 
  1. Bhar, R., Colwell, David and Peipei Wang: “Component Structure of Credit Default Swap Spreads and their Determinants”
 
  1. Bhar, R. and Peipei Wang: “Regime Dependent Causality between Equity and Credit Market”.
 
 
 
   
   
 
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