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2006 Journal Article The determinants of credit ratings: Australian evidenceGray, S. F., Mirkovic, A. S. and Ragunathan, V. (2006). The determinants of credit ratings: Australian evidence. Australian Journal of Management, 31 (2), 333-354. |
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2005 Journal Article Efficiency of football betting markets: The economic significance of trading strategiesGray, P., Gray, S. F. and Roche, T. (2005). Efficiency of football betting markets: The economic significance of trading strategies. Accounting and Finance, 45 (2), 269-281. doi: 10.1111/j.1467-629x.2004.00129.x |
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2005 Conference Publication Naiad: Sharing lessons learned from innovative urban water schemesLoetscher, T., Gray, S., Kirchhof, G. and Dart, P. (2005). Naiad: Sharing lessons learned from innovative urban water schemes. Ozwater Conference 2005, Brisbane, 8-12 May 2005. [Willoughby, N.S.W]: Australian Water Association. |
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2005 Conference Publication Using stock price changes to estimate the value of dividend franking creditsGray, S. F. and Bellamy, D. (2005). Using stock price changes to estimate the value of dividend franking credits. AFAANZ 2005 Conference, Melbourne, 3-5 July, 2005. Melbourne, Vic: AFAANZ. |
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2004 Journal Article The value of dividend imputation tax credits in AustraliaCannavan, Damien, Finn, Frank and Gray, Stephen (2004). The value of dividend imputation tax credits in Australia. Journal of Financial Economics, 73 (1), 167-197. doi: 10.1016/j.jfineco.2003.09.001 |
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2004 Book Chapter Volatility in energy pricesDuffie, D., Gray, S. F. and Hoang, P. H. (2004). Volatility in energy prices. Managing Energy Price Risk: The New Challenges and Solutions. (pp. 539-571) edited by V. Kaminski. London: Risk Books. |
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2003 Journal Article Stock splits: Implications for investor trading costsGray, Stephen F., Smith, Tom and Whaley, Robert E. (2003). Stock splits: Implications for investor trading costs. Journal of Empirical Finance, 10 (3), 271-303. doi: 10.1016/S0927-5398(02)00049-X |
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2003 Journal Article On the robustness of short-term interest rate modelsTreepongkaruna, Sirimon and Gray, Stephen (2003). On the robustness of short-term interest rate models. Accounting and Finance, 43 (1), 87-121. doi: 10.1111/1467-629X.00084 |
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2003 Conference Publication How to fix a one-day international cricket matchGray, S. F. and Lee, T-A. L. (2003). How to fix a one-day international cricket match. AFAANZ 2003 Annual Conference, Brisbane, 6-8 July, 2003. Melbourne: AFAANZ. |
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2003 Journal Article Short-term interest rate models: Valuing interest rate derivatives using a Monte-Carlo approachTreepongkaruna, S. and Gray, S. F. (2003). Short-term interest rate models: Valuing interest rate derivatives using a Monte-Carlo approach. Accounting and Finance, 43 (2), 231-259. doi: 10.1111/1467-629X.00090 |
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2002 Conference Publication Nonparametric estimation of state price densities: Option pricing applicationsGray, S. F. and Macksey, A. J. (2002). Nonparametric estimation of state price densities: Option pricing applications. AAANZ 2002 Annual Conference, Perth, Western Australia, 7-9 July, 2002. Melbourne, Vic: AAANZ. |
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2002 Conference Publication Credit ratings of Australian firmsGray, S. F., Kozan, K. and Ragunathan, V. (2002). Credit ratings of Australian firms. AAANZ 2002 Annual Conference, Perth, Western Australia, 7-9 July, 2002. Melbourne, Vic: AAANZ. |
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2002 Journal Article How to value interest rate derivatives in a no-arbitrage settingTreepongkaruna, S. and Gray, S. F. (2002). How to value interest rate derivatives in a no-arbitrage setting. Accounting Research Journal, 15 (1), 39-57. |
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2001 Conference Publication Option pricing applications of non-parametric state price density estimationGray, S. F. (2001). Option pricing applications of non-parametric state price density estimation. CTAC 2001, Brisbane, 16-18 July, 2001. Brisbane: University of Queensland. |
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2001 Journal Article Option pricing: A synthesis of alternate valuation approachesGray, P. and Gray, S. F. (2001). Option pricing: A synthesis of alternate valuation approaches. Accounting Research Journal, 14 (1), 75-83. |
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2001 Conference Publication Semiparametric ARCH modelsGray, S. F. and Ragunathan, V. (2001). Semiparametric ARCH models. AAANZ Annual Conference, Auckland, New Zealand, 1-3 July, 2001. Melbourne: AAANZ. |
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2001 Journal Article A framework for valuing derivative securitiesGray, P. and Gray, S. F. (2001). A framework for valuing derivative securities. Financial Markets, Institutions & Instruments, 10 (5), 253-276. doi: 10.1111/1468-0416.00047 |
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2001 Conference Publication The value of dividend imputation tax creditsCannavan, D. M., Finn, F. J. and Gray, S. F. (2001). The value of dividend imputation tax credits. Australasian Finance and Banking Conference, Sydney, 17th - 19th December, 2001. Sydney: University of New South Wales. |
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2000 Journal Article Regime-switching and interest rates in the European monetary systemDahlquist, Magnus and Gray, Stephen F. (2000). Regime-switching and interest rates in the European monetary system. Journal of International Economics, 50 (2), 399-419. doi: 10.1016/S0022-1996(99)00005-7 |
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2000 Journal Article Regime switching in foreign exchange rates: Evidence from currency option pricesBollen, Nicolas P. B., Gray, Stephen F. and Whaley, Robert E. (2000). Regime switching in foreign exchange rates: Evidence from currency option prices. Journal of Econometrics, 94 (1-2), 239-276. doi: 10.1016/S0304-4076(99)00022-6 |
