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Professor Anthony Hall

Biography

Tony Hall holds a PhD in econometrics (London School of Economics, 1976). He has taught econometrics at the Australian National University and the University of California, San Diego and finance at the School of Business, Bond University and the University of Technology, Sydney. He has publications in a number of the leading international journals in econometrics, economics and finance including the Review of Economics and Statistics, Review of Economic Studies, International Economic Review, Journal of Econometrics, Econometric Theory, Journal of Business & Economic Statistics, Biometrika, Journal of Futures Markets, Journal of Financial Markets and Journal of Banking and Finance. His research interests cover all aspects of financial econometrics.

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Professor of Financial Economics, Finance Discipline Group
BEc (Hons) (Adel), MEc (ANU), PhD (London)
 
Phone
+61 2 9514 7729
Room
CB08.07.61

Research Interests

Applied financial econometrics, interest rate modelling, time series methods in econometrics and statistical inference in econometrics.

Can supervise: Yes

Finance; Financial Econometrics; Applied Finance.

Chapters

Hall, A.D. & Satchell, S.E. 2010, 'Computing optimal mean/downside risk frontiers: The role of ellipiticity' in Satchell, S. (ed), Optimizing Optimization: The Next Generation of Optimization Applications and Theory, Elsevier, USA, pp. 179-199.
The purpose of this chapter is to analyze and calculate optimal mean/downside risk frontiers for financial portfolios. Focusing on the twO important cases of mean/value at risk and mean/semivariance, we compute analytic expressions for the optimal frontier in the two asset case, where the returns follow an arbitrary (nonnormal) distribution. Our analysis highlights the role of the normality/ellipticity assumption in this area of research. Formulae for mean/variance, mean/expected loss, and meanlsemistandard deviation frontiers are presented under normality/ellipticity. Computational issues are discussed and two propositions that facilitate computation are provided. Finally, the methodology is extended to nonelliptical distributions where simulation procedures are introduced. These can be presented jointly with our analytical approach to give portfolio managers deeper insights into the properties of optimal portfolios.
Hall, A.D. & Hautsch, N. 2008, 'Order aggressiveness and order book dynamics' in Bauwens, L., Pohlmeier, W. & Veredas, D. (eds), High Frequency Financial Econometrics: Recent Developments, Physica-Verlag, USA, pp. 133-165.
Pagan, A.R., Hall, A.D. & Martin, V. 1996, 'Modeling the term structure' in Maddala, G.S. & Rao, C.R. (eds), Handbook of Statistics, Elsevier, US, pp. 91-118.

Conferences

Hall, A.D., Jacobs, J. & Pagan, A.R. 2013, 'Macroeconometric system modelling @ 75'.
Hall, A.D. & Hautsch, N. 2003, 'Estimating the intensity of buy and sell arrivals in a limit order book market', New Frontiers in Financial Volatility Modelling, Universita di Firenze, Florence, Italy, pp. 1-35.
Hall, A.D., Hautsch, N. & McCulloch, J.D. 2003, 'Estimating the intensity of buy and sell arrivals in a limit order book market', 58th European Meeting of the Econometric Society, European Meeting of Economtric Society, Stickholm, Sweden, pp. 1-23.
Hall, A.D., Kofman, P. & McCulloch, J.D. 2003, 'ASX spreads', Australasian Meeting of the Econometric Society, --, --.

Journal articles

Hall, A.D. & Satchell, S.E. 2013, 'The anatomy of portfolio skewness and kurtosis', The Journal of Asset Management, vol. 14, no. 4, pp. 228-235.
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This article re-examines portfolio higher moments, skewness and kurtosis, to see whether this information can be used to improve portfolio construction and to diagnose any mis-specification of models for portfolio returns. In common with most discussion of quantitative portfolio risk, we assume a linear factor model framework, and some empirical calculations using data from the components of the Dow Jones Industrial Index are carried out. The major insight that we glean from this exercise is that a well-diversified portfolio of skewed stocks can have a symmetric distribution unless we pay some attention to the third moment structure. These ideas are likely to have some potential application to fund of fund construction and the matching of bespoke portfolios to the risk attributes of high-net worth investors.
Szidarovszky, F., Coppola, E.A., Long, J., Hall, A.D. & Poulton, M.M. 2007, 'A hybrid artificial neural network-numerical model for ground water problems', GROUND WATER, vol. 45, no. 5, pp. 590-600.
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Hall, A.D. & Hautsch, N. 2007, 'Modelling the Buy and Sell Intensity in a Limit Order Book Market', Journal of Financial Markets, vol. 10, no. 3, pp. 249-286.
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In this paper, we model the buy and sell arrival process in the limit order book market at the Australian Stock Exchange. Using a bivariate autoregressive intensity model we analyze the contemporaneous buy and sell intensity as a function of the state of the market. We find evidence that trading decisions are both information as well as liquidity driven. Confirming predictions from market microstructure theory traders submit market orders by inferring from the recent order flow and the book with respect to upper and lower tail expectations as well as trading directions. However, traders also tend to take liquidity when the liquidity supply is high. Moreover, we findevidence that traders pay more attention to recent order arrivals and the current state of the order book than to the past order flow.
Bird, R., Hall, A.D., Momente, F. & Reggiani, F. 2007, 'What corporate social responsibility activities are valued by the market?', JOURNAL OF BUSINESS ETHICS, vol. 76, no. 2, pp. 189-206.
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Hall, A.D. & Hautsch, N. 2006, 'Order aggressiveness and order book dynamics', EMPIRICAL ECONOMICS, vol. 30, no. 4, pp. 973-1005.
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Hall, A.D., Szidarovszky, F. & Zhao, J. 2005, 'Some notes on a dynamic model of international fishing', Pure Mathematics and Applications, vol. 15, no. 1, pp. 45-54.
Cameron, A.C. & Hall, A.D. 2003, 'A survival analysis of Australian equity mutual funds', Australian Journal of Management, vol. 28, no. 2, pp. 209-226.
Hall, A.D., Hwang, S. & Satchell, S.E. 2002, 'Using Bayesian variable selection methods to choose style factors in global stock return models', JOURNAL OF BANKING & FINANCE, vol. 26, no. 12, pp. 2301-2325.
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Gerlach, R., Bird, R. & Hall, A.D. 2002, 'Bayesian variable selection in logistic regression: predicting company earnings direction', Australian & New Zealand Journal of Statistics, vol. 42, no. 2, pp. 155-168.
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Bird, R., Gerlach, R. & Hall, A.D. 2001, 'The Prediction of Earnings Movements Using Accounting Data: An Update & Extension of Ou and Penman', Journal of Asset Management, vol. 2, no. 2, pp. 180-195.
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Hall, A.D. & Kofman, P. 2001, 'Regulatory Tools & Price Changes in Futures Markets', Australian Economic Papers, vol. 40, no. 4, pp. 520-540.
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Hall, A.D. & Kofman, P. 2001, 'Limits to linear price behavior: Futures prices regulated by limits', JOURNAL OF FUTURES MARKETS, vol. 21, no. 5, pp. 463-488.
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Hall, A.D., Skalin, J. & Terasvirta, T. 2001, 'A nonlinear time series model of El Nino', ENVIRONMENTAL MODELLING & SOFTWARE, vol. 16, no. 2, pp. 139-146.
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Hall, A.D. 1999, 'Parametric forecasts of Australian yield curves', MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 48, no. 4-6, pp. 541-549.
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HALL, A.D. 1992, 'A STUDY OF VARIOUS SCORE TEST STATISTICS FOR HETEROSCEDASTICITY IN THE GENERAL LINEAR-MODEL', MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 33, no. 5-6, pp. 563-568.
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HALL, A.D., ANDERSON, H.M. & GRANGER, C.W.J. 1992, 'A COINTEGRATION ANALYSIS OF TREASURY BILL YIELDS', REVIEW OF ECONOMICS AND STATISTICS, vol. 74, no. 1, pp. 116-126.
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HALL, A.D. 1990, 'WORLDWIDE RANKINGS OF RESEARCH ACTIVITY IN ECONOMETRICS - AN UPDATE - 1980-1988', ECONOMETRIC THEORY, vol. 6, no. 1, pp. 1-16.
HALL, A.D. & MCALEER, M. 1989, 'A MONTE-CARLO STUDY OF SOME TESTS OF MODEL ADEQUACY IN TIME-SERIES ANALYSIS', JOURNAL OF BUSINESS & ECONOMIC STATISTICS, vol. 7, no. 1, pp. 95-106.
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PESARAN, M.H. & HALL, A.D. 1988, 'TESTS OF NON-NESTED LINEAR-REGRESSION MODELS SUBJECT TO LINEAR RESTRICTIONS', ECONOMICS LETTERS, vol. 27, no. 4, pp. 341-348.
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Pagan, A.R., Hall, A.D. & Trivedi, P. 1983, 'Assessing the variability of inflation', Review of Economic Studies, vol. 50, no. 163, pp. 585-596.
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HALL, A.D. 1983, 'CONFIDENCE CONTOURS FOR 2 TEST STATISTICS FOR NON-NESTED REGRESSION-MODELS', JOURNAL OF ECONOMETRICS, vol. 21, no. 1, pp. 155-160.
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Pagan, A.R. & Hall, A.D. 1983, 'Diagnostic tests as residual analysis', Econometric Reviews, vol. 2, no. 2, pp. 159-218.
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Many applied workers are strongly oriented to residual analysis for assessing model adequacy. Formal test statistics of adequacy however are frequently derived from likelihood theory, particularly through Lagrange Multipliers. In contraGt, the present paper derives the formal statistics by concentrating Upon the distribution of residuals. It is shown that most existing tests can be derived in this way from a few elementary principles of specification analysis. One advantage of this alternative methodology is that it highlights some difficulties in existing approaches and simultaneously indicates a resolution of them; a good example being testing for heteroscedasticity in simultaneous equations. Other issues such as independence and robustness of diagnostic tests are also easily explored within the proposed framework.
HALL, A.D. 1982, 'THE RELATIVE EFFICIENCY OF TIME AND FREQUENCY-DOMAIN ESTIMATORS IN SUR SYSTEMS', JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, vol. 16, no. 2, pp. 81-96.
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HALL, A.D. & PAGAN, A.R. 1981, 'THE LIML AND RELATED ESTIMATORS OF AN EQUATION WITH MOVING AVERAGE DISTURBANCES', INTERNATIONAL ECONOMIC REVIEW, vol. 22, no. 3, pp. 719-730.
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