Colwell DB; El-Hassan N; Kwon OK, 2019, 'Variance minimizing strategies for stochastic processes with applications to tracking stock indices', International Review of Finance, http://dx.doi.org/10.1111/irfi.12285
2019
Hainaut D; Colwell DB, 2016, 'A structural model for credit risk with switching processes and synchronous jumps', European Journal of Finance, vol. 22, pp. 1040 - 1062, http://dx.doi.org/10.1080/1351847X.2014.924079
2016
Shao C; Bhar R; Colwell DB, 2015, 'A multi-factor model with time-varying and seasonal risk premiums for the natural gas market', Energy Economics, vol. 50, pp. 207 - 214, http://dx.doi.org/10.1016/j.eneco.2015.04.013
2015
Colwell DB; Feldman D; Hu W, 2015, 'Non-Transferable non-hedgeable executive stock option pricing', Journal of Economic Dynamics and Control, vol. 53, pp. 161 - 191, http://dx.doi.org/10.1016/j.jedc.2015.02.002
2015
Bhar R; Colwell D; Xiao Y, 2013, 'Risk Premium in Electricity Prices: Evidence from the PJM Market', Journal of Futures Markets, vol. 35, pp. 776 - 793, http://dx.doi.org/10.1002/fut.21681
2013
Colwell DB; Bhar R; Wang P, 2012, 'Regime Dependent Causality: Equity and Credit Markets', International Journal of Financial Markets and Derivatives, vol. 3, pp. 36 - 44, http://dx.doi.org/10.1504/IJFMD.2012.053326
2012
Bhar R; Colwell DB; Peiris MU, 2009, 'A Markov chain modulated short-term interest rate model: Inference on Central bank transparency', Journal of Applied Statistical Science, vol. 17, pp. 427 - 445
2009
Henker JL; Colwell DB; Walter TS, 2008, 'The effect of investor category trading imbalances on stock returns', International Review of Finance, vol. 8, pp. 179 - 206, http://dx.doi.org/10.1111/j.1468-2443.2008.00081.x
2008
Colwell DB; El-Hassan N; Kwon O, 2007, 'Hedging diffusion processes by local risk minimization with applications to index tracking', Journal of Economic Dynamics and Control, vol. 31, pp. 2135 - 2151, http://dx.doi.org/10.1016/j.jedc.2006.06.005
2007
Henker T; Colwell DB; Fong KY; Ho J, 2003, 'Real Options Valuation of Australian Gold Mines and Mining Companies', The Journal of Alternative Investments, vol. 6, pp. 23 - 38
Colwell DB; Elliott RJ; Ekkehard Kopp P, 1991, 'Martingale representation and hedging policies', Stochastic Processes and their Applications, vol. 38, pp. 335 - 345, http://dx.doi.org/10.1016/0304-4149(91)90098-W
1991
Conference Presentations
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Bhar R; Wang P; Colwell DB, 2008, 'Component Structure of Credit Default Swap Spreads and their Determinants', presented at 13th FINSIA (Financial Services Institute of Australasia), Melbourne, 29 September 2008 - 30 September 2008