Jonathan Reeves

Senior Lecturer

Jonathan received his PhD in Economics from Queen's University, Canada. He also holds a Masters degree in Mathematics from the University of Auckland, New Zealand. His expertise is in forecasting in financial markets and his research has been published in leading international journals such as the International Journal of Forecasting, Journal of Financial Econometrics and Insurance: Mathematics and Economics. In addition, his research has been presented at numerous academic and industry conferences, including presentations at North American Meetings of the Econometric Society. Jonathan has also written op-ed for the Australian Financial Review on a number of occasions and appeared in other media including ABC and Bloomberg News. He has consulted for financial services companies both in Australia and overseas.

Journal articles
Cenesizoglu T; Papageorgiou N; Reeves JJ; Wu H, 2019, 'An analysis on the predictability of CAPM beta for momentum returns', Journal of Forecasting, vol. 38, pp. 136 - 153,
Lee JB; Reeves JJ; Tjahja AC; Xie X, 2019, 'Targeting market neutrality', Quantitative Finance, vol. 19, pp. 437 - 451,
Doan B; Papageorgiou N; Reeves JJ; Sherris M, 2018, 'Portfolio management with targeted constant market volatility', Insurance: Mathematics and Economics, vol. 83, pp. 134 - 147,
Cenesizoglu T; Reeves JJ, 2018, 'CAPM, components of beta and the cross section of expected returns', Journal of Empirical Finance, vol. 49, pp. 223 - 246,
Cenesizoglu T; de Oliveira Ferrazoli Ribeiro F; Reeves JJ, 2017, 'Beta forecasting at long horizons', International Journal of Forecasting, vol. 33, pp. 936 - 957,
Cenesizoglu T; Liu Q; Reeves JJ; Wu H, 2016, 'Monthly Beta Forecasting with Low-, Medium- and High-Frequency Stock Returns', Journal of Forecasting, vol. 35, pp. 528 - 541,
Papageorgiou N; Reeves JJ; Xie X, 2016, 'Betas and the Myth of Market Neutrality', International Journal of Forecasting, vol. 32, pp. 548 - 558,
Reeves JJ; Wu H, 2013, 'Constant versus Time-Varying Beta Models: Further Forecast Evaluation', Journal of Forecasting, vol. 32, pp. 256 - 266,
Maheu JM; Reeves JJ; Xie X, 2010, 'Forecasting Volatility in the Presence of Model Instability', Australian and New Zealand Journal of Statistics, vol. 52, pp. 221 - 237,
Reeves JJ; Gregory AW, 2010, 'Estimation and Inference in ARCH Models in the Presence of Outliers', Journal of Financial Econometrics, vol. 8, pp. 547 - 569,
Hooper VJ; Ng K; Reeves JJ, 2008, 'Quarterly Beta Forecasting: An Evaluation', International Journal of Forecasting, vol. 24, pp. 480 - 489,
Reeves JJ, 2005, 'Bootstrap Prediction Intervals for ARCH Models', International Journal of Forecasting, vol. 21, pp. 237 - 248,

Dr Jonathan Reeves is a financial economist with his primary expertise in forecasting of volatility and correlation in financial markets. More broadly, his expertise is in the fields of financial econometrics, forecasting, financial risk management and asset pricing. His research has been published in leading international journals in the fields of econometrics, forecasting and actuarial science.

U.S. Private Equity Muscles In on Australiaís Home-Loan Market

  • FINS5513 Investments and Portfolio Selection
  • FINS5542 Applied Funds Management