Dr Jonathan   Reeves
Senior Lecturer

Dr Jonathan Reeves

  • PhD, Queen's University
  • MPhil, University of Auckland
  • BCom,University of Auckland
Business School
Sch of Bank & Fin


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.

Phone
+61-2-93855874
Location
UNSW Business School - Ref E12 Level 3, Office 369

Publications

  • Journal articles | 2019
    Dr Jonathan Reeves
    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, http://dx.doi.org/10.1002/for.2552
    Journal articles | 2019
    Dr Jonathan Reeves
    Lee JB; Reeves JJ; Tjahja AC; Xie X, 2019, 'Targeting market neutrality', Quantitative Finance, vol. 19, pp. 437 - 451, http://dx.doi.org/10.1080/14697688.2018.1479066
    Journal articles | 2018
    Dr Jonathan Reeves
    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, http://dx.doi.org/10.1016/j.jempfin.2018.10.002
    Journal articles | 2018
    Dr Jonathan Reeves
    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, http://dx.doi.org/10.1016/j.insmatheco.2018.09.010
    Journal articles | 2017
    Dr Jonathan Reeves
    Cenesizoglu T; de Oliveira Ferrazoli Ribeiro F; Reeves JJ, 2017, 'Beta forecasting at long horizons', International Journal of Forecasting, vol. 33, pp. 936 - 957, http://dx.doi.org/10.1016/j.ijforecast.2017.06.004
    Journal articles | 2016
    Dr Jonathan Reeves
    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, http://dx.doi.org/10.1002/for.2396
    Journal articles | 2016
    Dr Jonathan Reeves
    Papageorgiou N; Reeves JJ; Xie X, 2016, 'Betas and the Myth of Market Neutrality', International Journal of Forecasting, vol. 32, pp. 548 - 558, http://dx.doi.org/10.1016/j.ijforecast.2015.09.005
    Journal articles | 2013
    Dr Jonathan Reeves
    Reeves JJ; Wu H, 2013, 'Constant versus Time-Varying Beta Models: Further Forecast Evaluation', Journal of Forecasting, vol. 32, pp. 256 - 266, http://dx.doi.org/10.1002/for.1268
    Journal articles | 2010
    Dr Jonathan Reeves
    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, http://dx.doi.org/10.1093/jjfinec/nbq028
    Journal articles | 2010
    Dr Jonathan Reeves
    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, http://dx.doi.org/10.1111/j.1467-842X.2010.00576.x
    Journal articles | 2008
    Dr Jonathan Reeves
    Hooper VJ; Ng K; Reeves JJ, 2008, 'Quarterly Beta Forecasting: An Evaluation', International Journal of Forecasting, vol. 24, pp. 480 - 489, http://dx.doi.org/10.1016/j.ijforecast.2008.03.005
    Journal articles | 2005
    Dr Jonathan Reeves
    Reeves JJ, 2005, 'Bootstrap Prediction Intervals for ARCH Models', International Journal of Forecasting, vol. 21, pp. 237 - 248, http://dx.doi.org/10.1016/j.ijforecast.2004.09.005

Awards

Grants

Media