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Vlad Pavlov

Personal Details

First Name:Vlad
Middle Name:
Last Name:Pavlov
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RePEc Short-ID:ppa294
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Affiliation

School of Economics and Finance
Business School
Queensland University of Technology

Brisbane, Australia
https://www.qut.edu.au/business/about/school-of-economics-and-finance
RePEc:edi:sequtau (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Vlad Pavlov & Stan Hurn, 2009. "Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy," NCER Working Paper Series 52, National Centre for Econometric Research.
  2. A. S. Hurn & V.Pavlov, 2008. "Momentum in Australian Stock Returns: An Update," NCER Working Paper Series 23, National Centre for Econometric Research, revised 26 Feb 2008.

Articles

  1. Ralf Becker & Stan Hurn & Vlad Pavlov, 2007. "Modelling Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 83(263), pages 371-382, December.
  2. Pavlov, Vlad, 2006. "The equity premium in an overlapping-generations economy," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 155-172, August.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Vlad Pavlov & Stan Hurn, 2009. "Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy," NCER Working Paper Series 52, National Centre for Econometric Research.

    Cited by:

    1. Farias Nazário, Rodolfo Toríbio & e Silva, Jéssica Lima & Sobreiro, Vinicius Amorim & Kimura, Herbert, 2017. "A literature review of technical analysis on stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 115-126.
    2. Lijun Wang & Haizhong An & Xiaohua Xia & Xiaojia Liu & Xiaoqi Sun & Xuan Huang, 2014. "Generating Moving Average Trading Rules on the Oil Futures Market with Genetic Algorithms," Mathematical Problems in Engineering, Hindawi, vol. 2014, pages 1-10, May.
    3. Panha Heng & Scott J. Niblock, 2014. "Trading with Tigers: A Technical Analysis of Southeast Asian Stock Index Futures," International Economic Journal, Taylor & Francis Journals, vol. 28(4), pages 679-692, December.

  2. A. S. Hurn & V.Pavlov, 2008. "Momentum in Australian Stock Returns: An Update," NCER Working Paper Series 23, National Centre for Econometric Research, revised 26 Feb 2008.

    Cited by:

    1. Karen L. Benson & David R. Gallagher & Patrick Teodorowski, 2007. "Momentum investing and the asset allocation decision," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 47(4), pages 571-598, December.
    2. Kingsley Fong & David R. Gallagher & Aaron Ng, 2005. "The Use of Derivatives by Investment Managers and Implications for Portfolio Performance and Risk," International Review of Finance, International Review of Finance Ltd., vol. 5(1‐2), pages 1-29, March.
    3. Gharghori, Philip & Hamzah, Yusuf & Veeraraghavan, Madhu, 2010. "Migration and its contribution to the size and value premiums: Australian evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(2), pages 177-196, April.
    4. Konstantinos Kassimatis, 2008. "Size, Book to Market and Momentum Effects in the Australian Stock Market," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 145-168, June.
    5. Júlio Lobão & Marcos Azeredo, 2018. "Momentum meets value investing in a small European market," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 17(1), pages 45-58, March.
    6. Vlad Pavlov & Stan Hurn, 2009. "Testing the Profitability of Technical Analysis as a Portfolio Selection Strategy," NCER Working Paper Series 52, National Centre for Econometric Research.
    7. Supriya Maheshwari & Raj S. Dhankar, 2017. "The Effect of Global Crises on Momentum Profitability: Evidence from the Indian Stock Market," Vision, , vol. 21(1), pages 1-12, March.
    8. Ashish Kumar Garg & Pankaj Varshney, 2015. "Momentum Effect in Indian Stock Market: A Sectoral Study," Global Business Review, International Management Institute, vol. 16(3), pages 494-510, June.
    9. Daniel Chai & Binh Do, 2016. "Co-existence of short-term reversals and momentum in the Australian equity market," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 55-76, February.
    10. Teri Lombardi Yohn, 2020. "Research on the use of financial statement information for forecasting profitability," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(3), pages 3163-3181, September.
    11. Ranjeeta Sadhwani & Mujeeb U Rehman Bhayo, 2019. "Momentum and Disposition Effect in the stock market of USA," Proceedings of Economics and Finance Conferences 8911340, International Institute of Social and Economic Sciences.
    12. Yeng May Tan & Fan Fah Cheng, 2019. "Industry- and liquidity-based momentum in Australian equities," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 5(1), pages 1-18, December.
    13. Thanh D Huynh & Daniel R Smith, 2017. "Delisted stocks and momentum: Evidence from a new Australian dataset," Australian Journal of Management, Australian School of Business, vol. 42(1), pages 140-160, February.
    14. Gilna K. Samuel & Donald St. P. Richards, 2018. "A Probabilistic Analysis of Autocallable Optimization Securities," Papers 1804.00825, arXiv.org.
    15. Emilios C. C Galariotis, 2010. "What should investors know about the stability of momentum investing and its riskiness? The case of the Australian Security Exchange," Post-Print hal-00917587, HAL.
    16. Heaney, Richard & Koh, SzeKee & Lan, Yihui, 2016. "Australian firm characteristics and the cross-section variation in equity returns," Pacific-Basin Finance Journal, Elsevier, vol. 37(C), pages 104-115.
    17. Minh Phuong Doan & Vitali Alexeev & Robert Brooks, 2016. "Concurrent momentum and contrarian strategies in the Australian stock market," Australian Journal of Management, Australian School of Business, vol. 41(1), pages 77-106, February.
    18. Supriya Maheshwari & Raj S. Dhankar, 2017. "Profitability of Volume-based Momentum and Contrarian Strategies in the Indian Stock Market," Global Business Review, International Management Institute, vol. 18(4), pages 974-992, August.
    19. Zhong, Angel & Limkriangkrai, Manapon & Gray, Philip, 2014. "Anomalies, risk adjustment and seasonality: Australian evidence," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 207-218.
    20. Paul van Rensburg & Emile Janari, 2008. "Firm-specific characteristics and the cross-section of Australian stock exchange returns," Journal of Asset Management, Palgrave Macmillan, vol. 9(3), pages 193-214, September.
    21. Jenni L. Bettman & Stephen J. Sault & Anna H. von Reibnitz, 2010. "The impact of liquidity and transaction costs on the 52-week high momentum strategy in Australia," Australian Journal of Management, Australian School of Business, vol. 35(3), pages 227-244, December.
    22. Robert Faff & David R. Gallagher & Eliza Wu, 2005. "Tactical Asset Allocation: Australian Evidence," Australian Journal of Management, Australian School of Business, vol. 30(2), pages 261-282, December.
    23. Li, Bob & Stork, Thomas & Chai, Daniel & Ee, Mong Shan & Ang, Hong Nee, 2014. "Momentum effect in Australian equities: Revisit, armed with short-selling ban and risk factors," Pacific-Basin Finance Journal, Elsevier, vol. 27(C), pages 19-31.
    24. Robert B. Durand & Manapon Limkriangkrai & Gary Smith, 2006. "Momentum in Australia—A Note," Australian Journal of Management, Australian School of Business, vol. 31(2), pages 355-364, December.
    25. Nick Inglis & Bruce Vanstone & Tobias Hahn, 2019. "Modelling momentum winner/loser asymmetry: the sources of winner and loser returns in the ASX200 and S&P500," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 59(S1), pages 657-684, April.
    26. Tim Brailsford & Michael A. O'Brien, 2008. "Disentangling Size from Momentum in Australian Stock Returns," Australian Journal of Management, Australian School of Business, vol. 32(3), pages 463-484, March.
    27. Gallagher, David R. & Gardner, Peter & Swan, Peter L., 2009. "Portfolio pumping: An examination of investment manager quarter-end trading and impact on performance," Pacific-Basin Finance Journal, Elsevier, vol. 17(1), pages 1-27, January.

Articles

  1. Ralf Becker & Stan Hurn & Vlad Pavlov, 2007. "Modelling Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 83(263), pages 371-382, December.

    Cited by:

    1. Clements, A.E. & Herrera, R. & Hurn, A.S., 2015. "Modelling interregional links in electricity price spikes," Energy Economics, Elsevier, vol. 51(C), pages 383-393.
    2. Herrera, Rodrigo & González, Nicolás, 2014. "The modeling and forecasting of extreme events in electricity spot markets," International Journal of Forecasting, Elsevier, vol. 30(3), pages 477-490.
    3. Hung Do & Rabindra Nepal & Russell Smyth, 2020. "Interconnectedness in the Australian national electricity market: A higher moment analysis," CAMA Working Papers 2020-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
    5. A.S. Hurn & Annastiina Silvennoinen & Timo Teräsvirta, 2014. "A Smooth Transition Logit Model of the Effects of Deregulation in the Electricity Market," CREATES Research Papers 2014-09, Department of Economics and Business Economics, Aarhus University.
    6. Christensen, T.M. & Hurn, A.S. & Lindsay, K.A., 2012. "Forecasting spikes in electricity prices," International Journal of Forecasting, Elsevier, vol. 28(2), pages 400-411.
    7. Pawel Maryniak & Rafal Weron, 2014. "Forecasting the occurrence of electricity price spikes in the UK power market," HSC Research Reports HSC/14/11, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    8. Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
    9. Sergey Voronin & Jarmo Partanen, 2013. "Price Forecasting in the Day-Ahead Energy Market by an Iterative Method with Separate Normal Price and Price Spike Frameworks," Energies, MDPI, vol. 6(11), pages 1-24, November.
    10. T M Christensen & A S Hurn & K A Lindsay, 2008. "It never rains but it pours: Modelling the persistence of spikes in electricity prices," NCER Working Paper Series 25, National Centre for Econometric Research.
    11. Juan M. Gómez & Yeny E. Rodríguez, 2022. "Multiperiod Portfolio of Energy Purchasing Strategies including Climate Scenarios," Energies, MDPI, vol. 15(9), pages 1-25, April.
    12. Lu, Ye & Suthaharan, Neyavan, 2023. "Electricity price spike clustering: A zero-inflated GARX approach," Energy Economics, Elsevier, vol. 124(C).
    13. Michel Culot & Valérie Goffin & Steve Lawford & Sébastien de Meten & Yves Smeers, 2013. "Practical stochastic modelling of electricity prices," Post-Print hal-01021603, HAL.
    14. Erdogdu, Erkan, 2016. "Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis," Energy Economics, Elsevier, vol. 56(C), pages 398-409.
    15. Adam Clements & Joanne Fuller & Stan Hurn, 2013. "Semi-parametric Forecasting of Spikes in Electricity Prices," The Economic Record, The Economic Society of Australia, vol. 89(287), pages 508-521, December.
    16. Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper 39277, University Library of Munich, Germany.
    17. Apergis, Nicholas & Pan, Wei-Fong & Reade, James & Wang, Shixuan, 2023. "Modelling Australian electricity prices using indicator saturation," Energy Economics, Elsevier, vol. 120(C).
    18. Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
    19. Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    20. Liu, Luyao & Bai, Feifei & Su, Chenyu & Ma, Cuiping & Yan, Ruifeng & Li, Hailong & Sun, Qie & Wennersten, Ronald, 2022. "Forecasting the occurrence of extreme electricity prices using a multivariate logistic regression model," Energy, Elsevier, vol. 247(C).
    21. Contreras, Javier & Rodríguez, Yeny E. & Sosa, Aníbal, 2017. "Construction of an efficient portfolio of power purchase decisions based on risk-diversification tradeoff," Energy Economics, Elsevier, vol. 64(C), pages 286-297.
    22. Higgs, Helen, 2009. "Modelling price and volatility inter-relationships in the Australian wholesale spot electricity markets," Energy Economics, Elsevier, vol. 31(5), pages 748-756, September.
    23. Lilian de Menezes & Melanie A. Houllier, 2013. "Modelling Germany´s Energy Transition and its Potential Effect on European Electricity Spot Markets," EcoMod2013 5395, EcoMod.
    24. Antonio Bello & Javier Reneses & Antonio Muñoz, 2016. "Medium-Term Probabilistic Forecasting of Extremely Low Prices in Electricity Markets: Application to the Spanish Case," Energies, MDPI, vol. 9(3), pages 1-27, March.
    25. Rangga Handika & Chi Truong & Stefan Trueck & Rafal Weron, 2014. "Modelling price spikes in electricity markets - the impact of load, weather and capacity," HSC Research Reports HSC/14/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    26. Carlo Lucheroni, 2012. "A hybrid SETARX model for spikes in tight electricity markets," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 22(1), pages 13-49.
    27. Higgs, Helen & Lien, Gudbrand & Worthington, Andrew C., 2015. "Australian evidence on the role of interregional flows, production capacity, and generation mix in wholesale electricity prices and price volatility," Economic Analysis and Policy, Elsevier, vol. 48(C), pages 172-181.
    28. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models or electricity spot prices," MPRA Paper 20546, University Library of Munich, Germany.
    29. Volodymyr Korniichuk, 2012. "Forecasting extreme electricity spot prices," Cologne Graduate School Working Paper Series 03-14, Cologne Graduate School in Management, Economics and Social Sciences.
    30. Adam E. Clements & A. Stan Hurn & Zili Li, 2017. "The Effect of Transmission Constraints on Electricity Prices," The Energy Journal, , vol. 38(4), pages 145-163, July.
    31. Gaurav Kapoor & Nuttanan Wichitaksorn & Wenjun Zhang, 2023. "Analyzing and forecasting electricity price using regime‐switching models: The case of New Zealand market," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2011-2026, December.
    32. George P Papaioannou & Christos Dikaiakos & Anargyros Dramountanis & Dionysios S Georgiadis & Panagiotis G Papaioannou, 2017. "Using nonlinear stochastic and deterministic (chaotic tools) to test the EMH of two Electricity Markets the case of Italy and Greece," Papers 1711.10552, arXiv.org.
    33. Contreras, Javier & Rodríguez, Yeny E., 2014. "GARCH-based put option valuation to maximize benefit of wind investors," Applied Energy, Elsevier, vol. 136(C), pages 259-268.

More information

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Co-authorship network on CollEc

Featured entries

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  1. New Economic School Alumni

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CFN: Corporate Finance (1) 2008-08-21
  2. NEP-FMK: Financial Markets (1) 2008-08-21
  3. NEP-RMG: Risk Management (1) 2008-08-21

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