By Dr Jonathan Reeves

Journal articles

Doan B; Jayasuriya D; Lee JB; Reeves JJ, 2024, 'Cryptocurrency systematic risk dynamics', Economics Letters, 241, http://dx.doi.org/10.1016/j.econlet.2024.111788

Doan B; Reeves JJ; Sherris M, 2024, 'Portfolio management for insurers and pension funds and COVID-19: targeting volatility for equity, balanced, and target-date funds with leverage constraints', Annals of Actuarial Science, 18, pp. 78 - 101, http://dx.doi.org/10.1017/S1748499523000143

Doan B; Lee JB; Liu Q; Reeves JJ, 2022, 'Beta measurement with high frequency returns', Finance Research Letters, 47, http://dx.doi.org/10.1016/j.frl.2021.102632

Phin A; Prono T; Reeves JJ; Saxena K, 2022, 'Shifts in beta and the TARP announcement', Finance Research Letters, 47, http://dx.doi.org/10.1016/j.frl.2022.102704

Lee JB; Reeves JJ; Tjahja AC; Xie X, 2019, 'Targeting market neutrality', Quantitative Finance, 19, pp. 437 - 451, http://dx.doi.org/10.1080/14697688.2018.1479066

Cenesizoglu T; Papageorgiou N; Reeves JJ; Wu H, 2019, 'An analysis on the predictability of CAPM beta for momentum returns', Journal of Forecasting, 38, pp. 136 - 153, http://dx.doi.org/10.1002/for.2552

Cenesizoglu T; Reeves JJ, 2018, 'CAPM, components of beta and the cross section of expected returns', Journal of Empirical Finance, 49, pp. 223 - 246, http://dx.doi.org/10.1016/j.jempfin.2018.10.002

Doan B; Papageorgiou N; Reeves JJ; Sherris M, 2018, 'Portfolio management with targeted constant market volatility', Insurance: Mathematics and Economics, 83, pp. 134 - 147, http://dx.doi.org/10.1016/j.insmatheco.2018.09.010

Phin A; Prono T; Reeves JJ; Saxena K, 2018, 'Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement', Finance and Economics Discussion Series, 2018.0, http://dx.doi.org/10.17016/feds.2018.081

Cenesizoglu T; de Oliveira Ferrazoli Ribeiro F; Reeves JJ, 2017, 'Beta forecasting at long horizons', International Journal of Forecasting, 33, pp. 936 - 957, http://dx.doi.org/10.1016/j.ijforecast.2017.06.004

Papageorgiou N; Reeves JJ; Xie X, 2016, 'Betas and the Myth of Market Neutrality', International Journal of Forecasting, 32, pp. 548 - 558, http://dx.doi.org/10.1016/j.ijforecast.2015.09.005

Cenesizoglu T; Liu Q; Reeves JJ; Wu H, 2016, 'Monthly Beta Forecasting with Low-, Medium- and High-Frequency Stock Returns', Journal of Forecasting

Reeves JJ; Wu H, 2013, 'Constant versus Time-Varying Beta Models: Further Forecast Evaluation', Journal of Forecasting, 32, pp. 256 - 266, http://dx.doi.org/10.1002/for.1268

Reeves JJ; Gregory AW, 2010, 'Estimation and Inference in ARCH Models in the Presence of Outliers', Journal of Financial Econometrics, 8, pp. 547 - 569, http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1673049

Maheu JM; Reeves JJ; Xie X, 2010, 'Forecasting Volatility in the Presence of Model Instability', Australian and New Zealand Journal of Statistics, 52, pp. 221 - 237, http://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=543942

Hooper VJ; Ng K; Reeves JJ, 2008, 'Quarterly Beta Forecasting: An Evaluation', International Journal of Forecasting, 24, pp. 480 - 489

Reeves JJ, 2005, 'Bootstrap Prediction Intervals for ARCH Models', International Journal of Forecasting, 21, pp. 237 - 248

Preprints

Cenesizoglu T; Reeves JJ, Beta Forecasting at Long Horizons, http://dx.doi.org/10.2139/ssrn.2808969

Doan BH; Lee JB; Liu Q; Reeves JJ, Beta Measurement and Forecasting with High Frequency Returns, http://dx.doi.org/10.2139/ssrn.3444103

Cenesizoglu T; Reeves JJ, CAPM, Components of Beta and the Cross Section of Expected Returns, http://dx.doi.org/10.2139/ssrn.2268088

Cenesizoglu T; Reeves JJ, CAPM, Components of Beta and the Cross Section of Expected Returns, http://dx.doi.org/10.2139/ssrn.2131029

Papageorgiou NA; Reeves JJ; Sherris M, Equity Investing with Targeted Constant Volatility Exposure, http://dx.doi.org/10.2139/ssrn.2614828

Phin A; Reeves JJ; Saxena K, Level Shifts in Beta, Spurious Abnormal Returns and the TARP Announcement, http://dx.doi.org/10.2139/ssrn.2317710

Cenesizoglu T; Liu Q; Reeves JJ; Wu H, Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns, http://dx.doi.org/10.2139/ssrn.2321522

Doan BH; Reeves JJ; Sherris M, Portfolio Management for Insurers and Pension Funds and COVID-19: Targeting Volatility for Equity, Balanced and Target-Date Funds with Leverage Constraints, http://dx.doi.org/10.2139/ssrn.3773495

Lee JB; Reeves JJ; Tjahja AC; Xie X, Targeting Market Neutrality, http://dx.doi.org/10.2139/ssrn.2901974

Doan BH; Reeves JJ, Targeting Market Neutrality and Volatility, http://dx.doi.org/10.2139/ssrn.3021477

Bay J; Liu Q; Reeves JJ; Rhee SG; Wu H, The Low Volatility Anomaly in Australian Stock Returns, http://dx.doi.org/10.2139/ssrn.3049708

Cenesizoglu T; Papageorgiou NA; Reeves JJ; Wu H, Understanding the Relationship of Momentum with Beta, http://dx.doi.org/10.2139/ssrn.2504876

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